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Event-related GARCH: the impact of stock dividends in Turkey
15 references·6 citing·41 second hop
Event-related GARCH: the impact of stock dividends in Turkey (2003)Event-related GARCH: the impact of stock …RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentThe Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Tick Size, Share Prices, and Stock Splits (1997)Tick Size, Share Prices, and …Stock returns and volatility in emerging financial markets (1997)Stock returns and volatility …Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)Minimum Price Variations, Dis…Event-study methodology under conditions of event-induced variance (1991)Event-study methodology under…Stock Splits, Volatility Increases, and Implied Volatilities (1989)Stock Splits, Volatility Incr…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…Stock Splits and Stock Dividends: Why, Who, and When (1987)Stock Splits and Stock Divide…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Volatility increases subsequent to stock splits: An empirical aberration (1985)Volatility increases subseque…Using daily stock returns (1985)Using daily stock returnsThe valuation effects of stock splits and stock dividends (1984)The valuation effects of stoc…Management's View of Stock Splits (1980)Management's View of Stock Sp…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…Stock dividend puzzles in China (2011)Stock dividend puzzles in Chi…Estimation of a microfounded herding model on German survey expectations (2007)Estimation of a microfounded …Statistical mechanics of socio-economic systems with heterogeneous agents (2006)Statistical mechanics of soci…Pricing multivariate currency options with copulas (2006)Pricing multivariate currency…Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches (2006)Further critique of GARCH/ARM…Properties of realized variance for a pure jump process: calendar time sampling versus business time sampling (2004)Properties of realized varian…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Privatization, political risk and stock market development in emerging economies (2001)Research in emerging markets finance: looking to the future (2002)The risk return tradeoff in the long run: 1836–2003 (2007)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)Measuring security price performance (1980)The Event Study Methodology Since 1969 (1998)Event Study Testing with Cross-sectional Correlation of Abnormal Returns (2010)Testing Asymmetric-Information Asset Pricing Models (2012)Dividend Policy, Growth, and the Valuation of Shares (1961)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)An Empirical Evaluation of Accounting Income Numbers (1968)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Continuous Auctions and Insider Trading (1985)Price, trade size, and information in securities markets (1987)Estimating the components of the bid/ask spread (1988)Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Corporate Governance and Liquidity (2010)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Job Market Signaling (1973)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)Stock Prices and the Supply of Information (1991)What Do Stock Splits Really Signal? (1996)Sensitivity analysis of Values at Risk (2000)Modeling and forecasting petroleum futures volatility (2006)Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1985Using daily stock returns6,497 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1991Event-study methodology under conditions of event-induced variance1,777 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 2015RiskMetrics Technical Document661 cited
  • 1984The valuation effects of stock splits and stock dividends629 cited
  • 1994Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes603 cited
  • 1997Stock returns and volatility in emerging financial markets465 cited
  • 1987Stock Splits and Stock Dividends: Why, Who, and When457 cited
  • 1997Tick Size, Share Prices, and Stock Splits387 cited
  • 1985Volatility increases subsequent to stock splits: An empirical aberration255 cited
  • 1980Management's View of Stock Splits213 cited
  • 1989Stock Splits, Volatility Increases, and Implied Volatilities81 cited

Cited by

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2006
Statistical mechanics of socio-economic systems with heterogeneous agents
68 cited
  • 2006Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches47 cited
  • 2004Properties of realized variance for a pure jump process: calendar time sampling versus business time sampling43 cited
  • 2006Pricing multivariate currency options with copulas41 cited
  • 2007Estimation of a microfounded herding model on German survey expectations20 cited
  • 2011Stock dividend puzzles in China20 cited