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Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets
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Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets (2009)Modeling sudden volatility changes: Evide…Time-dependent Hurst exponent in financial time series (2004)Time-dependent Hurst exponent…Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Occasional structural breaks …Long memory and regime switching (2001)Long memory and regime switch…Volatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …Universal Features in the Growth Dynamics of Complex Organizations (1998)Universal Features in the Gro…Correlations in economic time series (1997)Correlations in economic time…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…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…Common Persistence in Conditional Variances (1993)Common Persistence in Conditi…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 financePersistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis (2022)On the stylized facts of prec…Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis (2021)Oil and precious metals: Vola…How COVID-19 has affected stock market persistence? Evidence from the G7’s (2021)How COVID-19 has affected sto…Structural changes and out-of-sample prediction of realized range-based variance in the stock market (2017)Structural changes and out-of…Long-Term Stock Market Volatility and the Influence of Terrorist Attacks in Europe (2017)Long-Term Stock Market Volati…Long memory volatility in Asian stock markets (2017)Long memory volatility in Asi…Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate (2014)Structural breaks, dynamic co…How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process (2013)How do OPEC news and structur…Modelling financial volatility in the presence of abrupt changes (2012)Modelling financial volatilit…MODELING DYNAMIC CORRELATIONS AND SPILLOVER EFFECTS OF COUNTRY RISK: EVIDENCE FROM RUSSIA AND KAZAKHSTAN (2009)MODELING DYNAMIC CORRELATIONS…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)Multivariate GARCH models: a surveyConditional 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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Distribution of Realized Exchange Rate Volatility (2001)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)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)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)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)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Modelling Extremal Events (1997)Chapter 8 Growth Econometrics (2005)Econometric Analysis of Cross Section and Panel Data (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 2001Long memory and regime switching1,162 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
  • 1999Volatility in Emerging Stock Markets735 cited
  • 2004Time-dependent Hurst exponent in financial time series403 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance399 cited
  • 1993Common Persistence in Conditional Variances313 cited
  • 1997Correlations in economic time series

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313 cited
  • 1998Universal Features in the Growth Dynamics of Complex Organizations285 cited
  • Cited by

    • 2013How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process92 cited
    • 2017Long-Term Stock Market Volatility and the Influence of Terrorist Attacks in Europe86 cited
    • 2014Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate83 cited
    • 2021Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis62 cited
    • 2012Modelling financial volatility in the presence of abrupt changes47 cited
    • 2021How COVID-19 has affected stock market persistence? Evidence from the G7’s28 cited
    • 2009MODELING DYNAMIC CORRELATIONS AND SPILLOVER EFFECTS OF COUNTRY RISK: EVIDENCE FROM RUSSIA AND KAZAKHSTAN28 cited
    • 2022On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis21 cited
    • 2017Long memory volatility in Asian stock markets21 cited
    • 2017Structural changes and out-of-sample prediction of realized range-based variance in the stock market20 cited