메뉴 건너뛰기




Volumn 15, Issue 12, 2005, Pages 867-874

Asymmetric stochastic volatility in emerging stock markets

Author keywords

[No Author keywords available]

Indexed keywords

STOCK MARKET;

EID: 24044555928     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100500077136     Document Type: Article
Times cited : (29)

References (26)
  • 2
    • 0033270691 scopus 로고    scopus 로고
    • Asymmetric volatility and risk in equity markets
    • Bekaert, G. and Wu, G. (2000) Asymmetric volatility and risk in equity markets, The Review of Financial Studies, 13, 1-42.
    • (2000) The Review of Financial Studies , vol.13 , pp. 1-42
    • Bekaert, G.1    Wu, G.2
  • 3
    • 4544307310 scopus 로고    scopus 로고
    • Convergence diagnosis and output analysis software for Gibbs sampling output version 0.30
    • MRC Biostatistics Unit, Institute of Public Health
    • Best, N., Cowles, M., and Vines, K. (1999) Convergence diagnosis and output analysis software for Gibbs sampling output version 0.30, MRC Biostatistics Unit, Institute of Public Health.
    • (1999)
    • Best, N.1    Cowles, M.2    Vines, K.3
  • 5
    • 43549117863 scopus 로고
    • No news is good news: An asymmetric model of changing volatility in stock returns
    • Campbell, J. Y. and Hentschel, L. (1992) No news is good news: an asymmetric model of changing volatility in stock returns, Journal of Financial Economics, 31, 281-318.
    • (1992) Journal of Financial Economics , vol.31 , pp. 281-318
    • Campbell, J.Y.1    Hentschel, L.2
  • 7
    • 0011716069 scopus 로고    scopus 로고
    • Markov chain Monte Carlo methods for stochastic volatility models
    • Chib, S., Nardari, F. and Shephard, N. (2002) Markov chain Monte Carlo methods for stochastic volatility models, Journal of Econometrics, 108, 281-316.
    • (2002) Journal of Econometrics , vol.108 , pp. 281-316
    • Chib, S.1    Nardari, F.2    Shephard, N.3
  • 8
    • 49049143130 scopus 로고
    • The stochastic behaviour of common stock variances - Value, leverage and interest rate effects
    • Christie, A. A. (1982) The stochastic behaviour of common stock variances - value, leverage and interest rate effects, Journal of Financial Economics, 10, 407-32.
    • (1982) Journal of Financial Economics , vol.10 , pp. 407-432
    • Christie, A.A.1
  • 9
    • 0033209128 scopus 로고    scopus 로고
    • What caused the Asian currency and financial crisis?
    • Corsetti, G., Pesenti, P. and Roubini, N. (1999) What caused the Asian currency and financial crisis?, Japan and World Economy, 11, 305-73.
    • (1999) Japan and World Economy , vol.11 , pp. 305-373
    • Corsetti, G.1    Pesenti, P.2    Roubini, N.3
  • 11
    • 1842659892 scopus 로고    scopus 로고
    • Extreme value theory and Value-at-Risk: Relative performance in emerging markets
    • Gençay, R. and Selçuk, F. (2004) Extreme value theory and Value-at-Risk: relative performance in emerging markets, International Journal of Forecasting, 20, 287-303.
    • (2004) International Journal of Forecasting , vol.20 , pp. 287-303
    • Gençay, R.1    Selçuk, F.2
  • 12
    • 67649497847 scopus 로고    scopus 로고
    • Stochastic volatility
    • (Eds) G. S. Maddala, C. R. Rao, H. D. Vinod. North-Holland, Amsterdam
    • Ghysels, E., Harvey, A. and Renault, E. (1996) Stochastic volatility, in Handbook of Statistics (Eds) G. S. Maddala, C. R. Rao, H. D. Vinod. Vol. 14, North-Holland, Amsterdam.
    • (1996) Handbook of Statistics , vol.14
    • Ghysels, E.1    Harvey, A.2    Renault, E.3
  • 13
    • 84993601065 scopus 로고
    • On the relation between the expected value and the volatility of the nominal excess return on stocks
    • Glosten, L., Jagannathan, R. and Runkle, D. (1993) On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of Finance, 48, 1779-801.
    • (1993) Journal of Finance , vol.48 , pp. 1779-1801
