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ArticleStock market volatility and regime shifts in returns

Chia-Shang James Chu1996

Article1996

Stock market volatility and regime shifts in returns

Chia-Shang James Chu · Gary J. Santoni · Tung Liu

54 citations·0/0 files stored·Information Sciences

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1952Portfolio Selection 1997The variation of certain speculative prices 1989Why Does Stock Market Volatility Change Over Time?

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2005Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: The case of GCC countries 2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling 2011Time variation of CAPM betas across market volatility regimes 2007Adaptive signal processing of asset price dynamics with predictability analysis

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Year1996

Typearticle

Published1996-10-01

VenueInformation Sciences

ISSN-L0020-0255

Languageen

Citations54

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/0020-0255(96)00117-x

openalex_workW1968212634

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