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The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/(sici)1096-9934(199606)16:4<353::aid-fut1>3.0.co;2-hopenalex-snapshot

Trading costs and the relative rates of price discovery in stock, futures, and option markets

inferredcites →https://doi.org/10.1002/jae.3950040102openalex-snapshot

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

inferredcites →https://doi.org/10.1007/978-1-4612-6333-3openalex-snapshot

A Practical Guide to Splines

inferredcites →https://doi.org/10.1007/978-1-4757-2763-0_14openalex-snapshot

The variation of certain speculative prices

inferredcites →https://doi.org/10.1016/0169-2070(88)90121-5openalex-snapshot

Journal of business and economic statistics 5

inferredcites →https://doi.org/10.1016/0169-2070(94)90039-6openalex-snapshot

Journal of Business and Economic Statistics

inferredcites →https://doi.org/10.1016/0261-5606(93)90039-eopenalex-snapshot

The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks

inferredcites →https://doi.org/10.1016/0304-405x(92)90023-qopenalex-snapshot

The impact of institutional trading on stock prices

inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-snapshot

Generalized autoregressive conditional heteroskedasticity

inferredcites →https://doi.org/10.1016/0304-4076(92)90064-xopenalex-snapshot

ARCH modeling in finance

inferredcites →https://doi.org/10.1080/01621459.1979.10482531openalex-snapshot

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

inferredcites →https://doi.org/10.1080/07350015.1990.10509794openalex-snapshot

Persistence in Variance, Structural Change, and the GARCH Model

inferredcites →https://doi.org/10.1080/07350015.1995.10524575openalex-snapshot

A Multivariate GARCH Model of International Transmissions of Stock Returns and Volatility: The Case of the United States and Canada

inferredcites →https://doi.org/10.1080/07474938608800096openalex-snapshot

Modeling The persistence Of Conditional Variances: A Comment

inferredcites →https://doi.org/10.1086/294632openalex-snapshot

The Variation of Certain Speculative Prices

inferredcites →https://doi.org/10.1086/294743openalex-snapshot

The Behavior of Stock-Market Prices

inferredcites →https://doi.org/10.1086/296451openalex-snapshot

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

inferredcites →https://doi.org/10.1093/rfs/3.1.77openalex-snapshot

Stock Volatility and the Crash of '87

inferredcites →https://doi.org/10.1111/j.1468-5957.1996.tb01036.xopenalex-snapshot

ODD‐LOT COSTS, TAXES AND THE EX‐DATE PRICE EFFECTS OF STOCK DIVIDENDS: EVIDENCE FROM THE TORONTO STOCK EXCHANGE

inferredcites →https://doi.org/10.1111/j.1540-6261.1988.tb02590.xopenalex-snapshot

A Theory of Noise Trading in Securities Markets

inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb05088.xopenalex-snapshot

Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

inferredcites →https://doi.org/10.1111/j.1540-6288.1994.tb00399.xopenalex-snapshot

Conditional Heteroskedasticity and Global Stock Return Distributions

inferredcites →https://doi.org/10.1214/aos/1176344136openalex-snapshot

Estimating the Dimension of a Model

inferredcites →https://doi.org/10.2307/1912517openalex-snapshot

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

inferredcites →https://doi.org/10.2307/1912773openalex-snapshot

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

inferredcites →https://doi.org/10.2307/1912934openalex-snapshot

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

inferredcites →https://doi.org/10.2307/2006241openalex-snapshot

A Practical Guide to Splines.

inferredcites →https://doi.org/10.2307/2491097openalex-snapshot

Accounting Earnings Announcements, Institutional Investor Concentration, and Common Stock Returns

inferredcites →https://doi.org/10.2307/253449openalex-snapshot

Patterns of Institutional Investment, Prudence, and the Managerial "Safety-Net" Hypothesis

inferredcites →https://doi.org/10.2307/2938189openalex-snapshot

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

inferredcites →https://doi.org/10.3386/w2609openalex-snapshot

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

inferredcites →https://doi.org/10.58964/jbamain1openalex-snapshot

Journal of Business Administration

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.119688openalex-extracted

Time-Varying Volatility in Canadian and U.S. Stock Index Futures Markets: A Multivariate Analysis

inferred← citeshttps://doi.org/10.1002/ijfe.189openalex-snapshot

The economics of exchange rate volatility asymmetry

inferred← citeshttps://doi.org/10.1016/j.gfj.2008.09.008openalex-snapshot

Flight-to-quality and asymmetric volatility responses in US Treasuries

inferred← citeshttps://doi.org/10.1080/09603107.2012.669459openalex-snapshot

Volatility transmission across stock index futures when there are structural changes in return variance

inferred← citeshttps://doi.org/10.1088/1469-7688/3/4/303openalex-snapshot

GARCH model selection criteria

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