Kenneth F. Kroner

TL;DR: An overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial data can be found in this paper, where several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies, and pricing of derivative assets, are also discussed.

TL;DR: In this article, a bivariate error correction model with a GARCH error structure was proposed to estimate the risk-minimizing futures hedge ratios for several currencies and a dynamic hedging strategy was proposed in which the potential risk reduction is more than enough to offset the transactions costs for most investors.

TL;DR: In this article, the authors show that many of the properties of stable models are shared by GARCH models, implying that the findings of fat-tailed stable distributions in finance since Mandelbrot (1963) could be caused by temporal clustering of volatility.