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Stock return volatility and information: an empirical analysis of Pacific Rim, UK and US equity markets
16 references·1 citing·30 second hop
Stock return volatility and information: an empirical analysis of Pacific Rim, UK and US equity markets (1997)Stock return volatility and information: …Modelling Financial Time Series (2007)Modelling Financial Time Seri…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…ARCH modeling in finance (1992)ARCH modeling in financeProduction-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Production-Based Asset Pricin…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…Trends and random walks in macroeconomic time series (1988)Trends and random walks in ma…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Stock Returns and Volatility: Evidence from Select Emerging Markets (2009)Stock Returns and Volatility:…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)Time Series Analysis: Forecasting and Control (1977)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Using daily stock returns (1985)Efficient Capital Markets: II (1991)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)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Econometric Analysis of Cross Section and Panel Data (2001)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)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

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 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
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1968An Empirical Evaluation of Accounting Income Numbers6,384 cited
  • 1992ARCH modeling in finance4,288 cited
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  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
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  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1991Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

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1,125 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
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    • 2009Stock Returns and Volatility: Evidence from Select Emerging Markets22 cited