Publications [#238010] of Tim Bollerslev

Journal Articles

1. Bollerslev Robert, T; Engle, F, Modelling the Persistence of Conditional Variances and 'Reply', Econometric Reviews, vol. 5 no. 1 (1986), pp. 1-50, Informa UK Limited [doi]
   (last updated on 2024/04/24)

   Abstract:
   This paper will discuss the current research in building models of conditional variances using the Autoregressive Conditional Heteroskedastic (ARCH) and Generalized ARCH (GARCH) formulations. The discussion will be motivated by a simple asset pricing theory which is particularly appropriate for examining futures contracts with risk averse agents. A new class of models defined to be integrated in variance is then introduced. This new class of models includes the variance analogue of a unit root in the mean as a special case. The models are argued to be both theoretically important for the asset pricing models and empirically relevant. The conditional density is then generalized from a normal to a Student-t with unknown degrees of freedom. By estimating the degrees of freedom, implications about the conditional kurtosis of these models and time aggregated models can be drawn. A further generalization allows the conditional variance to be a non-linear function of the squared innovations. Throughout, empirical estimates of the logarithm of the exchange rate between the U.S. dollar and the Swiss franc are presented to illustrate the models. © 1986, Taylor & Francis Group, LLC. All rights reserved.