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Modeling Stock Market Returns
14 references·12 citing·39 second hop
Modeling Stock Market Returns (2000)Modeling Stock Market ReturnsSources of risk and expected returns in global equity markets (1994)Sources of risk and expected …The performance of international asset allocation strategies using conditioning information (1993)The performance of internatio…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Intrinsic Bubbles: The Case of Stock Prices (1989)Intrinsic Bubbles: The Case o…Explaining the Variance of Price Dividend Ratios (1989)Explaining the Variance of Pr…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…COINTEGRATION AND ERROR CORRECTION: REPRESENTATION (1987)COINTEGRATION AND ERROR CORRE…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…The Present-Value Relation: Tests Based on Implied Variance Bounds (1981)The Present-Value Relation: T…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…Does interest rate and its volatility affect banking sector development? Empirical evidence from emerging market economies (2021)Does interest rate and its vo…Spillover Effects of US Monetary Policy on Banking Development: Evidence from the Asian Region (2019)Spillover Effects of US Monet…ASYMMETRY IN THE STOCK PRICE RESPONSE TO MACROECONOMIC SHOCKS: EVIDENCE FROM THE KOREAN MARKET (2018)ASYMMETRY IN THE STOCK PRICE …Dynamic impact of interest rate volatility and spillover effect of the U.S. interest rate on banking sector development of Turkey: empirical evidence from cointegration and causality analysis (2017)Dynamic impact of interest ra…Frequency Domain Causality Analysis of Interactions between Financial Markets of Turkey (2015)Frequency Domain Causality An…Long-run relations among equity indices under different market conditions: Implications on the implementation of statistical arbitrage strategies (2010)Long-run relations among equi…The fed model: The bad, the worse, and the ugly (2007)The fed model: The bad, the w…Extending Black-Litterman Analysis Beyond the Mean-Variance Framework (2007)Extending Black-Litterman Ana…An International Analysis of Earnings, Stock Prices and Bond Yields (2007)An International Analysis of …Equity Prices, Productivity Growth and ‘The New Economy’ (2006)Equity Prices, Productivity G…Tactical Style Allocation—A New Form of Market Neutral Strategy (2003)Tactical Style Allocation—A N…Does Monetary Policy Affect Stock Prices and Treasury Yields? An Error Correction and Simultaneous Equation Approach (2003)Does Monetary Policy Affect S…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)Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Asset Prices in an Exchange Economy (1978)Efficient Capital Markets: II (1991)Mental Accounting, Loss Aversion, and Individual Stock Returns (2001)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Tourism as a long-run economic growth factor: the Spanish case (2002)Testing for Error Correction in Panel Data* (2007)Do Natural Resources Fuel Authoritarianism? A Reappraisal of the Resource Curse (2011)Bounds testing approaches to the analysis of level relationships (2001)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1981The Present-Value Relation: Tests Based on Implied Variance Bounds1,364 cited
  • 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION1,262 cited
  • 1989Intrinsic Bubbles: The Case of Stock Prices388 cited
  • 1994Sources of risk and expected returns in global equity markets331 cited
  • 1993The performance of international asset allocation strategies using conditioning information202 cited
  • 1989Explaining the Variance of Price Dividend Ratios65 cited

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Extending Black-Litterman Analysis Beyond the Mean-Variance Framework
60 cited
  • 2006Equity Prices, Productivity Growth and ‘The New Economy’51 cited
  • 2007The fed model: The bad, the worse, and the ugly42 cited
  • 2015Frequency Domain Causality Analysis of Interactions between Financial Markets of Turkey34 cited
  • 2007An International Analysis of Earnings, Stock Prices and Bond Yields32 cited
  • 2010Long-run relations among equity indices under different market conditions: Implications on the implementation of statistical arbitrage strategies21 cited
  • 2021Does interest rate and its volatility affect banking sector development? Empirical evidence from emerging market economies19 cited
  • 2003Tactical Style Allocation—A New Form of Market Neutral Strategy19 cited
  • 2018ASYMMETRY IN THE STOCK PRICE RESPONSE TO MACROECONOMIC SHOCKS: EVIDENCE FROM THE KOREAN MARKET19 cited
  • 2003Does Monetary Policy Affect Stock Prices and Treasury Yields? An Error Correction and Simultaneous Equation Approach14 cited
  • 2017Dynamic impact of interest rate volatility and spillover effect of the U.S. interest rate on banking sector development of Turkey: empirical evidence from cointegration and causality analysis12 cited
  • 2019Spillover Effects of US Monetary Policy on Banking Development: Evidence from the Asian Region11 cited