**Chapter 11**

Conditional Variances. Economics

[22] Bollerslev, T., R.F. Engle, and J.M. Wooldridge (1998). A Capital Asset Pricing Model with Time Varying Variance. Journal of Political Economy,

*Linear and Non-Linear Financial Econometrics - Theory and Practice*

[32] Alles, Lakshman, and Louis Murray (2001). An Examination of Returns and Volatility Patterns on the Irish Equity Market. Applied Financial Economics,

[33] Bollerslev, T. (1986). Generalized

Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31, 307-327.

[34] Engle, R., and V. Ng (1993). Measuring and Testing the Impact of News on Volatility. Journal of Finance,

[36] Pagan and Sabau (1987)

"An Examination of Returns and Volatility Patterns on the Irish Equity Market," Applied Financial Economics,

[38] Diebold, F. (1986). Temporal Aggregation of ARCH Processes and the Distribution of Asset Returns. Special Studies Paper 200, Fedeml Reserve Board, Division of Research and Statistics, Washington, D.C.

[35] Glosten, L., R. Jagannathan, and D. Runkle (1993). Relationship between the Expected Value and Volatility of the Nominal Excess Returns on Stocks. Journal of Finance, 48, 1779-1802.

[37] Alles, Lakshman, and Louis Murray,

11(2),137-146.

48, 1749-1778.

1 1, no. 2 (2001)

[23] Engle, R.F., and J. Patton (2001). What Good is a Volatility Model?. NYU

[24] R.F. Engle, "New Frontiers for ARCH Models," J. of Applied

[25] Engle, R., and V. Ng (1991). Measuring and Testing the Impact of News on Volatility. University of

Econometrics, Vol. 17, pp 425-46, 2002

[26] Cutler, D.M., J.M. Poterb, and L.H. Summer (1991). Speculative Dynamics. Review of Economic Studies, 58, 529-

[27] Lo, A.W., and A.C. MacKinlay (1988). Stock Market Prices do not Follow Random Walk: Evidence from a Simple Specification Test. levies' of

[28] Nelson, D.B. (1991). Conditional Heteroscedasticity in Asset Returns: A New Approach. Econometrica, 59, 347-

[29] Engle, R. (2002). Introduction: in ARCH Selected Reading. Advanced Texts in Econometrics (Oxford

[30] Breusch, T.S., and A.R. Pagan

[31] Wooldridge, Jeffery M. (2003). Introductory Econometrics. A Modern Approach (Mason, Ohio: South-

(1979). A Simple Test for Heteroskedasticity and Random Coefficient Variations. Econometrica,

Western Publishing).

Financial Studies, 1, 41-66.

Stern School of Business.

California, San Diego.

546.

370.

University Press).

50, 987-1007.

**204**

Letters, 50, 197-203.

96, l16-131.
