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Financial volatility: Issues and measuring techniques
16 references·11 citing·24 second hop
Financial volatility: Issues and measuring techniques (2008)Financial volatility: Issues and measurin…The variation of certain speculative prices (1997)The variation of certain spec…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…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…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Expected stock returns and volatility (1987)Expected stock returns and vo…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…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…On estimating the expected return on the market (1980)On estimating the expected re…Asset returns and inflation (1977)Asset returns and inflationThe Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…The OWA operator in multiple linear regression (2022)The OWA operator in multiple …Do rare earths drive volatility spillover in crude oil, renewable energy, and high-technology markets? — A wavelet-based BEKK- GARCH-X approach (2022)Do rare earths drive volatili…Volatility GARCH models with the ordered weighted average (OWA) operators (2021)Volatility GARCH models with …Exchange rate and volatility: A bibliometric review (2020)Exchange rate and volatility:…Döviz Kuru Volatilitesinin İhracat Üzerine Etkisi: Türkiye Örneği (1995-2017) (2018)Döviz Kuru Volatilitesinin İh…Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa (2018)Asymmetric volatility transmi…Forecasting stock market volatility: Do realized skewness and kurtosis help? (2017)Forecasting stock market vola…A new NN-PSO hybrid model for forecasting Euro/Dollar exchange rate volatility (2015)A new NN-PSO hybrid model for…Measuring spill-over effects of foreign markets on the JSE before, during and after international financial crises (2013)Measuring spill-over effects …Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market (2013)Intraday volatility spillover…Exchange Rate and Interest Rate Exposure of UK Industries Using First‐order Autoregressive Exponential GARCH ‐in‐mean ( EGARCH ‐ M ) Approach (2013)Exchange Rate and Interest Ra…Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Measuring Economic Policy Uncertainty* (2016)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)Econometric Analysis of Cross Section and Panel Data (2001)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 1963The Variation of Certain Speculative Prices4,890 cited
  • 1997The variation of certain speculative prices4,513 cited
  • 1992ARCH modeling in finance4,343 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,701 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1977Asset returns and inflation2,706 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects

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2,382 cited

Cited by

  • 2017Forecasting stock market volatility: Do realized skewness and kurtosis help?73 cited
  • 2018Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa57 cited
  • 2022Do rare earths drive volatility spillover in crude oil, renewable energy, and high-technology markets? — A wavelet-based BEKK- GARCH-X approach56 cited
  • 2013Intraday volatility spillovers between spot and futures indices: Evidence from the Korean stock market49 cited
  • 2022The OWA operator in multiple linear regression36 cited
  • 2021Volatility GARCH models with the ordered weighted average (OWA) operators30 cited
  • 2015A new NN-PSO hybrid model for forecasting Euro/Dollar exchange rate volatility29 cited
  • 2020Exchange rate and volatility: A bibliometric review28 cited
  • 2013Exchange Rate and Interest Rate Exposure of UK Industries Using First‐order Autoregressive Exponential GARCH ‐in‐mean ( EGARCH ‐ M ) Approach18 cited
  • 2013Measuring spill-over effects of foreign markets on the JSE before, during and after international financial crises16 cited
  • 2018Döviz Kuru Volatilitesinin İhracat Üzerine Etkisi: Türkiye Örneği (1995-2017)8 cited