    • Glosten, L.1    Jagannathan, R.2    Runkle, D.3
  • 14
    • 0033443992 scopus 로고    scopus 로고
    • An investigation of the risk and return relation at long horizons
    • Harrison, P. and Zhang, H. H. (1999) An investigation of the risk and return relation at long horizons, The Review of Economics and Statistics, 81, 399-408.
    • (1999) The Review of Economics and Statistics , vol.81 , pp. 399-408
    • Harrison, P.1    Zhang, H.H.2
  • 15
    • 0030490795 scopus 로고    scopus 로고
    • The estimation of an asymmetric stochastic volatility model for asset returns
    • Harvey, A. C. and Shephard, N. (1996) The estimation of an asymmetric stochastic volatility model for asset returns, Journal of Business and Economic Statistics, 14, 429-34.
    • (1996) Journal of Business and Economic Statistics , vol.14 , pp. 429-434
    • Harvey, A.C.1    Shephard, N.2
  • 16
  • 18
    • 3042777110 scopus 로고    scopus 로고
    • Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
    • Jacquier, E., Polson, N. and Rossi, P. (2004) Bayesian analysis of stochastic volatility models with fat-tails and correlated errors, Journal of Econometrics, 122, 185-212.
    • (2004) Journal of Econometrics , vol.122 , pp. 185-212
    • Jacquier, E.1    Polson, N.2    Rossi, P.3
  • 19
    • 0001251517 scopus 로고    scopus 로고
    • Stochastic volatility: Likelihood inference and comparison with ARCH models
    • Kim, S., Shephard, N. and Chib, S. (1998) Stochastic volatility: likelihood inference and comparison with ARCH models, Review of Economic Studies, 65, 361-93.
    • (1998) Review of Economic Studies , vol.65 , pp. 361-393
    • Kim, S.1    Shephard, N.2    Chib, S.3
  • 20
    • 0000518006 scopus 로고    scopus 로고
    • BUGS for a Bayesian analysis of stochastic volatility models
    • Meyer, R. and Yu, J. (2000) BUGS for a Bayesian analysis of stochastic volatility models, Econometrics Journal, 3, 198-215.
    • (2000) Econometrics Journal , vol.3 , pp. 198-215
    • Meyer, R.1    Yu, J.2
  • 21
    • 0000641348 scopus 로고
    • Conditional heteroskedasticity in asset returns: A new approach
    • Nelson, B. (1991) Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347-70.
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, B.1
  • 22
    • 18344411112 scopus 로고    scopus 로고
    • Financial earthquakes, aftershocks and scaling in emerging stock markets
    • Selçuk, F. (2004a) Financial earthquakes, aftershocks and scaling in emerging stock markets, Physica A, 333, 306-16.
    • (2004) Physica A , vol.333 , pp. 306-316
    • Selçuk, F.1
  • 23
    • 4544314367 scopus 로고    scopus 로고
    • Free float and stochastic volatility: The experience of a small open economy
    • Selçuk, F. (2004b) Free float and stochastic volatility: the experience of a small open economy, Physica A, 342, 693-700.
    • (2004) Physica A , vol.342 , pp. 693-700
    • Selçuk, F.1
  • 24
    • 84986754945 scopus 로고
    • Modelling stochastic volatility: A review and comparative study
    • Taylor, S. J. (1994) Modelling stochastic volatility: a review and comparative study, Mathematical Finance, 4, 183-204.
    • (1994) Mathematical Finance , vol.4 , pp. 183-204
    • Taylor, S.J.1
  • 25
    • 0039894005 scopus 로고    scopus 로고
    • The determinants of asymmetric volatility
    • Wu, G. (2001) The determinants of asymmetric volatility, The Review of Financial Studies, 14, 837-59.
    • (2001) The Review of Financial Studies , vol.14 , pp. 837-859
    • Wu, G.1
  • 26
    • 15744390834 scopus 로고    scopus 로고
    • On leverage in a stochastic volatility model
    • forthcoming
    • Yu, J. (2004) On leverage in a stochastic volatility model, Journal of Econometrics, forthcoming.
    • (2004) Journal of Econometrics
    • Yu, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.