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Stock returns, seasonality and asymmetric conditional volatility in world equity markets
16 references·11 citing·24 second hopsampled
Stock returns, seasonality and asymmetric conditional volatility in world equity markets (2001)Stock returns, seasonality and asymmetric…An evaluation of volatility forecasting techniques (1996)An evaluation of volatility f…Stock returns and volatility a firm-level analysis (1995)Stock returns and volatility …Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Chapter 49 Arch models (1994)Chapter 49 Arch modelsAnomalies or illusions? Evidence from stock markets in eighteen countries (1994)Anomalies or illusions? Evide…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…Stock Returns and Volatility (1990)Stock Returns and VolatilityThe statistical properties of daily foreign exchange rates: 1974–1983 (1988)The statistical properties of…Expected stock returns and volatility (1987)Expected stock returns and vo…The Week-End Effect in Common Stock Returns: The International Evidence (1985)The Week-End Effect in Common…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Day-of-the-week effect on the VIX. A parsimonious representation (2012)Day-of-the-week effect on the…Time-shift asymmetric correlation analysis of global stock markets (2010)Time-shift asymmetric correla…The day-of-the-week effects on the volatility: The role of the asymmetry (2009)The day-of-the-week effects o…Calendar Anomalies in the Ghana Stock Exchange (2009)Calendar Anomalies in the Gha…The asymmetric behaviour of stock returns and volatilities: evidence from Chinese stock market (2008)The asymmetric behaviour of s…The day-of-the-week effect in conditional correlation (2006)The day-of-the-week effect in…Day of the Week Effect in Istanbul Stock Exchange (2006)Day of the Week Effect in Ist…Calendar anomalies in an emerging African market: evidence from the Ghana Stock Exchange (2006)Calendar anomalies in an emer…Stock returns and volatility: empirical evidence from fourteen countries (2005)Stock returns and volatility:…Seasonality in the Asia Pacific stock markets (2005)Seasonality in the Asia Pacif…Periodic Stochastic Volatility and Fat Tails (2005)Periodic Stochastic Volatilit…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling and Forecasting Realized Volatility (2001)Stock market volatility, excess returns, and the role of investor sentiment (2002)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)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)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

  • 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
  • 1987Expected stock returns and volatility4,147 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
  • 1992No news is good news1,929 cited
  • 1994Chapter 49 Arch models880 cited
  • 1985The Week-End Effect in Common Stock Returns: The International Evidence771 cited
  • 1990Stock Returns and Volatility722 cited
  • 1994Anomalies or illusions? Evidence from stock markets in eighteen countries543 cited
  • 1996An evaluation of volatility forecasting techniques479 cited
  • 1988The statistical properties of daily foreign exchange rates: 1974–1983432 cited
  • 1995

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Stock returns and volatility a firm-level analysis
391 cited

Cited by

  • 2005Periodic Stochastic Volatility and Fat Tails67 cited
  • 2009The day-of-the-week effects on the volatility: The role of the asymmetry54 cited
  • 2005Seasonality in the Asia Pacific stock markets49 cited
  • 2010Time-shift asymmetric correlation analysis of global stock markets40 cited
  • 2009Calendar Anomalies in the Ghana Stock Exchange34 cited
  • 2005Stock returns and volatility: empirical evidence from fourteen countries28 cited
  • 2006Day of the Week Effect in Istanbul Stock Exchange28 cited
  • 2006The day-of-the-week effect in conditional correlation25 cited
  • 2012Day-of-the-week effect on the VIX. A parsimonious representation22 cited
  • 2006Calendar anomalies in an emerging African market: evidence from the Ghana Stock Exchange21 cited
  • 2008The asymmetric behaviour of stock returns and volatilities: evidence from Chinese stock market20 cited