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Citations for "Measuring and Testing the Impact of News on Volatility"

by Robert F. Engle & Victor K. Ng

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  1. María José Melendez & Marco Morales & Guillermo Yáñez, 2010. "Transmisión de Shocks y Acoplamiento con Mercados Accionarios Externos: Efectos Asimétricos y Quiebre Estructural," Working Papers 11, Facultad de Economía y Empresa, Universidad Diego Portales.
  2. HAFNER, Christian & HERWARTZ, Helmut, 2001. "Volatility impulse response functions for multivariate GARCH models," CORE Discussion Papers 2001039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Arago-Manzana, Vicent & Fernandez-Izquierdo, Maria Angeles, 2007. "Influence of structural changes in transmission of information between stock markets: A European empirical study," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 112-124, April.
  4. Koch, Timothy W. & Saporoschenko, Andrew, 2001. "The effect of market returns, interest rates, and exchange rates on the stock returns of Japanese horizontal keiretsu financial firms," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 165-182, April.
  5. Ólan T. Henry & Nilss Olekalns, 2002. "The Effect of Recessions on the Relationship between Output Variability and Growth," Southern Economic Journal, Southern Economic Association, vol. 68(3), pages 683-692, January.
  6. Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics.
  7. Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George, 2009. "A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects," Journal of Econometrics, Elsevier, vol. 150(2), pages 151-166, June.
  8. John Galbraith & Dongming Zhu, 2009. "Forecasting Expected Shortfall With A Generalized Asymmetric Student-T Distribution," Departmental Working Papers 2009-01, McGill University, Department of Economics.
  9. Massimo Guidolin & Stuart Hyde, 2011. "Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective," Working Papers 414, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  10. Calmès, Christian & Théoret, Raymond, 2014. "Bank systemic risk and macroeconomic shocks: Canadian and U.S. evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 388-402.
  11. David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized volatility risk," Documentos de Trabajo del ICAE 2013-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  12. Lundblad, Christian, 2007. "The risk return tradeoff in the long run: 1836-2003," Journal of Financial Economics, Elsevier, vol. 85(1), pages 123-150, July.
  13. Caporin, M. & McAleer, M.J., 2010. "Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH," Econometric Institute Research Papers EI 2010-36, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  14. Sandy Suardi & O.T.Henry & N. Olekalns, . "Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics," MRG Discussion Paper Series 0206, School of Economics, University of Queensland, Australia.
  15. Johansson, Anders C., 2009. "An Analysis Of Dynamic Risk In The Greater China Equity Markets," Working Paper Series 2009-5, China Economic Research Center, Stockholm School of Economics.
  16. Theodore Panagiotidis, 2005. "Market Efficiency and the Euro: The case of the Athens Stock Exchange," Finance 0507022, EconWPA.
  17. Amado, Cristina & Teräsvirta, Timo, 2013. "Modelling volatility by variance decomposition," Journal of Econometrics, Elsevier, vol. 175(2), pages 142-153.
  18. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2009. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," Discussion Papers of DIW Berlin 873, DIW Berlin, German Institute for Economic Research.
  19. C. James Hueng & Ruey Yau, 2006. "Investor preferences and portfolio selection: is diversification an appropriate strategy?," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 255-271.
  20. Chen, Cathy W.S. & Gerlach, Richard H. & Tai, Amanda P.J., 2008. "Testing for nonlinearity in mean and volatility for heteroskedastic models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 489-499.
  21. Yeh, Yin-Hua & Lee, Tsun-Siou, 2000. "The interaction and volatility asymmetry of unexpected returns in the greater China stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 129-149.
  22. Christian M. Dahl & Emma M. Iglesias, 2008. "The limiting properties of the QMLE in a general class of asymmetric volatility models," CREATES Research Papers 2008-38, School of Economics and Management, University of Aarhus.
  23. Changli He & Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Parameterizing unconditional skewness in models for financial time series," CREATES Research Papers 2008-07, School of Economics and Management, University of Aarhus.
  24. Tai, Chu-Sheng, 2003. "Can currency risk be a source of risk premium in explaining forward premium puzzle?: Evidence from Asia-Pacific forward exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 291-311, October.
  25. Jonathan Dark, 2004. "Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures," Monash Econometrics and Business Statistics Working Papers 4/04, Monash University, Department of Econometrics and Business Statistics.
  26. Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).
