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Long-Range Dependence in Daily Volatility on Tunisian Stock Market
16 references·1 citing·31 second hop
Long-Range Dependence in Daily Volatility on Tunisian Stock Market (2005)Long-Range Dependence in Daily Volatility…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…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…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Long memory or structural breaks: Some evidence for African stock markets (2017)Long memory or structural bre…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Dividend Policy, Growth, and the Valuation of Shares (1961)Time Series Regression with a Unit Root (1987)Testing for cointegration using principal components methods (1988)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)
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References

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  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*20,205 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,637 cited
  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,598 cited
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  • 1962Portfolio Selection: Efficient Diversification of Investments.3,698 cited
  • 1993A long memory property of stock market returns and a new model3,282 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,576 cited
  • 1988Trends and random walks in macroeconomic time series2,454 cited
  • 1996

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Fractionally integrated generalized autoregressive conditional heteroskedasticity
2,297 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,736 cited
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    • 2017Long memory or structural breaks: Some evidence for African stock markets17 cited