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Volume Effect, Volatility, and International Transmission between Stock Markets (In French)
16 references·16 citing·47 second hopsampled
Volume Effect, Volatility, and International Transmission between Stock Markets (In French) (2011)Volume Effect, Volatility, and Internatio…Competition Among Financial Intermediaries and the Risk of Contagious Failures (2011)Competition Among Financial I…THE HIGH- AND LOW-RISK ASSET DEMAND OF FRENCH HOUSEHOLDS (2010)THE HIGH- AND LOW-RISK ASSET …European Integration and the Demand for Broad Money (2005)European Integration and the …Partial compatibility with network externalities and double purchase (1999)Partial compatibility with ne…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)Price Volatility, Trading Vol…Impulse Control Method and Exchange Rate (1993)Impulse Control Method and Ex…A Permanent and Transitory Component Model of Stock Return Volatility (1993)A Permanent and Transitory Co…Stock returns and volatility: An empirical study of the UK stock market (1992)Stock returns and volatility:…Optimal Consumption and Portfolio Policies with an Infinite Horizon: Existence and Convergence (1992)Optimal Consumption and Portf…DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 (1992)DERIVATIVE ASSET PRICING WITH…Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …A Model of Asset Trading Under the Assumption of Sequential Information Arrival (1976)A Model of Asset Trading Unde…Testing the Null Hypothesis of Stationarity in Fractionally Integrated Models (2011)Testing the Null Hypothesis o…Optimal Supervisory Policies and Depositor-Preferences Laws (2011)Optimal Supervisory Policies …Modelling the Swap Spread (2011)Modelling the Swap SpreadWhat is the Best Approach to Measure the Interdependence between Different Markets? (2010)What is the Best Approach to …The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk (2010)The Cross-Section of Foreign …The Breaks in Per Capita Productivity Trends in a Number of Industrial Countries (2010)The Breaks in Per Capita Prod…The Bank Bias: Segmentation of French Fund Families (2010)The Bank Bias: Segmentation o…Short-Run Assessment of French Economic Activity Using Optim (2010)Short-Run Assessment of Frenc…Is There a Bank Lending Channel in France? Evidence from Bank Panel Data (2010)Is There a Bank Lending Chann…ICT Diffusion and Potential Output Growth (2010)ICT Diffusion and Potential O…Forecasting Inflation Using Economic Indicators: The Case of France (2010)Forecasting Inflation Using E…Estimation of a Time Varying NAIRU for France (2010)Estimation of a Time Varying …Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence (2010)Conditional Volatility, Skewn…Conditional Dependency of Financial Series: An Application of Copulas (2010)Conditional Dependency of Fin…Asset Allocation in Transition Economies (2010)Asset Allocation in Transitio…Reading the smile: the message conveyed by methods which infer risk neutral densities (2000)Reading the smile: the messag…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The relation between implied and realized volatility (1998)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Macroeconomics and Reality (1980)Continuous Auctions and Insider Trading (1985)Chapter 49 Arch models (1994)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)The econometrics of financial markets (1996)Option pricing: A simplified approach (1979)Capital Market Equilibrium with Transaction Costs (1986)Portfolio Selection with Transaction Costs (1990)There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)Impulse Control of Brownian Motion (1983)Continuous Martingales and Brownian Motion (1991)Target Zones and Exchange Rate Dynamics (1991)Optimal Central Bank Intervention in the Foreign Exchange Market (1999)Entropy densities with an application to autoregressive conditional skewness and kurtosis (2002)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Information and volatility linkages in the stock, bond, and money markets11This paper was previously under the title, `Volatility and common information in the stock, bond, and money markets’. We thank Paul Seguin (the referee) for numerous suggestions that substantially imporved the paper. We also received the helpful comments from Bill Schwert (the editor), David Ellis, Wayne Ferson, John Graham, Bruce Grundy, Kathleen Weiss Hanley, Larry Harris, George Kanatas, Tom Smith, Raul Susmel, and Bob Whaley, and seminar participants at the 1996 Texas Finance Symposium, the 1997 American Finance Association meetings in New Orleans, The Australian Graduate School of Management, the University of Houston, Rice University, the University of Texas at Austin, the University of Utah, and the University of Washington. Part of this research was completed while the second author was visiting Rice University. (1998)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Trade size, order imbalance, and the volatility–volume relation (2000)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Noise Trader Risk in Financial Markets (1990)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)A multiple indicators model for volatility using intra-daily data (2005)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)An Equilibrium Model of Asset Trading with Sequential Information Arrival (1981)The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence (2002)Evidence on the speed of convergence to market efficiency (2005)
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References

  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
  • 1993Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets667 cited
  • 1976A Model of Asset Trading Under the Assumption of Sequential Information Arrival556 cited
  • 1993A Permanent and Transitory Component Model of Stock Return Volatility501 cited
  • 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1420 cited
  • 1993Impulse Control Method and Exchange Rate270 cited
  • 1992Optimal Consumption and Portfolio Policies with an Infinite Horizon: Existence and Convergence229 cited
  • 2005European Integration and the Demand for Broad Money202 cited
  • 1992Stock returns and volatility: An empirical study of the UK stock market200 cited
  • 1999Partial compatibility with network externalities and double purchase194 cited
  • 2011Competition Among Financial Intermediaries and the Risk of Contagious Failures

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178 cited
  • 2010THE HIGH- AND LOW-RISK ASSET DEMAND OF FRENCH HOUSEHOLDS155 cited
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    • 2010Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence120 cited
    • 2010Short-Run Assessment of French Economic Activity Using Optim119 cited
    • 2010Is There a Bank Lending Channel in France? Evidence from Bank Panel Data118 cited
    • 2000Reading the smile: the message conveyed by methods which infer risk neutral densities117 cited
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    • 2010Forecasting Inflation Using Economic Indicators: The Case of France113 cited
    • 2011Modelling the Swap Spread112 cited
    • 2010Asset Allocation in Transition Economies104 cited
    • 2010What is the Best Approach to Measure the Interdependence between Different Markets?95 cited
    • 2010The Breaks in Per Capita Productivity Trends in a Number of Industrial Countries86 cited
    • 2010The Bank Bias: Segmentation of French Fund Families83 cited
    • 2010The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk81 cited
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