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Volatility in Emerging Stock Markets

Citations

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Cited by:

  1. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2004. "Spurious And Hidden Volatility," Working Papers. Serie AD 2004-45, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  2. Ezatollah Abbasian & Vahid Abbasion & Mehdi Moradpour Oladi, 2008. "Interactions of returns and volatilities among different sizes of stocks: a Survey in Tehran Stock Exchange," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 13(1), pages 1-16, spring.
  3. Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2023. "“Generalized Extreme Value Approximation to the CUMSUMQ Test for Constant Unconditional Variance in Heavy-Tailed Time Series”," AQR Working Papers 202305, University of Barcelona, Regional Quantitative Analysis Group, revised Jul 2023.
  4. Borri, Nicola, 2018. "Local currency systemic risk," Emerging Markets Review, Elsevier, vol. 34(C), pages 111-123.
  5. Yi-Hsien Wang & Jui-Cheng Hung & Hsiu-Hsueh Kao & Kuang-Hsun Shih, 2011. "Long-term relationship between political behavior and stock market return: new evidence from quantile regression," Quality & Quantity: International Journal of Methodology, Springer, vol. 45(6), pages 1361-1367, October.
  6. Antonios Antoniou & Emilios C. C Galariotis & Spyros I. Spyrou, 2006. "The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach," Post-Print hal-01096031, HAL.
  7. Behmiri, Niaz Bashiri & Manera, Matteo, 2015. "The role of outliers and oil price shocks on volatility of metal prices," Resources Policy, Elsevier, vol. 46(P2), pages 139-150.
  8. Cochran, Steven J. & Mansur, Iqbal & Odusami, Babatunde, 2015. "Equity market implied volatility and energy prices: A double threshold GARCH approach," Energy Economics, Elsevier, vol. 50(C), pages 264-272.
  9. Farooq Malik & Bradley Ewing & James Payne, 2005. "Measuring volatility persistence in the presence of sudden changes in the variance of Canadian stock returns," Canadian Journal of Economics, Canadian Economics Association, vol. 38(3), pages 1037-1056, August.
  10. David McMillan & Mark Wohar, 2011. "Structural breaks in volatility: the case of UK sector returns," Applied Financial Economics, Taylor & Francis Journals, vol. 21(15), pages 1079-1093.
  11. Patricia Chelley-Steeley & Weihua Qian, 2005. "Testing for market segmentation in the A and B share markets of China," Applied Financial Economics, Taylor & Francis Journals, vol. 15(11), pages 791-802.
  12. Aragó, Vicent & Salvador, Enrique, 2011. "Sudden changes in variance and time varying hedge ratios," European Journal of Operational Research, Elsevier, vol. 215(2), pages 393-403, December.
  13. Dennis Alvaro & Ángel Guillén & Gabriel Rodríguez, 2017. "Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(1), pages 71-103, February.
  14. Lyócsa, Štefan, 2014. "Growth-returns nexus: Evidence from three Central and Eastern European countries," Economic Modelling, Elsevier, vol. 42(C), pages 343-355.
  15. Omotosho, Babatunde S., 2012. "Endogenous Structural Breaks and Real Exchange Rate Determination in Nigeria since Interbank Foreign Exchange Market (IFEM)," MPRA Paper 98306, University Library of Munich, Germany.
  16. Dimitrios Kartsonakis-Mademlis & Nikolaos Dritsakis, 2022. "Asymmetric volatility transmission in Japanese stock market in the presence of structural breaks," The Japanese Economic Review, Springer, vol. 73(4), pages 647-677, October.
  17. Novkovska, Blagica & Serafimovic, Gordana, 2018. "Recognizing The Vulnerability Of Generation Z To Economic And Social Risks," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 9(1), pages 29-37.
  18. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
  19. Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, April.
  20. Mansour Khalili Araghi & Majid Mirzaee Ghazani, 2015. "Abrupt Changes in Volatility: Evidence from TEPIX Index in Tehran Stock Exchange," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 19(3), pages 377-393, Autumn.