  27. Don U.A. Galagedera & Robert Faff, 2004. "Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions," Monash Econometrics and Business Statistics Working Papers 8/04, Monash University, Department of Econometrics and Business Statistics.
  28. Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo, 2005. "Medidas De Riesgo, Caracteristicas Y Técnicas De Medición: Una Aplicación Del Var Y El Es A La Tasa Interbancaria De Colombia," BORRADORES DE ECONOMIA 003198, BANCO DE LA REPÚBLICA.
  29. HÄRDLE, Wolfgang & HAFNER, Christian, 1997. "Discrete time option pricing with flexible volatility estimation," CORE Discussion Papers 1997047, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  30. Giulio Cifarelli & Giovanna Paladino, 2008. "Oil price Dynamics and Speculation. A Multivariate Financial Approach," Working Papers - Economics wp2008_15.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  31. Andreou, Elena & Werker, Bas J M, 2013. "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers 9583, C.E.P.R. Discussion Papers.
  32. Jin-Chuan Duan & Genevieve Gauthier & Caroline Sasseville & Jean-Guy Simonato, 2002. "Seize the Moments: Approximating American Option Prices in the GARCH Framework," Finance 0206005, EconWPA.
  33. Baumohl, Eduard & Lyocsa, Stefan, 2013. "Volatility and dynamic conditional correlations of European emerging stock markets," MPRA Paper 49898, University Library of Munich, Germany.
  34. Riccardo LUCCHETTI & Giulio PALOMBA, 2006. "Forecasting US bond yields at weekly frequency," Working Papers 261, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  35. Nikolaos Sariannidis & Evangelos Drimbetas, 2008. "Impact of international volatility and the introduction of Individual Stock Futures on the volatility of a small market," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 119-.
  36. Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance 0507012, EconWPA, revised 17 Jan 2006.
  37. Ederington, Louis H. & Guan, Wei, 2010. "How asymmetric is U.S. stock market volatility?," Journal of Financial Markets, Elsevier, vol. 13(2), pages 225-248, May.
  38. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers 2014-46, University of Paris West - Nanterre la Défense, EconomiX.
  39. K C Neanidis & C S Savva, 2006. "The Effects of Uncertainty on Currency Substitution and Inflation: Evidence from Emerging Economies," Centre for Growth and Business Cycle Research Discussion Paper Series 71, Economics, The Univeristy of Manchester.
  40. Tse, Chin-Bun & Rodgers, Timothy & Niklewski, Jacek, 2014. "The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?," Economic Modelling, Elsevier, vol. 37(C), pages 518-530.
  41. Nguyen Van, Phuong, 2015. "A good news or bad news has greater impact on the Vietnamese stock market?," MPRA Paper 61194, University Library of Munich, Germany.
  42. Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying, 2013. "The leverage effect puzzle: Disentangling sources of bias at high frequency," Journal of Financial Economics, Elsevier, vol. 109(1), pages 224-249.
  43. John Cotter & Simon Stevenson, 2008. "Modeling Long Memory in REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 533-554, 09.
  44. Francois Chesnay & Eric Jondeau, 2001. "Does Correlation Between Stock Returns Really Increase During Turbulent Periods?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(1), pages 53-80, 02.
  45. Loriano Mancini & Fabio Trojani, 2005. "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series 07-31, Swiss Finance Institute, revised Oct 2007.
  46. David Heath & S. Hurst & Eckhard Platen, 1999. "Modelling the Stochastic Dynamics of Volatility for Equity Indices," Research Paper Series 7, Quantitative Finance Research Centre, University of Technology, Sydney.
  47. Bronka Rzepkowski, 2001. "Pouvoir prédictif de la volatilité implicite dans le prix des options de change," Économie et Prévision, Programme National Persée, vol. 148(2), pages 71-97.
  48. Menelaos Karanasos & J. Kim, . "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York.
  49. Goetzmann, William N. & Ibbotson, Roger G. & Peng, Liang, 2001. "A new historical database for the NYSE 1815 to 1925: Performance and predictability," Journal of Financial Markets, Elsevier, vol. 4(1), pages 1-32, January.
  50. Grier, Robin & Grier, Kevin B., 2006. "On the real effects of inflation and inflation uncertainty in Mexico," Journal of Development Economics, Elsevier, vol. 80(2), pages 478-500, August.
  51. Andreea Halunga & Chris D. Orme, 2007. "First order asymptotic theory for parametric misspecification tests of GARCH models," The School of Economics Discussion Paper Series 0721, Economics, The University of Manchester.
