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To cite qgarch, please cite the paper and the package:
Bialkowski J, Hong S, Wagner M (2025). “Is no news still good news? Volatility feedback revisited.” Pacific-Basin Finance Journal, 91, 102708. doi:10.1016/j.pacfin.2025.102708.
Bialkowski J, Hong S, Wagner M (2026). qgarch: Quadratic GARCH-in-Mean Models for Volatility Feedback. R package version 0.1.0, https://github.com/sho-125/qgarch.
Corresponding BibTeX entries:
@Article{,
title = {Is no news still good news? Volatility feedback
revisited},
author = {Jedrzej Bialkowski and Sanghyun Hong and Moritz Wagner},
year = {2025},
journal = {Pacific-Basin Finance Journal},
volume = {91},
pages = {102708},
doi = {10.1016/j.pacfin.2025.102708},
}
@Manual{,
title = {qgarch: Quadratic GARCH-in-Mean Models for Volatility
Feedback},
author = {Jedrzej Bialkowski and Sanghyun Hong and Moritz Wagner},
year = {2026},
note = {R package version 0.1.0},
url = {https://github.com/sho-125/qgarch},
}
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