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15010110 GARCH models.

B. Baldauf and G. Santoni, 1991, "Stock-Price Volatility--Some Evidence from an Arch Model", Journal of Futures Markets, 11:191-200

T. Bollerslev, R. Chou and K. Kroner, 1992, "ARCH Modeling in Finance--A Review of the Theory and Empirical-Evidence", Journal of Econometrics, 52:5-59

S. Chu and S. Freund, 1996, "Volatility Estimation for Stock Index Options--A GARCH Approach", Quarterly Review of Economics and Finance, 36:431-450

F. Drost and B. Werker, 1996, "Closing the GARCH Gap--Continuous-Time GARCH Modeling", Journal of Econometrics, 74:31-57

D. Nelson, 1992, "Filtering and Forecasting with Misspecified ARCH Models: Getting the Right Variance with the Wrong Model", Journal of Econometrics, 52:61-90

Terence Lim (1), Andrew W. Lo (2), Robert C. Merton (3) and Myron S. Scholes (4)

(1) Goldman Sachs Asset Management, 32 Old Slip, New York, NY 10005,

(2) MIT Sloan School of Management, Cambridge, MA 02142,

(3) Graduate School of Business Administration, Harvard University, Boston, MA 02163,

(4) Stanford University and Oak Hill Platinum Partners, Rye Brook, NY 10573,

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Title Annotation:5: Citations
Author:Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S.
Publication:Foundations and Trends in Finance
Article Type:Bibliography
Date:Sep 1, 2005
Previous Article:15010100 Estimation of volatility.
Next Article:15010200 Jump process estimation.

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