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ARCH Models for Financial Applications

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References

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Cited by

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2016Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries157 cited
2021A closer look into the global determinants of oil price volatility

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2018Forecasting global stock market implied volatility indices58 cited

2014Business Cycle Synchronization in EU: A Time‐Varying Approach51 cited

2016An Overview of FIGARCH and Related Time Series Models51 cited

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2018The accuracy of asymmetric GARCH model estimation33 cited

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2018The intraday volatility spillover index approach and an application in the Brexit vote30 cited

2014Influence diagnostics in log-linear integer-valued GARCH models29 cited

2017Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets29 cited