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ARCH versus information-based variances: evidence from the Tokyo Stock Market. (2002). Miyakoshi, Tatsuyoshi.
In: Japan and the World Economy.
RePEc:eee:japwor:v:14:y:2002:i:2:p:215-231.

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Cited: 6

Citations received by this document

Cites: 22

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Cocites: 50

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Coauthors: 0

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Citations

Citations received by this document

  1. Does volume really matter? A risk management perspective using cross?country evidence. (2021). Bhattacharyya, Malay ; Patra, Saswat.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:1:p:118-135.

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  2. The U.S. term structure and return volatility in emerging stock markets. (2020). Demirer, Riza ; Yuksel, Aydin.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:44:y:2020:i:4:d:10.1007_s12197-020-09511-x.

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  3. The dynamic contagion of the global financial crisis into Japanese markets. (2014). Takahashi, Toyoharu ; Shimada, Junji ; Tsukuda, Yoshihiko ; Miyakoshi, Tatsuyoshi.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:31:y:2014:i:c:p:47-53.

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  4. Using news analytics data in GARCH models. (2013). Balash, Vladimir ; Date, Paresh ; Sidorov, Sergei .
    In: Applied Econometrics.
    RePEc:ris:apltrx:0204.

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  5. Impact of global financial crisis on stock markets: Evidence from Pakistan and India. (2012). Afzal, Muhammad ; Ali, Rafaqet .
    In: E3 Journal of Business Management and Economics..
    RePEc:etr:series:v:3:y:2012:i:7:p:275-282.

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  6. Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review. (2004). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80487.

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References

References cited by this document

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Cocites

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  2. Futures Price Volatility in Commodities Markets: The Role of Short Term vs Long Term Speculation. (2013). Nicolini, Marcella ; Manera, Matteo.
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  3. Financial globalization and stock market risk. (2012). Mollick, Andre ; ESQUEDA, OMAR ; Assefa, Tibebe A..
    In: Journal of International Financial Markets, Institutions and Money.
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  4. Does it take volume to move fx rates? Evidence from quantile regressions. (2012). Bień-Barkowska, Katarzyna ; Bien-Barkowska, Katarzyna .
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  5. On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). Sévi, Benoît ; Chevallier, Julien.
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  10. The Dynamic Relationship between Price and Trading Volume:Evidence from Indian Stock Market. (2009). Pandey, Ajay ; Singh, Priyanka ; Kumar, Brajesh ; Rajeshkumar, B.
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  11. Semiparametric vector MEM. (2009). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
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  12. Risk Matters: The Real Effects of Volatility Shocks. (2009). Uribe, Martín ; Rubio-Ramirez, Juan F ; Guerron, Pablo ; Fernandez-Villaverde, Jesus.
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  13. Long Memory and Tail dependence in Trading Volume and Volatility. (2009). Santucci de Magistris, Paolo ; Rossi, Eduardo.
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