-
1
-
-
0031161196
-
Intraday periodicity and volatility persistence in financial markets
-
Andersen, T. G., and Bollerslev, T. 1997. Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance 4 (June): 115-58.
-
(1997)
Journal of Empirical Finance
, vol.4
, Issue.JUNE
, pp. 115-158
-
-
Andersen, T.G.1
Bollerslev, T.2
-
2
-
-
0035402387
-
The distribution of realized stock return volatility
-
Andersen, T. O.; Bollerslev, T.; Diebold, F. X.; and Ebens, H. 2001. The distribution of realized stock return volatility. Journal of Financial Economics 61 (March): 43-76.
-
(2001)
Journal of Financial Economics
, vol.61
, Issue.MARCH
, pp. 43-76
-
-
Andersen, T.O.1
Bollerslev, T.2
Diebold, F.X.3
Ebens, H.4
-
3
-
-
34848900983
-
ARCH modeling in finance: A review of the theory and empirical evidence
-
Bollerslev, T.; Chou, R. Y.; and Kroner, K. F. 1992. ARCH modeling in finance: A review of the theory and empirical evidence. Journal of Econometrics 52 (April-May): 5-59.
-
(1992)
Journal of Econometrics
, vol.52
, Issue.APRIL-MAY
, pp. 5-59
-
-
Bollerslev, T.1
Chou, R.Y.2
Kroner, K.F.3
-
4
-
-
70350121603
-
ARCH models
-
R. F. Engle and D. McFadden (eds.). Amsterdam: North Holland
-
Bollerslev, T.; Engle, R. F.; and Nelson, D. B. 1994. ARCH models. In R. F. Engle and D. McFadden (eds.), Handbook of Econometrics, Vol. 4. Amsterdam: North Holland.
-
(1994)
Handbook of Econometrics
, vol.4
-
-
Bollerslev, T.1
Engle, R.F.2
Nelson, D.B.3
-
5
-
-
84993882002
-
Good news, bad news, volatility, and beta
-
Braun, P. A.; Nelson, D. B.; and Sunier, A. M. 1995. Good news, bad news, volatility, and beta. Journal of Finance 50 (December): 1575-1603.
-
(1995)
Journal of Finance
, vol.50
, Issue.DECEMBER
, pp. 1575-1603
-
-
Braun, P.A.1
Nelson, D.B.2
Sunier, A.M.3
-
6
-
-
0000433727
-
A variance decomposition for stock returns
-
Campbell, J. Y. 1991. A variance decomposition for stock returns. Economic Journal 101 (March): 157-79.
-
(1991)
Economic Journal
, vol.101
, Issue.MARCH
, pp. 157-179
-
-
Campbell, J.Y.1
-
7
-
-
0002519023
-
Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
-
Campbell, J. Y.; Lettau, M.; Malkiel, B. G.; and Xu, Y. 2001. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance 56 (February): 1-43.
-
(2001)
Journal of Finance
, vol.56
, Issue.FEBRUARY
, pp. 1-43
-
-
Campbell, J.Y.1
Lettau, M.2
Malkiel, B.G.3
Xu, Y.4
-
8
-
-
0002438484
-
Estimating deterministic trends in the presence of serially correlated errors
-
Canjels, E., and Watson, M. W. 1997. Estimating deterministic trends in the presence of serially correlated errors. Review of Economics and Statistics 79 (May): 184-200.
-
(1997)
Review of Economics and Statistics
, vol.79
, Issue.MAY
, pp. 184-200
-
-
Canjels, E.1
Watson, M.W.2
-
9
-
-
84986384825
-
Volatility persistence and stock valuations
-
Chou, R. Y. 1988. Volatility persistence and stock valuations. Journal of Applied Econometrics 3 (October-December): 279-94.
-
(1988)
Journal of Applied Econometrics
, vol.3
, Issue.OCTOBER-DECEMBER
, pp. 279-294
-
-
Chou, R.Y.1
-
10
-
-
0001905231
-
The econometrics of ultra-high-frequency data
-
Engle, R. F. 2000. The econometrics of ultra-high-frequency data. Econometrica 68 (January): 1-22.
-
(2000)
Econometrica
, vol.68
, Issue.JANUARY
, pp. 1-22
-
-
Engle, R.F.1
-
11
-
-
0031161249
-
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
-
Engle, R. F., and Russell, J. R. 1997. Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model. Journal of Empirical Finance 4 (June): 187-212.
-
(1997)
Journal of Empirical Finance
, vol.4
, Issue.JUNE
, pp. 187-212
-
-
Engle, R.F.1
Russell, J.R.2
-
12
-
-
0000373457
-
Autoregressive conditional duration: A new model for irregularly spaced transaction data
-
Engle, R. F., and Russell, J. R. 1998. Autoregressive conditional duration: A new model for irregularly spaced transaction data. Econometrica 66 (September): 1127-62.
-
(1998)
Econometrica
, vol.66
, Issue.SEPTEMBER
, pp. 1127-1162
-
-
Engle, R.F.1
Russell, J.R.2
-
13
-
-
84977737676
-
The cross-section of expected stock returns
-
Fama, E. F., and French, K. R. 1992. The cross-section of expected stock returns. Journal of Finance 47 (June): 427-65.
-
(1992)
Journal of Finance
, vol.47
, Issue.JUNE
, pp. 427-465
-
-
Fama, E.F.1
French, K.R.2
-
14
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
Fama, E. F., and French, K. R. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (February): 3-56.
