-
1
-
-
84896515917
-
Noise
-
Black F. Noise. J. Finance. 41:1986;529-541.
-
(1986)
J. Finance
, vol.41
, pp. 529-541
-
-
Black, F.1
-
2
-
-
42449156579
-
Genralized autoregressive conditional heteroskedasticity
-
Bollerslev T. Genralized autoregressive conditional heteroskedasticity. J. Econometrics. 31:1986;307-328.
-
(1986)
J. Econometrics
, vol.31
, pp. 307-328
-
-
Bollerslev, T.1
-
3
-
-
49049143130
-
The stochastic behaviour of common stock variance: Value, leverage and interest rate effects
-
Christie A. The stochastic behaviour of common stock variance: Value, leverage and interest rate effects. J. Financial Econ. 10:1982;407-432.
-
(1982)
J. Financial Econ.
, vol.10
, pp. 407-432
-
-
Christie, A.1
-
4
-
-
21844484426
-
Stock Market Interdependencies: Evidence from the Asian NIEs
-
Chowdhury A. Stock Market Interdependencies: Evidence from the Asian NIEs. J. Macroecon. 16:1994;629-651.
-
(1994)
J. Macroecon.
, vol.16
, pp. 629-651
-
-
Chowdhury, A.1
-
5
-
-
0000051984
-
Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation
-
Engle R. Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation. Econometrica. 50:1982;987-1008.
-
(1982)
Econometrica
, vol.50
, pp. 987-1008
-
-
Engle, R.1
-
6
-
-
84993924525
-
Measuring and testing the impact of news on volatility
-
Engle R., Ng V. Measuring and testing the impact of news on volatility. J. Finance. 48:1993;1749-1777.
-
(1993)
J. Finance
, vol.48
, pp. 1749-1777
-
-
Engle, R.1
Ng, V.2
-
8
-
-
0001698432
-
Correlations in price changes and volatility across international stock markets
-
Hamao Y., Masulis R., Ng V. Correlations in price changes and volatility across international stock markets. Rev. Financial Stud. 3:1990;281-308.
-
(1990)
Rev. Financial Stud.
, vol.3
, pp. 281-308
-
-
Hamao, Y.1
Masulis, R.2
Ng, V.3
-
9
-
-
0005564441
-
The trading performance of filter rules on the Taiwan Stock Exchange
-
Huang Y. The trading performance of filter rules on the Taiwan Stock Exchange. J. Appl. Financial Econ. 5:1995;391-395.
-
(1995)
J. Appl. Financial Econ.
, vol.5
, pp. 391-395
-
-
Huang, Y.1
-
10
-
-
0029479816
-
Macro economic management in APEC Economies: The response to capital inflows
-
Khan M., Reinhart C. Macro economic management in APEC Economies: the response to capital inflows. Int. Monetary Fund Occas. Paper. 122:1995;15-29.
-
(1995)
Int. Monetary Fund Occas. Paper
, vol.122
, pp. 15-29
-
-
Khan, M.1
Reinhart, C.2
-
11
-
-
21844481870
-
Alternative models for the conditional heteroscedasticity of stock returns
-
Kim D., Kon S.J. Alternative models for the conditional heteroscedasticity of stock returns. J. Bus. 67:1994;563-598.
-
(1994)
J. Bus.
, vol.67
, pp. 563-598
-
-
Kim, D.1
Kon, S.J.2
-
12
-
-
84993034364
-
Stock market seasonality: Some evidence from the Pacific basin countries
-
Lee I. Stock market seasonality: some evidence from the Pacific basin countries. J. Bus. Finance Acc. 19:1992;199-209.
-
(1992)
J. Bus. Finance Acc.
, vol.19
, pp. 199-209
-
-
Lee, I.1
-
13
-
-
84904845926
-
-
Fact Book. 1996.
-
(1996)
Fact Book
-
-
-
14
-
-
0000697034
-
An examination of the behavior of Pacific-Basin stock market volatility
-
S.G. Rhee, Chang R.P. Amsterdam: Elsevier
-
Ng V., Chang R., Chou R. An examination of the behavior of Pacific-Basin stock market volatility. Rhee S.G., Chang R.P. Pacific-basin Capital Markets Research. 2:1991;245-261 Elsevier, Amsterdam.
-
(1991)
Pacific-basin Capital Markets Research
, vol.2
, pp. 245-261
-
-
Ng, V.1
Chang, R.2
Chou, R.3
-
15
-
-
21344491691
-
Entry barriers and price movements between major and emerging stock markets
-
Rogers J. Entry barriers and price movements between major and emerging stock markets. J. Macroecon. 16:1994;221-241.
-
(1994)
J. Macroecon.
, vol.16
, pp. 221-241
-
-
Rogers, J.1
-
16
-
-
84992482400
-
Feedback traders and stock return auto-correlations: Evidence from a century of daily data
-
Sentana E., Wadhwani S. Feedback traders and stock return auto-correlations: evidence from a century of daily data. Econ. J. 102:1992;415-425.
-
(1992)
Econ. J.
, vol.102
, pp. 415-425
-
-
Sentana, E.1
Wadhwani, S.2
-
17
-
-
0010047204
-
Using chaos measures to examine international capital market integration
-
Sewell S., Stanley S., Lee I., Scott D. Using chaos measures to examine international capital market integration. Appl. Financial Econ. 6:1996;91-101.
-
(1996)
Appl. Financial Econ.
, vol.6
, pp. 91-101
-
-
Sewell, S.1
Stanley, S.2
Lee, I.3
Scott, D.4
|