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Stock Market Volatility: Examining North America, Europe and Asia
16 references·0 citing·22 second hop
Stock Market Volatility: Examining North America, Europe and Asia (2003)Stock Market Volatility: Examining North …Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Emerging equity market volatility (1997)Emerging equity market volati…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Macroeconomics and Reality (1980)Macroeconomics and RealityThe Pricing of Options and Corporate Liabilities (1973)Dynamic Conditional Correlation (2002)Multivariate GARCH models: a surveyMultivariate Simultaneous Generalized ARCH (1995)International Asset Allocation With Regime Shifts (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)The Behavior of Stock-Market Prices (1965)Fundamentals and Stock Returns in Japan (1991)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited

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  • 1989International Transmission of Stock Market Movements1,412 cited
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