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Emerging Equity Market Volatility
16 references·6 citing·25 second hop
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1977Asset returns and inflation2,701 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

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2,419 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • Cited by

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    • 2012Modeling Asymmetric Volatility in the Nigerian Stock Exchange30 cited
    • 2010Modelling the time‐varying volatility of equities returns in Kenya25 cited
    • 2013Accounting Information and Stock Volatility in the Nigerian Capital Market: A Garch Analysis Approach24 cited
    • 2019Twenty Years of the Journal of African Business: A Bibliometric Analysis18 cited