1. Volatility of BIST 100 Returns After 2020, Calendar Anomalies and COVID-19 Effect. (2021). Celk, Ali.
   In: Journal of BRSA Banking and Financial Markets.
   RePEc:bdd:journl:v:15:y:2021:i:1:p:61-81.

   Full description at Econpapers || Download paper

2. Exponential-type GARCH models with linear-in-variance risk premium. (2019). Hafner, Christian ; Dimitra, Kyriakopoulou ; Christian, Hafner.
   In: CORE Discussion Papers.
   RePEc:cor:louvco:2019013.

   Full description at Econpapers || Download paper

3. Informational Efficiency of the EU ETS market – a study of price predictability and profitable trading. (2012). Remes (née Aatola), Piia ; Ollikka, Kimmo ; Ollikainen, Markku.
   In: Working Papers.
   RePEc:fer:wpaper:28.

   Full description at Econpapers || Download paper

4. Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes. (2010). Matei, Marius.
   In: Working Papers of Institute for Economic Forecasting.
   RePEc:rjr:wpiecf:100201.

   Full description at Econpapers || Download paper

5. Estimating complex production functions: The importance of starting values. (2007). Neal, Mark.
   In: Risk and Sustainable Management Group Working Papers.
   RePEc:ags:uqsers:151178.

   Full description at Econpapers || Download paper

6. Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities. (2005). Shamiri, Ahmed ; Hassan, Abu .
   In: Econometrics.
   RePEc:wpa:wuwpem:0509015.

   Full description at Econpapers || Download paper

7. Modeling volatility and changes in the swap spread. (2003). In, Francis ; Fang, Victor ; Brown, Rob .
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:12:y:2003:i:5:p:545-561.

   Full description at Econpapers || Download paper

8. A perspective on credit derivatives. (2002). Hogan, Warren ; Batten, Jonathan.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:11:y:2002:i:3:p:251-278.

   Full description at Econpapers || Download paper

9. Valuing Credit Spreads on Quality Australian Dollar Eurobonds in a Multivariate EGARCH Framework.. (2002). Hogan, Warren ; Batten, Jonathan ; In, Francis.
   In: Australian Economic Papers.
   RePEc:bla:ausecp:v:41:y:2002:i:1:p:115-28.

   Full description at Econpapers || Download paper

10. Moments of the ARMA-EGARCH Model. (2000). Karanasos, Menelaos ; Kim, J..
    In: Discussion Papers.
    RePEc:yor:yorken:00/29.

    Full description at Econpapers || Download paper

1. Akgiray, Vedat Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts. 1989 Journal of Business. 62 55-80

2. Amemiya, Takeshi Advanced Econometrics. 1985 Harvard University Press: Cambridge
   Paper not yet in RePEc: Add citation now
   

3. Backus, David K. ; Gregory, Allan W. Theoretical Relations Between Risk Premiums and Conditional Variances. 1993 Journal of Business and Economic Statistics. 11 177-185

4. Black, Fischer Studies of Stock Market Volatility Changes. 1976 En : Proceedings of the American Statistical Association, Business and Economic Statistics Section. :
   Paper not yet in RePEc: Add citation now
   

5. Bollerslev, Tim A Conditionally Heteroscedastic Time Series Model for Speculative Prices and Rates of Return. 1987 Review of Economcis and Statistics. 69 542-547

6. Bollerslev, Tim Generalized Autoregressive Conditional Heteroscedasticity. 1986 Journal of Econometrics. 31 307-327

7. Bollerslev, Tim ; Chou, Ray Y. ; Kroner, Kenneth F. ARCH Modeling in Finance: A Review of Theory and Empirical Evidence. 1992 Journal of Econometrics. 52 5-59

8. Bollerslev, Tim ; Engle, Robert F. ; Wooldridge, Jeffrey M. A Capital Asset Pricing Model with Time-Varying Covariances. 1988 Journal of Political Economy. 96 116-131

9. Box, G.E.P. ; Tiao, G.C. Bayesian Inference in Statistical Analysis. 1973 Addison-Wesley: Reading, MA
   Paper not yet in RePEc: Add citation now
   

10. Engle, Robert F. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation. 1982 Econometrica. 50 987-1008

11. French, Kenneth E. ; Roll, Richard Stock Return Variances: The Arrival of Information and the Reaction of Traders. 1986 Journal of Financial Economics. 17 5-26

12. Glosten, Lawrence R. ; Jagannathan, Ravi ; Runkle, David E. On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. 1993 Journal of Finance. 48 1779-1801

