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Cited by

• 1998Regression-Based Tests of Predictive Ability286 cited
• 2007The intertemporal relation between expected returns and risk237 cited
• 1994Good news, bad news and international spillovers of stock return volatility between Japan and the U.S.223 cited
• 2012Investor Herds and Regime-Switching: Evidence from Gulf Arab Stock Markets199 cited
• 1991Spectral based testing of the martingale hypothesis168 cited
• 2009Monetary policy and the risk-taking channel153 cited
• 1994Forecasting Volatility and Option Prices of the S&P 500 Index153 cited
• 2017Modelling and forecasting the stock market volatility of SSE Composite Index using GARCH models149 cited
• 2003Market Integration and Contagion122 cited
• 2002A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility121 cited
• 2015Oil Price Volatility Forecast with Mixture Memory GARCH114 cited
• 1990Testing for covariance stationarity in stock market data111 cited
• 2000A New Historical Database for the NYSE 1815 to 1925: Performance and Predictability108 cited
• 2007Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets107 cited