SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Do ‘Fat Tails’ Matter in GARCH Estimation? Stock Market Efficiency in Romania and the Czech Republic
16 references·0 citing·33 second hop
Do ‘Fat Tails’ Matter in GARCH Estimation? Stock Market Efficiency in Romania and the Czech Republic (2004)Do ‘Fat Tails’ Matter in GARCH Estimation…Measuring Market Risk (2005)Measuring Market RiskHoliday Effects and Stock Returns: Further Evidence (1994)Holiday Effects and Stock Ret…Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Anomalies or illusions? Evide…High Stock Returns before Holidays: Existence and Evidence on Possible Causes (1990)High Stock Returns before Hol…An Examination of the Robustness of the Weekend Effect (1989)An Examination of the Robustn…Anomalies: The January Effect (1987)Anomalies: The January EffectAnomalies: Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects (1987)Anomalies: Seasonal Movements…A monthly effect in stock returns (1987)A monthly effect in stock ret…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Stock market seasonality (1983)Stock market seasonalityAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…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-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)Size-related anomalies and stock return seasonality (1983)The Buying and Selling Behavior of Individual Investors at the Turn of the Year (1988)Efficient Capital Markets and Martingales (1989)Statistical principles in experimental design. (1962)Time Series Analysis: Forecasting and Control (1977)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Stock Prices and Volume (1992)Another Look at the Cross-Section of Expected Stock Returns (1995)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 Simultaneous Generalized ARCH (1995)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Losing Sleep at the Market: The Daylight Saving Anomaly (2000)The day of the week effect on stock market volatility (2001)The Halloween Indicator, “Sell in May and Go Away”: Another Puzzle (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)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)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Order imbalance, liquidity, and market returns (2002)A transaction data study of weekly and intradaily patterns in stock returns (1986)Transactions, Volume, and Volatility (1994)The Message in Daily Exchange Rates (2002)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 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
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1987A monthly effect in stock returns720 cited
  • 1983Stock market seasonality573 cited
  • 1994Anomalies or illusions? Evidence from stock markets in eighteen countries543 cited
  • 2005Measuring Market Risk489 cited
  • 1990High Stock Returns before Holidays: Existence and Evidence on Possible Causes446 cited
  • 1989An Examination of the Robustness of the Weekend Effect438 cited
  • 1987Anomalies: The January Effect390 cited
  • 1994Holiday Effects and Stock Returns: Further Evidence208 cited
  • 1987

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Anomalies: Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects
192 cited

Cited by

No citing works inside the corpus for this window.