13. Harvey, A.C. The Econometric Analysis of Time Series. 1981 Philip Allan: Oxford
    Paper not yet in RePEc: Add citation now
    
14. International Mathematical and Statistical Libraries (IMSL), STAT/LIBRARY:FORTRAN Subroutines for Statistical Analysis. 1989 IMSL: Houston
    Paper not yet in RePEc: Add citation now
    

15. Kim, Dongcheol ; Kon, Stanley J. Alternative Models for the Conditional Heteroscedasticity of Stock Returns. 1994 Journal of Business. 67 563-598

16. Lintner, John The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. 1965 Review of Economics and Statistics. 47 13-37
    Paper not yet in RePEc: Add citation now
    

17. Nelson, Daniel B. Conditional Heteroscedasticity in Asset Returns: A New Approach. 1991 Econometrica. 59 347-370

18. Ng, Lilian Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach. 1991 Journal of Finance. 46 1507-1521

19. Pagan, Adrian R. ; Schwert, G.William Alternative Models for Conditional Stock Volatility. 1990 Journal of Econometrics. 45 267-290

20. Schwartz, G. Estimating the Dimension of a Model. 1978 Annals of Statistics. 6 461-464
    Paper not yet in RePEc: Add citation now
    

21. Schwert, G.William ; Seguin, Paul J. Heteroskedasticity in Stock Returns. 1990 Journal of Finance. 45 1129-1155

22. Sharpe, William Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. 1964 Journal of Finance. 19 425-442

23. Tucker, Alan L. ; Pond, L. The Probability Distribution of Foreign Exchange Price Changes: Tests of Candidate Processes. 1988 Review of Economics and Statistics. 70 638-647

24. Turtle, Harry ; Buse, Adolf ; Korkie, Bob Tests of Conditional Asset Pricing with Time-Varying Moments and Risk Prices. 1994 Journal of Financial and Quantitative Analysis. 29 15-29

25. Whitelaw, Robert F. Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns. 1994 Journal of Finance. 49 515-541

1. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
   In: PhD Thesis.
   RePEc:uts:finphd:13.

   Full description at Econpapers || Download paper

2. Compound Wishart Matrices and Noisy Covariance Matrices: Risk Underestimation. (2013). Collins, Benoit ; Saad, Nadia ; McDonald, David.
   In: Papers.
   RePEc:arx:papers:1306.5510.

   Full description at Econpapers || Download paper

3. Exchange rates and oil prices: A multivariate stochastic volatility analysis. (2012). Ding, Liang ; Vo, Minh .
   In: The Quarterly Review of Economics and Finance.
   RePEc:eee:quaeco:v:52:y:2012:i:1:p:15-37.

   Full description at Econpapers || Download paper

4. Treatment of kurtosis in financial markets. (2012). Pérez, Jose ; GARCIA GARCIA, CATALINA ; Lopez Martin, Maria del Mar, ; Perez, Jose Garcia.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:391:y:2012:i:5:p:2032-2045.

   Full description at Econpapers || Download paper

5. Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts. (2012). Capistrán, Carlos ; Capistran, Carlos ; Benavides, Guillermo .
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:19:y:2012:i:5:p:627-639.

   Full description at Econpapers || Download paper

6. Forecasting Volatility in Financial Markets Using a Bivariate Stochastic Volatility Model with Surprising Information. (2011). Park, Beum Jo.
   In: Journal for Economic Forecasting.
   RePEc:rjr:romjef:v::y:2011:i:3:p:37-58.

   Full description at Econpapers || Download paper

7. Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility. (2011). Jánský, Ivo ; Jansk, Ivo ; Rippel, Milan .
   In: Working Papers IES.
   RePEc:fau:wpaper:wp2011_27.

   Full description at Econpapers || Download paper

8. Intraday volatility and periodicity in the Malaysian stock returns. (2010). Pok, Wee Ching ; Haniff, Mohd Nizal .
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:24:y:2010:i:3:p:329-343.

   Full description at Econpapers || Download paper

9. Currency crisis prediction using ADR market data: An options-based approach. (2010). Eichler, Stefan ; Maltritz, Dominik .
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:26:y::i:4:p:858-884.

   Full description at Econpapers || Download paper

10. Sur-réaction sur le marché tunisien des actions : une investigation empirique. (2009). Trabelsi, Mohamed Ali.
    In: MPRA Paper.
    RePEc:pra:mprapa:80441.

