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Heteroscedasticity in stock returns data revisited: volume versus GARCH effects
16 references·11 citing·36 second hop
Heteroscedasticity in stock returns data revisited: volume versus GARCH effects (2000)Heteroscedasticity in stock returns data …Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Large shocks, small shocks, and economic fluctuations: Outliers in macroeconomic time series (1994)Large shocks, small shocks, a…Endogenous Trading Volume and Momentum in Stock-Return Volatility (1994)Endogenous Trading Volume and…Stock Prices and Volume (1992)Stock Prices and VolumeARCH modeling in finance (1992)ARCH modeling in financeHeteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…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…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…Estimating Continuous-Time Processes Subject to Time Deformation: An Application to Postwar U.S. GNP (1988)Estimating Continuous-Time Pr…Estimating Continuous-Time Processes Subject to Time Deformation (1988)Estimating Continuous-Time Pr…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Measuring Business Cycle Time (1987)Measuring Business Cycle TimeGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)DIAGNOSTIC CHECKING ARMA TIME…Stock Market Prices and Volumes of Sales (1966)Stock Market Prices and Volum…Building News Measures from Textual Data and an Application to Volatility Forecasting (2017)Building News Measures from T…Do trading volumes explain the persistence of GARCH effects? (2012)Do trading volumes explain th…Volatility persistence and trading volume in an emerging futures market (2010)Volatility persistence and tr…The Empirical Investigation of Relationship between Return, Volume and Volatility Dynamics in Indian Stock Market (2009)The Empirical Investigation o…On the relationship between trading volume and stock price volatility in CASE (2009)On the relationship between t…The Empirical Relationship Between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market (2008)The Empirical Relationship Be…Price and volume dynamics in second-hand dry bulk and tanker shipping markets (2006)Price and volume dynamics in …Surprise volume and heteroskedasticity in equity market returns (2005)Surprise volume and heteroske…Stock return volatility and trading volume: evidence from the chinese stock market (2005)Stock return volatility and t…Does volume provide information? 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this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS1,124 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 1966Stock Market Prices and Volumes of Sales266 cited
  • 1994Endogenous Trading Volume and Momentum in Stock-Return Volatility222 cited
  • 1994Large shocks, small shocks, and economic fluctuations: Outliers in macroeconomic time series187 cited
  • 1988Estimating Continuous-Time Processes Subject to Time Deformation129 cited
  • 1987Measuring Business Cycle Time127 cited

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  • 1988Estimating Continuous-Time Processes Subject to Time Deformation: An Application to Postwar U.S. GNP63 cited
  • Cited by

    • 2005Surprise volume and heteroskedasticity in equity market returns50 cited
    • 2008The Empirical Relationship Between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market43 cited
    • 2006Price and volume dynamics in second-hand dry bulk and tanker shipping markets40 cited
    • 2017Building News Measures from Textual Data and an Application to Volatility Forecasting39 cited
    • 2009On the relationship between trading volume and stock price volatility in CASE38 cited
    • 2005Stock return volatility and trading volume: evidence from the chinese stock market38 cited
    • 2005Asymmetric responses of international stock markets to trading volume33 cited
    • 2009The Empirical Investigation of Relationship between Return, Volume and Volatility Dynamics in Indian Stock Market32 cited
    • 2010Volatility persistence and trading volume in an emerging futures market29 cited
    • 2012Do trading volumes explain the persistence of GARCH effects?29 cited
    • 2005Does volume provide information? Evidence from the Irish Stock Market29 cited