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The Impact of Catastrophes on Insurer Stock Volatility
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The Impact of Catastrophes on Insurer Stock Volatility (2012)The Impact of Catastrophes on Insurer Sto…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Multivariate GARCH Models (2009)Multivariate GARCH ModelsAnalysis of Financial Time Series (2005)Analysis of Financial Time Se…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…The Market for Catastrophe Risk: A Clinical Examination (1999)The Market for Catastrophe Ri…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Event-study methodology under conditions of event-induced variance (1991)Event-study methodology under…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…R2 (1988)R2Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Multivariate GARCH models: a surveyMultivariate GARCH models: a …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Measuring security price performance (1980)Using daily stock returns (1985)The Event Study Methodology Since 1969 (1998)The Adjustment of Stock Prices to New Information (2003)Event Study Testing with Cross-sectional Correlation of Abnormal Returns (2010)Testing Asymmetric-Information Asset Pricing Models (2012)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Econophysics review: I. Empirical facts (2011)The impact of the Russian-Ukrainian war on global financial markets (2023)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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References

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  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2002Dynamic Conditional Correlation7,126 cited
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  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1991Event-study methodology under conditions of event-induced variance1,777 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
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  • 1999The Market for Catastrophe Risk: A Clinical Examination519 cited
  • 2009Multivariate GARCH Models

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