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LITHUANIAN STOCK MARKET ANALYSIS USING A SET OF GARCH MODELS
16 references·3 citing·28 second hop
LITHUANIAN STOCK MARKET ANALYSIS USING A SET OF GARCH MODELS (2009)LITHUANIAN STOCK MARKET ANALYSIS USING A …Market Models: A Guide to Financial Data Analysis (2001)Market Models: A Guide to Fin…The variation of certain speculative prices (1997)The variation of certain spec…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Prices and Economic News (1985)Stock Prices and Economic NewsStock Prices and Economic News (1984)Stock Prices and Economic NewsThe Fiscal and Monetary Linkage Between Stock Returns and Inflation (1983)The Fiscal and Monetary Linka…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Inflation, Rational Valuation and the Market (1979)Inflation, Rational Valuation…Asset returns and inflation (1977)Asset returns and inflationCOMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)COMMON STOCKS AS A HEDGE AGAI…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…KREDİ TEMERRÜT TAKASLARI VE BİST-100 ARASINDAKİ İLİŞKİNİN İNCELENMESİ (2014)KREDİ TEMERRÜT TAKASLARI VE B…TIME‐VARYING VOLATILITY MODELLING OF BALTIC STOCK MARKETS (2010)TIME‐VARYING VOLATILITY MODEL…THE CONSOLIDATED MEASUREMENT OF THE FINANCIAL MARKETS DEVELOPMENT: THE CASE OF TRANSITIONAL ECONOMIES / KONSOLIDUOTAS FINANSŲ RINKŲ IŠSIVYSTYMO VERTINIMAS: PEREINAMŲJŲ EKONOMIKŲ ATVEJIS (2010)THE CONSOLIDATED MEASUREMENT …Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Stock Returns and the Term Structure (1985)Stock Returns, Expected Returns, and Real Activity (1990)Oil price shocks and stock market activity (1999)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1977Asset returns and inflation2,701 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1983The Fiscal and Monetary Linkage Between Stock Returns and Inflation978 cited
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  • 1976COMMON STOCKS AS A HEDGE AGAINST INFLATION697 cited
  • 2001Market Models: A Guide to Financial Data Analysis493 cited
  • 1985Stock Prices and Economic News420 cited
  • 1984

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Stock Prices and Economic News
380 cited

Cited by

  • 2010TIME‐VARYING VOLATILITY MODELLING OF BALTIC STOCK MARKETS36 cited
  • 2014KREDİ TEMERRÜT TAKASLARI VE BİST-100 ARASINDAKİ İLİŞKİNİN İNCELENMESİ28 cited
  • 2010THE CONSOLIDATED MEASUREMENT OF THE FINANCIAL MARKETS DEVELOPMENT: THE CASE OF TRANSITIONAL ECONOMIES / KONSOLIDUOTAS FINANSŲ RINKŲ IŠSIVYSTYMO VERTINIMAS: PEREINAMŲJŲ EKONOMIKŲ ATVEJIS27 cited