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Hourly index return autocorrelation and conditional volatility in an EAR–GJR-GARCH model with generalized error distribution
16 references·1 citing·24 second hop
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this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 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
  • 1987Expected stock returns and volatility4,147 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1986Stock return variances1,813 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1990Fads, Martingales, and Market Efficiency1,596 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1988The Dependence between Hourly Prices and Trading Volume671 cited
  • 1991Speculative Dynamics486 cited

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1997
Return autocorrelation and institutional investors
388 cited

Cited by

  • 2011Towards an efficient stock market: Empirical evidence from the Indian market24 cited