-
2
-
-
33746335312
-
Evaluating the effectiveness of state-switching time series models for US real output
-
Ashley R.A., and Patterson D.M. Evaluating the effectiveness of state-switching time series models for US real output. Journal of Business and Economic Statistics 24 (2006) 266-277
-
(2006)
Journal of Business and Economic Statistics
, vol.24
, pp. 266-277
-
-
Ashley, R.A.1
Patterson, D.M.2
-
3
-
-
63349101118
-
Fractionally integrated generalised autoregressive conditional heteroscedasticity
-
Michigan State University
-
Baillie R.T., Bollerslev T., and Mikkelsen H.O.E. Fractionally integrated generalised autoregressive conditional heteroscedasticity. Working Paper 9204 (1994), Michigan State University
-
(1994)
Working Paper 9204
-
-
Baillie, R.T.1
Bollerslev, T.2
Mikkelsen, H.O.E.3
-
5
-
-
0033270691
-
Asymmetric volatility and risk in equity markets
-
Bekaert G., and Wu G. Asymmetric volatility and risk in equity markets. Review of Financial Studies 13 (2000) 1-42
-
(2000)
Review of Financial Studies
, vol.13
, pp. 1-42
-
-
Bekaert, G.1
Wu, G.2
-
7
-
-
34848900983
-
ARCH modelling in finance: A review of the theory and empirical evidence
-
Bollerslev T., Chou R.C., and Kroner K. ARCH modelling in finance: A review of the theory and empirical evidence. Journal of Econometrics 52 (1992) 5-59
-
(1992)
Journal of Econometrics
, vol.52
, pp. 5-59
-
-
Bollerslev, T.1
Chou, R.C.2
Kroner, K.3
-
9
-
-
0003566244
-
-
MIT Press, Cambridge, Massachusetts
-
Brock W.A., Hsieh D.A., and LeBaron B. Nonlinear Dynamics, Chaos, and Instability (1991), MIT Press, Cambridge, Massachusetts
-
(1991)
Nonlinear Dynamics, Chaos, and Instability
-
-
Brock, W.A.1
Hsieh, D.A.2
LeBaron, B.3
-
10
-
-
0002502359
-
The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
-
Brooks C., and Heravi S.M. The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test. Computational Economics 13 (1999) 147-164
-
(1999)
Computational Economics
, vol.13
, pp. 147-164
-
-
Brooks, C.1
Heravi, S.M.2
-
11
-
-
0041778792
-
Can Portmanteau non-linearity tests serve as general miss-specification tests?
-
Brooks C., and Henry O.T. Can Portmanteau non-linearity tests serve as general miss-specification tests?. Economics Letters 67 (2000) 245-251
-
(2000)
Economics Letters
, vol.67
, pp. 245-251
-
-
Brooks, C.1
Henry, O.T.2
-
12
-
-
33947304625
-
Power ARCH modelling of the volatility of emerging equity markets
-
Brooks R. Power ARCH modelling of the volatility of emerging equity markets. Emerging Markets review 8 (2007) 124-133
-
(2007)
Emerging Markets review
, vol.8
, pp. 124-133
-
-
Brooks, R.1
-
13
-
-
0345055841
-
The role of long-term finance: Theory and evidence
-
Caprio G.J., and Demirguc-Kunt A. The role of long-term finance: Theory and evidence. World Bank Research Observer 13 2 (1998) 171-189
-
(1998)
World Bank Research Observer
, vol.13
, Issue.2
, pp. 171-189
-
-
Caprio, G.J.1
Demirguc-Kunt, A.2
-
14
-
-
49049143130
-
The stochastic behaviour of common stock variances: Value, leverage and interest rate effects
-
Christie A. The stochastic behaviour of common stock variances: Value, leverage and interest rate effects. Journal of Financial Economics 10 (1982) 407-432
-
(1982)
Journal of Financial Economics
, vol.10
, pp. 407-432
-
-
Christie, A.1
-
15
-
-
0001148167
-
Time variation in expected returns
-
Conrad J., and Kaul G. Time variation in expected returns. Journal of Business 61 (1988) 409-425
-
(1988)
Journal of Business
, vol.61
, pp. 409-425