  52. Longin, Francois M, 1997. "The Threshold Effect in Expected Volatility: A Model Based on Asymmetric Information," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 837-69.
  53. Camilleri, Silvio John, 2006. "An Analysis of Stock Index Distributions of Selected Emerging Markets," MPRA Paper 62490, University Library of Munich, Germany.
  54. Shehu Usman Rano, Aliyu, 2010. "Does inflation has an Impact on Stock Returns and Volatility? Evidence from Nigeria and Ghana," MPRA Paper 30091, University Library of Munich, Germany, revised 19 Mar 2011.
  55. Brooks, Chris & Henry, Olan T., 2000. "Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia," Economic Modelling, Elsevier, vol. 17(4), pages 497-513, December.
  56. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility of diffusion processes with high frequency data," Economics Letters, Elsevier, vol. 74(3), pages 371-378, February.
  57. Nour Meddahi, 2000. "Temporal Aggregation of Volatility Models," Econometric Society World Congress 2000 Contributed Papers 1903, Econometric Society.
  58. Appiah-Kusi, Joe & Menyah, Kojo, 2003. "Return predictability in African stock markets," Review of Financial Economics, Elsevier, vol. 12(3), pages 247-270.
  59. Christoffersen, Peter & Errunza, Vihang & Jacobs, Kris & Jin, Xisong, 2014. "Correlation dynamics and international diversification benefits," International Journal of Forecasting, Elsevier, vol. 30(3), pages 807-824.
  60. Hafner, Christian M. & Herwartz, Helmut, 2006. "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 719-740, August.
  61. L. Baele, 2003. "Volatility Spillover Effects in European Equity Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 03/189, Ghent University, Faculty of Economics and Business Administration.
  62. Juncal Cunado & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Structural Changes in Volatility and Stock Market Development: Evidence for Spain," Faculty Working Papers 06/03, School of Economics and Business Administration, University of Navarra.
  63. Mezgebo, Taddese, 2012. "The nature of volatility in temporal profit with in Ethiopian commodity exchange: The case of washed export coffee modelled using ARFIMA-M-HYGARCH model," MPRA Paper 43345, University Library of Munich, Germany.
  64. Mariana Mazzucato & Massimiliano Tancioni, 2005. "Innovation and Idiosyncratic Risk," Computing in Economics and Finance 2005 81, Society for Computational Economics.
  65. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
  66. Halkos, George & Sepetis, Anastasios, 2007. "Can capital markets respond to environmental policy of firms? Evidence from Greece," Ecological Economics, Elsevier, vol. 63(2-3), pages 578-587, August.
  67. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.
  68. Tzu-Yi Yang & Yu-Tai Yang, 2015. "A Study on the Asymmetry of the News Aspect of the Stock Market: Evidence from Three Institutional Investors in the Taiwan Stock Market," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(3), pages 361-383, June.
  69. M, El Babsiri & Jean-Michel Zakoïan, 1997. "Contemporaneous Asymmetry in GARCH Processes," Working Papers 97-03, Centre de Recherche en Economie et Statistique.
  70. Cotter, John & Stevenson, Simon, 2004. "Uncovering Volatility Dynamics in Daily REIT Returns," MPRA Paper 3533, University Library of Munich, Germany, revised 2005.
  71. Hueng, C. James & McDonald, James B., 2005. "Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 666-685, December.
  72. Chia, Ricky Chee-Jiun & Liew, Venus Khim-Sen & Syed Khalid Wafa, Syed Azizi Wafa, 2006. "Calendar anomalies in the Malaysian stock market," MPRA Paper 516, University Library of Munich, Germany.
  73. C S Savva & D R Osborn & L Gill, 2005. "Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro," Centre for Growth and Business Cycle Research Discussion Paper Series 64, Economics, The Univeristy of Manchester.
  74. ZHU, Dongming & ZINDE-WALSH, Victoria, 2007. "Properties and Estimation of Asymmetric Exponential Power Distribution," Cahiers de recherche 13-2007, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  75. Robert Engle, 2002. "New frontiers for arch models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 425-446.
  76. Dimitrios Dimitriou & Theodore Simos, 2013. "International portfolio diversification: an ICAPM approach with currency risk," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 6(2), pages 177-189, September.
  77. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the best volatility models: the model confidence set approach," FRB Atlanta Working Paper No. 2003-28, Federal Reserve Bank of Atlanta.