-
(1993)
Journal of Financial Economics
, vol.33
, Issue.FEBRUARY
, pp. 3-56
-
-
Fama, E.F.1
French, K.R.2
-
15
-
-
84934453931
-
The variation of economic risk premiums
-
Ferson, W. E., and Harvey, C. R. 1991. The variation of economic risk premiums. Journal of Political Economy 99 (April): 385-415.
-
(1991)
Journal of Political Economy
, vol.99
, Issue.APRIL
, pp. 385-415
-
-
Ferson, W.E.1
Harvey, C.R.2
-
16
-
-
0030360244
-
Continuous record asymptotics for rolling sample variance estimators
-
Foster, D. P., and Nelson, D. B. 1996. Continuous record asymptotics for rolling sample variance estimators. Econometrica 64 (January): 139-74.
-
(1996)
Econometrica
, vol.64
, Issue.JANUARY
, pp. 139-174
-
-
Foster, D.P.1
Nelson, D.B.2
-
18
-
-
67649497847
-
Stochastic volatility
-
G. S. Maddala (ed.). Amsterdam: North Holland
-
Ghysels, E.; Harvey, A.; and Renault, E. 1997. Stochastic volatility. In G. S. Maddala (ed.), Handbook of Statistics. Vol. 14. Amsterdam: North Holland.
-
(1997)
Handbook of Statistics
, vol.14
-
-
Ghysels, E.1
Harvey, A.2
Renault, E.3
-
19
-
-
0002340768
-
The effect of seasonal adjustment filters on tests for a unit root
-
Ghysels, E., and Perron, P. 1993. The effect of seasonal adjustment filters on tests for a unit root. Journal of Econometrics 55 (January-February): 57-98.
-
(1993)
Journal of Econometrics
, vol.55
, Issue.JANUARY-FEBRUARY
, pp. 57-98
-
-
Ghysels, E.1
Perron, P.2
-
20
-
-
0013469684
-
Institutional investors and equity prices
-
Gompers, P. A., and Metrick, A. 2001. Institutional investors and equity prices. Quarterly Journal of Economics 116 (February): 229-59.
-
(2001)
Quarterly Journal of Economics
, vol.116
, Issue.FEBRUARY
, pp. 229-259
-
-
Gompers, P.A.1
Metrick, A.2
-
21
-
-
0039657041
-
The dynamics of discrete bid and ask quotes
-
Hasbrouck, J. 1999. The dynamics of discrete bid and ask quotes. Journal of Finance 54 (December): 2109-42.
-
(1999)
Journal of Finance
, vol.54
, Issue.DECEMBER
, pp. 2109-2142
-
-
Hasbrouck, J.1
-
22
-
-
38249008015
-
Research design issues in grouping-based tests
-
Lys, T., and Sabino, J. S. 1992. Research design issues in grouping-based tests. Journal of Financial Economics 32 (December): 355-87.
-
(1992)
Journal of Financial Economics
, vol.32
, Issue.DECEMBER
, pp. 355-387
-
-
Lys, T.1
Sabino, J.S.2
-
23
-
-
0039861256
-
Idiosyncratic risk and security returns
-
Dallas: University of Texas at Dallas, School of Management
-
Malkiel, B. G., and Xu, Y. 2000. Idiosyncratic risk and security returns. Working paper. Dallas: University of Texas at Dallas, School of Management.
-
(2000)
Working Paper
-
-
Malkiel, B.G.1
Xu, Y.2
-
24
-
-
84974220416
-
Partially adaptive estimation of regression models via the generalized f-distribution
-
McDonald, J. B., and Newey, W. K. 1988. Partially adaptive estimation of regression models via the generalized f-distribution. Econometric Theory 4:428-57.
-
(1988)
Econometric Theory
, vol.4
, pp. 428-457
-
-
McDonald, J.B.1
Newey, W.K.2
-
25
-
-
43149089991
-
A generalization of the beta distribution with applications
-
McDonald, J. B., and Xu, Y. 1995. A generalization of the beta distribution with applications. Journal of Econometrics 66 (March-April): 133-52.
-
(1995)
Journal of Econometrics
, vol.66
, Issue.MARCH-APRIL
, pp. 133-152
-
-
McDonald, J.B.1
Xu, Y.2
-
26
-
-
84977707955
-
Why does stock market volatility change over time?
-
Schwert, G. W. 1989. Why does stock market volatility change over time? Journal of Finance 44 (December): 1115-53.
-
(1989)
Journal of Finance
, vol.44
, Issue.DECEMBER
, pp. 1115-1153
-
-
Schwert, G.W.1
-
27
-
-
84977727648
-
Heteroskedasticity in stock returns
-
Schwert, G. W., and Seguin, P. J. 1990. Heteroskedasticity in stock returns. Journal of Finance 45 (September): 1129-55.
-
(1990)
Journal of Finance
, vol.45
, Issue.SEPTEMBER
, pp. 1129-1155
-
-
Schwert, G.W.1
Seguin, P.J.2
-
28
-
-
0001760867
-
Trend function hypothesis testing in the presence of serial correlation
-
Vogelsang, T. 1998. Trend function hypothesis testing in the presence of serial correlation. Econometrica 66 (January): 123-48.
-
(1998)
Econometrica
, vol.66
, Issue.JANUARY
, pp. 123-148
-
-
Vogelsang, T.1
|