-
-
Conrad, J.1
Kaul, G.2
-
17
-
-
0000582293
-
Market Efficiency in Developing Countries: A Case Study of the Nairobi Stock Exchange
-
Dickinson J.P., and Muragu K. Market Efficiency in Developing Countries: A Case Study of the Nairobi Stock Exchange. Journal of Business Finance and Accounting 21 1 (1994) 133-149
-
(1994)
Journal of Business Finance and Accounting
, vol.21
, Issue.1
, pp. 133-149
-
-
Dickinson, J.P.1
Muragu, K.2
-
19
-
-
0000051984
-
Autoregressive conditional heteroscedasticity with estimates of variables of UK Inflation
-
Engel R. Autoregressive conditional heteroscedasticity with estimates of variables of UK Inflation. Econometrica 50 (1982) 987-1008
-
(1982)
Econometrica
, vol.50
, pp. 987-1008
-
-
Engel, R.1
-
20
-
-
0001264648
-
Estimating time varying risk premia in the term structure: The ARCH-M model
-
Engel R.F., Lillien D.M., and Robins R.P. Estimating time varying risk premia in the term structure: The ARCH-M model. Econometrica 55 2 (1987) 391-407
-
(1987)
Econometrica
, vol.55
, Issue.2
, pp. 391-407
-
-
Engel, R.F.1
Lillien, D.M.2
Robins, R.P.3
-
21
-
-
84993924525
-
Measuring and testing the impact of news on volatility
-
Engel R.F., and Ng V.K. Measuring and testing the impact of news on volatility. Journal of Finance 48 (1993) 1749-1778
-
(1993)
Journal of Finance
, vol.48
, pp. 1749-1778
-
-
Engel, R.F.1
Ng, V.K.2
-
22
-
-
0002528209
-
The behaviour of stock prices
-
Fama E.F. The behaviour of stock prices. Journal of Business 37 1 (1965) 34-105
-
(1965)
Journal of Business
, vol.37
, Issue.1
, pp. 34-105
-
-
Fama, E.F.1
-
23
-
-
0000480869
-
Efficient capital markets: A review of theory and empirical work
-
Fama E.F. Efficient capital markets: A review of theory and empirical work. Journal of Finance 25 2 (1970) 383-417
-
(1970)
Journal of Finance
, vol.25
, Issue.2
, pp. 383-417
-
-
Fama, E.F.1
-
24
-
-
0000754261
-
Some new stock market indices
-
Fisher L. Some new stock market indices. Journal of Business 39 (1966) 191-225
-
(1966)
Journal of Business
, vol.39
, pp. 191-225
-
-
Fisher, L.1
-
26
-
-
33750343830
-
-
Edward Elgar Inc, UK
-
Green C.J., Kirkpatrick C.H., and Murinde V. Finance and Development: Surveys of Theory, Evidence and Policy (2005), Edward Elgar Inc, UK
-
(2005)
Finance and Development: Surveys of Theory, Evidence and Policy
-
-
Green, C.J.1
Kirkpatrick, C.H.2
Murinde, V.3
-
27
-
-
0001679922
-
Regulatory lessons for emerging markets from a century of evidence on transactions costs and share price volatility in the London stock exchange
-
Green C.J., Maggioni P., and Murinde V. Regulatory lessons for emerging markets from a century of evidence on transactions costs and share price volatility in the London stock exchange. Journal of Banking and Finance 24 (2000) 577-601
-
(2000)
Journal of Banking and Finance
, vol.24
, pp. 577-601
-
-
Green, C.J.1
Maggioni, P.2
Murinde, V.3
-
28
-
-
21844487168
-
Predictable risk and return in emerging markets
-
Harvey C.R. Predictable risk and return in emerging markets. Review of Financial Studies 8 3 (1995) 773-816
-
(1995)
Review of Financial Studies
, vol.8
, Issue.3
, pp. 773-816
-
-
Harvey, C.R.1
-
29
-
-
0000208563
-
Testing for dependence in the input to a linear time series model
-
Hinich M.J. Testing for dependence in the input to a linear time series model. Journal of Nonparametric Statistics 6 (1996) 205-221
-
(1996)
Journal of Nonparametric Statistics
, vol.6
, pp. 205-221
-
-
Hinich, M.J.1
-
31
-
-
63349083697
-