  21. E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society.
  22. Ewing, Bradley T., 2001. "Cross-Effects of Fundamental State Variables," Journal of Macroeconomics, Elsevier, vol. 23(4), pages 633-645, October.
  23. repec:ipg:wpaper:2014-401 is not listed on IDEAS
  24. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
  25. Georgios Kouretas & Manolis Syllignakis, 2012. "Switching Volatility in Emerging Stock Markets and Financial Liberalization: Evidence from the new EU Member Countries," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(2), pages 65-93, June.
  26. Kim, Kyungwon, 2013. "Modeling financial crisis period: A volatility perspective of Credit Default Swap market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(20), pages 4977-4988.
  27. Yıldırım, Durmuş Çağrı & Cevik, Emrah Ismail & Esen, Ömer, 2020. "Time-varying volatility spillovers between oil prices and precious metal prices," Resources Policy, Elsevier, vol. 68(C).
  28. Matthew Hood & Farooq Malik, 2013. "Is gold the best hedge and a safe haven under changing stock market volatility?," Review of Financial Economics, John Wiley & Sons, vol. 22(2), pages 47-52, April.
  29. Norma A. Hernández Perales & Russell Robins, 2002. "An Application Of Arch And Arch-M Models To Study Inflation In Mexico From 1978 To 1999," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 1(3), pages 169-186, Septiembr.
  30. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2015. "Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate," Energy Economics, Elsevier, vol. 48(C), pages 46-60.
  31. Viviana Fernandez, 2007. "Stock Market Turmoil: Worldwide Effects of Middle East Conflicts," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 43(3), pages 58-102, June.
  32. Miralles-Quirós, José Luis & Miralles-Quirós, María del Mar, 2017. "The Copula ADCC-GARCH model can help PIIGS to fly," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 1-12.
  33. Richard D. F. Harris & Anirut Pisedtasalasai, 2006. "Return and Volatility Spillovers Between Large and Small Stocks in the UK," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1556-1571, November.
  34. Zhuhua Jiang & Walid Mensi & Seong-Min Yoon, 2023. "Risks in Major Cryptocurrency Markets: Modeling the Dual Long Memory Property and Structural Breaks," Sustainability, MDPI, vol. 15(3), pages 1-15, January.
  35. Mofleh Alshogeathri & Jamel Jouini, 2017. "Linkages Between Equity and Global Food Markets: New Evidence from Including Structural Changes," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(3), pages 166-198, June.
  36. Xiyong Dong & Seong‐Min Yoon, 2018. "Structural breaks, dynamic correlations, and hedge and safe havens for stock and foreign exchange markets in Greater China," The World Economy, Wiley Blackwell, vol. 41(10), pages 2783-2803, October.
  37. Kin‐Yip Ho & Zhaoyong Zhang, 2012. "Dynamic Linkages among Financial Markets in the Greater China Region: A Multivariate Asymmetric Approach," The World Economy, Wiley Blackwell, vol. 35(4), pages 500-523, April.
  38. Peña, Daniel & Badagian Baharian, Ana Laura & Kaiser Remiro, Regina, 2013. "The change-point problem and segmentation of processes with conditional heteroskedasticity," DES - Working Papers. Statistics and Econometrics. WS ws131718, Universidad Carlos III de Madrid. Departamento de Estadística.
  39. Erragragui, Elias & Hassan, M. Kabir & Peillex, Jonathan & Khan, Abu Nahian Faisal, 2018. "Does ethics improve stock market resilience in times of instability?," Economic Systems, Elsevier, vol. 42(3), pages 450-469.
  40. Cevik, Nuket Kirci & Cevik, Emrah I. & Dibooglu, Sel, 2020. "Oil prices, stock market returns and volatility spillovers: Evidence from Turkey," Journal of Policy Modeling, Elsevier, vol. 42(3), pages 597-614.
  41. Wen, Fenghua & Gong, Xu & Cai, Shenghua, 2016. "Forecasting the volatility of crude oil futures using HAR-type models with structural breaks," Energy Economics, Elsevier, vol. 59(C), pages 400-413.
