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Stock Return, Volatility And The Global Financial Crisis In An Emerging Market: The Nigerian Case
16 references·4 citing·24 second hopsampled
Stock Return, Volatility And The Global Financial Crisis In An Emerging Market: The Nigerian Case (2009)Stock Return, Volatility And The Global F…Modelling Financial Time Series (2007)Modelling Financial Time Seri…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…Chapter 49 Arch models (1994)Chapter 49 Arch modelsOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Expected stock returns and volatility (1987)Expected stock returns and vo…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Impact of Global Financial Crisis on Stock Market Volatility: Evidence from India (2014)Impact of Global Financial Cr…Volatility in Asian stock markets and global financial crisis (2013)Volatility in Asian stock mar…Business Ethics as a Tool for Competitive Advantage in the Banking Industry in Nigeria (2013)Business Ethics as a Tool for…Modelling the time‐varying volatility of equities returns in Kenya (2010)Modelling the time‐varying vo…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Dynamic Conditional Correlation (2002)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (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)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)The variation of certain speculative prices (1997)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Modeling and Forecasting Realized Volatility (2003)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Multivariate GARCH models: a surveyEmerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1994Chapter 49 Arch models880 cited
  • 2002The Message in Daily Exchange Rates

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791 cited

Cited by

  • 2013Volatility in Asian stock markets and global financial crisis40 cited
  • 2014Impact of Global Financial Crisis on Stock Market Volatility: Evidence from India30 cited
  • 2010Modelling the time‐varying volatility of equities returns in Kenya25 cited
  • 2013Business Ethics as a Tool for Competitive Advantage in the Banking Industry in Nigeria15 cited