SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Modelling the asymmetry of stock market volatility
16 references·6 citing·19 second hop
Modelling the asymmetry of stock market volatility (1998)Modelling the asymmetry of stock market v…The econometrics of financial markets (1996)The econometrics of financial…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…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…No news is good news (1992)No news is good newsARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stationarity and Persistence in the GARCH(1,1) Model (1990)Stationarity and Persistence …Alternative models for conditional stock volatility (1990)Alternative models for condit…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of 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…Forecasting Tehran stock exchange volatility; Markov switching GARCH approach (2015)Forecasting Tehran stock exch…Modelling Australian stock market volatility (2011)Modelling Australian stock ma…Flight-to-quality and asymmetric volatility responses in US Treasuries (2008)Flight-to-quality and asymmet…Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange (2005)Dynamic volatility and extern…Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia (2005)Asymmetric volatility of stoc…Can portmanteau nonlinearity tests serve as general mis-specification tests? (2000)Can portmanteau nonlinearity …The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)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)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 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
  • 1992ARCH modeling in finance4,288 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1992No news is good news1,929 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1990Stationarity and Persistence in the GARCH(1,1) Model

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

1,093 cited
  • 1996The econometrics of financial markets886 cited
  • Cited by

    • 2000Can portmanteau nonlinearity tests serve as general mis-specification tests?54 cited
    • 2015Forecasting Tehran stock exchange volatility; Markov switching GARCH approach47 cited
    • 2005Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia39 cited
    • 2011Modelling Australian stock market volatility31 cited
    • 2005Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange28 cited
    • 2008Flight-to-quality and asymmetric volatility responses in US Treasuries20 cited