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Price limits and volatility
16 references·0 citing·44 second hop
Price limits and volatility (2016)Price limits and volatilityPropensity score matching and abnormal performance after seasoned equity offerings (2006)Propensity score matching and…Price limit performance: evidence from transactions data and the limit order book (2005)Price limit performance: evid…On the Benefits of Concurrent Lending and Underwriting (2005)On the Benefits of Concurrent…Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows (2005)Changing Names with Style: Mu…The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)The magnet effect of price li…Death spiral convertibles (2003)Death spiral convertiblesWhen Is Bad News Really Bad News? (2002)When Is Bad News Really Bad N…Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger (1999)Cointegration, causality, and…A Long-Run and Short-Run Component Model of Stock Return Volatility (1999)A Long-Run and Short-Run Comp…Price Limit Performance: Evidence from the Tokyo Stock Exchange (1997)Price Limit Performance: Evid…Circuit Breakers and Market Volatility: A Theoretical Perspective (1994)Circuit Breakers and Market V…A Permanent and Transitory Component Model of Stock Return Volatility (1993)A Permanent and Transitory Co…Commentary: Volatility, price resolution, and the effectiveness of price limits (1989)Commentary: Volatility, price…Commentary: Volatility, Price Resolution, and the Effectiveness of Price Limits (1989)Commentary: Volatility, Price…Black Monday and the future of financial markets (1989)Black Monday and the future o…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market (2016)Daily price limits and destructive market behavior (2018)Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre (2020)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Trading strategies during circuit breakers and extreme market movements (2004)Liquidity and Financial Market Stability (2010)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Conditional logit analysis of qualitative choice behavior (1972)Limited-dependent and qualitative variables in econometrics (1983)Initial Public Offerings and Underwriter Reputation (1990)Understanding Bank Runs: The Importance of Depositor-Bank Relationships and Networks (2012)Corporate social responsibility and social capital (2015)Bank Capital and Lending Relationships (2017)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)Inexperienced Investors and Bubbles (2008)Performance evaluation and self-designated benchmark indexes in the mutual fund industry (2009)Whistle-Blowing: Target Firm Characteristics and Economic Consequences (2010)The Cross-Section of Expected Stock Returns (1992)Jumps, cojumps and macro announcements (2010)Corporate social responsibility and media coverage (2015)Chief sustainability officers and corporate social (Ir)responsibility (2019)MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)The impact of energy consumption and economic development on Ecological Footprint and CO2 emissions: Evidence from a Markov Switching Equilibrium Correction Model (2017)A multiple indicators model for volatility using intra-daily data (2005)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Neglecting parameter changes in GARCH models (2005)Option valuation with long-run and short-run volatility components☆ (2008)Capturing Option Anomalies with a Variance-Dependent Pricing Kernel (2013)Stock Market Crashes, Precursors and Replicas (1996)Large financial crashes (1997)Critical market crashes (2003)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2005On the Benefits of Concurrent Lending and Underwriting539 cited
  • 1993A Permanent and Transitory Component Model of Stock Return Volatility501 cited
  • 2005Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows472 cited
  • 1997Price Limit Performance: Evidence from the Tokyo Stock Exchange377 cited
  • 1999A Long-Run and Short-Run Component Model of Stock Return Volatility350 cited
  • 1999Cointegration, causality, and forecasting : a festschrift in honour of Clive W.J. Granger313 cited
  • 2002When Is Bad News Really Bad News?298 cited
  • 1994Circuit Breakers and Market Volatility: A Theoretical Perspective259 cited
  • 1989Black Monday and the future of financial markets249 cited
  • 2003The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange163 cited
  • 2003Death spiral convertibles158 cited
  • 2005Price limit performance: evidence from transactions data and the limit order book115 cited
  • 2006Propensity score matching and abnormal performance after seasoned equity offerings112 cited
  • 1989Commentary: Volatility, Price Resolution, and the Effectiveness of Price Limits

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106 cited
  • 1989Commentary: Volatility, price resolution, and the effectiveness of price limits96 cited
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