  78. Lucy Amigo Dobaño & Francisco Rodríguez de Prado, 2003. "Alteraciones en el comportamiento bursátil de las acciones de empresas tecnológicas inducidas por el vencimiento de derivados," Working Papers 0308, Universidade de Vigo, Departamento de Economía Aplicada.
  79. Shields, Kalvinder K, 1997. " Threshold Modelling of Stock Return Volatility on Eastern European Markets," Economic Change and Restructuring, Springer, vol. 30(2-3), pages 107-25.
  80. Simonato, Jean-Guy, 2012. "GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case," Finance Research Letters, Elsevier, vol. 9(4), pages 213-219.
  81. repec:fda:fdaeee:04 is not listed on IDEAS
  82. Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2015. "Bad environments, good environments: A non-Gaussian asymmetric volatility model," Journal of Econometrics, Elsevier, vol. 186(1), pages 258-275.
  83. Safi Ullah Khan & Zaheer Abbas, 2013. "Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan’s Futures Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 18(1), pages 63-80, Jan-June.
  84. Lubrano, M., 1999. "Smooth Transition GARCH Models: a Bayesian perspective," G.R.E.Q.A.M. 99a49, Universite Aix-Marseille III.
  85. Tseng, Chih-Hsiung & Cheng, Sheng-Tzong & Wang, Yi-Hsien & Peng, Jin-Tang, 2008. "Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3192-3200.
  86. Makoto Takahashi & Yasuhiro Omori & Toshiaki Watanabe, 2012. "News Impact Curve for Stochastic Volatility Models," Global COE Hi-Stat Discussion Paper Series gd12-242, Institute of Economic Research, Hitotsubashi University.
  87. Joshua Rosenberg, 1999. "Semiparametric Pricing of Multivariate Contingent Claims," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-028, New York University, Leonard N. Stern School of Business-.
  88. Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2001. "Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices," Journal of Financial Economics, Elsevier, vol. 61(3), pages 345-381, September.
  89. Chang, Eric C. & Michael Pinegar, J. & Ravichandran, R., 1998. "US day-of-the-week effects and asymmetric responses to macroeconomic news," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 513-534, May.
  90. Chin-Tsai Lin & Yi-Hsien Wang, 2005. "An Analysis of Political Changes on Nikkei 225 Stock Returns and Volatilities," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 169-183, May.
  91. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.
  92. Yang, Minxian & Bewley, Ronald, 1995. "Moving average conditional heteroskedastic processes," Economics Letters, Elsevier, vol. 49(4), pages 367-372, October.
  93. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January.
  94. Felipe Jaque, 2004. "Emerging Market Economies: The Aftermath of Volatility Contagion in a Selection of Three Financial Crises," Working Papers Central Bank of Chile 305, Central Bank of Chile.
  95. Baoying Lai & Nathan Lael Joseph, 2010. "Pricing-to-market and the volatility of UK export prices," Applied Financial Economics, Taylor & Francis Journals, vol. 20(18), pages 1441-1460.
  96. Guglielmo Maria Caporale & John Hunter & Faek Menla Ali, 2013. "On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010," CESifo Working Paper Series 4189, CESifo Group Munich.
  97. Sanchez-Fung, Jose R., 2008. "The day-to-day interbank market, volatility, and central bank intervention in a developing economy," Economics Discussion Papers 2008-2, School of Economics, Kingston University London.
  98. Brailsford, Timothy J. & Faff, Robert W., 1996. "An evaluation of volatility forecasting techniques," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 419-438, April.
  99. Orlowski, Lucjan T. & Rybinski, Krzysztof, 2006. "Implications of ERM2 for Poland's monetary policy," Economic Systems, Elsevier, vol. 30(4), pages 346-365, December.
  100. Bernd Hayo & Matthias Neuenkirch, 2009. "Domestic or U.S. News: What Drives Canadian Financial Markets?," MAGKS Papers on Economics 200908, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  101. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, School of Economics and Management, University of Aarhus.
  102. Nilsson, Birger, 2002. "International Asset Pricing and the Benefits from World Market Diversification," Working Papers 2002:1, Lund University, Department of Economics.
  103. Michael McAller & Marcelo C. Medeiros, 2007. "A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries," Textos para discussão 544, Department of Economics PUC-Rio (Brazil).
