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Alternative Models for the Conditional Heteroscedasticity of Stock Returns

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  1. M. Berument & Nukhet Dogan, 2012. "Stock market return and volatility: day-of-the-week effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(2), pages 282-302, April.
  2. 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.
  3. Rombouts, Jeroen V.K. & Stentoft, Lars, 2014. "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
  4. Wai Mun Fong, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, John Wiley & Sons, vol. 6(2), pages 167-186.
  5. Justice Matarutse, 2014. "Volatility characteristics of stocks underlying Exchange Traded Funds in South Africa," Journal of Economics and Behavioral Studies, AMH International, vol. 6(10), pages 829-839.
  6. Bohl, Martin T. & Henke, Harald, 2003. "Trading volume and stock market volatility: The Polish case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 513-525.
  7. Subu Venkataraman, 1997. "Value at risk for a mixture of normal distributions: the use of quasi- Bayesian estimation techniques," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 21(Mar), pages 2-13.
  8. Rombouts, Jeroen V.K. & Stentoft, Lars, 2015. "Option pricing with asymmetric heteroskedastic normal mixture models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 635-650.
  9. 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.
  10. Eric Girard & Mohammed Omran, 2009. "On the relationship between trading volume and stock price volatility in CASE," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 5(1), pages 110-134, February.
  11. Kim, Dongcheol & Kon, Stanley J., 1999. "Structural change and time dependence in models of stock returns," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 283-308, September.
  12. Kirt Butler & Katsushi Okada, 2007. "Bivariate and higher-order terms in models of international equity returns," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 725-737.
  13. 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-.
  14. Richard Harris & C. Coskun Kucukozmen, 2001. "The empirical distribution of stock returns: evidence from an emerging European market," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 367-371.
  15. Lin, Chu-Hsiung & Changchien, Chang-Cheng & Kao, Tzu-Chuan & Kao, Wei-Shun, 2014. "High-order moments and extreme value approach for value-at-risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 421-434.
  16. 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.
  17. Pankaj Sinha & Shalini Agnihotri, 2016. "Investigating Impact of Volatility Persistence and Information Inflow on Volatility of Stock Indices Using Bivarite GJR-GARCH," Global Business Review, International Management Institute, vol. 17(5), pages 1145-1161, October.
  18. Chiang, Thomas C. & Doong, Shuh-Chyi, 1999. "Empirical analysis of real and financial volatilities on stock excess returns: evidence from Taiwan industrial data," Global Finance Journal, Elsevier, vol. 10(2), pages 187-200.
  19. Sinha, Pankaj & Agnihotri, Shalini, 2014. "Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH," MPRA Paper 58303, University Library of Munich, Germany.
  20. Smith, Geoffrey Peter, 2016. "Weekday variation in the leverage effect: A puzzle," Finance Research Letters, Elsevier, vol. 17(C), pages 193-196.
  21. Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
  22. Sei‐Wan Kim & Bong‐Soo Lee, 2008. "Stock Returns, Asymmetric Volatility, Risk Aversion, And Business Cycle: Some New Evidence," Economic Inquiry, Western Economic Association International, vol. 46(2), pages 131-148, April.
  23. Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
  24. Lee, Chia-Hao & Chou, Pei-I, 2020. "Structural breaks in the correlations between Asian and US stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  25. Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Leibniz Centre for European Economic Research.
  26. Lange, Stephen, 1999. "Modeling asset market volatility in a small market:: Accounting for non-synchronous trading effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 1-18, January.
  27. Bhattacharjee, Kaushik & Bang, Nupur Pavan & Mamidanna, Sravya, 2014. "Transmission of pricing information between level III ADRs and their underlying domestic stocks: Empirical evidence from India," Journal of Multinational Financial Management, Elsevier, vol. 24(C), pages 43-59.
  28. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2020. "Economic indicators and stock market volatility in an emerging economy," Economic Systems, Elsevier, vol. 44(2).
  29. Gerlach, Richard & Chen, Cathy W.S. & Lin, Doris S.Y. & Huang, Ming-Hsiang, 2006. "Asymmetric responses of international stock markets to trading volume," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 422-444.
  30. Massimiliano Caporin & Francesco Poli, 2017. "Building News Measures from Textual Data and an Application to Volatility Forecasting," Econometrics, MDPI, vol. 5(3), pages 1-46, August.
  31. Baixauli, J. Samuel & Alvarez, Susana, 2004. "Analysis of the conditional stock-return distribution under incomplete specification," European Journal of Operational Research, Elsevier, vol. 155(2), pages 276-283, June.
