Reference health
Stock Market Volatility Dynamics: A Volume Filtered-GARCH Model
2 of 58 checkable references need attention · checked 2026-08-27
At the dated check, the references listed below either did not resolve in Crossref or DataCite, or carried a retraction notice. Each one is shown with the registry record that put it there.
12 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
References needing attention
does not resolve to a known work10.2307/2329067
does not resolve to a known work10.2307/1391528
The 56 checked references that resolve
resolves10.1111/j.1540-6261.2008.01419.x
Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk
resolves10.1111/j.1540-6261.1996.tb05206.x
Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility
resolves10.1111/0022-1082.85732
Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
resolves10.3386/w11775
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
resolves10.2307/2331149
Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets
resolves10.2307/1913889
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
resolves10.1093/rfs/12.4.901
Filter Rules Based on Price and Volume in Individual Security Overreaction
resolves10.1016/0304-4076(95)01737-2
Modeling volatility persistence of speculative returns: A new approach
resolves10.2307/1912773
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
resolves10.1093/rfs/hhn004
The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
resolves10.1093/jjfinec/nbr005
Forecasting intraday volatility in the US equity market. Multiplicative component GARCH
resolves10.2307/1912726
The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
resolves10.1080/07350015.1995.10524613
Can Speculative Trading Explain the Volume–Volatility Relation?
resolves10.1162/003465399558481
Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
resolves10.2307/2171789
Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
resolves10.1111/j.1540-6261.1994.tb04776.x
Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation
resolves10.1016/0304-4076(92)90104-Y
Testing the null hypothesis of stationarity against the alternative of a unit root
resolves10.1111/j.1540-6261.1990.tb05088.x
Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects
resolves10.1080/07350015.1990.10509794
Persistence in Variance, Structural Change, and the GARCH Model
resolves10.1080/07350015.1994.10510012
Endogenous Trading Volume and Momentum in Stock-Return Volatility
resolves10.1080/07350015.1998.10524739
Dynamic BivarSate Mixture Models: Modeling the Behavior of Prices and Trading Volume
resolves10.1093/rfs/13.2.257
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory
resolves10.1111/j.1540-6261.2004.00648.x
News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns
resolves10.2307/2331193
A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information
resolves10.1080/07350015.2000.10524862
Bayesian Analysis of Dynamic Bivariate Mixture Models: Can They Explain the Behavior of Returns and Trading Volume?
The 12 references without a DOI — listed, not checked
no DOI — not checkedref1
no DOI — not checkedMotor Co Del) filtered volatility component ? ? ?t and GJR-GARCH volatility forecast. The sample begins on 1994-01-03 and ends on 2014-12-31. Both panels show the predicted volatility from the GJR-GARCH model (dashed grey line) and the VF-GARCH model's filtered component of volatility
no DOI — not checkedBAC (Bank of America Corp.) and CAT (Caterpillar Inc.) volatility estimate components: total volatility (grey) and filtered persistent component unrelated to volume (black). The sample begins on
no DOI — not checkedref4
no DOI — not checkedref5
no DOI — not checkedref6
no DOI — not checkedVF-GARCH volatility components and GJR-GARCH estimates during an earning surprise for IBM. Panel A plots the daily returns, Panels B displays the unexpected volumes, Panel C presents the evolution of the total VF-GARCH volatility (dotted line) and filtered GARCH component
no DOI — not checkedStock volatility and the crash of
no DOI — not checkedref33
no DOI — not checkedref34
no DOI — not checkedref43
no DOI — not checkedref47
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