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EMPIRICAL ANALYSIS OF STOCK RETURNS AND VOLATILITY: EVIDENCE FROM ASIAN STOCK MARKETS
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EMPIRICAL ANALYSIS OF STOCK RETURNS AND VOLATILITY: EVIDENCE FROM ASIAN STOCK MARKETS (2016)EMPIRICAL ANALYSIS OF STOCK RETURNS AND V…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)GARCH 101: The Use of ARCH/GA…Emerging equity market volatility (1997)Emerging equity market volati…5 Stochastic volatility (1996)5 Stochastic volatilityTime-Varying World Market Integration (1995)Time-Varying World Market Int…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Does the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The market for corporate control (1983)The market for corporate cont…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…On estimating the expected return on the market (1980)On estimating the expected re…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Symmetric and asymmetric volatility spillover among BRICS countries' stock markets (2023)Symmetric and asymmetric vola…Specification Tests in Econometrics (1978)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Markets and Hierarchies: Analysis and Antitrust Implications. (1976)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Separation of Ownership and Control (1983)Management ownership and market valuation (1988)Agency Theory: An Assessment and Review (1989)A Survey of Corporate Governance (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Financial Dependence and Growth (1996)Foreign Speculators and Emerging Equity Markets (2000)Does financial liberalization spur growth? (2005)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Econometric Analysis of Cross Section and Panel Data (2001)
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  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1965The Behavior of Stock-Market Prices8,772 cited
  • 1985Does the Stock Market Overreact?7,756 cited
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  • 1980On estimating the expected return on the market2,818 cited
  • 1995Time-Varying World Market Integration2,307 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,138 cited
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  • 2001GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics1,279 cited
  • 19965 Stochastic volatility1,189 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1989Stock Volatility and the Crash of '87

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  • 2023Symmetric and asymmetric volatility spillover among BRICS countries' stock markets16 cited