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Modeling Asymmetric Volatility in the Nigerian Stock Exchange
16 references·2 citing·29 second hop
Modeling Asymmetric Volatility in the Nigerian Stock Exchange (2012)Modeling Asymmetric Volatility in the Nig…Modeling Asymmetric Volatility in the Indian Stock Market (2011)Modeling Asymmetric Volatilit…Modelling Stock Returns Volatility In Nigeria Using GARCH Models (2010)Modelling Stock Returns Volat…Modelling stock returns in Africa's emerging equity markets (2009)Modelling stock returns in Af…An empirical investigation of stock market behavior in the Middle East and North Africa (2009)An empirical investigation of…The Impact of Trades on Daily Volatility (2006)The Impact of Trades on Daily…Financial Econometrics: From Basics to Advanced Modeling Techniques (2006)Financial Econometrics: From …On a threshold heteroscedastic model (2005)On a threshold heteroscedasti…Emerging Equity Market Volatility (2005)Emerging Equity Market Volati…Risk and Volatility: Econometric Models and Financial Practice (2004)Risk and Volatility: Economet…The variation of certain speculative prices (1997)The variation of certain spec…Emerging equity market volatility (1997)Emerging equity market volati…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns (1991)No News is Good News: An Asym…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Studies of stock market volatility changes (1976)Studies of stock market volat…Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model (2023)Volatility Spillovers and Con…Modeling volatility on the Karachi Stock Exchange, Pakistan (2016)Modeling volatility on the Ka…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A conditional-SGT-VaR approach with alternative GARCH models (2006)Practical Issues in the Analysis of Univariate GARCH Models (2009)Modelling and forecasting the stock market volatility of SSE Composite Index using GARCH models (2017)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Theory of Volatility Spreads (2006)Chapter 15 Volatility and Correlation Forecasting (2006)Parametric and Nonparametric Volatility Measurement (2010)The Cross-Section of Expected Stock Returns (1992)Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon (2006)Explaining and Forecasting Bond Risk Premiums (2010)Analysis of decision making factors for equity investment by DEMATEL and Analytic Network Process (2011)Threshold arch models and asymmetries in volatility (1993)The Distribution of Stock Return Volatility (2000)News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns (2004)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Asymmetric volatility transmission in international stock markets (1995)Stock market volatility and the business cycle (1996)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1976Studies of stock market volatility changes885 cited
  • 1991No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns623 cited
  • 2004Risk and Volatility: Econometric Models and Financial Practice554 cited
  • 2005On a threshold heteroscedastic model293 cited
  • 2006The Impact of Trades on Daily Volatility269 cited
  • 2006Financial Econometrics: From Basics to Advanced Modeling Techniques142 cited
  • 2009An empirical investigation of stock market behavior in the Middle East and North Africa84 cited
  • 2009Modelling stock returns in Africa's emerging equity markets83 cited
  • 2011Modeling Asymmetric Volatility in the Indian Stock Market62 cited
  • 2005Emerging Equity Market Volatility49 cited

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  • 2010Modelling Stock Returns Volatility In Nigeria Using GARCH Models48 cited
  • Cited by

    • 2023Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model29 cited
    • 2016Modeling volatility on the Karachi Stock Exchange, Pakistan26 cited