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Volatility persistence and stock valuations: Some empirical evidence using garch · Study

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ArticleVolatility persistence and stock valuations: Some empirical evidence using garch

Ray Yeutien Chou1988

Article1988

Volatility persistence and stock valuations: Some empirical evidence using garch

Ray Yeutien Chou

519 citations·0/0 files stored·Journal of Applied Econometrics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 519 citations exist upstream.

References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1973An Intertemporal Capital Asset Pricing Model 1987Expected stock returns and volatility 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?1988A Capital Asset Pricing Model with Time-Varying Covariances 1980On estimating the expected return on the market

Cited by

2007The risk return tradeoff in the long run: 1836–2003 1994Hourly volatility spillovers between international equity markets 2001The specification of conditional expectations 2005Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model 2007Metal volatility in presence of oil and interest rate shocks 1992Implied ARCH models from options prices 1992Prediction in dynamic models with time-dependent conditional variances 2005Volatility puzzles: a simple framework for gauging return-volatility regressions

Details

Year1988

Typearticle

Published1988-10-01

VenueJournal of Applied Econometrics

ISSN-L0883-7252

Languageen

Citations519

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1002/jae.3950030404

openalex_workW2122679841

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