  32. Berchtold, Andre, 2003. "Mixture transition distribution (MTD) modeling of heteroscedastic time series," Computational Statistics & Data Analysis, Elsevier, vol. 41(3-4), pages 399-411, January.
  33. Wang, Steven Shuye & Meng Rui, Oliver & Firth, Michael, 2002. "Return and volatility behavior of dually-traded stocks: the case of Hong Kong," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 265-293, April.
  34. Kwan, Felix B. & Reyes, Mario G., 1997. "Price effects of stock market liberalization in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 511-522.
  35. St. Pierre, Eileen F., 1998. "Estimating EGARCH-M models: Science or art?," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 167-180.
  36. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 1998. "Information and volatility linkages in the stock, bond, and money markets," Journal of Financial Economics, Elsevier, vol. 49(1), pages 111-137, July.
  37. Kalimipalli, Madhu & Susmel, Raul, 2004. "Regime-switching stochastic volatility and short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 309-329, June.
  38. Chaiyuth Padungsaksawasdi & Robert T. Daigler, 2014. "The Return‐Implied Volatility Relation for Commodity ETFs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(3), pages 261-281, March.
  39. Eskandar A. Tooma, 2003. "Modeling and Forecasting Egyptian Stock Market Volatility Before and After Price Limits," Working Papers 0310, Economic Research Forum, revised Apr 2003.
  40. Samih Antoine Azar, 2008. "Conditional confidence intervals for the equity premium and other rates," Applied Financial Economics, Taylor & Francis Journals, vol. 18(13), pages 1085-1089.
  41. Wang, Kai-Li & Fawson, Christopher & Chen, Mei-Ling & Wu, An-Chi, 2014. "Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 115-137.
  42. Kao, Yu-Sheng & Zhao, Kai & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2024. "The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 524-542.
  43. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2010. "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 233-261.
  44. Kirt Butler & Katsushi Okada, 2009. "The relative contribution of conditional mean and volatility in bivariate returns to international stock market indices," Applied Financial Economics, Taylor & Francis Journals, vol. 19(1), pages 1-15.
  45. Holmes, Phil & Wong, Mei Wa, 2001. "Foreign investment, regulation and price volatility in South-east Asian stock markets," Emerging Markets Review, Elsevier, vol. 2(4), pages 371-386, December.
  46. Brajesh Kumar, 2010. "The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market," Working Papers id:2379, eSocialSciences.
  47. Sadeghzadeh Yazdi , Ali & Abounoori , Esmaiel & Erfani , Alireza, 2018. "Modeling the Liquidity Gap in a Private Bank," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(2), pages 153-176, April.
  48. Mario Reyes, 2001. "Asymmetric volatility spillover in the Tokyo stock exchange," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(2), pages 206-213, June.
  49. 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.
  50. Bolano, Danilo & Berchtold, André, 2016. "General framework and model building in the class of Hidden Mixture Transition Distribution models," Computational Statistics & Data Analysis, Elsevier, vol. 93(C), pages 131-145.
  51. Thomakos, Dimitrios D. & Wang, Tao, 2003. "Realized volatility in the futures markets," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 321-353, May.
  52. Tse, Yiuman, 2001. "Index arbitrage with heterogeneous investors: A smooth transition error correction analysis," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1829-1855, October.
  53. Rombouts Jeroen V. K. & Bouaddi Mohammed, 2009. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-32, May.
  54. Prasenjit Chakrabarti & K. Kiran Kumar, 2017. "Does behavioural theory explain return-implied volatility relationship? Evidence from India," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1355521-135, January.
  55. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
  56. Krause, Timothy & Tse, Yiuman, 2013. "Volatility and return spillovers in Canadian and U.S. industry ETFs," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 244-259.
  57. Choudhry, Taufiq, 1996. "Stock market volatility and the crash of 1987: evidence from six emerging markets," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 969-981, December.
  58. Tran MANH Tuyen, 2011. "Modeling Volatility Using GARCH Models: Evidence from Vietnam," Economics Bulletin, AccessEcon, vol. 31(3), pages 1935-1942.
  59. Eli Arditi & Eldad Yechiam & Gal Zahavi, 2015. "Association between Stock Market Gains and Losses and Google Searches," PLOS ONE, Public Library of Science, vol. 10(10), pages 1-12, October.
  60. YiHao Lai, 2008. "Does Asymmetric Dependence Structure Matter? A Value-at-Risk View," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 249-268, December.
