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Modelling changes in the unconditional variance of long stock return series
16 references·10 citing·36 second hop
Modelling changes in the unconditional variance of long stock return series (2013)Modelling changes in the unconditional va…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…Asymptotics for out of sample tests of Granger causality (2006)Asymptotics for out of sample…On more robust estimation of skewness and kurtosis (2004)On more robust estimation of …Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Occasional structural breaks …Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Nonstationarities in Financia…A Long-Run and Short-Run Component Model of Stock Return Volatility (1999)A Long-Run and Short-Run Comp…Stock market volatility and the business cycle (1996)Stock market volatility and t…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Business Cycles, Financial Crises, and Stock Volatility (1989)Business Cycles, Financial Cr…Testing Linearity Against Smooth Transition Autoregressive Models (1988)Testing Linearity Against Smo…Modeling The persistence Of Conditional Variances: A Comment (1986)Modeling The persistence Of C…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…The impact of financial crises on the risk–return tradeoff and the leverage effect (2015)The impact of financial crise…Testing for structural change under non‐stationary variances (2015)Testing for structural change…Specification and testing of multiplicative time-varying GARCH models with applications (2014)Specification and testing of …Price Discrimination with Private and Imperfect Information (2014)Price Discrimination with Pri…The effects of monetary policy in a small open economy: the case of Portugal (2013)The effects of monetary polic…Modelling money demand: further evidence from an international comparison (2013)Modelling money demand: furth…Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes (2013)Modelling Electricity Day-Ahe…Exchange–Rates Volatility in Nigeria: Application of GARCH Models with Exogenous Break (2013)Exchange–Rates Volatility in …Fiscal adjustments and income inequality: a first assessment (2012)Fiscal adjustments and income…Consumption and wealth in the US, the UK and the Euro Area : a nonlinear investigation (2012)Consumption and wealth in the…Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Forecasting Volatility in Financial Markets: A Review (2003)Stock Market Volatility and Macroeconomic Fundamentals (2012)Comparing Predictive Accuracy (1994)Electricity consumption and economic growth in China: Cointegration and co-feature analysis (2006)The Volatility of Realized Volatility (2008)Volatility Is Rough (2018)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)The Determinants of Stock and Bond Return Comovements (2010)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Testing for a unit root in the nonlinear STAR framework (2002)Analysis of Financial Time Series (2006)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Firm Size and Cyclical Variations in Stock Returns (2000)Volatility Spillover Effects in European Equity Markets (2005)Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)
this work references cited by second hop

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
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
  • 1996Stock market volatility and the business cycle779 cited
  • 2006Asymptotics for out of sample tests of Granger causality697 cited
  • 2004On more robust estimation of skewness and kurtosis523 cited
  • 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects523 cited
  • 1986Modeling The persistence Of Conditional Variances: A Comment437 cited
  • 1989

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Business Cycles, Financial Crises, and Stock Volatility
367 cited
  • 1999A Long-Run and Short-Run Component Model of Stock Return Volatility350 cited
  • Cited by

    • 2012Fiscal adjustments and income inequality: a first assessment89 cited
    • 2014Price Discrimination with Private and Imperfect Information76 cited
    • 2013Exchange–Rates Volatility in Nigeria: Application of GARCH Models with Exogenous Break51 cited
    • 2015The impact of financial crises on the risk–return tradeoff and the leverage effect48 cited
    • 2014Specification and testing of multiplicative time-varying GARCH models with applications42 cited
    • 2013Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes32 cited
    • 2015Testing for structural change under non‐stationary variances28 cited
    • 2013The effects of monetary policy in a small open economy: the case of Portugal25 cited
    • 2013Modelling money demand: further evidence from an international comparison24 cited
    • 2012Consumption and wealth in the US, the UK and the Euro Area : a nonlinear investigation16 cited