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Forecasting Stock Market Volatility in Central and Eastern European Countries
16 references·3 citing·27 second hop
Forecasting Stock Market Volatility in Central and Eastern European Countries (2011)Forecasting Stock Market Volatility in Ce…Chapter 15 Volatility and Correlation Forecasting (2006)Chapter 15 Volatility and Cor…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…What good is a volatility model? (2001)What good is a volatility mod…Asset Pricing at the Millennium (2000)Asset Pricing at the Millenni…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling Financial Time Series. (1987)Modelling Financial Time Seri…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…Forecasting global stock market volatility: The impact of volatility spillover index in spatial‐temporal graph‐based model (2023)Forecasting global stock mark…Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach (2021)Information-Theoretic Measure…Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help? (2018)Forecasting the realized vola…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Comparing Predictive Accuracy (1995)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)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 the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)Trends and random walks in macroeconmic time series (1982)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 2003Forecasting Volatility in Financial Markets: A Review800 cited
  • 2000Asset Pricing at the Millennium734 cited
  • 2001What good is a volatility model?691 cited
  • 1987Modelling Financial Time Series.598 cited

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2006
Chapter 15 Volatility and Correlation Forecasting
330 cited

Cited by

  • 2023Forecasting global stock market volatility: The impact of volatility spillover index in spatial‐temporal graph‐based model31 cited
  • 2018Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?31 cited
  • 2021Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach28 cited