  42. Bradley T. Ewing & Farooq Malik & Hassan Anjum, 2019. "Forecasting value‐at‐risk in oil prices in the presence of volatility shifts," Review of Financial Economics, John Wiley & Sons, vol. 37(3), pages 341-350, July.
  43. Meric, Gulser & Leal, Ricardo P. C. & Ratner, Mitchell & Meric, Ilhan, 2001. "Co-movements of U.S. and Latin American equity markets before and after the 1987 crash," International Review of Financial Analysis, Elsevier, vol. 10(3), pages 219-235.
  44. Malik, Farooq, 2021. "Volatility spillover between exchange rate and stock returns under volatility shifts," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 605-613.
  45. Broto, Carmen, 2011. "Inflation targeting in Latin America: Empirical analysis using GARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1424-1434, May.
  46. Yi-Hsien Wang & Jui-Cheng Hung & Yen-Hsien Lee & Chung-Chu Chuang, 2012. "Computing regression quantiles to analysis the relationship between market behavior and political risk," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(4), pages 1047-1055, June.
  47. Paulo M. M. Rodrigues & Antonio Rubia, 2011. "The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(4), pages 449-468, August.
  48. Todea, Alexandru & Platon, Diana, 2012. "Sudden Changes In Volatility In Central And Eastern Europe Foreign Exchange Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 38-51, June.
  49. Sensoy, Ahmet, 2013. "Dynamic relationship between precious metals," Resources Policy, Elsevier, vol. 38(4), pages 504-511.
  50. Rizwan, Muhammad Suhail, 2021. "Macroprudential regulations and systemic risk: Does the one-size-fits-all approach work?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  51. Viviana Fernández, 2007. "The behavior of stock returns in the Asia-Pacific mining industry following the Iraq war," Documentos de Trabajo 243, Centro de Economía Aplicada, Universidad de Chile.
  52. Pasquale Tridico & Riccardo Pariboni, 2017. "Structural Change, Aggregate Demand And The Decline Of Labour Productivity: A Comparative Perspective," Departmental Working Papers of Economics - University 'Roma Tre' 0221, Department of Economics - University Roma Tre.
  53. Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela ben, 2015. "Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 311-329.
  54. Md. Mohibul Islam & Anisul M. Islam, 2017. "Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 3(9), pages 157-15-172, 09-2017.
  55. Pasquariello, Paolo, 2008. "The anatomy of financial crises: Evidence from the emerging ADR market," Journal of International Economics, Elsevier, vol. 76(2), pages 193-207, December.
  56. Erie Febrian & Aldrin Herwany, 2009. "Volatility Model for Financial Market Risk Management : An Analysis on JSX Index Return Covariance Matrix," Working Papers in Economics and Development Studies (WoPEDS) 200907, Department of Economics, Padjadjaran University, revised Sep 2009.
  57. Dicle, Mehmet F. & Levendis, John, 2020. "Historic risk and implied volatility," Global Finance Journal, Elsevier, vol. 45(C).
  58. Alkulaib, Yaser A. & Najand, Mohammad & Mashayekh, Ahmad, 2009. "Dynamic linkages among equity markets in the Middle East and North African countries," Journal of Multinational Financial Management, Elsevier, vol. 19(1), pages 43-53, February.
  59. Tao Chen, 2020. "Trade‐size clustering and informed trading in global markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 579-597, October.
  60. Fenghua Wen & Jihong Xiao & Chuangxia Huang & Xiaohua Xia, 2018. "Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility," Applied Economics, Taylor & Francis Journals, vol. 50(3), pages 319-334, January.
  61. Yeonjeong Lee & Seong-Min Yoon, 2020. "Dynamic Spillover and Hedging among Carbon, Biofuel and Oil," Energies, MDPI, vol. 13(17), pages 1-19, August.
  62. George Filis, 2006. "Testing for Market Efficiency in Emerging Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(2), pages 121-133, August.
  63. King, Daniel & Botha, Ferdi, 2015. "Modelling stock return volatility dynamics in selected African markets," Economic Modelling, Elsevier, vol. 45(C), pages 50-73.
