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Application of EGARCH Model to Estimate Financial Volatility of Daily Returns: The empirical case of China
4 references·1 citing·22 second hop
Application of EGARCH Model to Estimate Financial Volatility of Daily Returns: The empirical case of China (2010)Application of EGARCH Model to Estimate F…Practical Financial Econometrics (2007)Practical Financial Econometr…Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares (2003)Location of trade, ownership …Risk, Return and Regulation in Chinese Stock Markets (1998)Risk, Return and Regulation i…Stock Returns and Volatility (1990)Stock Returns and VolatilityTrading strategies with copulas (2013)Trading strategies with copul…PORTFOLIO SELECTION* (1952)Copula Methods in Finance (2004)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Inequality Constraints in the Univariate GARCH Model (1992)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Asset Pricing in China's Domestic Stock Markets: Is There a Logic? (2008)Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more? (2018)Impacts of COVID-19 outbreak on the spillovers between US and Chinese stock sectors (2021)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Noise Trader Risk in Financial Markets (1990)Illiquidity and stock returns: cross-section and time-series effects (2002)Determining the contributions to price discovery for Chinese cross-listed stocks (2007)Value Relevance of Accounting Information in Different Stock Market Segments: The Case of Chinese A-, B-, and H-Shares (2007)US ADR and Hong Kong H-share discounts of Shanghai-listed firms (2008)Volatility in Asian stock markets and global financial crisis (2013)Overconfidence Behavior and Dynamic Market Volatility: Evidence from International Data (2014)Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data (2015)
this work references cited by second hop

References

  • 1990Stock Returns and Volatility722 cited
  • 2003Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares179 cited
  • 1998Risk, Return and Regulation in Chinese Stock Markets122 cited
  • 2007Practical Financial Econometrics97 cited

Cited by

  • 2013Trading strategies with copulas28 cited

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