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Decoding Chinese stock market returns: Three-state hidden semi-Markov model
16 references·1 citing·30 second hop
Decoding Chinese stock market returns: Three-state hidden semi-Markov model (2017)Decoding Chinese stock market returns: Th…A Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…The variation of certain speculative prices (1997)The variation of certain spec…The econometrics of financial markets (1996)The econometrics of financial…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financeGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Cryptocurrency: Not far from equilibrium (2022)Cryptocurrency: Not far from …The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)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)Risk, Return, and Equilibrium: Empirical Tests (1973)Fractional Brownian Motions, Fractional Noises and Applications (1968)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Econometric Analysis of Cross Section and Panel Data (2001)Multivariate Stochastic Variance Models (1994)Forecasting Volatility in Financial Markets: A Review (2003)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
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  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
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  • 1996The econometrics of financial markets886 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach

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818 cited
  • 1972The Distribution of Share Price Changes533 cited
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    • 2022Cryptocurrency: Not far from equilibrium25 cited