    Full description at Econpapers || Download paper

11. Institutional Investment and the Turn-of-the-Month Effect: Evidence from REITs. (2009). Zumpano, Leonard ; Wiley, Jonathan .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:39:y:2009:i:2:p:180-201.

    Full description at Econpapers || Download paper

12. Regime-switching stochastic volatility: Evidence from the crude oil market. (2009). Vo, Minh T..
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:5:p:779-788.

    Full description at Econpapers || Download paper

13. Sur-réaction sur le marché tunisien des actions : une investigation empirique. (2008). .
    In: MPRA Paper.
    RePEc:pra:mprapa:26751.

    Full description at Econpapers || Download paper

14. Size and Value Premium inKarachi Stock Exchange. (2008). Mirza, Nawazish ; Shahid, Saima .
    In: Lahore Journal of Economics.
    RePEc:lje:journl:v:13:y:2008:i:2:p:1-26.

    Full description at Econpapers || Download paper

15. Lost in Transmission? Stock Market Impacts of the 2006 European Gas Crisis. (2007). Ulbricht, Dirk ; Oberndorfer, Ulrich .
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:5689.

    Full description at Econpapers || Download paper

16. Beating the Random Walk: Intraday Seasonality and Volatility in a Developing Stock Market. (2006). Goh, Kim-Leng ; Kok, Kim-Lian .
    In: International Journal of Business and Economics.
    RePEc:ijb:journl:v:5:y:2006:i:1:p:41-59.

    Full description at Econpapers || Download paper

17. Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of Garch, Option Implied and Composite Forecast Models. (2006). Benavides, Guillermo .
    In: Working Papers.
    RePEc:bdm:wpaper:2006-04.

    Full description at Econpapers || Download paper

18. Implied Volatility as a Predictor: the Case of the IBEX-35 Future Contract/La volatilidad implícita como herramienta de predicción: una aplicación al contrato de futuro sobre Ibex 35. (2005). CABEDO, DAVID J. ; Clemente, Ismael Moya .
    In: Estudios de Economía Aplicada.
    RePEc:lrk:eeaart:23_1_4.

    Full description at Econpapers || Download paper

19. Market Reaction and Volatility in the Brazilian Stock Market. (2004). De Medeiros, Otavio ; Matsumoto, Alberto Shigueru.
    In: Finance.
    RePEc:wpa:wuwpfi:0412020.

    Full description at Econpapers || Download paper

20. A multivariate nonparametric test for return and volatility timing. (2004). Verbeek, Marno ; Marquering, Wessel .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:1:y:2004:i:4:p:250-260.

    Full description at Econpapers || Download paper

21. Analysis of the conditional stock-return distribution under incomplete specification. (2004). Baixauli, Samuel J. ; Alvarez, Susana .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:155:y:2004:i:2:p:276-283.

    Full description at Econpapers || Download paper

22. Modeling Volatility for the Chinese Equity Markets. (2004). Fabozzi, Frank ; Wu, Tony ; Tunaru, Radu.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2004:v:5:i:1:p:79-92.

    Full description at Econpapers || Download paper

23. Modelling the Risk at the Central European Stock Exchange at times of Crisis. (2004). Kanaryan, Nigokhos.
    In: Economic Thought journal.
    RePEc:bas:econth:y:2004:i:3:p:70-83.

    Full description at Econpapers || Download paper

24. Inflation and output as predictors of stock returns and volatility: international evidence. (2003). Kutan, Ali ; Davis, Nicole.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:9:p:693-700.

    Full description at Econpapers || Download paper

25. Futures trading activity and stock price volatility: some extensions. (2003). Song, Frank ; Chatrath, A. ; Adrangi, B..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:9:p:655-664.

    Full description at Econpapers || Download paper

26. The predictive power of implied volatility: Evidence from 35 futures markets. (2003). ORS, Evren ; Szakmary, Andrew ; Davidson, Wallace III ; Kim, Jin Kyoung.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:11:p:2151-2175.

    Full description at Econpapers || Download paper

27. The empirical relationship between risk and return: evidence from the UK stock market. (2003). Howe, John S. ; Xing, Xuejing.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:12:y:2003:i:3:p:329-346.

    Full description at Econpapers || Download paper

28. Volatility clustering in monthly stock returns. (2003). Jacobsen, Ben ; Dannenburg, Dennis.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:10:y:2003:i:4:p:479-503.

    Full description at Econpapers || Download paper

29. Winter Blues: A SAD Stock Market Cycle. (2003). Levi, Maurice ; Kramer, Lisa ; Kamstra, Mark.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:1:p:324-343.

