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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, terence.lim@gs.com

(2) MIT Sloan School of Management, Cambridge, MA 02142, alo@mit.edu

(3) Graduate School of Business Administration, Harvard University, Boston, MA 02163, merton@hbs.edu

(4) Stanford University and Oak Hill Platinum Partners, Rye Brook, NY 10573, mscholes@ohpp.com

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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
Words:177
Previous Article:15010100 Estimation of volatility.
Next Article:15010200 Jump process estimation.
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