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Short and long term components of volatility in Hong Kong stock returns
16 references·1 citing·26 second hop
Short and long term components of volatility in Hong Kong stock returns (2006)Short and long term components of volatil…Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model (2004)Volatility forecasting: evide…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates (2002)Accounting for conditional le…What makes the stock market jump? An analysis of political risk on Hong Kong stock returns (2001)What makes the stock market j…The variation of certain speculative prices (1997)The variation of certain spec…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyA Permanent and Transitory Component Model of Stock Return Volatility (1993)A Permanent and Transitory Co…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Alternative models for conditional stock volatility (1990)Alternative models for condit…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 Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Volatility Decomposition and Correlation in International Securitized Real Estate Markets (2008)Volatility Decomposition and …The Pricing of Options and Corporate Liabilities (1973)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dynamic Conditional Correlation (2002)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Forecasting Economic Time Series (2000)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)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)Forecasting Output and Inflation: The Role of Asset Prices (2003)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)25 years of time series forecasting (2006)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

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  • 2001What makes the stock market jump? An analysis of political risk on Hong Kong stock returns165 cited
  • 2004Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model84 cited

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  • 2002Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates72 cited
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    • 2008Volatility Decomposition and Correlation in International Securitized Real Estate Markets18 cited