Stock market volatility

2002

186 citations recorded by the source corpus.

Citations in the corpus

The distribution of realized stock return volatility (2001, unknown): “This figure provides a direct analogy to the news impact curves for parametric ARCH models previously studied by Pagan and Schwert ( 1990 ) and Engle and Ng ( 1993 ) .”
Nonlinear Features of Realized FX Volatility (2002, unknown): “…associated with discrete changes 3These approaches include: Markov-switching volatility models such as Turner, Startz, and Nelson (1989), Pagan and Schwert (1990); threshold ARCH models such as Gourieroux and Monfort (1992); and switching ARCH and stochastic volatility models such as Cai (1994),…”
Modeling Conditional Volatility of the Indian Stock Markets (2005, unknown): “In fact, this period experienced the highest volatility in the history of the Indian stock market (Roy and Karmakar, 1995) and this coincided with the initial years of liberalization of the Indian economy after a long era of control.”
Forecasting UK stock market volatility (2000, unknown): “…an historical `actual volatility’ series on the basis of which volatility forecasts may be generated using statistical methods, we follow Pagan and Schwert (1990) in representing true past volatility by the squared residuals from a conditional mean equation for returns estimated over the…”
The Impact of Jumps in Volatility and Returns (2003, unknown): “Similarly, in October 1997, there were jumps estimated on neighboring days with opposite signs, the reversal e¡ect of Schwert (1990).”