• NEP-ALL-1999-02-08 (All new papers)
• NEP-CFN-1999-02-08 (Corporate Finance)

1. Baillie, Richard T & Bollerslev, Tim, 1989. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 297-305, July.
   Other versions:
   • Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
3. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September. [Downloadable!] (restricted)
4. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January. [Downloadable!] (restricted)
   Other versions:
   • Geert Bekaert & Campbell R. Harvey, 1997. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
5. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(4), pages 427-445. [Downloadable!] (restricted)
6. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-73, April. [Downloadable!] (restricted)
7. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59. [Downloadable!] (restricted)
8. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August. [Downloadable!] (restricted)
9. Giorgio De Santis & Selahattin Imrohoroglu, 1994. "Stock returns and volatility in emerging financial markets," Discussion Paper / Institute for Empirical Macroeconomics 93, Federal Reserve Bank of Minneapolis. [Downloadable!]
   Other versions:
   • De Santis, Giorgio & imrohoroglu, Selahattin, 1997. "Stock returns and volatility in emerging financial markets," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 561-579, August. [Downloadable!] (restricted)
10. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)

Cited by:
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1. Cornelis A. Los & Bing Yu, 2005. "Persistence Characteristics of the Chinese Stock Markets," Finance 0508008, EconWPA. [Downloadable!]
   Other versions:
   • Los, Cornelis A. & Yu, Bing, 2008. "Persistence characteristics of the Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 64-82. [Downloadable!] (restricted)
2. Dongwei Su, 2000. "Asset Pricing in A Segmented Emerging Market," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 387-412, November. [Downloadable!]
3. J. Wang & B. M. Burton & D. M. Power, 2004. "Analysis of the overreaction effect in the Chinese stock market," Applied Economics Letters, Taylor and Francis Journals, vol. 11(7), pages 437-442, June. [Downloadable!] (restricted)
4. Belton Fleisher & Dongwei Su, 1998. "Why Does Return Volatility Differ in Chinese Stock Markets?," Working Papers 98-03, Ohio State University, Department of Economics. [Downloadable!]
   Other versions:
   • Su, Dongwei & Fleisher, Belton M., 1999. "Why does return volatility differ in Chinese stock markets?," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 557-586, December. [Downloadable!] (restricted)
5. Dat Bue Lock, 2007. "The China A shares follow random walk but the B shares do not," Economics Bulletin, Economics Bulletin, vol. 7(9), pages 1-12. [Downloadable!]
6. Robert D. Brooks & Vanitha Ragunathan, 2003. "Returns and volatility on the Chinese stock markets," Applied Financial Economics, Taylor and Francis Journals, vol. 13(10), pages 747-752, October. [Downloadable!] (restricted)
7. Chien-Liang Chiu & Mingchih Lee & Chun-Da Chen, 2005. "Removal of an investment restriction: the 'B' share experience from China's stock markets," Applied Financial Economics, Taylor and Francis Journals, vol. 15(4), pages 273-285, February. [Downloadable!] (restricted)
8. Ping Wang & Peijie Wang & Aying Liu, 2005. "Stock return volatility and trading volume: evidence from the chinese stock market," Journal of Chinese Economic and Business Studies, Taylor and Francis Journals, vol. 3(1), pages 39-54, January. [Downloadable!] (restricted)
9. H. R. Seddighi & W. Nian, 2004. "The Chinese stock exchange market: operations and efficiency," Applied Financial Economics, Taylor and Francis Journals, vol. 14(11), pages 785-797, July. [Downloadable!] (restricted)