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The impact of crisis events on the stock returns volatility of international airlines
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The impact of crisis events on the stock returns volatility of international airlines (2011)The impact of crisis events on the stock …The impact of crisis events and macroeconomic activity on Taiwan's international inbound tourism demand (2008)The impact of crisis events a…An examination of factors influencing airline beta values (2005)An examination of factors inf…Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms (2004)Time-varying beta and the Asi…Terrorism-induced structural shifts in financial risk: airline stocks in the aftermath of the September 11th terror attacks (2004)Terrorism-induced structural …Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis (2002)Dynamic Effects of Currency D…U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach (2000)U.S. Banking Sector Risk in a…Comparisons of tests for multivariate cointegration (1992)Comparisons of tests for mult…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…MARKET INCENTIVES FOR SAFE COMMERCIAL AIRLINE OPERATION (1988)MARKET INCENTIVES FOR SAFE CO…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…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Mayday! 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Prediction-Oriented Modeling to Enhance the Particular Importance of a Social and Sustainable Approach (2019)Service Quality and Customer …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Stock prices and exchange rate dynamics (2005)Economic growth and energy consumption revisited — Evidence from linear and nonlinear Granger causality (2008)Energy consumption and economic growth: New insights into the cointegration relationship (2011)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Stock market volatility and the information content of stock index options (1992)Stock prices and the Wall Street weather (1993)Asymmetric volatility transmission in international stock markets (1995)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The political economy of terrorism (2006)CALCULATING TRAGEDY: ASSESSING THE COSTS OF TERRORISM (2007)The Political Economy of Terrorism (2011)Bounds testing approaches to the analysis of level relationships (2001)Assessing the Impacts of the Global Economic Crisis and Swine Flu on Inbound Tourism Demand in the United Kingdom (2011)Spatial effects in regional tourism growth (2014)Testing the efficacy of the economic policy uncertainty index on tourism demand in USMCA: Theory and evidence (2019)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Meteor Showers or Heat Waves? 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References

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  • 2004Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms59 cited
  • 2002Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis28 cited
  • 2000U.S. Banking Sector Risk in an Era of Regulatory Change: A Bivariate GARCH Approach

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27 cited
  • 2005An examination of factors influencing airline beta values25 cited
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    • 2021Analyzing airlines stock price volatility during COVID ‐19 pandemic through internet search data23 cited
    • 2023Mayday! Mayday! The airlines stock returns are failing. Analysis of the impact of Russia–Ukraine war23 cited
    • 2019Service Quality and Customer Loyalty in a Post-Crisis Context. Prediction-Oriented Modeling to Enhance the Particular Importance of a Social and Sustainable Approach21 cited