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Volatility clustering, leverage, size, or contagion effects: The fluctuations of Asian real estate investment trust returns
16 references·0 citing·39 second hop
Volatility clustering, leverage, size, or contagion effects: The fluctuations of Asian real estate investment trust returns (2013)Volatility clustering, leverage, size, or…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Measuring Contagion: Conceptual and Empirical Issues (2001)Measuring Contagion: Conceptu…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Numerical distribution functions for unit root and cointegration tests (1996)Numerical distribution functi…A Critique of Size-Related Anomalies (1995)A Critique of Size-Related An…Bubbles in Metropolitan Housing Markets (1994)Bubbles in Metropolitan Housi…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…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…The relationship between return and market value of common stocks (1981)The relationship between retu…The Variability of the Market Factor of the New York Stock Exchange (1973)The Variability of the Market…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Unit root tests for panel data (2001)Critical Values for Cointegration Tests (2010)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)Capital Market Equilibrium with Restricted Borrowing (1972)Risk, Return, and Equilibrium: Empirical Tests (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Efficient Tests for an Autoregressive Unit Root (1996)A PANIC Attack on Unit Roots and Cointegration (2004)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Testing for unit roots in heterogeneous panels (2003)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)
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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
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 1996Numerical distribution functions for unit root and cointegration tests3,119 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1995A Critique of Size-Related Anomalies763 cited
  • 1994Bubbles in Metropolitan Housing Markets541 cited
  • 2001Measuring Contagion: Conceptual and Empirical Issues

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514 cited
  • 1973The Variability of the Market Factor of the New York Stock Exchange455 cited
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