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Skewness in the conditional distribution of daily equity returns
16 references·3 citing·29 second hop
Skewness in the conditional distribution of daily equity returns (2004)Skewness in the conditional distribution …RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentReview of Economic Studies (2010)Review of Economic StudiesThe Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…The variation of certain speculative prices (1997)The variation of certain spec…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Message in Daily Exchange Rates: A Conditional-Variance Tale (1989)The Message in Daily Exchange…Modeling Heteroscedasticity in Daily Foreign-Exchange Rates (1989)Modeling Heteroscedasticity i…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…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Studies of stock market volatility changes (1976)Studies of stock market volat…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 frequency of regime switching in financial market volatility (2015)The frequency of regime switc…Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions (2007)Forecasting volatility in the…An analysis of skewness and skewness persistence in three emerging markets (2005)An analysis of skewness and s…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)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)ARCH modeling in finance (1992)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)Multivariate Simultaneous Generalized ARCH (1995)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)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)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Why is There so Little Money in U.S. Politics? (2003)Belief in a Just World and Redistributive Politics (2006)
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References

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  • 1989

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Modeling Heteroscedasticity in Daily Foreign-Exchange Rates
505 cited

Cited by

  • 2007Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions35 cited
  • 2005An analysis of skewness and skewness persistence in three emerging markets28 cited
  • 2015The frequency of regime switching in financial market volatility27 cited