-
1
-
-
84993907770
-
Option valuation with systematic stochastic volatility
-
AMIN, K. and NG, B., 1993, Option valuation with systematic stochastic volatility. Journal of Finance, 48, 881-910.
-
(1993)
Journal of Finance
, vol.48
, pp. 881-910
-
-
Amin, K.1
Ng, B.2
-
3
-
-
42449156579
-
Generalized autoregressive conditional heteroskedasticity
-
BOLLERSLEV, T., 1986, Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
4
-
-
0000375581
-
A conditional heteroskedastic time series model for speculative prices and rates of return
-
BOLLERSLEV, T., 1987, A conditional heteroskedastic time series model for speculative prices and rates of return. Review of Economic Statistics. 69, 542-547.
-
(1987)
Review of Economic Statistics
, vol.69
, pp. 542-547
-
-
Bollerslev, T.1
-
5
-
-
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 ot Econometrics, 52, 5-59.
-
(1992)
Journal Ot Econometrics
, vol.52
, pp. 5-59
-
-
Bollerslev, T.1
Chou, R.Y.2
Kroner, K.F.3
-
6
-
-
84993858135
-
Stock price dynamics and firm size: An empirical investigation
-
CHEUNG, Y. W. and NG, L. K., 1992, Stock price dynamics and firm size: an empirical investigation. Journal of Finance, 47, 1985-1997.
-
(1992)
Journal of Finance
, vol.47
, pp. 1985-1997
-
-
Cheung, Y.W.1
Ng, L.K.2
-
7
-
-
49049143130
-
The stochastic behavior of common stock variances: Value leverage and interest rate effects
-
CHRISTIE, A. A., 1982, The stochastic behavior of common stock variances: value leverage and interest rate effects. Journal of Financial Economics, 10, 407-432.
-
(1982)
Journal of Financial Economics
, vol.10
, pp. 407-432
-
-
Christie, A.A.1
-
8
-
-
0002327555
-
Asymmetric predictability of conditional variances
-
CONRAD, J., GULTEKIN, M. and KAUL, G., 1991, Asymmetric predictability of conditional variances. Review of Financial Studies, 4, 597-622.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 597-622
-
-
Conrad, J.1
Gultekin, M.2
Kaul, G.3
-
9
-
-
0010788816
-
The relationship between stock and option price changes
-
DILTZ, J. D. and KIM, S., 1996, The relationship between stock and option price changes. Financial Review, 31, 499-519.
-
(1996)
Financial Review
, vol.31
, pp. 499-519
-
-
Diltz, J.D.1
Kim, S.2
-
10
-
-
0000051984
-
Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
-
ENGLE, R. F., 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007.
-
(1982)
Econometrica
, vol.50
, pp. 987-1007
-
-
Engle, R.F.1
-
11
-
-
84993924525
-
Measuring and testing the impact of news on volatility
-
ENGLE, R. F. and NG, V. K., 1993, Measuring and testing the impact of news on volatility. Journal of Finance, 48, 1749-1778.
-
(1993)
Journal of Finance
, vol.48
, pp. 1749-1778
-
-
Engle, R.F.1
Ng, V.K.2
-
12
-
-
0002417159
-
Stock return volatility and time-varying betas in the Toronto Stock Exchange
-
EPISCOPOS, A., 1996, Stock return volatility and time-varying betas in the Toronto Stock Exchange. Quarterly Journal of Business Economics, 4, 28-38.
-
(1996)
Quarterly Journal of Business Economics
, vol.4
, pp. 28-38
-
-
Episcopos, A.1
-
13
-
-
45949117024
-
Expected stock returns and volatility
-
FRENCH, K. R., SCHWERT, G. W. and STAMBAUGH, R. F., 1987, Expected stock returns and volatility. Journal of Financial Economics, 19, 3-29.
-
(1987)
Journal of Financial Economics
, vol.19
, pp. 3-29
-
-
French, K.R.1
Schwert, G.W.2
Stambaugh, R.F.3
-
14
-
-
0031817253
-
Conditional modeling of tanker market risk using route specific freight rates
-
GLEN, D. R. and MARTIN, B. T., 1998, Conditional modeling of tanker market risk using route specific freight rates. Maritime Policy and Management, 25(2), 117-128.
-
(1998)
Maritime Policy and Management
, vol.25
, Issue.2
, pp. 117-128
-
-
Glen, D.R.1
Martin, B.T.2
-
15
-
-
84952520952
-
Modeling heteroskedasticity in foreign exchange rates
-
HSIEH, D. A., 1989, Modeling heteroskedasticity in foreign exchange rates. Journal of Business and Economics Statistics, 7, 307-317.
-
(1989)
Journal of Business and Economics Statistics
, vol.7
, pp. 307-317
-
-
Hsieh, D.A.1
-
16
-
-
0031256554
-
The European exchange rates before and after the establishment of the European monetary system
-
Hu, M. Y., JIANG, C. X. and TSOUKALAS, C., 1997, The European Exchange Rates before and after the establishment of the European Monetary System. Journal of International Financial Markets, Institutions and Money. 7, 235-253.
