메뉴 건너뛰기




Volumn 24, Issue 1, 1999, Pages 45-59

Nonlinear dynamics: Evidence for a small stock exchange

Author keywords

Stock returns; Temporal aggregation; Volatility models

Indexed keywords

MODELING; STOCK MARKET;

EID: 0032925735     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001810050043     Document Type: Article
Times cited : (4)

References (50)
  • 1
    • 0001917976 scopus 로고
    • Conditional heteroscedasticity
    • Akgiray V (1989) Conditional heteroscedasticity. Journal of Business 62:55-80
    • (1989) Journal of Business , vol.62 , pp. 55-80
    • Akgiray, V.1
  • 4
    • 0003165999 scopus 로고
    • Model specification tests: A simultaneous approach
    • Bera AK, Jarque CM (1982) Model specification tests: A simultaneous approach. Journal of Econometrics 20:59-82
    • (1982) Journal of Econometrics , vol.20 , pp. 59-82
    • Bera, A.K.1    Jarque, C.M.2
  • 6
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroscedasticity
    • Bollerslev T (1986) Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 31:307-27
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 7
    • 0000375581 scopus 로고
    • A conditionally heteroscedastic model for speculative prices and rates of return
    • Bollerslev T (1987) A conditionally heteroscedastic model for speculative prices and rates of return. Review of Economics and Statistics 69:542-547
    • (1987) Review of Economics and Statistics , vol.69 , pp. 542-547
    • Bollerslev, T.1
  • 9
    • 0001711056 scopus 로고
    • ARCH models
    • Engle R, McFadden D (1994) Elsevier, Amsterdam
    • Bollerslev T, Engle R, Nelson D (1994) ARCH models. In: Engle R, McFadden D (1994) Handbook of Econometrics, volume 2, Elsevier, Amsterdam, pp. 2961-3038
    • (1994) Handbook of Econometrics , vol.2 , pp. 2961-3038
    • Bollerslev, T.1    Engle, R.2    Nelson, D.3
  • 10
    • 70349218800 scopus 로고
    • Quasi - maximum likelihood estimation and inference in dynamic models with time-varying covariances
    • Bollerslev T, Wooldridge J (1992) Quasi - maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews 11:143-72
    • (1992) Econometric Reviews , vol.11 , pp. 143-172
    • Bollerslev, T.1    Wooldridge, J.2
  • 13
    • 0000230606 scopus 로고
    • Long swings in the dollar: Are they in the data and do markets know it?
    • Engel C, Hamilton J (1990) Long swings in the Dollar: Are they in the data and do markets know it? American Economic Review 80:689-712
    • (1990) American Economic Review , vol.80 , pp. 689-712
    • Engel, C.1    Hamilton, J.2
  • 14
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. Inflation
    • Engle R (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation. Econometrica 50:987-1008
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.1
  • 16
    • 0001264648 scopus 로고
    • Estimating time-varying risk premia in the term structure: The ARCH-M model
    • Engle R, Lilien D, Robins, R (1987) Estimating time-varying risk premia in the term structure: The ARCH-M model. Econometrica 55:391-407
    • (1987) Econometrica , vol.55 , pp. 391-407
    • Engle, R.1    Lilien, D.2    Robins, R.3
  • 17
    • 0001755320 scopus 로고    scopus 로고
    • GARCH for groups
    • Engle R, Mezrich R (1996) GARCH for groups. Risk 9/8:36-40
    • (1996) Risk , vol.9 , Issue.8 , pp. 36-40
    • Engle, R.1    Mezrich, R.2
  • 18
    • 0000788747 scopus 로고
    • Implied ARCH models from option prices
    • Engle R, Mustafa C (1992) Implied ARCH models from option prices. Journal of Econometrics 52:289-311
    • (1992) Journal of Econometrics , vol.52 , pp. 289-311
    • Engle, R.1    Mustafa, C.2
  • 19
    • 84993924525 scopus 로고
    • Measuring and testing the impact of news on volatility
