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A Garch Approach to Measuring Efficiency: A Case Study of Nairobi Securities Exchange
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A Garch Approach to Measuring Efficiency: A Case Study of Nairobi Securities Exchange (2013)A Garch Approach to Measuring Efficiency:…THE CHANGING EFFICIENCY OF AFRICAN STOCK MARKETS (2005)THE CHANGING EFFICIENCY OF AF…The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Dating the integration of world equity markets (2002)Dating the integration of wor…GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)GARCH 101: The Use of ARCH/GA…Portfolio Disclosures and Year-End Price Shifts (1997)Portfolio Disclosures and Yea…Evidence on Weak Form Efficiency and Day of the Week Effect in the Indian Stock Market (1996)Evidence on Weak Form Efficie…MARKET EFFICIENCY IN DEVELOPING COUNTRIES: A CASE STUDY OF THE NAIROBI STOCK EXCHANGE (1994)MARKET EFFICIENCY IN DEVELOPI…Efficient Capital Markets: II (1991)Efficient Capital Markets: IIAre Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Are Seasonal Anomalies Real? …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Seasonal and Size Anomalies in the Japanese Stock Market (1985)Seasonal and Size Anomalies i…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock returns and the weekend effect (1980)Stock returns and the weekend…Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…The Behavior of Stock Prices on Fridays and Mondays (1973)The Behavior of Stock Prices …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Statistical principles in experimental design. (1962)Time Series Analysis: Forecasting and Control (1977)Stock Prices and Volume (1992)Another Look at the Cross-Section of Expected Stock Returns (1995)Generalized autoregressive conditional heteroskedasticity (1986)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)Dividend Policy, Growth, and the Valuation of Shares (1961)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)New frontiers for arch models (2002)Forecasting stock markets using wavelet transforms and recurrent neural networks: An integrated system based on artificial bee colony algorithm (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Measuring security price performance (1980)The relationship between return and market value of common stocks (1981)A Theory of Intraday Patterns: Volume and Price Variability (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Econometric Analysis of Cross Section and Panel Data (2001)A Further Investigation of the Weekend Effect in Stock Returns (1984)A transaction data study of weekly and intradaily patterns in stock returns (1986)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1991Efficient Capital Markets: II5,346 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics1,224 cited
  • 1988Are Seasonal Anomalies Real? A Ninety-Year Perspective1,179 cited
  • 1973The Behavior of Stock Prices on Fridays and Mondays826 cited
  • 2002Dating the integration of world equity markets561 cited
  • 1985Seasonal and Size Anomalies in the Japanese Stock Market256 cited
  • 1996Evidence on Weak Form Efficiency and Day of the Week Effect in the Indian Stock Market203 cited
  • 1997Portfolio Disclosures and Year-End Price Shifts193 cited
  • 2005THE CHANGING EFFICIENCY OF AFRICAN STOCK MARKETS183 cited

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  • 1994MARKET EFFICIENCY IN DEVELOPING COUNTRIES: A CASE STUDY OF THE NAIROBI STOCK EXCHANGE179 cited
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