SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stock returns and volatility: empirical evidence from fourteen countries
15 references·3 citing·30 second hopsampled
Stock returns and volatility: empirical evidence from fourteen countries (2005)Stock returns and volatility: empirical e…Forecasting stock market volatility: Further international evidence (2006)Forecasting stock market vola…Stock returns, seasonality and asymmetric conditional volatility in world equity markets (2001)Stock returns, seasonality an…Stock returns and volatility in emerging financial markets (1997)Stock returns and volatility …An evaluation of volatility forecasting techniques (1996)An evaluation of volatility f…RELATIONSHIP BETWEEN VOLATILITY AND EXPECTED RETURNS ACROSS INTERNATIONAL STOCK MARKETS (1995)RELATIONSHIP BETWEEN VOLATILI…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Stock returns and volatility: An empirical study of the UK stock market (1992)Stock returns and volatility:…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…No news is good news (1992)No news is good newsGlobal financial markets and the risk premium on U.S. equity (1992)Global financial markets and …Global Financial Markets and the Risk Premium on U.S. Equity (1992)Global Financial Markets and …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stock Returns and Volatility (1990)Stock Returns and VolatilityConditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…Expected stock returns and volatility (1987)Expected stock returns and vo…Return Volatility and Asymmetric News Effect in Sri Lankan Stock Market (2012)Return Volatility and Asymmet…The spillover and leverage effects of ethical exchange traded fund (2011)The spillover and leverage ef…The mean/volatility asymmetry in Asian stock markets (2008)The mean/volatility asymmetry…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Inequality Constraints in the Univariate GARCH Model (1992)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Privatization, political risk and stock market development in emerging economies (2001)Research in emerging markets finance: looking to the future (2002)The risk return tradeoff in the long run: 1836–2003 (2007)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Stock market volatility and the information content of stock index options (1992)Stock prices and the Wall Street weather (1993)Asymmetric volatility transmission in international stock markets (1995)An Intertemporal Capital Asset Pricing Model (1973)International Portfolio Flows and Security Markets (1999)Market Segmentation and the Cost of Capital in International Equity Markets (2000)The day of the week effect on stock market volatility and volume: International evidence (2003)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate Simultaneous Generalized ARCH (1995)The Cross‐Section of Volatility and Expected Returns (2006)Modeling and forecasting petroleum futures volatility (2006)Estimating stock market volatility using asymmetric GARCH models (2008)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 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
  • 1987Expected stock returns and volatility4,147 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1992No news is good news1,929 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 1990Stock Returns and Volatility722 cited
  • 1996An evaluation of volatility forecasting techniques479 cited
  • 1997Stock returns and volatility in emerging financial markets465 cited
  • 1992Global financial markets and the risk premium on U.S. equity319 cited
  • 1992Stock returns and volatility: An empirical study of the UK stock market200 cited
  • 1992Global Financial Markets and the Risk Premium on U.S. Equity152 cited
  • 1995RELATIONSHIP BETWEEN VOLATILITY AND EXPECTED RETURNS ACROSS INTERNATIONAL STOCK MARKETS125 cited
  • 2001Stock returns, seasonality and asymmetric conditional volatility in world equity markets67 cited
  • 2006Forecasting stock market volatility: Further international evidence

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

44 cited

Cited by

  • 2011The spillover and leverage effects of ethical exchange traded fund25 cited
  • 2012Return Volatility and Asymmetric News Effect in Sri Lankan Stock Market20 cited
  • 2008The mean/volatility asymmetry in Asian stock markets19 cited