spb/wp46_uqo

1{2 "generated": "2026-11-09",3 "purpose": "Seminal references needed by results/manifests/garch_genealogy.yaml that are absent from paper/references.bib. Each DOI was resolved on 2026-11-09 through the Crossref REST API (api.crossref.org/works/<doi>); title, container, year, authors and pages below are the fetched values. To be ingested through scripts/build_references.py before any citation.",4 "candidates": [5  {"bibkey": "hentschel1995all", "doi_or_url": "10.1016/0304-405X(94)00821-H", "title_fragment": "All in the family: Nesting symmetric and asymmetric GARCH models", "fetched": "Hentschel, Journal of Financial Economics 39(1), 71-104, 1995", "genealogy_ids": ["hentschel_family"]},6  {"bibkey": "duan1997augmented", "doi_or_url": "10.1016/S0304-4076(97)00009-2", "title_fragment": "Augmented GARCH (p,q) process and its diffusion limit", "fetched": "Duan, Journal of Econometrics 79(1), 97-127, 1997", "genealogy_ids": ["duan_augmented"]},7  {"bibkey": "maheu2004news", "doi_or_url": "10.1111/j.1540-6261.2004.00648.x", "title_fragment": "News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns", "fetched": "Maheu and McCurdy, The Journal of Finance 59(2), 755-793, 2004", "genealogy_ids": ["garch_jump"]},8  {"bibkey": "bollerslev1996periodic", "doi_or_url": "10.1080/07350015.1996.10524640", "title_fragment": "Periodic Autoregressive Conditional Heteroscedasticity", "fetched": "Bollerslev and Ghysels, Journal of Business & Economic Statistics 14(2), 139-151, 1996", "genealogy_ids": ["periodic_garch"]},9  {"bibkey": "engle2012dynamic", "doi_or_url": "10.1080/07350015.2011.652048", "title_fragment": "Dynamic Equicorrelation", "fetched": "Engle and Kelly, Journal of Business & Economic Statistics 30(2), 212-228, 2012", "genealogy_ids": ["deco"]},10  {"bibkey": "engle1990asset", "doi_or_url": "10.1016/0304-4076(90)90099-F", "title_fragment": "Asset pricing with a factor-arch covariance structure", "fetched": "Engle, Ng and Rothschild, Journal of Econometrics 45(1-2), 213-237, 1990", "genealogy_ids": ["factor_arch"]},11  {"bibkey": "bollerslev1988capital", "doi_or_url": "10.1086/261527", "title_fragment": "A Capital Asset Pricing Model with Time-Varying Covariances", "fetched": "Bollerslev, Engle and Wooldridge, Journal of Political Economy 96(1), 116-131, 1988", "genealogy_ids": ["vec"]},12  {"bibkey": "engle1990discussion", "doi_or_url": "10.1093/rfs/3.1.103", "title_fragment": "Discussion [Stock volatility and the crash of '87]", "fetched": "Engle, Review of Financial Studies 3(1), 103-106, 1990 (Crossref title field is 'Discussion')", "genealogy_ids": ["agarch"]},13  {"bibkey": "geweke1986comment", "doi_or_url": "10.1080/07474938608800097", "title_fragment": "Comment [on Engle and Bollerslev, Modelling the persistence of conditional variances]", "fetched": "Geweke, Econometric Reviews 5(1), 57-61, 1986 (Crossref title field is misspelt 'Commet')", "genealogy_ids": ["log_garch"]},14  {"bibkey": "pantula1986comment", "doi_or_url": "10.1080/07474938608800099", "title_fragment": "Comment [on Engle and Bollerslev, Modelling the persistence of conditional variances]", "fetched": "Pantula, Econometric Reviews 5(1), 71-74, 1986", "genealogy_ids": ["log_garch"]},15  {"bibkey": "rabemananjara1993threshold", "doi_or_url": "10.1002/jae.3950080104", "title_fragment": "Threshold ARCH models and asymmetries in volatility", "fetched": "Rabemananjara and Zakoian, Journal of Applied Econometrics 8(1), 31-49, 1993", "genealogy_ids": ["tgarch_zakoian"], "role": "historical note only (docs/genealogy_notes.md)"},16  {"bibkey": "engle1998autoregressive", "doi_or_url": "10.2307/2999632", "title_fragment": "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data", "fetched": "Engle and Russell, Econometrica 66(5), 1127-1162, 1998", "genealogy_ids": ["mem"], "role": "note only (ACD relative)"},17  {"bibkey": "li1996double", "doi_or_url": "10.1002/(SICI)1099-1255(199605)11:3<253::AID-JAE393>3.0.CO;2-8", "title_fragment": "On a double-threshold autoregressive heteroscedastic time series model", "fetched": "Li and Li, Journal of Applied Econometrics 11(3), 253-274, 1996", "genealogy_ids": [], "role": "note only (threshold variants, docs/genealogy_notes.md)"}18 ],19 "not_found": [20  {"item": "Taylor, S. J. (1986), Modelling Financial Time Series, Wiley (1st ed.)", "status": "no registry record (already documented in docs/literature_matrix.md); the genealogy cites taylor2008modelling (2nd ed.) with year 1986"},21  {"item": "Engle, R. F. and Lee, G. G. J. (1993), A permanent and transitory component model of stock return volatility, UCSD WP", "status": "not searched for a DOI (working paper); the published chapter engle1999long is cited"},22  {"item": "Alexander, C. (2001), Orthogonal GARCH, in Mastering Risk vol. 2", "status": "not verified; mentioned in a note only, not cited"},23  {"item": "Jorion, P. (1988), On jump processes in the foreign exchange and stock markets, RFS 1(4)", "status": "not verified; mentioned in a note only, not cited"},24  {"item": "Zumbach, G. (2007), The RiskMetrics 2006 methodology, RiskMetrics Group", "status": "verified record is the 2009 SSRN posting zumbach2009riskmetrics (year field of the genealogy entry = 2007 for the method)"}25 ]26}27