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Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange
16 references·0 citing·22 second hop
Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange (2005)Dynamic volatility and external security …The effects of terrorism on global capital markets (2004)The effects of terrorism on g…Stock market linkages: Evidence from Latin America (2002)Stock market linkages: Eviden…Emerging equity market volatility (1997)Emerging equity market volati…Quadratic ARCH Models (1995)Quadratic ARCH ModelsThreshold heteroskedastic models (1994)Threshold heteroskedastic mod…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Threshold arch models and asymmetries in volatility (1993)Threshold arch models and asy…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…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …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: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)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)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)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 surveyAsymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)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

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  • 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
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 1995Quadratic ARCH Models559 cited
  • 2004The effects of terrorism on global capital markets532 cited
  • 1993Threshold arch models and asymmetries in volatility492 cited

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  • 2002Stock market linkages: Evidence from Latin America421 cited
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