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Modelling Stock Market Volatility Using Univariate GARCH Models: Evidence from Sudan and Egypt
16 references·4 citing·24 second hop
Modelling Stock Market Volatility Using Univariate GARCH Models: Evidence from Sudan and Egypt (2012)Modelling Stock Market Volatility Using U…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Numerical distribution functions for unit root and cointegration tests (1996)Numerical distribution functi…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Modelling the persistence of conditional variances (1986)Modelling the persistence of …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…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…The Impact of Covid-19 Pandemic on Stock Market Return Volatility: Evidence from Malaysia and Singapore (2021)The Impact of Covid-19 Pandem…Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100 (2020)Modelling asymmetric market v…The adoption of CSR practices in Egypt: internal efficiency or external legitimation? (2018)The adoption of CSR practices…Modelling Stock Market Volatility: Evidence from India (2015)Modelling Stock Market Volati…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Time Series Analysis: Forecasting and Control (1977)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Numerical distribution functions of likelihood ratio tests for cointegration (1999)Unit root tests for panel data (2001)Critical Values for Cointegration Tests (2010)Econometric Analysis of Cross Section and Panel Data (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Unit root tests in panel data: asymptotic and finite-sample properties (2002)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1996Numerical distribution functions for unit root and cointegration tests3,119 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1986Generalized autoregressive conditional heteroscedasticity

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1,810 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • Cited by

    • 2020Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-10064 cited
    • 2021The Impact of Covid-19 Pandemic on Stock Market Return Volatility: Evidence from Malaysia and Singapore52 cited
    • 2015Modelling Stock Market Volatility: Evidence from India40 cited
    • 2018The adoption of CSR practices in Egypt: internal efficiency or external legitimation?32 cited