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Stock Prices and Heteroscedasticity
0 references·16 citing·48 second hopsampled
Stock Prices and Heteroscedasticity (1976)Stock Prices and HeteroscedasticityIntraday volatility interaction between the crude oil and equity markets (2015)Intraday volatility interacti…Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality (2012)Nonparametric Copula-Based Te…Multidimensional minimal spanning tree: The Dow Jones case (2008)Multidimensional minimal span…A Three‐Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index (2005)A Three‐Regime Model of Specu…The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility (2001)The Dynamic Relation Between …The role of futures trading activity in exchange rate volatility (1996)The role of futures trading a…Heteroscedasticity in stock market indicator return data: volume versus GARCH effects (1996)Heteroscedasticity in stock m…STATISTICAL PROPERTIES OF DAILY RETURNS: EVIDENCE FROM EUROPEAN STOCK MARKETS (1994)STATISTICAL PROPERTIES OF DAI…GOOD NEWS, BAD NEWS, VOLUME, AND THE MONDAY EFFECT (1993)GOOD NEWS, BAD NEWS, VOLUME, …A Bayesian Approach to Modeling Stock Return Volatility for Option Valuation (1993)A Bayesian Approach to Modeli…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…R2 (1988)R2COSTLY SHORT SALES AND THE CORRELATION OF RETURNS WITH VOLUME (1988)COSTLY SHORT SALES AND THE CO…Transaction Data Tests of the Mixture of Distributions Hypothesis (1987)Transaction Data Tests of the…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Additional Evidence of Heteroscedasticity in the Market Model (1980)Additional Evidence of Hetero…Economic Forces and the Stock Market (1986)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Forecasting oil price realized volatility using information channels from other asset classes (2017)Impact of oil price change on airline's stock price and volatility: Evidence from China and South Korea (2018)Geopolitical risk and oil price volatility: Evidence from Markov-switching model (2022)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The day of the week effect on stock market volatility (2001)Modeling Conditional Volatility of the Indian Stock Markets (2005)Modelling and Estimation of Volatility Using ARCH/GARCH Models in Jordan’s Stock Market (2016)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Over-the-counter forward contracts and spot price volatility in shipping (2003)Futures Trading Activity and Commodity Cash Price Volatility (2005)Trading volume and volatility in the shipping forward freight market (2012)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)The Price Variability-Volume Relationship on Speculative Markets (1983)The Dependence between Hourly Prices and Trading Volume (1988)Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)The Behavior of Stock-Market Prices (1965)ARCH modeling in finance (1992)Empirical properties of asset returns: stylized facts and statistical issues (2001)The distribution of realized stock return volatility (2001)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Differences of Opinion Make a Horse Race (1993)Intraday periodicity and volatility persistence in financial markets (1997)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Causality in quantiles and dynamic stock return–volume relations (2009)Stock return forecasting: Some new evidence (2015)Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017)The Information Content of Annual Earnings Announcements (1968)Illiquidity and stock returns: cross-section and time-series effects (2002)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Manias, Panics, and Crashes: A History of Financial Crises (1979)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Conditional Skewness in Asset Pricing Tests (2000)Valuation ratios and price deviations from fundamentals (2005)Behavioral heterogeneity in stock prices (2007)Price Explosiveness, Speculation, and Grain Futures Prices (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)Investor attention, overconfidence and category learning (2006)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)
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  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
  • 1988R2630 cited
  • 2001The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility347 cited
  • 1987Transaction Data Tests of the Mixture of Distributions Hypothesis321 cited
  • 2015Intraday volatility interaction between the crude oil and equity markets116 cited
  • 1994STATISTICAL PROPERTIES OF DAILY RETURNS: EVIDENCE FROM EUROPEAN STOCK MARKETS99 cited
  • 1988COSTLY SHORT SALES AND THE CORRELATION OF RETURNS WITH VOLUME99 cited
  • 2005A Three‐Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index97 cited
  • 1996The role of futures trading activity in exchange rate volatility94 cited
  • 2012Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality77 cited
  • 1993GOOD NEWS, BAD NEWS, VOLUME, AND THE MONDAY EFFECT77 cited
  • 1996Heteroscedasticity in stock market indicator return data: volume versus GARCH effects74 cited
  • 2008Multidimensional minimal spanning tree: The Dow Jones case62 cited

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  • 1993A Bayesian Approach to Modeling Stock Return Volatility for Option Valuation50 cited
  • 1980Additional Evidence of Heteroscedasticity in the Market Model43 cited