SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Intraday Return Volatility Process: Evidence from NASDAQ Stocks
16 references·5 citing·21 second hop
Intraday Return Volatility Process: Evidence from NASDAQ Stocks (2002)Intraday Return Volatility Process: Evide…The variation of certain speculative prices (1997)The variation of certain spec…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…ARCH modeling in finance (1992)ARCH modeling in financeMeasuring the Information Content of Stock Trades (1991)Measuring the Information Con…Liquidity and Market Structure (1988)Liquidity and Market StructurePrice, trade size, and information in securities markets (1987)Price, trade size, and inform…Expected stock returns and volatility (1987)Expected stock returns and vo…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…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Measuring the effect of investor sentiment on liquidity (2020)Measuring the effect of inves…An empirical study on the role of trading volume and data frequency in volatility forecasting (2020)An empirical study on the rol…Intraday volatility interaction between the crude oil and equity markets (2015)Intraday volatility interacti…The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility: Evidence from DAX30 (2011)The Intraday Behaviour of Bid…A Profile of Innovative Women Entrepreneurs (2009)A Profile of Innovative Women…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Econometric Analysis of Cross Section and Panel Data (2001)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 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
  • 1987Expected stock returns and volatility4,147 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited

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

1988
Liquidity and Market Structure
1,532 cited

Cited by

  • 2015Intraday volatility interaction between the crude oil and equity markets116 cited
  • 2011The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility: Evidence from DAX3041 cited
  • 2020An empirical study on the role of trading volume and data frequency in volatility forecasting35 cited
  • 2020Measuring the effect of investor sentiment on liquidity33 cited
  • 2009A Profile of Innovative Women Entrepreneurs19 cited