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Nonlinearities and regime shifts in financial time series
15 references·1 citing·31 second hop
Nonlinearities and regime shifts in financial time series (1997)Nonlinearities and regime shifts in finan…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Concurrence, transition and evolution : perspectives of industrial marketing change processes (1996)Concurrence, transition and e…A study of patterns of communication in management accounting and control projects (1996)A study of patterns of commun…Modelling nonlinearity in U.S. Gross national product 1889?1987 (1995)Modelling nonlinearity in U.S…A Unified Approach to Testing for Serial Correlation in Stock Returns (1994)A Unified Approach to Testing…Statistical Models for Financial Volatility (1993)Statistical Models for Financ…Non-linearities in foreign exchange markets: a different perspective (1993)Non-linearities in foreign ex…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…Alternative models for conditional stock volatility (1990)Alternative models for condit…Heteroskedasticity in Stock Returns (1989)Heteroskedasticity in Stock R…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Essays in empirical corporate finance and governance (2002)Essays in empirical corporate…Time Series Analysis: Forecasting and Control (1977)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Why Does Stock Market Volatility Change Over Time? (1989)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)Do Long-Term Interest Rates Overreact to Short-Term Interest Rates? (1984)Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills (1988)Political risk and stock price volatility: The case of Hong Kong (1996)Are the gains from international portfolio diversification exaggerated? The influence of downside risk in bear markets (2002)The macroeconomic determinants of technology stock price volatility (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Small Sample Bias in GMM Estimation of Covariance Structures (1994)An evaluation of volatility forecasting techniques (1996)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Econometric Analysis of Cross Section and Panel Data (2001)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)5 Stochastic volatility (1996)Statistical aspects of ARCH and stochastic volatility (1996)Monte Carlo methods for security pricing (1997)Stock Prices and Volume (1992)Intraday periodicity and volatility persistence in financial markets (1997)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1988Rational-expectations econometric analysis of changes in regime898 cited
  • 1989Heteroskedasticity in Stock Returns479 cited
  • 1993Statistical Models for Financial Volatility165 cited
  • 1993Non-linearities in foreign exchange markets: a different perspective123 cited
  • 1994A Unified Approach to Testing for Serial Correlation in Stock Returns64 cited
  • 1995Modelling nonlinearity in U.S. Gross national product 1889?198737 cited
  • 1996A study of patterns of communication in management accounting and control projects35 cited
  • 1996Concurrence, transition and evolution : perspectives of industrial marketing change processes14 cited

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Cited by

  • 2002Essays in empirical corporate finance and governance17 cited