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SIGN- AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERNATIONAL STOCK MARKETS
16 references·16 citing·21 second hopsampled
SIGN- AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERNATIONAL STOCK MARKETS (1997)SIGN- AND VOLATILITY-SWITCHING ARCH MODEL…A Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…The variation of certain speculative prices (1997)The variation of certain spec…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…No news is good news (1992)No news is good newsInterest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Alternative models for conditional stock volatility (1990)Alternative models for condit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …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 Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic (2022)The driving forces of green b…A Markov switching long memory model of crude oil price return volatility (2018)A Markov switching long memor…Forecasting Tehran stock exchange volatility; Markov switching GARCH approach (2015)Forecasting Tehran stock exch…LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises (2014)LADE-Based Inference for ARMA…ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES (2014)ASYMPTOTIC INFERENCE FOR AR M…What causes price volatility and regime shifts in the natural gas market (2013)What causes price volatility …Shifts in Volatility Driven by Large Stock Market Shocks (2012)Shifts in Volatility Driven b…MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL (2009)MODELING MULTIPLE REGIMES IN …Nonlinear neural network forecasting model for stock index option price: Hybrid GJR–GARCH approach (2007)Nonlinear neural network fore…MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS (2006)MIXING PROPERTIES OF A GENERA…Volatility forecasting with smooth transition exponential smoothing (2004)Volatility forecasting with s…Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review (2004)Autoregressive Conditional He…An algorithm for nonparametric GARCH modelling (2002)An algorithm for nonparametri…Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction (2001)Asymmetric reverting behavior…Asymmetric Nonlinear Smooth Transition Garch Models (1999)Asymmetric Nonlinear Smooth T…Modeling the changing asymmetry of conditional variances (1996)Modeling the changing asymmet…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Law and Finance (1998)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)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)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)A long memory property of stock market returns and a new model (1993)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 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
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1992No news is good news1,929 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited

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  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • Cited by

    • 2007Nonlinear neural network forecasting model for stock index option price: Hybrid GJR–GARCH approach141 cited
    • 2006MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS127 cited
    • 2004Volatility forecasting with smooth transition exponential smoothing122 cited
    • 2001Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction108 cited
    • 1999Asymmetric Nonlinear Smooth Transition Garch Models96 cited
    • 2022The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic88 cited
    • 2002An algorithm for nonparametric GARCH modelling82 cited
    • 2013What causes price volatility and regime shifts in the natural gas market71 cited
    • 2009MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL59 cited
    • 2004Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review52 cited
    • 1996Modeling the changing asymmetry of conditional variances50 cited
    • 2015Forecasting Tehran stock exchange volatility; Markov switching GARCH approach47 cited
    • 2014ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES46 cited
    • 2014LADE-Based Inference for ARMA Models With Unspecified and Heavy-Tailed Heteroscedastic Noises43 cited
    • 2012Shifts in Volatility Driven by Large Stock Market Shocks42 cited
    • 2018A Markov switching long memory model of crude oil price return volatility42 cited