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Modelling Australian stock market volatility: a multivariate GARCH approach
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Modelling Australian stock market volatility: a multivariate GARCH approach (2009)Modelling Australian stock market volatil…Introductory Econometrics for Finance (2008)Introductory Econometrics for…Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis (2003)Transmission of equity return…Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…International Stock Market Efficiency and Integration: A Study of Eighteen Nations (1997)International Stock Market Ef…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE (1993)MEAN AND VOLATILITY SPILLOVER…A Class of Nonlinear Arch Models (1992)A Class of Nonlinear Arch Mod…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Alternative models for conditional stock volatility (1990)Alternative models for condit…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…International Transmission of Stock Market Movements (1989)International Transmission of…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Multivariate GARCH models: a surveyMultivariate GARCH models: a …The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Econometric Analysis of Cross Section and Panel Data (2001)Oil prices and the stock prices of alternative energy companies (2007)Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)The Impact of Corporate Social Responsibility Disclosure on Financial Performance: Evidence from the GCC Islamic Banking Sector (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2001)Idiosyncratic risk and the cross-section of expected stock returns (2008)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)Competition and Financial Stability (2004)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
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  • 2008Introductory Econometrics for Finance3,662 cited
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  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
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  • 1990Alternative models for conditional stock volatility1,272 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 1992A Class of Nonlinear Arch Models412 cited
  • 1993MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE313 cited
  • 1997International Stock Market Efficiency and Integration: A Study of Eighteen Nations

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268 cited
  • 2003Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis223 cited
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