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Citations for "Stock Returns And Volatility"

by Baillie, R.T. & Degennaro, R.P.

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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. Cotter, John, 2004. "Uncovering Long Memory in High Frequency UK Futures," MPRA Paper 3525, University Library of Munich, Germany. [Downloadable!]
  2. Cotter, John & Stevenson, Simon, 2007. "Modeling Long Memory in REITs," MPRA Paper 3500, University Library of Munich, Germany. [Downloadable!]
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  3. G. Lypny, M. Powalla, 1998. "The hedging effectiveness of DAX futures," European Journal of Finance, Taylor and Francis Journals, vol. 4(4), pages 345-355, December. [Downloadable!] (restricted)
  4. M. Kabir Hassan & Anisul M. Islam & Syed Abul Basher, 2000. "Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market," Working Papers 2002_6, York University, Department of Economics, revised Jun 2002. [Downloadable!]
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  5. Michel Beine & Agnes Benassy-Quere & Christelle Lecourt, 1999. "The impact of foreign exchange interventions: new evidence from FIGARCH estimations," Working Papers 1999-14, CEPII research center. [Downloadable!]
  6. Ryan SULEIMANN, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, EconWPA, revised 18 Jul 2003. [Downloadable!]
  7. Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, EconWPA, revised 18 Jul 2003. [Downloadable!]
  8. H. L. Leon & DeLisle Worrell, . "Price Volatility and Financial Instability," IMF Working Papers 01/60, International Monetary Fund. [Downloadable!]
  9. Hui Guo & Robert F. Whitelaw, 2003. "Uncovering the Risk-Return Relation in the Stock Market," NBER Working Papers 9927, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Ernst Konrad, 2009. "The impact of monetary policy surprises on asset return volatility: the case of Germany," Financial Markets and Portfolio Management, Springer, vol. 23(2), pages 111-135, June. [Downloadable!] (restricted)
  11. Tobias Adrian & Joshua Rosenberg, 2006. "Stock returns and volatility: pricing the short-run and long-run components of market risk," Staff Reports 254, Federal Reserve Bank of New York. [Downloadable!]
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  12. Christos S. Savva & Denise R. Osborn & Len Gill, 2006. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Centre for Growth and Business Cycle Research Discussion Paper Series 77, Economics, The Univeristy of Manchester. [Downloadable!]
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  13. David Morelli, 2003. "Capital asset pricing model on UK securities using ARCH," Applied Financial Economics, Taylor and Francis Journals, vol. 13(3), pages 211-223, January. [Downloadable!] (restricted)
  14. Jamshed Y. Uppal, 1993. "The Internationalisation of the Pakistani Stock Market: An Empirical Investigation," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 32(4), pages 605-618. [Downloadable!]
  15. Ryan SULEIMANN, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics 0307002, EconWPA, revised 18 Jul 2003. [Downloadable!]
  16. 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!]
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  17. N. K. Chidambaran & Chi-Wen Jevons Lee & Joaguin R. Trigueros, 1998. "An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-086, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  18. Lin Peng & Turan G. Bali, 2006. "Is there a risk-return trade-off? Evidence from high-frequency data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1169-1198. [Downloadable!]
  19. Ignacio Olmeda & Joaquin Pérez, 1995. "Non-linear dynamics and chaos in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 19(2), pages 217-248, May. [Downloadable!]
  20. Ah-Boon Sim, Ralf Zurbruegg, 2001. "Optimal hedge ratios and alternative hedging strategies in the presence of cointegrated time-varying risks," European Journal of Finance, Taylor and Francis Journals, vol. 7(3), pages 269-283, September. [Downloadable!] (restricted)
  21. Michael Devaney & William Weber, 2005. "Efficiency, Scale Economies, and the Risk/Return Performance of Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 31(3), pages 301-317, November. [Downloadable!] (restricted)
  22. Benjamas Jirasakuldech & Robert Campbell & Riza Emekter, 2009. "Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 137-154, February. [Downloadable!] (restricted)
  23. Georges Ogum, Francisca M. Beer, Geneviève Nouyrigat, 2004. "An Empirical Analysis of Kenyan Daily Returns Using EGARCH Models," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 1(2), pages 101-115, December. [Downloadable!]
  24. Chesnay, F. & Jondeau, E., 2000. "Does Correlation between Stock Returns Really Increase during Turbulent Period?," Documents de Travail 73, Banque de France. [Downloadable!]
  25. Wai Mun Fong & Kim Hock See, 2001. "Modelling the conditional volatility of commodity index futures as a regime switching process," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 133-163. [Downloadable!]
  26. Holger Claessen & Stefan Mittnik, 2002. "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," European Journal of Finance, Taylor and Francis Journals, vol. 8(3), pages 302-321, September. [Downloadable!] (restricted)
  27. Hui Guo & Christopher J. Neely, 2006. "Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model," Working Papers 2006-006, Federal Reserve Bank of St. Louis. [Downloadable!]
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  28. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," TÜSİAD-Koç University Economic Research Forum Working Papers 0909, TUSIAD-Koc University Economic Research Forum, revised Nov 2009. [Downloadable!]
  29. Sang W. Kim & John H. Rogers, 1995. "International stock price spillovers and market liberalization: evidence from Korea, Japan, and the United States," International Finance Discussion Papers 499, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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  30. Pástor, Luboš & Sinha, Meenakshi & Swaminathan, Bhaskaran, 2006. "Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital," CEPR Discussion Papers 5462, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  31. P N Smith & S Sorensen & M R Wickens, . "Macroeconomic Sources of Equity Risk," Discussion Papers 03/13, Department of Economics, University of York. [Downloadable!]
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  32. Jie Zhu, 2008. "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers 2008-14, School of Economics and Management, University of Aarhus. [Downloadable!]
  33. 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!]
  34. Fabio Fornari, 2002. "The size of the equity premium," Temi di discussione (Economic working papers) 447, Bank of Italy, Economic Research Department. [Downloadable!]
  35. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor and Francis Journals, vol. 13(2), pages 123-131, January. [Downloadable!] (restricted)
  36. Raúl Susmel, 1998. "Extreme Observations and Diversification in Latin American Emerging Equity Markets," CEMA Working Papers: Serie Documentos de Trabajo. 138, Universidad del CEMA. [Downloadable!]
  37. Lubos Pastor & Robert F. Stambaugh, 2000. "The Equity Premium and Structural Breaks," NBER Working Papers 7778, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  38. Husain, Fazal & UPPAL, Jamshed, 1999. "Stock Returns Volatility in an Emerging Market: The Pakistani Evidence," MPRA Paper 5270, University Library of Munich, Germany. [Downloadable!]
  39. Byström, Hans, 2001. "Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory," Working Papers 2001:18, Lund University, Department of Economics.
  40. Amilon, Henrik & Byström, Hans, 1998. "The Search for Chaos and Nonlinearities in Swedish Stock Index Returns," Working Papers 1998:6, Lund University, Department of Economics. [Downloadable!]
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This page was last updated on 2009-12-16.

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