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Overnight and Daytime Stock-Return Dynamites on the London Stock Exchange: The Impacts of “Big Bang” and the 1987 Stock-Market Crash
16 references·1 citing·26 second hop
Overnight and Daytime Stock-Return Dynamites on the London Stock Exchange: The Impacts of “Big Bang” and the 1987 Stock-Market Crash (1995)Overnight and Daytime Stock-Return Dynami…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…Stock Prices and Volume (1992)Stock Prices and VolumeARCH modeling in finance (1992)ARCH modeling in financeCorrelations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Informed Speculation with Imperfect Competition (1989)Informed Speculation with Imp…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Stock return variances (1986)Stock return variancesGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Week-End Effect in Common Stock Returns: The International Evidence (1985)The Week-End Effect in Common…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Overnight News and Daily Equity Trading Risk Limits (2012)Overnight News and Daily Equi…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Measuring the Information Content of Stock Trades (1991)Econometric Analysis of Cross Section and Panel Data (2001)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)Noise Trader Risk in Financial Markets (1990)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
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1986Stock return variances1,813 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 1990ARCH models as diffusion approximations943 cited

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  • 1985The Week-End Effect in Common Stock Returns: The International Evidence771 cited
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    • 2012Overnight News and Daily Equity Trading Risk Limits28 cited