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Forecasting Stock Market Volatility: Evidence from Fourteen Countries
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Forecasting Stock Market Volatility: Evidence from Fourteen Countries (2002)Forecasting Stock Market Volatility: Evid…Forecasting Volatility in the Financial Markets (2007)Forecasting Volatility in the…Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon (1999)Forecasting financial market …Additive outliers, GARCH and forecasting volatility (1999)Additive outliers, GARCH and …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …An evaluation of volatility forecasting techniques (1996)An evaluation of volatility f…The predictive ability of several models of exchange rate volatility (1995)The predictive ability of sev…Chapter 49 Arch models (1994)Chapter 49 Arch modelsARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)ARCH MODELS: PROPERTIES, ESTI…ARCH modeling in finance (1992)ARCH modeling in financeVolatility forecasting without data-snooping (1990)Volatility forecasting withou…Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts (1989)Conditional Heteroscedasticit…Forecasting the volatility of currency exchange rates (1987)Forecasting the volatility of…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling and Forecasting Realized Volatility (2001)Stock market volatility, excess returns, and the role of investor sentiment (2002)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Stock market volatility and the information content of stock index options (1992)Stock prices and the Wall Street weather (1993)Asymmetric volatility transmission in international stock markets (1995)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Modeling and forecasting petroleum futures volatility (2006)Estimating stock market volatility using asymmetric GARCH models (2008)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Econometric Analysis of Cross Section and Panel Data (2001)Statistical aspects of ARCH and stochastic volatility (1996)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)New frontiers for arch models (2002)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (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
  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 1994Chapter 49 Arch models880 cited
  • 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
  • 1993ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING786 cited
  • 1996An evaluation of volatility forecasting techniques479 cited
  • 1995The predictive ability of several models of exchange rate volatility371 cited
  • 1999Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon335 cited
  • 1999Additive outliers, GARCH and forecasting volatility266 cited
  • 1987Forecasting the volatility of currency exchange rates187 cited
  • 2007Forecasting Volatility in the Financial Markets173 cited

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  • 1990Volatility forecasting without data-snooping155 cited
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