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A flexible parametric GARCH model with an application to exchange rates
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A flexible parametric GARCH model with an application to exchange rates (2001)A flexible parametric GARCH model with an…The Economics of Exchange Rates (2003)The Economics of Exchange Rat…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Foundations of International Macroeconomics (1997)Foundations of International …Foundations of International Macroeconomics (1996)Foundations of International …Chapter 49 Arch models (1994)Chapter 49 Arch modelsAutoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Expected stock returns and volatility (1987)Expected stock returns and vo…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…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…A Model of Balance-of-Payments Crises (1979)A Model of Balance-of-Payment…Studies of stock market volatility changes (1976)Studies of stock market volat…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Essays in Positive Economics (1954)Essays in Positive EconomicsTwo EGARCH Models and One Fat Tail (2014)Two EGARCH Models and One Fat…Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions (2007)Forecasting volatility in the…Estimation of an adaptive stock market model with heterogeneous agents (2007)Estimation of an adaptive sto…Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution (2007)Asymmetric and leptokurtic di…Regime Switching GARCH Models (2006)Regime Switching GARCH ModelsForecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness (2005)Forecasting asymmetries in ag…The performance of event study approaches using daily commodity futures returns (2004)The performance of event stud…Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models (2003)Forecasting Agricultural Comm…A NEW LOOK AT THE TRADE VOLUME EFFECTS OF REAL EXCHANGE RATE RISK (2002)A NEW LOOK AT THE TRADE VOLUM…A New Class of Multivariate Skew Densities, with Application to GARCH Models (2002)A New Class of Multivariate S…Modelling skewness dynamics in series of financial data using skewed location-scale distributions (2001)Modelling skewness dynamics i…The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)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)Econometric Analysis of Cross Section and Panel Data (2001)Currency crashes in emerging markets: An empirical treatment (1996)Leading Indicators of Currency Crises (1998)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Empirical exchange rate models of the seventies (1983)Convergence Across States and Regions (1991)The Purchasing Power Parity Puzzle (1996)The determinants of cross-border equity flows (2004)Financial Globalization: A Reappraisal (2006)Why Doesn't Capital Flow from Rich to Poor Countries? An Empirical Investigation (2008)The New Institutionalism: Organizational Factors in Political Life (1983)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Shared Mental Models: Ideologies and Institutions (1994)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1954Essays in Positive Economics3,204 cited
  • 1997Foundations of International Macroeconomics2,980 cited
  • 1979A Model of Balance-of-Payments Crises2,927 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2003The Economics of Exchange Rates1,327 cited
  • 1996Foundations of International Macroeconomics951 cited
  • 1976Studies of stock market volatility changes885 cited
  • 1994Chapter 49 Arch models880 cited
  • 2002The Message in Daily Exchange Rates

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  • 2007Estimation of an adaptive stock market model with heterogeneous agents92 cited
  • 2007Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution78 cited
  • 2004The performance of event study approaches using daily commodity futures returns60 cited
  • 2003Forecasting Agricultural Commodity Prices with Asymmetric-Error GARCH Models39 cited
  • 2006Regime Switching GARCH Models39 cited
  • 2002A New Class of Multivariate Skew Densities, with Application to GARCH Models36 cited
  • 2014Two EGARCH Models and One Fat Tail36 cited
  • 2007Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions35 cited
  • 2005Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness34 cited
  • 2001Modelling skewness dynamics in series of financial data using skewed location-scale distributions30 cited
  • 2002A NEW LOOK AT THE TRADE VOLUME EFFECTS OF REAL EXCHANGE RATE RISK28 cited