GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume
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Citations
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Cited by:
- Sabbaghi, Omid & Sabbaghi, Navid, 2011. "Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 399-407.
- Semen Son-Turan, 2016. "The Impact of Investor Sentiment on the "Leverage Effect"," International Econometric Review (IER), Econometric Research Association, vol. 8(1), pages 4-18, April.
- De Moor, Lieven & Sercu, Piet, 2013.
"The smallest firm effect: An international study,"
Journal of International Money and Finance,
Elsevier, vol. 32(C), pages 129-155.
- De Moor, Lieven & Sercu, Piet, 2011. "The Smallest Firm Effect: an International Study," Working Papers 2011/18, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- De Moor, Lieven & Sercu, Piet, 2011. "The smallest stocks are not just smaller: US and international evidence," Working Papers 2011/28, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- Bissoondoyal-Bheenick, Emawtee & Brooks, Robert D., 2010. "Does volume help in predicting stock returns? An analysis of the Australian market," Research in International Business and Finance, Elsevier, vol. 24(2), pages 146-157, June.
- Omid Sabbaghi & Navid Sabbaghi, 2014. "An empirical analysis of the Carbon Financial Instrument," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(2), pages 209-234, April.
- Henrik Amilon, 2002. "A Score Test for Discreteness in GARCH Models," Research Paper Series 76, Quantitative Finance Research Centre, University of Technology, Sydney.
- Amilon, Henrik, 2003. "GARCH estimation and discrete stock prices: an application to low-priced Australian stocks," Economics Letters, Elsevier, vol. 81(2), pages 215-222, November.
- Sohn, So Young & Lim, Michael, 2007. "Hierarchical forecasting based on AR-GARCH model in a coherent structure," European Journal of Operational Research, Elsevier, vol. 176(2), pages 1033-1040, January.
- Andrew C. Worthington, 2009. "Political Cycles in the Australian Stock Market since Federation," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 42(4), pages 397-409.
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