  64. Geert Bekaert & Campbell R. Harvey, 2000. "Capital Flows and the Behavior of Emerging Market Equity Returns," NBER Chapters, in: Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, pages 159-194, National Bureau of Economic Research, Inc.
  65. Philipp Adämmer & Martin T. Bohl & Ernst-Oliver Ledebur, 2015. "Price Transmissions During Financialization and Turmoil: New Evidence from North American and European Agricultural Futures," CQE Working Papers 3815, Center for Quantitative Economics (CQE), University of Muenster.
  66. Oliver Johnson & Dino Sejdinovic & James Cruise & Robert Piechocki & Ayalvadi Ganesh, 2014. "Non-Parametric Change-Point Estimation using String Matching Algorithms," Methodology and Computing in Applied Probability, Springer, vol. 16(4), pages 987-1008, December.
  67. Duc Khuong Nguyen & Mondher Bellalah, 2007. "Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility," Working Papers 02, Development and Policies Research Center (DEPOCEN), Vietnam.
  68. Lucía Morales & Bernadette Andreosso-O’Callaghan, 2014. "Volatility analysis of precious metals returns and oil returns: An ICSS approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(3), pages 492-517, July.
  69. Yin Liao, 2012. "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers 2012-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  70. Jose Luis Miralles Marcelo & Jose Luis Miralles Quiros & Maria del Mar Miralles Quiros, 2007. "Sudden shifts in variance in the Spanish market: persistence and spillover effects," Applied Financial Economics, Taylor & Francis Journals, vol. 18(2), pages 115-124.
  71. Mina Mahbub Hossain Author_Email: mahbubfhisrt@gmail.com & Mehdi Rajeb & Mahendran Shitan, 2011. "Time Series Analysis Of The General Index Of Dhaka Stock Exchange In Bangladesh: A Comparative Study Of Garch And Arima Models," 2nd International Conference on Business and Economic Research (2nd ICBER 2011) Proceeding 2011-592, Conference Master Resources.
  72. Peltomäki, Jarkko & Graham, Michael & Hasselgren, Anton, 2018. "Investor attention to market categories and market volatility: The case of emerging markets," Research in International Business and Finance, Elsevier, vol. 44(C), pages 532-546.
  73. Hayo, Bernd & Kutan, Ali M., 2005. "IMF-related news and emerging financial markets," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1126-1142, November.
  74. Patricia Chelley‐Steeley, 2005. "Noise and the Trading Mechanism: the Case of SETS," European Financial Management, European Financial Management Association, vol. 11(3), pages 387-424, June.
  75. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process," Energy Economics, Elsevier, vol. 42(C), pages 343-354.
  76. Hayo, Bernd & Kutan, Ali M., 2001. "Investor panic, IMF actions, and emerging stock market returns and volatility: A panel investigation," ZEI Working Papers B 27-2001, University of Bonn, ZEI - Center for European Integration Studies.
  77. Kuan-Min Wang, 2013. "Did Vietnam stock market avoid the “contagion risk” from China and the U.S.? The contagion effect test with dynamic correlation coefficients," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(4), pages 2143-2161, June.
  78. Do Thi Van Trang & Jo-Hui Chen, 2023. "Applications of Long-Memory and Structure Breaks for Carbon Indexes," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 579-585, May.
  79. Chelley-Steeley, Patricia L. & Tsorakidis, Nikos, 2013. "Bid-ask spread dynamics in foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 119-131.
  80. Cunado, Juncal & Gomez Biscarri, Javier & Perez de Gracia, Fernando, 2006. "Changes in the dynamic behavior of emerging market volatility: Revisiting the effects of financial liberalization," Emerging Markets Review, Elsevier, vol. 7(3), pages 261-278, September.
  81. Viviana Fernandez & Brian M Lucey, 2006. "Portfolio management implications of volatility shifts: Evidence from simulated data," Documentos de Trabajo 219, Centro de Economía Aplicada, Universidad de Chile.
