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MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008
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MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008 (2015)MENA stock market volatility persistence:…Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks (2003)Minimum Lagrange Multiplier U…Emerging equity market volatility (1997)Emerging equity market volati…The econometrics of financial markets (1996)The econometrics of financial…Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesFractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …A long memory property of stock market returns and a new model (1993)A long memory property of sto…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Robustness of the rescaled ra…On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis (2022)On the stylized facts of prec…How COVID-19 has affected stock market persistence? Evidence from the G7’s (2021)How COVID-19 has affected sto…Spillover Effects among European, the US and Moroccan Stock Markets before and after the Global Financial Crisis (2019)Spillover Effects among Europ…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The saving and investment nexus for China: evidence from cointegration tests (2005)A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks (2006)The impact of financial development, income, energy and trade on carbon emissions: Evidence from the Indian economy (2014)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Asset Prices in an Exchange Economy (1978)Does the Stock Market Overreact? (1985)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Foreign Speculators and Emerging Equity Markets (2000)International Asset Allocation With Regime Shifts (2002)Does financial liberalization spur growth? (2005)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Random matrix approach to cross correlations in financial data (2002)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)
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References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2003Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks2,398 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1995Time‐Varying World Market Integration2,152 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence1,066 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited
  • 1996

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The econometrics of financial markets
886 cited

Cited by

  • 2021How COVID-19 has affected stock market persistence? Evidence from the G7’s28 cited
  • 2019Spillover Effects among European, the US and Moroccan Stock Markets before and after the Global Financial Crisis24 cited
  • 2022On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis21 cited