-
(1997)
Journal of International Financial Markets, Institutions and Money
, vol.7
, pp. 235-253
-
-
Hu, M.Y.1
Jiang, C.X.2
Tsoukalas, C.3
-
17
-
-
0029772041
-
Comparisons of volatility in the dry-cargo ship sector: Spot versus time charters, and small versus larger vessels
-
January
-
KAVUSSANOS, M. G., 1996a, Comparisons of volatility in the dry-cargo ship sector: spot versus time charters, and small versus larger vessels. Journal of Transport Economics and Policty, January, 67-82.
-
(1996)
Journal of Transport Economics and Policty
, pp. 67-82
-
-
Kavussanos, M.G.1
-
18
-
-
0009904950
-
Price risk modeling of different size vessels in tanker industry using autoregressive conditional heteroskedasticity (ARCH) models
-
KAVUSSANOS, M. G., 1996b, Price risk modeling of different size vessels in tanker industry using autoregressive conditional heteroskedasticity (ARCH) models. The Logistics and Transportation Review, 32(2), 161-176.
-
(1996)
The Logistics and Transportation Review
, vol.32
, Issue.2
, pp. 161-176
-
-
Kavussanos, M.G.1
-
19
-
-
0000401690
-
The dynamics of time-varying volatilities in different size second-hand ship prices of the dry-cargo sector
-
KAVUSSANOS, M. G., 1997, The dynamics of time-varying volatilities in different size second-hand ship prices of the dry-cargo sector. Applied Economics, 29, 433-444.
-
(1997)
Applied Economics
, vol.29
, pp. 433-444
-
-
Kavussanos, M.G.1
-
20
-
-
84995628229
-
The leverage effect in individual stocks and the debt to equity ratio
-
KOUTMOS, G. and SAIDI, R., 1995, The leverage effect in individual stocks and the debt to equity ratio. Journal of Business Finance and Accounting, 22, 1063-1075.
-
(1995)
Journal of Business Finance and Accounting
, vol.22
, pp. 1063-1075
-
-
Koutmos, G.1
Saidi, R.2
-
21
-
-
0001726607
-
Stochastic behaviour of Athens stock exchange
-
KOUTMOS, G., NEGAKIS, C. and THEODOSSIOU, P., 1993, Stochastic behaviour of Athens Stock Exchange. Applied Financial Economics, 3, 119- 126.
-
(1993)
Applied Financial Economics
, vol.3
, pp. 119-126
-
-
Koutmos, G.1
Negakis, C.2
Theodossiou, P.3
-
22
-
-
3242791987
-
An econometric analysis of non-synchronous trading
-
LO, A. and MAcKINLAY, C., 1987, An econometric analysis of non-synchronous trading. Journal of Econometrica, 55, 181-211.
-
(1987)
Journal of Econometrica
, vol.55
, pp. 181-211
-
-
Lo, A.1
MacKinlay, C.2
-
23
-
-
0000641348
-
Conditional heteroskedasticity in asset returns: A new approach
-
NELSON, D. B., 1991, Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59, 347-370.
-
(1991)
Econometrica
, vol.59
, pp. 347-370
-
-
Nelson, D.B.1
-
24
-
-
1142282152
-
The impact of option introduction on the conditional return distribution of underlying securities
-
PIERRE, E. F., St., 1998, The impact of option introduction on the conditional return distribution of underlying securities. The Financial Review, 33, 105-118.
-
(1998)
The Financial Review
, vol.33
, pp. 105-118
-
-
Pierre, E.F.St.1
-
25
-
-
0002025664
-
Stock volatility and the crash of '87
-
SCHWERT, W. G., 1990, Stock volatility and the crash of '87. The Review of Financial Studies, 3, 77-102.
-
(1990)
The Review of Financial Studies
, vol.3
, pp. 77-102
-
-
Schwert, W.G.1
-
26
-
-
84992482400
-
Feedback traders and stock return autocorrelations: Evidence from a century of daily data
-
SENTANA, E. and WADHWANI, S., 1992, Feedback traders and stock return autocorrelations: evidence from a century of daily data. Economic Journal, 102, 415-425.
-
(1992)
Economic Journal
, vol.102
, pp. 415-425
-
-
Sentana, E.1
Wadhwani, S.2
-
27
-
-
0000155323
-
Daily serial correlation, trading volume and price limits: Evidence from the Taiwan stock market
-
SHEN, C. H. and WANG, L. R., 1998, Daily serial correlation, trading volume and price limits: evidence from the Taiwan Stock Market. Pacific Basin Finance Journal, 6, 251-273.
-
(1998)
Pacific Basin Finance Journal
, vol.6
, pp. 251-273
-
-
Shen, C.H.1
Wang, L.R.2
-
29
-
-
0001907981
-
Option markets and stock return volatility
-
SKINNER, D., 1989, Option markets and stock return volatility. The Journal of Financial Economics, 23, 61-78.
-
(1989)
The Journal of Financial Economics
, vol.23
, pp. 61-78
-
-
Skinner, D.1
-
30
-
-
84987490378
-
The stochastic properties of major Canadian exchange rates
-
THEODOSSIOU, P., 1994, The stochastic properties of major Canadian Exchange Rates. The Financial Review. 29, 193-221.
-
(1994)
The Financial Review
, vol.29
, pp. 193-221
-
-
Theodossiou, P.1
|