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The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks
16 references·5 citing·32 second hop
The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks (1993)The sources of GARCH: empirical evidence …Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)Price Volatility, Trading Vol…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeThe Noise Trader Approach to Finance (1990)The Noise Trader Approach to …Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets (1990)A Theory of the Interday Vari…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Information Content of Intraday Implied Volatility for Volatility Forecasting (2015)The Information Content of In…Market Risk, Interest Rate Risk, and Interdependencies in Insurer Stock Returns: A System‐GARCH Model (2008)Market Risk, Interest Rate Ri…Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness (2005)Forecasting asymmetries in ag…An Intraday Examination of the Federal Funds Market: Implications for the Theories of the Reverse‐J Pattern (2001)An Intraday Examination of th…Stock Return and Exchange Rate Risk: Evidence from Asian Stock Markets Based on A Bivariate GARCH Model (2000)Stock Return and Exchange Rat…The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)The Behavior of Stock-Market Prices (1965)Judgment under Uncertainty: Heuristics and Biases (1975)The Impact of Social Structure on Economic Outcomes (2005)An Engine, Not a Camera (2006)The short of it: Investor sentiment and anomalies (2011)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Trading Volume and Serial Correlation in Stock Returns (1993)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Econometric Analysis of Cross Section and Panel Data (2001)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Chapter 49 Arch models (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Idiosyncratic Risk Matters! (2003)
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References

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  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
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  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
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  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

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786 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
  • 1993Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets667 cited
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    • 2001An Intraday Examination of the Federal Funds Market: Implications for the Theories of the Reverse‐J Pattern40 cited
    • 2008Market Risk, Interest Rate Risk, and Interdependencies in Insurer Stock Returns: A System‐GARCH Model39 cited
    • 2000Stock Return and Exchange Rate Risk: Evidence from Asian Stock Markets Based on A Bivariate GARCH Model38 cited
    • 2005Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness34 cited
    • 2015The Information Content of Intraday Implied Volatility for Volatility Forecasting29 cited