Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes

16 references·16 citing·39 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
2003Modeling and Forecasting Realized Volatility3,887 cited
1989Why Does Stock Market Volatility Change Over Time?3,433 cited
1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
2000Foreign Speculators and Emerging Equity Markets1,868 cited
1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
1997Emerging equity market volatility1,703 cited
1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1996

Stock market volatility and the business cycle

779 cited

2004Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure610 cited

Cited by

2014On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets185 cited
2014Firm return volatility and economic gains: The role of oil prices134 cited
2012The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: Evidence from Indian Data116 cited
2008Macroeconomic Volatility and Stock Market Volatility, Worldwide100 cited
2010Efficient estimation of a multivariate multiplicative volatility model87 cited
2008Are There Structural Breaks in Realized Volatility?86 cited
2009ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS63 cited
2012Empirical evidence on the relationship between stock market volatility and macroeconomics volatility in Malaysia56 cited
2010Stylized facts of return series, robust estimates and three popular models of volatility49 cited
2009A Component GARCH Model with Time Varying Weights47 cited
2012Financial Risk Measurement for Financial Risk Management43 cited
2011Does inflation have an impact on stock returns and volatility? Evidence from Nigeria and Ghana42 cited
2007Components of Market Risk and Return41 cited
2013Does Stock Market Respond to Economic Fundamentals? Time- series Analysis from Indian Data41 cited
2015DETECTING FOR SMOOTH STRUCTURAL CHANGES IN GARCH MODELS38 cited
2011Modeling volatility with time-varying FIGARCH models37 cited