Regional integration of stock exchanges in eastern and southern Africa: Progress and prospects
-
Irving J. Regional integration of stock exchanges in eastern and southern Africa: Progress and prospects. IMF Working paper WP/05/122 (2005)
-
(2005)
IMF Working paper WP/05/122
-
-
Irving, J.1
-
32
-
-
19144364284
-
Stock market liberalisation and volatility in the presence of favourable market characteristics and institutions
-
Jayasuriya S. Stock market liberalisation and volatility in the presence of favourable market characteristics and institutions. Emerging Markets Review 6 (2005) 170-191
-
(2005)
Emerging Markets Review
, vol.6
, pp. 170-191
-
-
Jayasuriya, S.1
-
33
-
-
0002484986
-
Stock prices do not follow random walks: Evidence from a simple specification test
-
Lo A.W., and MacKinlay A.C. Stock prices do not follow random walks: Evidence from a simple specification test. The Review of Financial Studies (1988) 41-66
-
(1988)
The Review of Financial Studies
, pp. 41-66
-
-
Lo, A.W.1
MacKinlay, A.C.2
-
34
-
-
63349096526
-
Weak-form market efficiency and nonlinearity
-
iFirst
-
Lim K.P. Weak-form market efficiency and nonlinearity. Applied Economics Letters (2007) 1-4 iFirst
-
(2007)
Applied Economics Letters
, pp. 1-4
-
-
Lim, K.P.1
-
35
-
-
44349100374
-
Financial crisis and stock market efficiency: Empirical evidence from Asian countries
-
Lim K.P., Brooks R., and Kim J.H. Financial crisis and stock market efficiency: Empirical evidence from Asian countries. International Review of Financial Analysis 17 3 (2008) 571-591
-
(2008)
International Review of Financial Analysis
, vol.17
, Issue.3
, pp. 571-591
-
-
Lim, K.P.1
Brooks, R.2
Kim, J.H.3
-
38
-
-
0000894103
-
Testing Linearity against Smooth Transition Autoregressive Models
-
Luukkonen R., Saikkonen P., and Teräsvirta T. Testing Linearity against Smooth Transition Autoregressive Models. Biometrika 75 (1988) 491-499
-
(1988)
Biometrika
, vol.75
, pp. 491-499
-
-
Luukkonen, R.1
Saikkonen, P.2
Teräsvirta, T.3
-
40
-
-
0001504360
-
The variation of certain speculative prices
-
Mandelbrot B. The variation of certain speculative prices. Journal of Business 36 (1963) 394-419
-
(1963)
Journal of Business
, vol.36
, pp. 394-419
-
-
Mandelbrot, B.1
-
41
-
-
84986777926
-
Diagnostic checking ARMA time series models using squared-residual autocorrelations
-
McLeod A.I., and Li W.K. Diagnostic checking ARMA time series models using squared-residual autocorrelations. Journal of Time Series Analysis 4 (1983) 269-273
-
(1983)
Journal of Time Series Analysis
, vol.4
, pp. 269-273
-
-
McLeod, A.I.1
Li, W.K.2
-
42
-
-
0010889454
-
The Egyptian stock market: Efficiency tests and volatility effects
-
Mecagni M., and Sourial S.M. The Egyptian stock market: Efficiency tests and volatility effects. IMF Working Paper, WP/99/48 (1999)
-
(1999)
IMF Working Paper, WP/99/48
-
-
Mecagni, M.1
Sourial, S.M.2
-
43
-
-
0039176188
-
On the validity of the weak form efficient markets hypothesis applied to the London stock exchange: Comment
-
Millionis A.E., and Moschos D. On the validity of the weak form efficient markets hypothesis applied to the London stock exchange: Comment. Applied Economics Letters 7 (2000) 419-421
-
(2000)
Applied Economics Letters
, vol.7
, pp. 419-421
-
-
Millionis, A.E.1
Moschos, D.2
-
44
-
-
0000248956
-
Technical analysis and the London Stock Exchange: Testing Trading Rules using the FT30
-
