SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stock return process and expected depreciation over the Asian financial crisis
12 references·1 citing·39 second hop
Stock return process and expected depreciation over the Asian financial crisis (2001)Stock return process and expected depreci…Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis (2002)Currency Depreciation and Kor…THE CAUSES OF VOLATILITY IN A SMALL, INTERNATIONALLY INTEGRATED STOCK MARKET: IRELAND, JULY 1975–JUNE 1994 (1998)THE CAUSES OF VOLATILITY IN A…An Empirical Study of Volatility in Seven Southeast Asian Stock Markets Using ARV Models (1997)An Empirical Study of Volatil…The weak-form efficiency of the Taiwan share market (1996)The weak-form efficiency of t…Macrofactor Conditional Volatilities, Time‐Varying Risk Premia and Stock Return Behavior (1996)Macrofactor Conditional Volat…DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL (1995)DYNAMIC RELATIONS BETWEEN MAC…ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)ARCH MODELS: PROPERTIES, ESTI…ARCH modeling in finance (1992)ARCH modeling in financeEstimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (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…Student- t distribution based VAR-MGARCH: an application of the DCC model on international portfolio risk management (2008)Student- t distribution based…The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK (1992)Stock Return Volatility and Market Crisis In Emerging Economies (2004)International financial integration in Asian bond markets (2008)A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)A Theory of the Term Structure of Interest Rates (1985)Volatility in stocks subject to takeover bids: Australian evidence using daily data (2001)Relationship Between Conditional Volatility of Domestic Macroeconomic Factors and Conditional Stock Market Volatility: Some Further Evidence from India (2014)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A vector error correction model of the Singapore stock market (2000)Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries (2002)Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Statistical aspects of ARCH and stochastic volatility (1996)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)New frontiers for arch models (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Tests of weak form efficiency in the Middle East emerging markets (2006)An empirical analysis of calendar anomalies in the Malaysian stock market (2009)Market efficiency in emerging stock markets: A case study of the Vietnamese stock market (2014)Econometric Analysis of Cross Section and Panel Data (2001)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited
  • 1995DYNAMIC RELATIONS BETWEEN MACROECONOMIC VARIABLES AND THE JAPANESE STOCK MARKET: AN APPLICATION OF A VECTOR ERROR CORRECTION MODEL685 cited
  • 1998THE CAUSES OF VOLATILITY IN A SMALL, INTERNATIONALLY INTEGRATED STOCK MARKET: IRELAND, JULY 1975–JUNE 199460 cited
  • 1996The weak-form efficiency of the Taiwan share market47 cited
  • 1996Macrofactor Conditional Volatilities, Time‐Varying Risk Premia and Stock Return Behavior47 cited
  • 2002Currency Depreciation and Korean Stock Market Performance during the Asian Financial Crisis31 cited
  • 1997An Empirical Study of Volatility in Seven Southeast Asian Stock Markets Using ARV Models30 cited

Cited by

  • 2008Student- t distribution based VAR-MGARCH: an application of the DCC model on international portfolio risk management22 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work