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The day-of-the-week effects on the volatility: The role of the asymmetry
16 references·2 citing·30 second hop
The day-of-the-week effects on the volatility: The role of the asymmetry (2009)The day-of-the-week effects on the volati…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…A test for independence based on the correlation dimension (1996)A test for independence based…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Testing for the Constancy of Parameters Over Time (1989)Testing for the Constancy of …Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …Stock return variances (1986)Stock return variancesGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock returns and the weekend effect (1980)Stock returns and the weekend…Naval disasters, world war two and the British stock market (2021)Naval disasters, world war tw…Calendar anomalies in cash and stock index futures: International evidence (2013)Calendar anomalies in cash an…The Behavior of Stock-Market Prices (1965)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Emerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)Comparing Predictive Accuracy (1994)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Volatility forecast comparison using imperfect volatility proxies (2010)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1986Stock return variances1,813 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1989Testing for the Constancy of Parameters Over Time973 cited

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1990
ARCH models as diffusion approximations
943 cited

Cited by

  • 2013Calendar anomalies in cash and stock index futures: International evidence39 cited
  • 2021Naval disasters, world war two and the British stock market30 cited