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Asymmetric variance and spillover effects
16 references·3 citing·35 second hop
Asymmetric variance and spillover effects (2006)Asymmetric variance and spillover effectsShock and volatility transmission in the oil, US and Gulf equity markets (2005)Shock and volatility transmis…Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005)Dynamic stock market integrat…Volatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …Emerging equity market volatility (1997)Emerging equity market volati…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…A Markov Model of Switching-Regime ARCH (1994)A Markov Model of Switching-R…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Persistence of Volatility and Stock Market Fluctuations (1984)The Persistence of Volatility…Long memory and structural change in the G7 inflation dynamics (2016)Long memory and structural ch…Volatility transmission across stock index futures when there are structural changes in return variance (2012)Volatility transmission acros…VOLATILITY, LEVERAGE AND FIRM SIZE: THE U.K. EVIDENCE (1996)VOLATILITY, LEVERAGE AND FIRM…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Forecasting Volatility in Financial Markets: A Review (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)A Guide to Simulation (1983)Selection of estimation window in the presence of breaks (2006)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)The Behavior of Stock-Market Prices (1965)Chapter 49 Arch models (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Idiosyncratic Risk Matters! (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling the conditional distribution of interest rates as a regime-switching process (1996)International Asset Allocation With Regime Shifts (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1999Volatility in Emerging Stock Markets735 cited
  • 1994A Markov Model of Switching-Regime ARCH638 cited
  • 2005Shock and volatility transmission in the oil, US and Gulf equity markets417 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance399 cited
  • 1984The Persistence of Volatility and Stock Market Fluctuations386 cited

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  • 2005Dynamic stock market integration driven by the European Monetary Union: An empirical analysis346 cited
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    • 2012Volatility transmission across stock index futures when there are structural changes in return variance18 cited
    • 1996VOLATILITY, LEVERAGE AND FIRM SIZE: THE U.K. EVIDENCE17 cited
    • 2016Long memory and structural change in the G7 inflation dynamics12 cited