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A TARCH examination of the return volatility–volume relationship in electricity futures
16 references·3 citing·33 second hop
A TARCH examination of the return volatility–volume relationship in electricity futures (2006)A TARCH examination of the return volatil…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets (2002)Equilibrium Pricing and Optim…Measuring Duopoly Power in the British Electricity Spot Market (1999)Measuring Duopoly Power in th…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Market Statistics and Technical Analysis: The Role of Volume (1994)Market Statistics and Technic…A Model of Competitive Stock Trading Volume (1994)A Model of Competitive Stock …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)A Model of Intertemporal Asse…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models (1991)Quadrature-Based Methods for …Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The relationship between trading activity and stock market volatility: Does the volume threshold matter? (2019)The relationship between trad…CSCL chats' analysis using time series (2014)CSCL chats' analysis using ti…Volatility and Volume Effects in European Electricity Spot Markets (2010)Volatility and Volume Effects…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Emerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Behavior of Stock-Market Prices (1965)Chapter 49 Arch models (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Idiosyncratic Risk Matters! (2003)The Pricing of Options and Corporate Liabilities (1973)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)The Information Content of Annual Earnings Announcements (1968)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)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)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Trading Volume and Serial Correlation in Stock Returns (1993)Bayesian Analysis of Stochastic Volatility Models (2002)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1994Market Statistics and Technical Analysis: The Role of Volume1,105 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 1991Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models926 cited
  • 1994A Model of Competitive Stock Trading Volume913 cited
  • 1999Measuring Duopoly Power in the British Electricity Spot Market744 cited

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  • 2002Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets726 cited
  • 1993A Model of Intertemporal Asset Prices Under Asymmetric Information714 cited
  • Cited by

    • 2010Volatility and Volume Effects in European Electricity Spot Markets30 cited
    • 2019The relationship between trading activity and stock market volatility: Does the volume threshold matter?29 cited
    • 2014CSCL chats' analysis using time series0 cited