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The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility
16 references·6 citing·37 second hop
The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility (2012)The bivariate GARCH approach to investiga…Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Investigating Causal Relation…Market Timing and Capital Structure (2002)Market Timing and Capital Str…Learning to Be Overconfident (2001)Learning to Be OverconfidentOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Trading volume and realized volatility forecasting: Evidence from the China stock market (2022)Trading volume and realized v…Stock returns, trading volume, and volatility: The case of African stock markets (2022)Stock returns, trading volume…Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries (2020)Fundamental and behavioural d…The relationship between trading activity and stock market volatility: Does the volume threshold matter? 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this work references cited by second hop

References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 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
  • 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods4,760 cited
  • 2002Market Timing and Capital Structure3,804 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation

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2,197 cited
  • 2001Learning to Be Overconfident1,664 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • Cited by

    • 2022Trading volume and realized volatility forecasting: Evidence from the China stock market78 cited
    • 2020Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries71 cited
    • 2019Is Market Liquidity Less Resilient after the Financial Crisis? Evidence for US Treasuries53 cited
    • 2022Stock returns, trading volume, and volatility: The case of African stock markets41 cited
    • 2016Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression36 cited
    • 2019The relationship between trading activity and stock market volatility: Does the volume threshold matter?29 cited