Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Testing for changes in the unconditional variance of financial time series.

12 references·16 citing·37 second hop

FromToDepth

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
1988Testing for a Unit Root in Time Series Regression19,288 cited
1992ARCH modeling in finance4,288 cited
1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited
1999Volatility in Emerging Stock Markets735 cited
2002Stationarity and the existence of moments of a family of GARCH processes357 cited
2002Detecting multiple breaks in financial market volatility dynamics324 cited

Cited by

2017Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?148 cited
2019Asymmetric effects of oil price uncertainty on corporate investment137 cited
2019Modeling and forecasting commodity market volatility with long‐term economic and financial variables

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

81 cited

2014Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–201374 cited

2020COVID-19 social distancing and the US service sector: What do we learn?73 cited

2021Political uncertainty, COVID-19 pandemic and stock market volatility transmission55 cited

2014Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis52 cited

2009Breaking down the non-normality of stock returns51 cited

2008THE LIMIT DISTRIBUTION OF THE CUSUM OF SQUARES TEST UNDER GENERAL MIXING CONDITIONS48 cited

2020A New Form of Financial Contagion: COVID-19 and Stock Market Responses48 cited

2022Stock returns, trading volume, and volatility: The case of African stock markets41 cited

2012Powerful tests for structural changes in volatility31 cited

2016Volatility transmission among Latin American stock markets under structural breaks31 cited

2006Influence of structural changes in transmission of information between stock markets: A European empirical study29 cited

2017Identifying contagion27 cited

2022Carbon market volatility analysis based on structural breaks: Evidence from EU-ETS and China27 cited