  82. F. Dilvin Taşkin & Efe Çağlar Çağlı & Umut Halaç, 2016. "The impact of oil price shocks on the volatility of the Turkish stock market," International Journal of Accounting and Finance, Inderscience Enterprises Ltd, vol. 6(1), pages 1-23.
  83. Choi, Kyongwook & Hammoudeh, Shawkat, 2010. "Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment," Energy Policy, Elsevier, vol. 38(8), pages 4388-4399, August.
  84. Gunasekarage, Abeyratna & Power, David M., 2001. "The profitability of moving average trading rules in South Asian stock markets," Emerging Markets Review, Elsevier, vol. 2(1), pages 17-33, March.
  85. Pal, Debdatta, 2022. "Does hospitality industry stock volatility react asymmetrically to health and economic crises?," Economic Modelling, Elsevier, vol. 108(C).
  86. Ben Rejeb, Aymen & Arfaoui, Mongi, 2016. "Financial market interdependencies: A quantile regression analysis of volatility spillover," Research in International Business and Finance, Elsevier, vol. 36(C), pages 140-157.
  87. Qian, Yu & Xu, Zeshui & Qin, Yong & Gou, Xunjie & Skare, Marinko, 2023. "Measuring the varying relationships between sustainable development and oil booms in different contexts: An empirical study," Resources Policy, Elsevier, vol. 85(PB).
  88. Grossi, Luigi & Laurini, Fabrizio, 2009. "A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2251-2263, April.
  89. Habibullah, M.S. & Baharom, A.H. & Fong, Kin Hing, 2009. "Predictive Content of Output and Inflation For Stock Returns and Volatility: Evidence from Selected Asian Countries," MPRA Paper 14114, University Library of Munich, Germany.
  90. Mensi, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Kang, Sang Hoon, 2016. "Global financial crisis and spillover effects among the U.S. and BRICS stock markets," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 257-276.
  91. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  92. Czech, Katarzyna, 2016. "Structural Changes in Wheat Market," Problems of World Agriculture / Problemy Rolnictwa Światowego, Warsaw University of Life Sciences, vol. 16(31), pages 1-7, December.
  93. Dungey, Mardi & Gajurel, Dinesh, 2014. "Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies," Economic Systems, Elsevier, vol. 38(2), pages 161-177.
  94. Erie Febrian & Aldrin Herwany, 2009. "Forecasting Stocks of Government Owned Companies (GOCS):Volatility Modeling," Working Papers in Economics and Development Studies (WoPEDS) 200908, Department of Economics, Padjadjaran University, revised Sep 2009.
  95. Fernandez, Viviana, 2008. "The war on terror and its impact on the long-term volatility of financial markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 1-26.
  96. Castillo, Brenda & León, Ángel & Ñíguez, Trino-Manuel, 2021. "Backtesting VaR under the COVID-19 sudden changes in volatility," Finance Research Letters, Elsevier, vol. 43(C).
  97. Galin Todorov & Prasad Bidarkota, 2013. "On international financial spillovers to frontier markets," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 5(4), pages 433-452.
  98. Ramaprasad Bhar & Biljana Nikolova, 2010. "Global Oil Prices, Oil Industry And Equity Returns: Russian Experience," Scottish Journal of Political Economy, Scottish Economic Society, vol. 57(2), pages 169-186, May.
  99. Xu, Ke-Li, 2013. "Power monotonicity in detecting volatility levels change," Economics Letters, Elsevier, vol. 121(1), pages 64-69.
  100. Gordon J. Ross, 2012. "Modeling Financial Volatility in the Presence of Abrupt Changes," Papers 1212.6016, arXiv.org.
  101. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008. "Cross‐Country Evidence On Output Growth Volatility: Nonstationary Variance And Garch Models," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(4), pages 509-541, September.
  102. Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004. "Structural changes in volatility and stock market development: Evidence for Spain," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1745-1773, July.
  103. Melike Bildirici & Nilgun Guler Bayazit & Yasemen Ucan, 2020. "Analyzing Crude Oil Prices under the Impact of COVID-19 by Using LSTARGARCHLSTM," Energies, MDPI, vol. 13(11), pages 1-18, June.