  61. M. Karanasos & J. Kim, 2003. "Moments of the ARMA--EGARCH model," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 146-166, June.
  62. Cyree, Ken B. & Domian, Dale L. & Louton, David A. & Yobaccio, Elizabeth J., 1999. "Evidence of psychological barriers in the conditional moments of major world stock indices," Review of Financial Economics, Elsevier, vol. 8(1), pages 73-91, June.
  63. Sheng-Yung Yang, 2007. "Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities," Applied Financial Economics, Taylor & Francis Journals, vol. 17(10), pages 837-853.
  64. Jayasuriya, Shamila, 2005. "Stock market liberalization and volatility in the presence of favorable market characteristics and institutions," Emerging Markets Review, Elsevier, vol. 6(2), pages 170-191, June.
  65. Jeff Fleming & Chris Kirby & Barbara Ostdiek, 2006. "Stochastic Volatility, Trading Volume, and the Daily Flow of Information," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1551-1590, May.
  66. Kirt C. Butler & Katsushi Okada, 2008. "Higher-Order Terms in Bivariate Returns to International Stock Market Indices," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 127-155, March-Jun.
  67. David M. Harrison & Thomas G. Noordewier & K. Ramagopal, 2002. "Mortgage Terminations: The Role of Conditional Volatility," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 89-110.
  68. Hibbert, Ann Marie & Daigler, Robert T. & Dupoyet, Brice, 2008. "A behavioral explanation for the negative asymmetric return-volatility relation," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2254-2266, October.
  69. Darren Butterworth, 2000. "The impact of futures trading on underlying stock index volatility: the case of the FTSE Mid 250 contract," Applied Economics Letters, Taylor & Francis Journals, vol. 7(7), pages 439-442.
  70. Devaney, Michael, 2001. "Time varying risk premia for real estate investment trusts: A GARCH-M model," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(3), pages 335-346.
  71. Ioannis A. Tampakoudis & Demetres N. Subeniotis & Ioannis G. Kroustalis, 2012. "Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(3/4), pages 171-194.
  72. José Carlos Ramírez & Rogelio Sandoval Saavedra, 2003. "Una propuesta para evaluar pronósticos de rendimientos de acciones cuando las distribuciones empíricas no son normales estacionarias," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 18(2), pages 237-277.
  73. Grieb, Terrance & Reyes, Mario G., 2002. "The temporal relationship between large- and small-capitalization stock returns:: Evidence from the UK," Review of Financial Economics, Elsevier, vol. 11(2), pages 109-118.
  74. Terrance Grieb & Mario G. Reyes, 2002. "The temporal relationship between large‐ and small‐capitalization stock returns:," Review of Financial Economics, John Wiley & Sons, vol. 11(2), pages 109-118.
  75. Nikolaos Voukelatos, 2010. "The asymmetric impact of firm-specific and of index returns on the volatility processes of individual stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 20(21), pages 1627-1638.
  76. Lin, Bing-Huei & Yeh, Shih-Kuo, 2000. "On the distribution and conditional heteroscedasticity in Taiwan stock prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 367-395, December.
  77. Markus Haas, 2004. "Mixed Normal Conditional Heteroskedasticity," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 211-250.
  78. Kumar, Brajesh & Singh, Priyanka & Pandey, Ajay, 2009. "The Dynamic Relationship between Price and Trading Volume:Evidence from Indian Stock Market," IIMA Working Papers WP2009-12-04, Indian Institute of Management Ahmedabad, Research and Publication Department.
  79. Ken B. Cyree & Dale L. Domian & David A. Louton & Elizabeth J. Yobaccio, 1999. "Evidence of psychological barriers in the conditional moments of major world stock indices," Review of Financial Economics, John Wiley & Sons, vol. 8(1), pages 73-91.
  80. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
  81. 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).
  82. Brooks, Robert D. & Faff, Robert W. & Fry, Tim R. L., 2001. "GARCH modelling of individual stock data: the impact of censoring, firm size and trading volume," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 215-222, June.
  83. Dohyun Chun & Donggyu Kim, 2022. "State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(1), pages 105-124, January.
  84. Todd Prono, 2006. "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers 07-1, Federal Reserve Bank of Boston.
  85. Lee, Bong-Soo & Rui, Oliver Meng & Wang, Steven Shuye, 2004. "Information transmission between the NASDAQ and Asian second board markets," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1637-1670, July.
  86. Kao, Yu-Sheng & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2020. "The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  87. José Carlos Ramirez Sánchez, 2004. "Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 51-76, June.
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