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Intraday Price Discovery in Emerging European Stock Markets
16 references·1 citing·48 second hopsampled
Intraday Price Discovery in Emerging European Stock Markets (2009)Intraday Price Discovery in Emerging Euro…Global Financial Transmission of Monetary Policy Shocks* (2009)Global Financial Transmission…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …Meta-analysis of the business cycle correlation between the euro area and the CEECs (2006)Meta-analysis of the business…The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks (2005)The Stock Market's Reaction t…Taking Stock: Monetary Policy Transmission to Equity Markets (2004)Taking Stock: Monetary Policy…Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market (2002)Pre-announcement effects, new…Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Macroeconomic Factors Do Infl…What Triggers Market Jitters? A Chronicle of the Asian Crisis (1999)What Triggers Market Jitters?…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Stock Return Predictability and The Role of Monetary Policy (1997)Stock Return Predictability a…On Stock Market Returns and Monetary Policy (1997)On Stock Market Returns and M…Business conditions, monetary policy, and expected security returns (1996)Business conditions, monetary…International Evidence on the Robustness of the Day-of-the-Week Effect (1993)International Evidence on the…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stock return variances (1986)Stock return variancesGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Extreme Risks in Financial Markets and Monetary Policies of the Euro-Candidates (2011)Extreme Risks in Financial Ma…The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)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)The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Firm Size and Cyclical Variations in Stock Returns (2000)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)A General Equilibrium Approach To Monetary Theory (1969)Credit Cycles (1997)Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints? (1997)Investor sentiment and the stock market’s reaction to monetary policy (2009)Stocks, bonds, money markets and exchange rates: measuring international financial transmission (2010)Capital Flows, Push versus Pull Factors and the Global Financial Crisis (2011)Discretion versus policy rules in practice (1993)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Capital flows, push versus pull factors and the global financial crisis (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Does the Stock Market Overreact? (1985)Financing Constraints and Corporate Investment (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Why Stocks May Disappoint (2000)The Myth of Long-Horizon Predictability (2005)An Intertemporal Capital Asset Pricing Model (1973)The relationship between return and market value of common stocks (1981)Does earnings guidance affect market returns? The nature and information content of aggregate earnings guidance (2006)The Determinants of Stock and Bond Return Comovements (2010)Investor Attention and Stock Market Volatility (2014)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Theory of Intraday Patterns: Volume and Price Variability (1988)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)A Capital Asset Pricing Model with Time-Varying Covariances (1988)The empirical risk–return relation: A factor analysis approach☆ (2006)Predictive regressions with time-varying coefficients (2012)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1986Stock return variances1,813 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 1997On Stock Market Returns and Monetary Policy931 cited
  • 2002Macroeconomic Factors Do Influence Aggregate Stock Returns826 cited
  • 2005The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks793 cited
  • 1997Stock Return Predictability and The Role of Monetary Policy541 cited
  • 2004Taking Stock: Monetary Policy Transmission to Equity Markets466 cited
  • 2002Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market435 cited
  • 1996Business conditions, monetary policy, and expected security returns363 cited
  • 1999What Triggers Market Jitters? A Chronicle of the Asian Crisis329 cited
  • 2009Global Financial Transmission of Monetary Policy Shocks*313 cited
  • 2006Meta-analysis of the business cycle correlation between the euro area and the CEECs

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262 cited
  • 1993International Evidence on the Robustness of the Day-of-the-Week Effect261 cited
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    • 2011Extreme Risks in Financial Markets and Monetary Policies of the Euro-Candidates9 cited