SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The war on terror and its impact on the long-term volatility of financial markets
16 references·1 citing·40 second hop
The war on terror and its impact on the long-term volatility of financial markets (2007)The war on terror and its impact on the l…The International CAPM and a Wavelet-Based Decomposition of Value at Risk (2006)The International CAPM and a …The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis* (2006)The Hedge Ratio and the Empir…Sudden changes in volatility in emerging markets: The case of Gulf Arab stock markets (2006)Sudden changes in volatility …The CAPM and value at risk at different time-scales (2005)The CAPM and value at risk at…Multiscale systematic risk (2004)Multiscale systematic riskSystematic risk and timescales (2003)Systematic risk and timescalesForecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Wavelets in Economics and Finance: Past and Future (2002)Wavelets in Economics and Fin…Differentiating intraday seasonalities through wavelet multi-scaling (2001)Differentiating intraday seas…Volatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …The contribution of wavelets to the analysis of economic and financial data (1999)The contribution of wavelets …The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income (1998)The Decomposition of Economic…AN ANALYSIS OF U.S. STOCK PRICE BEHAVIOR USING WAVELETS (1995)AN ANALYSIS OF U.S. STOCK PRI…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…The impact of mixed-frequency geopolitical risk on stock market returns (2021)The impact of mixed-frequency…Persistence in Variance, Structural Change, and the GARCH Model (1990)ARCH modeling in finance (1992)Autoregressive conditional heteroskedasticity and changes in regime (1994)Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets (2009)Asymmetric effects of oil price uncertainty on corporate investment (2019)Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis (2019)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Adjustment of Consumption to Changing Expectations About Future Income (1981)Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Oil and the macroeconomy: using wavelets to analyze old issues (2010)Wavelet-based evidence of the impact of oil prices on stock returns (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)A GUIDE TO WAVELETS FOR ECONOMISTS* (2007)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)Time Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)Selection of estimation window in the presence of breaks (2006)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS (1998)Crude oil price analysis and forecasting using wavelet decomposed ensemble model (2012)Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach (2019)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Time‐Varying World Market Integration (1995)Stock Market Openings: Experience of Emerging Economies (2000)Dating the integration of world equity markets (2002)Research in emerging markets finance: looking to the future (2002)Wavelet-based prediction of oil prices (2005)Co-movement of Asia-Pacific with European and US stock market returns: A cross-time-frequency analysis (2013)Are Islamic indexes a safe haven for investors? An analysis of total, directional and net volatility spillovers between conventional and Islamic indexes and importance of crisis periods (2017)Structural breaks in time series (2012)
this work references cited by second hop

References

  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1999Volatility in Emerging Stock Markets735 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance399 cited
  • 1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income370 cited
  • 2004Multiscale systematic risk316 cited
  • 1999The contribution of wavelets to the analysis of economic and financial data247 cited
  • 2003Systematic risk and timescales194 cited
  • 2006Sudden changes in volatility in emerging markets: The case of Gulf Arab stock markets187 cited
  • 2006The Hedge Ratio and the Empirical Relationship between the Stock and Futures Markets: A New Approach Using Wavelet Analysis*178 cited
  • 2001Differentiating intraday seasonalities through wavelet multi-scaling175 cited
  • 2002Wavelets in Economics and Finance: Past and Future131 cited
  • 1995AN ANALYSIS OF U.S. STOCK PRICE BEHAVIOR USING WAVELETS114 cited
  • 2005The CAPM and value at risk at different time-scales

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

95 cited
  • 2006The International CAPM and a Wavelet-Based Decomposition of Value at Risk91 cited
  • Cited by

    • 2021The impact of mixed-frequency geopolitical risk on stock market returns61 cited