Bibliography

Bera, A.K. and Higgins, M.(1993).

ARCH models: properties, estimation and testing. Journal of Economic Surveys, 7: 305-366.

Bernt, E.K., Hall, B.H., Hall, R.E., and Hausman, J.A. (1974).

Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement, 3-4: 653-665.

Breusch, T.S. and Pagan, A.R.(1978).

A simple test for heteroskedasticity and random coefficient variation. Econometrica, 46: 1287-1294.

Engle, R.F.( 1982).

Autoregresive conditional heteroscedasticity with estimates of the variance of U.K. inflation Econometrica, 50: 987-1008.

Engle, R.F., and Bollerslev T. (1986).
Modelling the persistence of conditional variance. Econometric Reviews, 5: 1-50.

Engle, R.F., Lilien D.M. and Robins R.P. ( 1987).
Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica, 55: 391-408.

Gouriéroux,Ch. (1997).

ARCH models and Financial Applications, Springer.

Härdle, W., Klinke, S., and Müller, M. (2000).

XploRe Learning Guide, Springer.

Johnston, J. and DiNardo J.(1997).

Econometric Methods, McGraw-Hill, New York.

Klein, B. ( 1977).

The demand for quality-adjusted cash balances: Price incertity in the US demand for money functions, Journal of Political Economy, 85: 692-715.

Mandelbrot, B. (1963).

The variation of certain speculative prices, Journal of Business, 36: 394-419.

McCurdy, T.H. and Morgan, I. (1988).

Testing the martingale hypothesis in Deutsche mark futures with models specifying the form of heteroscedasticity. Journal of Applied Econometrics, 3: 187-202.

Mills, T.C. ( 1993).

The econometric modelling of financial time series, Cambridge University Press, U.K.

Nelson, D.B. ( 1991).

Conditional heteroskedasticity in asset returns: a new approach. The econometric modelling of finacial time series, , Econometrica, 59: 318-34.

Olave, P. and Miguel, J.(2001).

The risk premium and volatility in the Spanish Stock Market. A forecasting approach, Économie Appliquée, LIV4:63-77.

Silverman, B.( 1989).

Kernel density estimation, Springer-Verlag.