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Small sample properties of GARCH estimates and persistence
16 references·16 citing·35 second hopsampled
Small sample properties of GARCH estimates and persistence (2006)Small sample properties of GARCH estimate…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns (1996)Estimation of an Asymmetric S…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)MODELING STOCHASTIC VOLATILIT…Temporal Aggregation of Garch Processes (1993)Temporal Aggregation of Garch…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Tests for Unit Roots: A Monte Carlo Investigation (1989)Tests for Unit Roots: A Monte…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS (1988)ON THE CORRELATION STRUCTURE …The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Modelling Financial Time Series. (1987)Modelling Financial Time Seri…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…On estimating the expected return on the market (1980)On estimating the expected re…More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability? (2023)More attention and better vol…ESG and volatility risk: International evidence (2023)ESG and volatility risk: Inte…The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis (2022)The diversifying role of soci…Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios (2022)Stablecoins as a tool to miti…Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic (2022)Revisiting the safe haven rol…The influence of terrorism risk on stock market integration: Evidence from eight OECD countries (2018)The influence of terrorism ri…Dynamics of China’s carbon prices in the pilot trading phase (2017)Dynamics of China’s carbon pr…Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries (2016)Volatility transmission from …On the Return-Volatility Relationship in the Bitcoin Market around the Price Crash of 2013 (2016)On the Return-Volatility Rela…Impact of terrorist attacks on stock market volatility in emerging markets (2016)Impact of terrorist attacks o…Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism (2016)Causality between oil prices …Terrorism, country attributes, and the volatility of stock returns (2013)Terrorism, country attributes…Measuring and explaining the volatility of capital flows to emerging countries (2011)Measuring and explaining the …Causal relations between inflation and inflation uncertainty—Cross sectional evidence in favour of the Friedman–Ball hypothesis (2011)Causal relations between infl…The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study (2008)The effects of misspecified m…GARCH model with cross-sectional volatility: GARCHX models (2005)GARCH model with cross-sectio…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)The MIDAS Touch: Mixed Data Sampling Regression Models (2004)Parametric and Nonparametric Volatility Measurement (2010)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1993Temporal Aggregation of Garch Processes678 cited
  • 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited
  • 1989Tests for Unit Roots: A Monte Carlo Investigation645 cited
  • 1992Inequality Constraints in the Univariate GARCH Model611 cited
  • 1996Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns461 cited
  • 1988ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS223 cited

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  • 1987Modelling Financial Time Series.191 cited
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    • 2017Dynamics of China’s carbon prices in the pilot trading phase186 cited
    • 2011Measuring and explaining the volatility of capital flows to emerging countries125 cited
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    • 2016On the Return-Volatility Relationship in the Bitcoin Market around the Price Crash of 201393 cited
    • 2016Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism93 cited
    • 2008The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study70 cited
    • 2016Impact of terrorist attacks on stock market volatility in emerging markets70 cited
    • 2023More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability?66 cited
    • 2022Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios64 cited
    • 2022The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis60 cited
    • 2005GARCH model with cross-sectional volatility: GARCHX models55 cited
    • 2022Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic54 cited
    • 2013Terrorism, country attributes, and the volatility of stock returns52 cited
    • 2018The influence of terrorism risk on stock market integration: Evidence from eight OECD countries39 cited
    • 2023ESG and volatility risk: International evidence38 cited
    • 2011Causal relations between inflation and inflation uncertainty—Cross sectional evidence in favour of the Friedman–Ball hypothesis35 cited