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Stock Market Volatility

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References

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Cited by

2001The Impact of Jumps in Volatility and Returns338 cited
1999Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon335 cited
2012

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The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets

200 cited

1991Lévy walks and enhanced diffusion in Milan stock exchange193 cited

2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian192 cited

1993Securities Transaction Taxes: An Overview of Costs, Benefits and Unresolved Questions189 cited

2004Index futures and positive feedback trading: evidence from major stock exchanges176 cited

2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian173 cited

1996THE EMPIRICAL RELATIONSHIP BETWEEN TRADING VOLUME, RETURNS AND VOLATILITY160 cited

2002Stock volatility in the new millennium: how wacky is Nasdaq?153 cited

2002Estimating daily volatility in financial markets utilizing intraday data139 cited

2003Realized volatility in the futures markets133 cited

1990The Financial System and Economic Performance125 cited

2002Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH123 cited

1995Has futures trading activity caused stock price volatility?117 cited

2002Nonlinear Features of Realized FX Volatility112 cited