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Volatility clustering and nontrading days in Chinese stock markets
16 references·6 citing·25 second hop
Volatility clustering and nontrading days in Chinese stock markets (2002)Volatility clustering and nontrading days…An empirical investigation of underpricing in Chinese IPOs (1999)An empirical investigation of…Underpricing and aftermarket performance of IPOs in Shanghai, China (1998)Underpricing and aftermarket …Price Limit Performance: Evidence from the Tokyo Stock Exchange (1997)Price Limit Performance: Evid…The econometrics of financial markets (1996)The econometrics of financial…All in the family Nesting symmetric and asymmetric GARCH models (1995)All in the family Nesting sym…Risk and return on China's new stock markets: Some preliminary evidence (1994)Risk and return on China's ne…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Expected stock returns and volatility (1987)Expected stock returns and vo…Stock return variances (1986)Stock return variancesGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Volatility modeling and the asymmetric effect for China’s carbon trading pilot market (2019)Volatility modeling and the a…Forecasting Tehran stock exchange volatility; Markov switching GARCH approach (2015)Forecasting Tehran stock exch…Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach (2012)Asymmetry effects of shocks i…Asymmetric herding as a source of asymmetric return volatility (2011)Asymmetric herding as a sourc…Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches (2006)Further critique of GARCH/ARM…Return and risk interactions in Chinese stock markets (2004)Return and risk interactions …The Behavior of Stock-Market Prices (1965)Stock returns and the weekend effect (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Do Brokerage Analysts' Recommendations Have Investment Value? (1996)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)Statistical analysis of cointegration vectors (1988)Scaling of the distribution of fluctuations of financial market indices (1999)Statistical properties of the volatility of price fluctuations (1999)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Asymmetric volatility transmission in international stock markets (1995)Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)What good is a volatility model? (2001)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 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
  • 1987Expected stock returns and volatility4,147 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1986Stock return variances1,813 cited
  • 1996The econometrics of financial markets886 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 1995All in the family Nesting symmetric and asymmetric GARCH models723 cited
  • 1992Inequality Constraints in the Univariate GARCH Model611 cited
  • 1997Price Limit Performance: Evidence from the Tokyo Stock Exchange377 cited
  • 1998Underpricing and aftermarket performance of IPOs in Shanghai, China250 cited
  • 1999An empirical investigation of underpricing in Chinese IPOs242 cited

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1994
Risk and return on China's new stock markets: Some preliminary evidence
225 cited

Cited by

  • 2015Forecasting Tehran stock exchange volatility; Markov switching GARCH approach47 cited
  • 2006Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches47 cited
  • 2011Asymmetric herding as a source of asymmetric return volatility45 cited
  • 2019Volatility modeling and the asymmetric effect for China’s carbon trading pilot market33 cited
  • 2004Return and risk interactions in Chinese stock markets27 cited
  • 2012Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach25 cited