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Breaks and persistency: macroeconomic causes of stock market volatility
16 references·16 citing·41 second hopsampled
Breaks and persistency: macroeconomic causes of stock market volatility (2005)Breaks and persistency: macroeconomic cau…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Stock return variances (1986)Stock return variancesTHE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…The economic drivers of commodity market volatility (2019)The economic drivers of commo…The impact of institutional volatility on financial volatility in transition economies (2017)The impact of institutional v…Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model (2017)Oil price volatility and macr…Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model (2015)Long memory and regime switch…True or spurious long memory in volatility: Further evidence on the energy futures markets (2014)True or spurious long memory …The Tunisian stock market index volatility: Long memory vs. switching regime (2013)The Tunisian stock market ind…Co-integration and causality analysis between stock market prices and their determinates in Jordan (2013)Co-integration and causality …A SINGLE COMPOSITE FINANCIAL STRESS INDICATOR AND ITS REAL IMPACT IN THE EURO AREA (2013)A SINGLE COMPOSITE FINANCIAL …Modeling volatility with time-varying FIGARCH models (2011)Modeling volatility with time…MACROECONOMIC UNCERTAINTY AND CONDITIONAL STOCK MARKET VOLATILITY IN SOUTH AFRICA* (2011)MACROECONOMIC UNCERTAINTY AND…Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study (2010)Multivariate fractionally int…Structural Breaks in Financial Time Series (2009)Structural Breaks in Financia…On the macroeconomic causes of exchange rate volatility (2009)On the macroeconomic causes o…Macroeconomic determinants of Malaysian stock market (2009)Macroeconomic determinants of…Multivariate modelling of long memory processes with common components (2007)Multivariate modelling of lon…Comovements in international stock markets (2006)Comovements in international …Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Behavior of Stock-Market Prices (1965)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)ARCH modeling in finance (1992)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Staggered Prices in a Utility-Maximizing Framework (1996)Inflation dynamics: A structural econometric analysis (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)The Econometrics of Financial Markets (2012)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited

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  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1986Stock return variances1,813 cited
  • Cited by

    • 2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model208 cited
    • 2006Comovements in international stock markets158 cited
    • 2009Macroeconomic determinants of Malaysian stock market138 cited
    • 2019The economic drivers of commodity market volatility118 cited
    • 2011MACROECONOMIC UNCERTAINTY AND CONDITIONAL STOCK MARKET VOLATILITY IN SOUTH AFRICA*112 cited
    • 2009Structural Breaks in Financial Time Series92 cited
    • 2013Co-integration and causality analysis between stock market prices and their determinates in Jordan74 cited
    • 2010Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study71 cited
    • 2015Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model66 cited
    • 2014True or spurious long memory in volatility: Further evidence on the energy futures markets61 cited
    • 2009On the macroeconomic causes of exchange rate volatility54 cited
    • 2017The impact of institutional volatility on financial volatility in transition economies51 cited
    • 2007Multivariate modelling of long memory processes with common components38 cited
    • 2011Modeling volatility with time-varying FIGARCH models37 cited
    • 2013A SINGLE COMPOSITE FINANCIAL STRESS INDICATOR AND ITS REAL IMPACT IN THE EURO AREA35 cited
    • 2013The Tunisian stock market index volatility: Long memory vs. switching regime33 cited