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A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America
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A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America (2007)A switching ARCH (SWARCH) model of stock …State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications (2000)State-Space Models with Regim…State-Space Models with Regime Switching (1999)State-Space Models with Regim…The variation of certain speculative prices (1997)The variation of certain spec…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…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…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 …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)International Asset Allocation With Regime Shifts (2002)
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  • 1989Stock Volatility and the Crash of '87

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1,045 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
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