  104. Yu, Jun, 2005. "On leverage in a stochastic volatility model," Journal of Econometrics, Elsevier, vol. 127(2), pages 165-178, August.
  105. Paul Alagidede & Theodore Panagiotidis, 2006. "Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange," Discussion Paper Series 2006_13, Department of Economics, Loughborough University, revised Jun 2006.
  106. Kamel Malik BENSAFTA & Gervasio SEMEDO, 2013. "Transmission de la volatilité et central banking : quelles réactions durant la crise des subprimes ?," Working Papers 1694, Orleans Economic Laboratorys, University of Orleans.
  107. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, 09.
  108. repec:dgr:uvatin:2005068 is not listed on IDEAS
  109. Hallerbach, Winfried G.., 2005. "Holding Period Return-Risk Modeling :The Importance of Dividends," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 23, pages 45-65, Abril.
  110. Frank J. Fabozzi & Radu Tunaru & Tony Wu, 2004. "Modeling Volatility for the Chinese Equity Markets," Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 79-92, May.
  111. Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc.
  112. João Caldeira & Guilherme Moura & André A.P. Santos, 2012. "Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market," Economics Bulletin, AccessEcon, vol. 32(3), pages 1848-1857.
  113. Rezitis, Anthony N. & Stavropoulos, Konstantinos S., 2010. "Modeling beef supply response and price volatility under CAP reforms: The case of Greece," Food Policy, Elsevier, vol. 35(2), pages 163-174, April.
  114. P., Srinivasan, 2011. "Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market," MPRA Paper 47412, University Library of Munich, Germany.
  115. Bauer, Gregory H. & Vorkink, Keith, 2011. "Forecasting multivariate realized stock market volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 93-101, January.
  116. Marcelo Cunha Medeiros & Alvaro Veiga, 2004. "Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model," Textos para discussão 486, Department of Economics PUC-Rio (Brazil).
  117. Sun, Yiguo & Stengos, Thanasis, 2006. "Semiparametric efficient adaptive estimation of asymmetric GARCH models," Journal of Econometrics, Elsevier, vol. 133(1), pages 373-386, July.
  118. Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, vol. 23(4), pages 683-698, July.
  119. Ritab Al-Khouri & Abdulkhader Abdallah, 2012. "Market liberalization and volatility of returns in emerging markets: The case of Qatar Exchange (QSC)," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing, vol. 5(2), pages 106-115, June.
  120. Chau, Frankie & Deesomsak, Rataporn & Wang, Jun, 2014. "Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 1-19.
  121. Croux, Christophe & Renault, Eric & Werker, Bas, 2004. "Dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 223-230, April.
  122. Wang, Steven Shuye & Firth, Michael, 2004. "Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 235-254, July.
  123. Christiansen, Charlotte, 2001. "Long Maturity Forward Rates," Finance Working Papers 01-12, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  124. Harry Vander Elst, 2015. "FloGARCH : Realizing long memory and asymmetries in returns volatility," Working Paper Research 280, National Bank of Belgium.
  125. Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Calibrating the Italian smile with time-varying volatility and heavy-tailed models," Temi di discussione (Economic working papers) 944, Bank of Italy, Economic Research and International Relations Area.
  126. David Büttner & Bernd Hayo & Matthias Neuenkirch, 2012. "The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland," Empirica, Springer, vol. 39(1), pages 19-44, February.
  127. Ching-Chun Wei, 2009. "An Empirical Analysis of the Taiwan Institutional Trading Volume Volatility Spillover on Stock Market Index Return," Economics Bulletin, AccessEcon, vol. 29(2), pages 1264-1275.
  128. Aboura, Sofiane, 2005. "GARCH option pricing under skew," Economics Papers from University Paris Dauphine 123456789/2138, Paris Dauphine University.
  129. Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity," Cahiers de recherche 0004, GREEN.
  130. Kamel Malik Bensafta & Gervasio Semedo, 2014. "Transmission de la volatilité et Central-Banking," Working Papers halshs-01012058, HAL.
  131. Abdul Qayyum & A. R. Kemal, 2006. "Volatility Spillover between the Stock Market and the Foreign Market in Pakistan," PIDE-Working Papers 2006:7, Pakistan Institute of Development Economics.
  132. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
  133. João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Society for Computational Economics, vol. 46(1), pages 65-82, June.
  134. Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
  135. Ghulam Sarwar, 2004. "The informational role of option trading volume in the S&P 500 futures options markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(16), pages 1197-1210.
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