    Full description at Econpapers || Download paper

30. Warrants pricing: Stochastic volatility vs. Black-Scholes. (2002). Huang, Yu Chuan, ; Chen, Shing Chun.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:10:y:2002:i:4:p:393-409.

    Full description at Econpapers || Download paper

31. Inexperienced banks and interstate mergers. (2002). Hart, Jeffrey R. ; Apilado, Vince P..
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:54:y:2002:i:3:p:313-330.

    Full description at Econpapers || Download paper

32. Time varying risk premia for real estate investment trusts: A GARCH-M model. (2001). Devaney, Michael .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:41:y:2001:i:3:p:335-346.

    Full description at Econpapers || Download paper

33. Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility. (2000). Koopman, Siem Jan ; Hol, Eugenie .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20000104.

    Full description at Econpapers || Download paper

34. Robust out-of-sample inference. (2000). McCracken, Michael ; Mc Cracken, Michael W., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:99:y:2000:i:2:p:195-223.

    Full description at Econpapers || Download paper

35. Stock Returns Volatility in an Emerging Market: The Pakistani Evidence. (1999). Uppal, Jamshed ; Husain, Fazal.
    In: MPRA Paper.
    RePEc:pra:mprapa:5270.

    Full description at Econpapers || Download paper

36. The Response of Karachi Stock Exchange to Nuclear Detonation. (1999). Ahmed, Ayaz ; Javed, Attiya Y..
    In: The Pakistan Development Review.
    RePEc:pid:journl:v:38:y:1999:i:4:p:777-786.

    Full description at Econpapers || Download paper

37. Structural change and time dependence in models of stock returns. (1999). Kim, Dongcheol ; Kon, Stanley J..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:6:y:1999:i:3:p:283-308.

    Full description at Econpapers || Download paper

38. Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis. (1998). Ackert, Lucy ; Racine, Marie D..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:98-14.

    Full description at Econpapers || Download paper

39. Estimating EGARCH-M models: Science or art?. (1998). St. Pierre, Eileen F..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:38:y:1998:i:2:p:167-180.

    Full description at Econpapers || Download paper

40. Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model. (1998). Elyasiani, Elyas ; Mansur, Iqbal.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:22:y:1998:i:5:p:535-563.

    Full description at Econpapers || Download paper

41. Stochastic properties and predictability of intraday Taiwan exchange rates. (1998). Chen, An-Sing ; Leung, Mark T..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:7:y:1998:i:3:p:207-220.

    Full description at Econpapers || Download paper

42. Forecasting exchange rate volatility using conditional variance models selected by information criteria. (1998). Brooks, Chris ; Burke, Simon P..
    In: Economics Letters.
    RePEc:eee:ecolet:v:61:y:1998:i:3:p:273-278.

    Full description at Econpapers || Download paper

43. Option pricing using EGARCH models. (1996). Schmitt, Christian .
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:9620.

    Full description at Econpapers || Download paper

44. One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -. (1996). Kaiser, Thomas .
    In: Econometrics.
    RePEc:wpa:wuwpem:9612007.

    Full description at Econpapers || Download paper

45. Behavior of international stock return distributions: A simple test of functional form. (1996). Hogan, Kedreth Jr., ; Errunza, Vihang ; Mazumdar, Sumon C..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:5:y:1996:i:1:p:51-61.

    Full description at Econpapers || Download paper

46. An evaluation of volatility forecasting techniques. (1996). faff, robert ; Brailsford, Timothy J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:20:y:1996:i:3:p:419-438.

    Full description at Econpapers || Download paper

47. Trading-round-the clock: Return, volatility and volume spillovers in the Eurodollar futures markets. (1995). Abhyankar, Abhay H..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:3:y:1995:i:1:p:75-92.

    Full description at Econpapers || Download paper

48. Conditional volatility and the informational efficiency of the PHLX currency options market. (1995). xu, xinzhong ; Taylor, Stephen J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:19:y:1995:i:5:p:803-821.

    Full description at Econpapers || Download paper

49. The Internationalisation of the Pakistani Stock Market: An Empirical Investigation. (1993). Uppal, Jamshed.
    In: The Pakistan Development Review.
    RePEc:pid:journl:v:32:y:1993:i:4:p:605-618.

    Full description at Econpapers || Download paper

50. No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns. (1991). Campbell, John ; Hentschel, Ludger .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3742.

    Full description at Econpapers || Download paper

Report date: 2025-03-01 07:33:18 || Missing content? Let us know