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Estimating and predicting multivariate volatility thresholds in global stock markets
16 references·1 citing·22 second hop
Estimating and predicting multivariate volatility thresholds in global stock markets (2006)Estimating and predicting multivariate vo…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Long memory and regime switching (2001)Long memory and regime switch…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…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…Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models (2007)Modelling volatility asymmetr…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Behavior of Stock-Market Prices (1965)Fundamentals and Stock Returns in Japan (1991)Stock return variances (1986)Mean reversion in stock prices (1988)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Multivariate GARCH models: a surveyThe distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Emerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)Competition and Financial Stability (2004)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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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
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
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  • 1994Comparing Predictive Accuracy5,495 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 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
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 2001Long memory and regime switching1,162 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited

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  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
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    • 2007Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models20 cited