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Unconditional and Conditional Distributional Models for the Nikkei Index
16 references·7 citing·22 second hop
Unconditional and Conditional Distributional Models for the Nikkei Index (1998)Unconditional and Conditional Distributio…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…The variation of certain speculative prices (1997)The variation of certain spec…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Message in Daily Exchange Rates: A Conditional-Variance Tale (1989)The Message in Daily Exchange…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…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…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model (2021)The impact of COVID-19 on S&P…Quanto option pricing in the presence of fat tails and asymmetric dependence (2015)Quanto option pricing in the …Modelling heavy tails and asymmetry using ARCH-type models with stable Paretian distributions (2007)Modelling heavy tails and asy…An Econometric Analysis of Emission Trading Allowances (2006)An Econometric Analysis of Em…The multivariate Edgeworth-Sargan density (2004)The multivariate Edgeworth-Sa…Skewness in the conditional distribution of daily equity returns (2004)Skewness in the conditional d…Stable Modeling of Market and Credit Value at Risk (2003)Stable Modeling of Market and…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)
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References

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • 1989The Message in Daily Exchange Rates: A Conditional-Variance Tale647 cited

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1992
Inequality Constraints in the Univariate GARCH Model
611 cited

Cited by

  • 2006An Econometric Analysis of Emission Trading Allowances99 cited
  • 2021The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model41 cited
  • 2007Modelling heavy tails and asymmetry using ARCH-type models with stable Paretian distributions40 cited
  • 2004Skewness in the conditional distribution of daily equity returns37 cited
  • 2003Stable Modeling of Market and Credit Value at Risk36 cited
  • 2015Quanto option pricing in the presence of fat tails and asymmetric dependence34 cited
  • 2004The multivariate Edgeworth-Sargan density30 cited