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Forecasting stock market volatility: Further international evidence
16 references·5 citing·29 second hop
Forecasting stock market volatility: Further international evidence (2006)Forecasting stock market volatility: Furt…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Improving GARCH volatility forecasts with regime-switching GARCH (2002)Improving GARCH volatility fo…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Emerging equity market volatility (1997)Emerging equity market volati…Stock market volatility and the business cycle (1996)Stock market volatility and t…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)ARCH MODELS: PROPERTIES, ESTI…ARCH modeling in finance (1992)ARCH modeling in financeData-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Data-Snooping Biases in Tests…Alternative models for conditional stock volatility (1990)Alternative models for condit…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…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…Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market (2022)Investor sentiment based on s…Stock trading rule discovery with double deep Q-network (2021)Stock trading rule discovery …Global equity market volatility forecasting: New evidence (2020)Global equity market volatili…Volatility clustering and event-induced volatility: Evidence from UK mergers and acquisitions (2006)Volatility clustering and eve…Stock returns and volatility: empirical evidence from fourteen countries (2005)Stock returns and volatility:…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Stock Prices and Volume (1992)Intraday periodicity and volatility persistence in financial markets (1997)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Econometric Analysis of Cross Section and Panel Data (2001)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)
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References

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 1997Emerging equity market volatility1,703 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models1,121 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited
  • 1996Stock market volatility and the business cycle

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779 cited
  • 2002Improving GARCH volatility forecasts with regime-switching GARCH487 cited
  • Cited by

    • 2021Stock trading rule discovery with double deep Q-network48 cited
    • 2020Global equity market volatility forecasting: New evidence39 cited
    • 2022Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market37 cited
    • 2005Stock returns and volatility: empirical evidence from fourteen countries28 cited
    • 2006Volatility clustering and event-induced volatility: Evidence from UK mergers and acquisitions24 cited