This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Citations for " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects"

by Lamoureux, Christopher G & Lastrapes, William D

For a complete description of this item, click here.
Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Robert F. Engle & Jeffrey R. Russell, 1994. "Forecasting Transaction Rates: The Autoregressive Conditional Duration Model," NBER Working Papers 4966, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Nikolaus Hautsch, 2007. "Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model," CFS Working Paper Series 2007/25, Center for Financial Studies. [Downloadable!]
    Other versions:
  3. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, EconWPA. [Downloadable!]
  4. Paul D. McNelis & Carrie K.C. Chan, 2004. "Deflationary Dynamics in Hong Kong: Evidence from Linear and Neural Network Regime Switching Models," Working Papers 212004, Hong Kong Institute for Monetary Research. [Downloadable!]
  5. Albuquerque, Rui & Bauer, Gregor H & Schneider, Martin, 2006. "Global Private Information in International Equity Markets," CEPR Discussion Papers 5819, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  6. Chikashi Tsuji, 2003. "Is Volatility the Best Predictor of Market Crashes?," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 163-185, September. [Downloadable!] (restricted)
  7. Michael J. Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Staff Reports 82, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  8. Zdravetz Lazarov, 2005. "Assesing the Economic Significance of the Intra-daily Volatility Seasonalities," School of Economics and Finance Discussion Papers and Working Papers Series 203, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  9. S. Wong & C. Yiu & M. Tse & K. Chau, 2006. "Do the Forward Sales of Real Estate Stabilize Spot Prices?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 289-304, May. [Downloadable!] (restricted)
  10. Giampiero M. Gallo, Barbara Pacini, 2000. "The effects of trading activity on market volatility," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 163-175, June. [Downloadable!] (restricted)
  11. Takatoshi Ito & Wen-Ling Lin, 1993. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Working Papers 4592, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  12. 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:
  13. Pauline M. Shum & James E. Pesando, 1996. "Share Price Response to New Information with Short Horizon Investors the Case of Hong Kong," Working Papers 1997_02, York University, Department of Economics. [Downloadable!]
  14. Berg, Lennart, 2000. "Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden," Working Paper Series 2000:9, Uppsala University, Department of Economics. [Downloadable!]
    Other versions:
  15. Lucy Ackert & Marie Racine, 1997. "The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets," Atlantic Economic Journal, International Atlantic Economic Society, vol. 25(4), pages 371-385, December. [Downloadable!] (restricted)
  16. Thierry Ané & Loredana Ureche-Rangau, 2004. "Does trading volume really explain stock returns volatility?," Working Papers 2004-FIN-02, IESEG School of Management. [Downloadable!]
  17. Brian M. Lucey, 2005. "Does volume provide information? Evidence from the Irish Stock Market," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(2), pages 105-109, March. [Downloadable!] (restricted)
  18. Shinn-Juh Lin & Jian Yang, 2000. "Testing Shifts in Financial Models with Conditional Heteroskedasticity: An Empirical Distribution Function Approach," Econometric Society World Congress 2000 Contributed Papers 0063, Econometric Society. [Downloadable!]
  19. Brian M. Lucey, 2005. "Speculation or hedging in the Irish stock exchange," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(1), pages 9-14, January. [Downloadable!] (restricted)
  20. Ferhan Salman, 1999. "Risk-return-volume relationship in an emerging stock market," Discussion Papers 9901, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
    Other versions:
  21. Roxana Chiriac & Valeri Voev, 2008. "Modelling and Forecasting Multivariate Realized Volatility," CoFE Discussion Paper 08-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Other versions:
  22. Craig A. Depken II, 2001. "Good News, Bad News And Garch Effects In Stock Return Data," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 313-327, November. [Downloadable!]
  23. Han, Heejoon & Park, Joon Y., 2006. "Time series properties of ARCH processes with persistent covariates," MPRA Paper 5199, University Library of Munich, Germany. [Downloadable!]
  24. Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "A Volatility Targeting GARCH model with Time-Varying Coefficients," Working Papers of CREFI-LSF (Centre of Research in Finance - Luxembourg School of Finance) 09-08, CREFI-LSF, University of Luxembourg. [Downloadable!]
  25. Christian T. Brownlees & Giampiero Gallo, 2007. "Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria," Econometrics Working Papers Archive wp2007_04, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
  26. J. Kim & A. Kartsaklas & M. Karanasos, 2005. "The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997," Asia-Pacific Financial Markets, Springer, vol. 12(3), pages 245-271, September. [Downloadable!] (restricted)
  27. GIOT, Pierre & ,, 1999. "Time transformations, intraday data and volatility models ," CORE Discussion Papers 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  28. Andrew W. Lo & Jiang W. Wang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," NBER Working Papers 7625, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  29. David Berger & Alain Chaboud & Erik Hjalmarsson & Edward Howorka, 2006. "What drives volatility persistence in the foreign exchange market?," International Finance Discussion Papers 862, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  30. Juan A. Lafuente & Manuel Illueca Muñoz, 2006. "New Evidence On Expiration-Day Effects Using Realized Volatility: An Intraday Analysis For The Spanish Stock Exchange," Working Papers. Serie EC 2006-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  31. ROUSAN, Raya & AL-KHOURI, Ritab, 2005. "Modeling Market Volatility in Emerging Markets: The case of Daily Data in Amman Stock Exchange 1992-2004," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(4), pages 99-118. [Downloadable!]
