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Univariate and Bivariate Volatility in Central European Stock 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/for.1214openalex-snapshot
Forecasting Stock Market Volatility in Central and Eastern European Countries
inferredcites →https://doi.org/10.1002/jae.659openalex-snapshot
Computation and analysis of multiple structural change models
inferredcites →https://doi.org/10.1007/978-3-540-71297-8_9openalex-snapshot
Multivariate GARCH Models
inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-snapshot
Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/0304-4076(90)90101-xopenalex-snapshot
Alternative models for conditional stock volatility
inferredcites →https://doi.org/10.1016/0927-5398(93)90006-dopenalex-snapshot
A long memory property of stock market returns and a new model
inferredcites →https://doi.org/10.1016/j.econmod.2013.03.015openalex-snapshot
Stock market comovements in Central Europe: Evidence from the asymmetric DCC model
inferredcites →https://doi.org/10.1016/j.ecosys.2012.07.004openalex-snapshot
International stock market integration: Central and South Eastern Europe compared
inferredcites →https://doi.org/10.1016/j.intfin.2007.08.006openalex-snapshot
Sudden changes in volatility: The case of five central European stock markets
inferredcites →https://doi.org/10.1016/j.intfin.2014.01.007openalex-snapshot
An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits
inferredcites →https://doi.org/10.1016/j.iref.2011.01.006openalex-snapshot
Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets
inferredcites →https://doi.org/10.1017/s0266466600009063openalex-snapshot
Multivariate Simultaneous Generalized ARCH
inferredcites →https://doi.org/10.1080/01621459.1994.10476824openalex-snapshot
Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
inferredcites →https://doi.org/10.1080/09603100150210309openalex-snapshot
Volatility in the transition markets of Central Europe
inferredcites →https://doi.org/10.1086/261527openalex-snapshot
A Capital Asset Pricing Model with Time-Varying Covariances
inferredcites →https://doi.org/10.1093/jjfinec/nbl005openalex-snapshot
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
inferredcites →https://doi.org/10.1108/03074350610657436openalex-snapshot
Stock market crises and portfolio diversification in Central and Eastern Europe
inferredcites →https://doi.org/10.1111/j.1467-9957.2008.01083.xopenalex-snapshot
STOCK MARKET INTEGRATION FOR THE TRANSITION ECONOMIES: TIME‐VARYING CONDITIONAL CORRELATION APPROACH
inferredcites →https://doi.org/10.1111/j.1467-9957.2008.01083.x/abstractopenalex-snapshot
STOCK MARKET INTEGRATION FOR THE TRANSITION ECONOMIES: TIME-VARYING CONDITIONAL CORRELATION APPROACH
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-snapshot
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1198/073500102288618487openalex-snapshot
Dynamic Conditional Correlation
inferredcites →https://doi.org/10.18267/j.pep.439openalex-snapshot
Interdependence Between Some Major European Stock Markets - A Wavelet Lead/Lag Analysis
inferredcites →https://doi.org/10.2307/1912773openalex-snapshot
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
inferredcites →https://doi.org/10.2307/1913242openalex-snapshot
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
inferredcites →https://doi.org/10.2307/2109358openalex-snapshot
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
inferredcites →https://doi.org/10.2307/2329066openalex-snapshot
Measuring and Testing the Impact of News on Volatility
inferredcites →https://doi.org/10.2307/2938260openalex-snapshot
Conditional Heteroskedasticity in Asset Returns: A New Approach
inferredcites →https://doi.org/10.35808/ersj/66openalex-snapshot
Volatility in the emerging stock markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia
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.4640959openalex-extracted
COINTEGRATION ACROSS STOCK MARKETS IN SOUTH-EAST EUROPE AND POSSIBLE SPILLOVERS-REVISITED
inferred← citeshttps://doi.org/10.1111/boer.12187openalex-snapshot
PORTFOLIO SELECTION BETWEEN A MATURE MARKET AND SELECTED EMERGING MARKETS INDICES IN THE PRESENCE OF STRUCTURAL BREAKS
inferred← citeshttps://doi.org/10.18267/j.polek.1288openalex-snapshot
Influence of German Stock Market on Stock Markets of V4 Countries
inferred← citeshttps://doi.org/10.2478/jeb-2024-0016openalex-snapshot
The Nexus Between Economic Policy Uncertainty and Stock Market Volatility in the CEE-3 Countries
inferred← citeshttps://doi.org/10.3390/e22030338openalex-snapshot
Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work?
inferred← citeshttps://doi.org/10.3390/en16176159openalex-snapshot
Volatility and Spillover Effects between Central–Eastern European Stock Markets and Energy Markets: An Emphasis on Crisis Periods
inferred← citeshttps://doi.org/10.3390/stats7030046openalex-snapshot
Time-Varying Correlations between JSE.JO Stock Market and Its Partners Using Symmetric and Asymmetric Dynamic Conditional Correlation Models
inferred← citeshttps://doi.org/10.5817/fai2020-2-3openalex-snapshot
Commonalities in Returns in the Stock Markets of the Visegrad Group: A Quantile Coherency Approach
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