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Stock market volatility and regime shifts in returns
16 references·5 citing·30 second hop
Stock market volatility and regime shifts in returns (1996)Stock market volatility and regime shifts…The variation of certain speculative prices (1997)The variation of certain spec…Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp (1992)The likelihood ratio test und…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…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market (1989)A Markov Model of Heteroskeda…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…On estimating the expected return on the market (1980)On estimating the expected re…RISK AND THE REQUIRED RETURN ON EQUITY (1967)RISK AND THE REQUIRED RETURN …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Portfolio Selection (1952)Portfolio SelectionSkewed non-Gaussian GARCH models for cryptocurrencies volatility modelling (2020)Skewed non-Gaussian GARCH mod…Time variation of CAPM betas across market volatility regimes (2011)Time variation of CAPM betas …Parameter estimation of an asset price model driven by a weak hidden Markov chain (2010)Parameter estimation of an as…Adaptive signal processing of asset price dynamics with predictability analysis (2007)Adaptive signal processing of…Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: The case of GCC countries (2005)Characteristics of permanent …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)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)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)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)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 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
  • 1952Portfolio Selection4,609 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited
  • 1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market647 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP

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645 cited
  • 1992The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp623 cited
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    • 2005Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: The case of GCC countries91 cited
    • 2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling52 cited
    • 2011Time variation of CAPM betas across market volatility regimes39 cited
    • 2007Adaptive signal processing of asset price dynamics with predictability analysis33 cited
    • 2010Parameter estimation of an asset price model driven by a weak hidden Markov chain23 cited