    • Engle R, NgV (1993) Measuring and testing the impact of news on volatility. Journal of Finance 48:1749-79
    • (1993) Journal of Finance , vol.48 , pp. 1749-1779
    • Engle, R.1    NgV2
  • 20
    • 0002528209 scopus 로고
    • The behavior of stock market prices
    • Fama EF (1965) The behavior of stock market prices. Journal of Business 38:34-105
    • (1965) Journal of Business , vol.38 , pp. 34-105
    • Fama, E.F.1
  • 21
    • 0030078510 scopus 로고    scopus 로고
    • Modeling the changing asymmetry of conditional variances
    • Fornari F, Mele A (1996) Modeling the changing asymmetry of conditional variances. Economics Letters 50:197-203
    • (1996) Economics Letters , vol.50 , pp. 197-203
    • Fornari, F.1    Mele, A.2
  • 23
    • 84963144923 scopus 로고
    • Volatility estimates of the vienna stock market
    • Geyer AJ (1994) Volatility estimates of the Vienna stock market. Applied Financial Economics 4:449-55
    • (1994) Applied Financial Economics , vol.4 , pp. 449-455
    • Geyer, A.J.1
  • 24
    • 67649497847 scopus 로고    scopus 로고
    • Stochastic volatility
    • Maddala GS, Rao, CR (1996) Elsevier, Amsterdam
    • Ghysels E, Harvey A, Renault E (1996) Stochastic volatility. In: Maddala GS, Rao, CR (1996) Handbook of Statistics, Vol. 14, Elsevier, Amsterdam, pp.119-191
    • (1996) Handbook of Statistics , vol.14 , pp. 119-191
    • Ghysels, E.1    Harvey, A.2    Renault, E.3
  • 25
    • 84993601065 scopus 로고
    • On the relation between expected value and volatility
    • Glosten L, Jagannathan R, Runkle D (1993) On the relation between expected value and volatility. Journal of Finance 48:1779-1801
    • (1993) Journal of Finance , vol.48 , pp. 1779-1801
    • Glosten, L.1    Jagannathan, R.2    Runkle, D.3
  • 26
    • 0000909365 scopus 로고
    • Rational - expexctations econometric analysis of changes in regimes: An investigation of the term structure of interest rates
    • Hamilton J (1988) Rational - expexctations econometric analysis of changes in regimes: An investigation of the term structure of interest rates. Journal of Economic Dynamics and Control 12:385-423
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 385-423
    • Hamilton, J.1
  • 27
    • 70350342015 scopus 로고
    • Estimation, inference and forecasting of time series subject to changes in regime
    • Maddala G, Rao CR, Vinod HD (1993) Elsevier, Amsterdam
    • Hamilton J (1993) Estimation, inference and forecasting of time series subject to changes in regime. In: Maddala G, Rao CR, Vinod HD (1993) Handbook of Statistics, Vol 11, Elsevier, Amsterdam, pp. 231-260
    • (1993) Handbook of Statistics , vol.11 , pp. 231-260
    • Hamilton, J.1
  • 28
    • 0003410290 scopus 로고
    • Princeton University Press, Princeton
    • Hamilton J (1994) Time series analysis. Princeton University Press, Princeton
    • (1994) Time Series Analysis
    • Hamilton, J.1
  • 29
    • 0000605911 scopus 로고
    • Testing for nonlinear dependence in daily foreign exchange rates
    • Hsieh DA (1989a) Testing for nonlinear dependence in daily foreign exchange rates. Journal of Business 62:339-68
    • (1989) Journal of Business , vol.62 , pp. 339-368
    • Hsieh, D.A.1
  • 30
    • 84952520952 scopus 로고
    • Modeling heteroscedasticity daily foreign exchange rates
    • Hsieh DA (1989b) Modeling heteroscedasticity daily foreign exchange rates. Journal of Business and Economic Statistics 7:307-17
    • (1989) Journal of Business and Economic Statistics , vol.7 , pp. 307-317
    • Hsieh, D.A.1
  • 31
    • 0009637154 scopus 로고    scopus 로고
    • Stock market returns in thin markets: Evidence from the Vienna stock exchange
    • Huber P (1997) Stock market returns in thin markets: Evidence from the Vienna stock exchange. Applied Financial Economics 7:493-98