  104. Balli, Faruk & Balli, Hatice Ozer & Luu, Mong Ngoc, 2014. "Diversification across ASEAN-wide sectoral and national equity returns," Economic Modelling, Elsevier, vol. 41(C), pages 398-407.
  105. Bradley T. Ewing, 2002. "Macroeconomic news and the returns of financial companies," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 23(8), pages 439-446.
  106. Bhar, Ramaprasad & Nikolova, Biljana, 2009. "Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework," Global Finance Journal, Elsevier, vol. 19(3), pages 203-218.
  107. Chen, Xuehui & Zhu, Hongli & Zhang, Xinru & Zhao, Lutao, 2022. "A novel time-varying FIGARCH model for improving volatility predictions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
  108. Sanjeeta Shirodkar & Guntur Anjana Raju, 2021. "Futures Trading, Spot Price Volatility and Structural Breaks: Evidence from Energy Sector," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 230-239.
  109. Charles K.D. Adjasi, 2009. "Macroeconomic uncertainty and conditional stock-price volatility in frontier African markets: Evidence from Ghana," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 333-349, August.
  110. Vo, Xuan Vinh & Tran, Thi Tuan Anh, 2020. "Modelling volatility spillovers from the US equity market to ASEAN stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
  111. Wojciech Grabowski, 2019. "Givers or Recipients? Co-Movements between Stock Markets of CEE-3 and Developed Countries," Sustainability, MDPI, vol. 11(22), pages 1-24, November.
  112. Marshall, Andrew & Maulana, Tubagus & Tang, Leilei, 2009. "The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 250-259, December.
  113. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2014. "Predicting BRICS stock returns using ARFIMA models," Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1159-1166, September.
  114. Sabur Mollah & Asma Mobarek, 2009. "Market volatility across countries – evidence from international markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(4), pages 257-274, October.
  115. Lucía Morales & Bernadette Andreosso-O’Callaghan, 2019. "Challenges and Opportunities Brought to the Chinese Economy by Brexit and the New US Administration," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(2), pages 145-171, August.
  116. Edwards, Sebastian & Biscarri, Javier Gomez & Perez de Gracia, Fernando, 2003. "Stock market cycles, financial liberalization and volatility," Journal of International Money and Finance, Elsevier, vol. 22(7), pages 925-955, December.
  117. Gil-Alana, Luis A. & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2014. "On the persistence and volatility in European, American and Asian stocks bull and bear markets," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 149-162.
  118. Giorgio Canarella & Stephen Pollard, 2007. "A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 54(4), pages 445-462, December.
  119. Claudia M. Buch & Joerg Doepke & Christian Pierdzioch, 2004. "Business Cycle Volatility in Germany," German Economic Review, Verein für Socialpolitik, vol. 5(4), pages 451-479, November.
  120. Iqbal, Kazi & Tsubota, Kenmei & Shonchoy, Abu S & Hoque, Mainul, 2018. "Political instability and stock market returns : evidence from firm-level panel data of securities in Bangladesh," IDE Discussion Papers 712, Institute of Developing Economies, Japan External Trade Organization(JETRO).
  121. S Mutendadzamera & Farikayi K. Mutasa, 2014. "Forecasting stock prices on the Zimbabwe Stock Exchange (ZSE) using Arima and Arch/Garch models," International Journal of Management Sciences, Research Academy of Social Sciences, vol. 3(6), pages 419-432.
  122. Wang, Ping & Moore, Tomoe, 2009. "Sudden changes in volatility: The case of five central European stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 33-46, February.
  123. Madhuri Malhotra & M. Thenmozhi & Arun Kumar Gopalaswamy, 2011. "Evidence on Changes in Time Varying Volatility around Bonus and Rights Issue Announcements," Working Papers 2011-061, Madras School of Economics,Chennai,India.
  124. Neeti Mathur & Himanshu Mathur, 2020. "Application of GARCH Models For Volatility Modelling of Stock Market Returns: Evidences From BSE India," Proceedings of Business and Management Conferences 10112533, International Institute of Social and Economic Sciences.
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