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Volatility relationship between stock performance and real output
16 references·0 citing·26 second hop
Volatility relationship between stock performance and real output (2006)Volatility relationship between stock per…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Analysis of Financial Time Series (2002)Analysis of Financial Time Se…The variation of certain speculative prices (1997)The variation of certain spec…Stock market volatility and the business cycle (1996)Stock market volatility and t…The journal of financial economics (1993)The journal of financial econ…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Alternative models for conditional stock volatility (1990)Alternative models for condit…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Expected stock returns and volatility (1987)Expected stock returns and vo…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…MONEY, INCOME, AND CAUSALITY (1972)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Specification Tests in Econometrics (1978)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)
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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
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1993The journal of financial economics2,544 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 2002Analysis of Financial Time Series902 cited
  • 1996

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Stock market volatility and the business cycle
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