Mills T.C. Technical analysis and the London Stock Exchange: Testing Trading Rules using the FT30. International Journal of Finance and Economics 2 (1997) 319-331
-
(1997)
International Journal of Finance and Economics
, vol.2
, pp. 319-331
-
-
Mills, T.C.1
-
45
-
-
0000641348
-
Conditional heteroscedasticity in asset returns: A new approach
-
Nelson D.B. Conditional heteroscedasticity in asset returns: A new approach. Econometrica 59 (1991) 347-370
-
(1991)
Econometrica
, vol.59
, pp. 347-370
-
-
Nelson, D.B.1
-
46
-
-
0001048637
-
Naïve trading rules in financial markets and Weiner-Kolmogorov Prediction theory: A study of technical analysis
-
Neftci S.N. Naïve trading rules in financial markets and Weiner-Kolmogorov Prediction theory: A study of technical analysis. Journal of Business 64 (1991) 549-571
-
(1991)
Journal of Business
, vol.64
, pp. 549-571
-
-
Neftci, S.N.1
-
47
-
-
0033509309
-
Weak Form efficiency of the Nigerian Stock Market: Further Evidence
-
Olowe R.A. Weak Form efficiency of the Nigerian Stock Market: Further Evidence. Africa Development Review 11 1 (1999) 54-68
-
(1999)
Africa Development Review
, vol.11
, Issue.1
, pp. 54-68
-
-
Olowe, R.A.1
-
48
-
-
22144464831
-
Market capitalization and efficiency
-
Panagiotidis T. Market capitalization and efficiency. Applied Financial Economics 15 (2005) 707-713
-
(2005)
Applied Financial Economics
, vol.15
, pp. 707-713
-
-
Panagiotidis, T.1
-
51
-
-
0009085087
-
A note on GARCH predictable variances and stock market efficiency
-
Schwaiger W.S.A. A note on GARCH predictable variances and stock market efficiency. Journal of Banking and Finance 19 (1995) 949-953
-
(1995)
Journal of Banking and Finance
, vol.19
, pp. 949-953
-
-
Schwaiger, W.S.A.1
-
52
-
-
0002025664
-
Stock volatility and the crash of '87
-
Schwert G.W. Stock volatility and the crash of '87. Review of Financial Studies 3 (1990) 77-102
-
(1990)
Review of Financial Studies
, vol.3
, pp. 77-102
-
-
Schwert, G.W.1
-
53
-
-
23844442174
-
The changing efficiency of African stock markets
-
Smith G., and Jefferis K. The changing efficiency of African stock markets. South African Journal of Economics 73 1 (2005) 54-67
-
(2005)
South African Journal of Economics
, vol.73
, Issue.1
, pp. 54-67
-
-
Smith, G.1
Jefferis, K.2
-
54
-
-
0003355455
-
Modelling economic relationships with smooth transition regressions
-
Ullah A., and Giles D.E. (Eds), Dekker, New York
-
Terasvirta T. Modelling economic relationships with smooth transition regressions. In: Ullah A., and Giles D.E. (Eds). Handbook of Applied Economic Statistics (1998), Dekker, New York 507-552
-
(1998)
Handbook of Applied Economic Statistics
, pp. 507-552
-
-
Terasvirta, T.1
-
55
-
-
0001146403
-
Nonlinearity tests for time series
-
Tsay R.S. Nonlinearity tests for time series. Biometrica 73 (1986) 461-466
-
(1986)
Biometrica
, vol.73
, pp. 461-466
-
-
Tsay, R.S.1
-
56
-
-
85045980281
-
Smooth transition autoregressive models - A survey of recent developments
-
van Dijk D., Terasvirta T., and Franses P.H. Smooth transition autoregressive models - A survey of recent developments. Econometric Reviews 21 (2002) 1-47
-
(2002)
Econometric Reviews
, vol.21
, pp. 1-47
-
-
van Dijk, D.1
Terasvirta, T.2
Franses, P.H.3
-
57
-
-
82555173457
-
The determinants of stock market development in emerging economies: Is South Africa any different
-
Yartey C.A. The determinants of stock market development in emerging economies: Is South Africa any different. IMF Working Paper WP/08/32 (2008)
-
(2008)
IMF Working Paper WP/08/32
-
-
Yartey, C.A.1
|