    • (1997) Applied Financial Economics , vol.7 , pp. 493-498
    • Huber, P.1
  • 32
    • 21844481870 scopus 로고
    • Alternative models for the conditional heteroscedasticity of stock returns
    • Kim D, Kon S (1994) Alternative models for the conditional heteroscedasticity of stock returns. Journal of Business 67:563-98
    • (1994) Journal of Business , vol.67 , pp. 563-598
    • Kim, D.1    Kon, S.2
  • 33
    • 0345020124 scopus 로고
    • Analysis of Austrian stocks: Testing for stability and randomness
    • Kunst R, Reschenhofer E, Rodler K (1991) Analysis of Austrian stocks: Testing for stability and randomness. Empirical Economics 16:465-77
    • (1991) Empirical Economics , vol.16 , pp. 465-477
    • Kunst, R.1    Reschenhofer, E.2    Rodler, K.3
  • 34
    • 84977718808 scopus 로고
    • Heteroscedasticity: Volume vs. GARCH effects
    • Lamoureux C, Lastrapes W (1990) Heteroscedasticity: Volume vs. GARCH effects. Journal of Finance 45:221-9
    • (1990) Journal of Finance , vol.45 , pp. 221-229
    • Lamoureux, C.1    Lastrapes, W.2
  • 37
    • 0017846358 scopus 로고
    • On a measure of lack of fit in time series
    • Ljung G, Box G (1978) On a measure of lack of fit in time series. Biometrica 65:297-303
    • (1978) Biometrica , vol.65 , pp. 297-303
    • Ljung, G.1    Box, G.2
  • 38
    • 0002484986 scopus 로고
    • Stock market prices do not follow random walks: Evidence from a simple specification test
    • Lo A, MacKinlay A (1988) Stock market prices do not follow random walks: evidence from a simple specification test. Review of Financial Studies 1:41-66
    • (1988) Review of Financial Studies , vol.1 , pp. 41-66
    • Lo, A.1    MacKinlay, A.2
  • 39
    • 0001504360 scopus 로고
    • The variation of certain speculative prices
    • Mandelbrot B (1963) The variation of certain speculative prices. Journal of Business 36:394-419
    • (1963) Journal of Business , vol.36 , pp. 394-419
    • Mandelbrot, B.1
  • 40
    • 0000641348 scopus 로고
    • Conditional heteroscedasticity in asset returns: A new approach
    • Nelson DB (1991) Conditional heteroscedasticity in asset returns: A new approach. Econometrica 59:347-70
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.B.1
  • 41
    • 0030139575 scopus 로고    scopus 로고
    • The econometrics of financial markets
    • Pagan AR (1996) The econometrics of financial markets. Journal of Empirical Finance 3:15-102
    • (1996) Journal of Empirical Finance , vol.3 , pp. 15-102
    • Pagan, A.R.1
  • 42
    • 45149141217 scopus 로고
    • Alternative models for conditional stock volatility
    • Pagan AR, Schwert W (1990) Alternative models for conditional stock volatility. Journal of Econometrics 45:267-290
    • (1990) Journal of Econometrics , vol.45 , pp. 267-290
    • Pagan, A.R.1    Schwert, W.2
  • 43
    • 58149138011 scopus 로고    scopus 로고
    • GARCH models of volatility
    • Maddala G, Rao CS (eds) Elsevier Amsterdam
    • Palm FC (1996) GARCH models of volatility. In: Maddala G, Rao CS (eds) Handbook of Statistics, Vol. 14, Elsevier Amsterdam, pp. 209-240
    • (1996) Handbook of Statistics , vol.14 , pp. 209-240
    • Palm, F.C.1
  • 44
    • 0345451340 scopus 로고
    • Size effekt und settlement effekt am österreichischen Aktienmarkt
    • Pichler S (1993) Size Effekt und Settlement Effekt am österreichischen Aktienmarkt. Österreichisches Bankarchiv 2:117-123
    • (1993) Österreichisches Bankarchiv , vol.2 , pp. 117-123
    • Pichler, S.1
  • 47
    • 0345451343 scopus 로고
    • Zentrum für Europäische Wirtschaftsforschung working paper no. 7
    • Schmitt C (1994) Volatilitätsprognosen. Zentrum für Europäische Wirtschaftsforschung working paper no. 7
    • (1994) Volatilitätsprognosen
    • Schmitt, C.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.