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Size and book-to-market factors in a multivariate GARCH-in-mean asset pricing application. (1999). Dunne, Peter.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:8:y:1999:i:1:p:35-52.

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  1. Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis.
    In: DEOS Working Papers.
    RePEc:aue:wpaper:2309.

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  2. Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis.
    In: DEOS Working Papers.
    RePEc:aue:wpaper:2303.

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  6. Dynamic linkages and interdependence between Mediterranean region EMU markets during 2007 financial crisis. (2011). Simos, Theodore ; Dimitriou, Dimitrios ; Mpitsios, Petros .
    In: MPRA Paper.
    RePEc:pra:mprapa:37476.

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  7. Wavelet-based multi-resolution GARCH model for financial spillover effects. (2011). Huang, Shian-Chang.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:81:y:2011:i:11:p:2529-2539.

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  8. Dynamic relationship between exchange rate and stock price: Evidence from China. (2010). Zhao, Hua.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:24:y:2010:i:2:p:103-112.

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  9. Using multivariate stochastic volatility models to investigate the interactions among NASDAQ and major Asian stock indices. (2007). Chen, Shieh-Liang ; Lin, Yi-Mien ; Huang, Shian-Chang.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:14:y:2007:i:2:p:127-133.

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  10. Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis. (2005). Worthington, Andrew ; Kay-Spratley, Adam ; Higgs, Helen .
    In: Energy Economics.
    RePEc:eee:eneeco:v:27:y:2005:i:2:p:337-350.

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  11. Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis. (2004). Worthington, Andrew ; Higgs, Helen .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:9:y:2004:i:1:p:71-80.

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References

References cited by this document

  1. Berndt, E.K. ; Hall, B.H. ; Hall, R.E. ; Hausman, J.A. Estimation and inference in nonlinear structural models. 1974 Annals of Economic and Social Measurement. 3/4 653-665

  2. Bollerslev, T. Modelling the coherence in short-run nominal exchange rates: a multivariate generalised ARCH model. 1990 Review of Economics and Statistics. 72 498-505

  3. Bollerslev, T. ; Chou, R. ; Kroner, K. ARCH modelling in finance: a review of the theory and empirical evidence. 1992 Journal of Econometrics. 52 5-59

  4. Bollerslev, T. ; Engle, R.F. ; Wooldridge, J.M. A capital asset pricing model with time-varying covariances. 1988 Journal of Political Economy. 96 117-131

  5. Demos, A. ; Sentana, E. An em-based algorithm for conditionally heteroscedastic factor models. 1992 En : . London School of Economics:

  6. Engle, R. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. 1982 Econometrica. 50 987-1007

  7. Engle, R.F. ; Kroner, K.F. Multivariate simultaneous generalized ARCH. 1995 Econometric Theory. 11 122-150

  8. Engle, R.F. ; Ng, V.K. ; Rothschild, M. Asset pricing with a FACTOR-ARCH covariance structure: empirical estimates for treasury bills. 1990 Journal of Econometris. 45 213-237

  9. Fama, E.F. ; French, K.R. Common risk factors in the returns on stocks and bonds. 1993 Journal of Financial Economics. 33 3-56

  10. Fama, E.F. ; French, K.R. Size and book-to-market factors in earnings and returns. 1995 Journal of Finance. 50 131-156

  11. Fama, E.F. ; French, K.R. Value versus growth: the international evidence. 1997 En : . Graduate School of Business:
    Paper not yet in RePEc: Add citation now
  12. Ibrahim, B. The effects of asymmetric predictability of conditional variances and covariances on asset allocation. 1997 En : . Herriot-Watt University: University of Chicago
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  13. Lakonishok, J. ; Shleifer, A. ; Vishny, R.W. Contrarian investment, extrapolation and risk. 1994 Journal of Finance. 49 1541-1578

  14. Pagan, A. The econometrics of financial markets. 1996 Journal of Empirical Finance. 3 15-102

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