SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stock market dynamics in a regime-switching asymmetric power GARCH model
16 references·0 citing·31 second hop
Stock market dynamics in a regime-switching asymmetric power GARCH model (2005)Stock market dynamics in a regime-switchi…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…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…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Models of Stock Returns--A Comparison (1984)Models of Stock Returns--A Co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …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)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)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)Risk, Return, and Equilibrium: Empirical Tests (1973)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)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)Users of the world, unite! The challenges and opportunities of Social Media (2009)An Intertemporal Capital Asset Pricing Model (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Industry costs of equity (1997)A five-factor asset pricing model (2014)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Econometric Analysis of Cross Section and Panel Data (2001)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1989Why Does Stock Market Volatility Change Over Time?1,209 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach

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

818 cited
  • 1984Models of Stock Returns--A Comparison606 cited
  • Cited by

    No citing works inside the corpus for this window.