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Parameterizing Unconditional Skewness in Models for Financial Time Series
16 references·1 citing·33 second hop
Parameterizing Unconditional Skewness in Models for Financial Time Series (2008)Parameterizing Unconditional Skewness in …Modelling Financial Time Series (2007)Modelling Financial Time Seri…Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Differences of Opinion, Short…What good is a volatility model? (2001)What good is a volatility mod…Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)Forecasting crashes: trading …Autoregressive Conditional Skewness (1999)Autoregressive Conditional Sk…All in the family Nesting symmetric and asymmetric GARCH models (1995)All in the family Nesting sym…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…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…No news is good news (1992)No news is good newsAlternative models for conditional stock volatility (1990)Alternative models for condit…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…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Leverage effect in energy futures revisited (2018)Leverage effect in energy fut…Noise Trader Risk in Financial Markets (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Breadth of ownership and stock returns (2002)Market liquidity as a sentiment indicator (2004)Downside Risk (2006)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)The variation of certain speculative prices (1997)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Asymmetric correlations of equity portfolios (2002)Chapter 18 A survey of behavioral finance (2003)Who Gambles in the Stock Market? (2009)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the correlation in international equity returns constant: 1960–1990? (1995)The distribution of realized stock return volatility (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1992No news is good news1,929 cited
  • 2001Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices1,918 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 2003Differences of Opinion, Short-Sales Constraints, and Market Crashes1,356 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1999Autoregressive Conditional Skewness761 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 1995All in the family Nesting symmetric and asymmetric GARCH models723 cited
  • 2001

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What good is a volatility model?
691 cited

Cited by

  • 2018Leverage effect in energy futures revisited17 cited