A multi-country study of power ARCH models and national stock market returns

By R. Brooks, R. Faff, M. Mckenzie, H. Mitchell. 2000

123 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/37d09b7e35e196a634f2923b9fefc58c5c87f1de

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Brian M. Lucey
2. Stavros Degiannakis *
3. Edel Tully
4. Evdokia Xekalaki
5. George Filis
6. Nikolaos Antonakakis
7. A. H. Dyhrberg
8. J. Beckmann

Citations in the corpus

• Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review (2004, methodology): “[64] applied the APARCH(1,1) model for 10 series of national stock market index returns.”
• A power GARCH examination of the gold market (2007, methodology): “Utilising the methodology of Ding et al. (1993) and Brooks et al. (2000) this paper has examined the fit of the APGARCH model for six gold models.”