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Stock Returns and Volatility: an empirical study of Chinese stock markets
16 references·3 citing·28 second hop
Stock Returns and Volatility: an empirical study of Chinese stock markets (1998)Stock Returns and Volatility: an empirica…The variation of certain speculative prices (1997)The variation of certain spec…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…ARCH modeling in finance (1992)ARCH modeling in financeStock Returns and Volatility (1990)Stock Returns and VolatilityCorrelations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…Volatility persistence and stock valuations: Some empirical evidence using garch (1988)Volatility persistence and st…Some recent development in a concept of causality (1988)Some recent development in a …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…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Variation of Some Other Speculative Prices (1967)The Variation of Some Other S…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Risk-return tradeoff in Chinese stock markets: some recent evidence (2015)Risk-return tradeoff in Chine…Shanghai As An International Financial Centre (2003)Shanghai As An International …China: Further Evidence on the Evolution of Stock Markets in Transition Economies (2003)China: Further Evidence on th…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)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis Forecasting and Control. (1971)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey (2012)Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy (2016)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)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

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1988Some recent development in a concept of causality2,982 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 1993Measuring and Testing the Impact of News on Volatility755 cited
  • 1990Stock Returns and Volatility722 cited
  • 1967The Variation of Some Other Speculative Prices532 cited
  • 1988

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Volatility persistence and stock valuations: Some empirical evidence using garch
519 cited

Cited by

  • 2003China: Further Evidence on the Evolution of Stock Markets in Transition Economies43 cited
  • 2015Risk-return tradeoff in Chinese stock markets: some recent evidence26 cited
  • 2003Shanghai As An International Financial Centre5 cited