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Examining the Volatility of Taiwan Stock Index Returns via a Three-Volatility-Regime Markov-Switching ARCH Model
16 references·3 citing·28 second hop
Examining the Volatility of Taiwan Stock Index Returns via a Three-Volatility-Regime Markov-Switching ARCH Model (2003)Examining the Volatility of Taiwan Stock …Stock market volatility and the business cycle (1996)Stock market volatility and t…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…An Analysis of the Real Interest Rate Under Regime Shifts (1996)An Analysis of the Real Inter…Business-Cycle Phases and Their Transitional Dynamics (1994)Business-Cycle Phases and The…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…ARCH modeling in finance (1992)ARCH modeling in financePersistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market (1989)A Markov Model of Heteroskeda…Expected stock returns and volatility (1987)Expected stock returns and vo…Modelling the persistence of conditional variances (1986)Modelling the persistence 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…The aftermath of the subprime crisis: a clustering analysis of world banking sector (2013)The aftermath of the subprime…A reduced lattice model for option pricing under regime-switching (2013)A reduced lattice model for o…The dynamics of the relationship between spot and futures markets under high and low variance regimes (2008)The dynamics of the relations…The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Measuring and Testing the Impact of News on Volatility (1993)Trends and random walks in macroeconmic time series (1982)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Testing Linearity Against Smooth Transition Autoregressive Models (1988)A nonlinear approach to US GNP (1995)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Introductory Econometrics for Finance (2008)Econometric Analysis of Cross Section and Panel Data (2001)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Discrete Choice Methods with Simulation (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1992ARCH modeling in finance4,343 cited
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  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1986Modelling the persistence of conditional variances2,083 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,846 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1994Business-Cycle Phases and Their Transitional Dynamics883 cited
  • 1996An Analysis of the Real Interest Rate Under Regime Shifts779 cited
  • 1996Stock market volatility and the business cycle779 cited
  • 1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market

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647 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • Cited by

    • 2013A reduced lattice model for option pricing under regime-switching17 cited
    • 2008The dynamics of the relationship between spot and futures markets under high and low variance regimes17 cited
    • 2013The aftermath of the subprime crisis: a clustering analysis of world banking sector16 cited