  32. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner, 1991. "Les modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annales d'Economie et de Statistique, ADRES, issue 24, pages 01, Octobre-D. [Downloadable!]
  33. Nikolaus Hautsch & Dieter Hess, 2002. "The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report," CoFE Discussion Paper 02-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  34. Dominique Dupont, 1997. "Trading volume and information distribution in a market-clearing framework," Finance and Economics Discussion Series 1997-41, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  35. Andreas Krause, 2000. "Microstructure Effects on Daily Return Volatility in Financial Markets," Quantitative Finance Papers cond-mat/0011295, arXiv.org. [Downloadable!]
  36. Marwan Izzeldin & Ana-Maria Fuertes & Elena Kalotychou, 2008. "On forecasting daily stock volatility: the role of intraday information and market conditions," Working Papers 005439, Lancaster University Management School, Economics Department. [Downloadable!]
    Other versions:
  37. Sam Howison & David lamper, 2000. "Trading Volume in Models of Financial Derivatives," OFRC Working Papers Series 2000mf03, Oxford Financial Research Centre. [Downloadable!]
  38. Philip Kostov & Ziping Wu & Seamus McErlean, 2004. "Do Chinese stock markets share common information arrival processes?," Econometrics 0410001, EconWPA. [Downloadable!]
  39. Ferhan Salman, 2005. "Information, Capital Gains Taxes & New York Stock Exchange," Working Papers 0513, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
  40. Janusz Brzeszczynski & Robert Kelm, 2004. "Short-Term Dependencies between the Volatility of Currency, Money and Capital Markets: The Case of Poland," CERT Discussion Papers 0409, Centre for Economic Reform and Transformation, Heriot Watt University. [Downloadable!]
  41. Niklas Wagner & Terry Marsh, 2000. "Return-Volume Dependence and Extremes in International Equity Markets," Research Program in Finance, Working Paper Series 1002, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley. [Downloadable!]
    Other versions:
  42. Michael Melvin & Xixi Yin, . "Public Information Arrival, Exchange Rate Volatility, and Quote Frequency," Working Papers 96/1, Arizona State University, Department of Economics. [Downloadable!]
    Other versions:
  43. Marwan Izzeldin, 2007. "Trading volume and the number of trades: a comparative study using high frequency data," Working Papers 004798, Lancaster University Management School, Economics Department. [Downloadable!]
  44. Gust Janssen, 2004. "Public information arrival and volatility persistence in financial markets," European Journal of Finance, Taylor and Francis Journals, vol. 10(3), pages 177-197, June. [Downloadable!] (restricted)
  45. Gerard Gannon & Chi-Ying Chang, 2007. "Regulatory Change and Micro Structure Effects in SPI Futures," Accounting, Finance, Financial Planning and Insurance Series 2007_08, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
  46. Andrew C. Worthington & Helen Higgs, 2003. "Modelling the Intraday Return Volatility Process In The Australian Equity Market: An Examination Of The Role Of Information Arrival In S&P/Asx 50 Stocks," School of Economics and Finance Discussion Papers and Working Papers Series 150, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  47. Lucy Ackert & Jonathan Hao & William Hunter, 1997. "The effect of circuit breakers on expected volatility: Tests using implied volatilities," Atlantic Economic Journal, International Atlantic Economic Society, vol. 25(2), pages 117-127, June. [Downloadable!] (restricted)
  48. Olan T. Henry & Michael McKenzie, 2004. "The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong," Working Papers 032004, Hong Kong Institute for Monetary Research. [Downloadable!]
    Other versions:
  49. BAUWENS, Luc & GIOT, Pierre, 1998. "Asymmetric ACD models: introducing price information in ACD models with a two state transition model," CORE Discussion Papers 1998044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  50. 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)
  51. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006. "Regime switching GARCH models," Discussion Papers (ECON - Département des Sciences Economiques) 2006006, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    Other versions:
  52. Kym Brown, 2001. "Closing the Divide - Issues When Developing a Bond Market: The Case of Sri Lanka," Accounting, Finance, Financial Planning and Insurance Series 2001_06, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
  53. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO. [Downloadable!]
  54. Barry Eichengreen & Hui Tong, 2003. "Stock Market Volatility and Monetary Policy: What the Historical Record Shows," RBA Annual Conference Volume, in: Anthony Richards & Tim Robinson (ed.), Asset Prices and Monetary Policy Reserve Bank of Australia. [Downloadable!]
  55. Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York. [Downloadable!]
  56. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  57. Gerard L. Gannon, 2009. "Dispersion of Information or Market Behaviour: General Public Trading in S&P500 Index Futures," Accounting, Finance, Financial Planning and Insurance Series 2009_01, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
  58. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department. [Downloadable!]
  59. Sam Howison & David Lamper, 2001. "Trading volume in models of financial derivatives," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(2), pages 119-135, May. [Downloadable!] (restricted)
  60. Helen Higgs & Andrew C Worthington, 2004. "Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects," School of Economics and Finance Discussion Papers and Working Papers Series 186, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  61. Gerard Gannon & Siu Pang Au-Yeung, 2007. "Modelling Regulatory Change V's Volume of Trade Effects in HSIF and HSI Volatility: A Note," Accounting, Finance, Financial Planning and Insurance Series 2007_06, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
  62. Chia-Chang Chuang & Chung-Ming Kuan & Hsin-yi Lin, 2007. "Causality in Quantiles and Dynamic Stock Return-Volume Relations," IEAS Working Paper : academic research 07-A006, Institute of Economics, Academia Sinica, Taipei, Taiwan. [Downloadable!]
Did you know? You too can volunteer for RePEc, for example by providing information about publications in your institution.

This page was last updated on 2010-1-3.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.