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The asymmetric behaviour of stock returns and volatilities: evidence from Chinese stock market
6 references·1 citing·20 second hop
The asymmetric behaviour of stock returns and volatilities: evidence from Chinese stock market (2008)The asymmetric behaviour of stock returns…Stock returns, seasonality and asymmetric conditional volatility in world equity markets (2001)Stock returns, seasonality an…Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets (1998)Asymmetries in the Conditiona…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market (2013)Conditional heteroscedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Limited-dependent and qualitative variables in econometrics (1983)Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction (2001)Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model (2003)Does corporate social responsibility affect cost of capital in China? (2019)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Periodic Stochastic Volatility and Fat Tails (2005)Seasonality in the Asia Pacific stock markets (2005)The day-of-the-week effects on the volatility: The role of the asymmetry (2009)Econometric Analysis of Cross Section and Panel Data (2001)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric volatility transmission in international stock markets (1995)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)What good is a volatility model? (2001)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 1998Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets135 cited
  • 2001Stock returns, seasonality and asymmetric conditional volatility in world equity markets67 cited

Cited by

  • 2013Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market20 cited

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