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Stock Volatility and the Crash of '87: Discussion

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References

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2005Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1141 cited
2007The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR123 cited

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2001Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction108 cited

2012Forecasting with Mixed-Frequency Data104 cited

1999Asymmetric Nonlinear Smooth Transition Garch Models96 cited

2004Likelihood-Based Estimation of Latent Generalized ARCH Structures94 cited

2001Volatility in the transition markets of Central Europe94 cited