SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Strong approximation for the sums of squares of augmented GARCH sequences
16 references·7 citing·22 second hop
Strong approximation for the sums of squares of augmented GARCH sequences (2006)Strong approximation for the sums of squa…A Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Limit theorems in change-point analysis (1997)Limit theorems in change-poin…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…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…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Stationarity of Garch processes and of some nonnegative time series (1992)Stationarity of Garch process…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…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…On the use of estimating functions in monitoring time series for change points (2015)On the use of estimating func…Page's sequential procedure for change-point detection in time series regression (2014)Page's sequential procedure f…Asymptotic distribution of the delay time in page's sequential procedure (2013)Asymptotic distribution of th…On the reaction time of moving sum detectors (2012)On the reaction time of movin…On the Performance of the Fluctuation Test for Structural Change (2008)On the Performance of the Flu…Augmented GARCH sequences: Dependence structure and asymptotics (2008)Augmented GARCH sequences: De…Monitoring shifts in mean: Asymptotic normality of stopping times (2007)Monitoring shifts in mean: As…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)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)
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
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
  • 1997Limit theorems in change-point analysis1,004 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited

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

  • 1992Stationarity of Garch processes and of some nonnegative time series567 cited
  • Cited by

    • 2008Augmented GARCH sequences: Dependence structure and asymptotics70 cited
    • 2014Page's sequential procedure for change-point detection in time series regression36 cited
    • 2015On the use of estimating functions in monitoring time series for change points33 cited
    • 2007Monitoring shifts in mean: Asymptotic normality of stopping times26 cited
    • 2008On the Performance of the Fluctuation Test for Structural Change23 cited
    • 2013Asymptotic distribution of the delay time in page's sequential procedure22 cited
    • 2012On the reaction time of moving sum detectors19 cited