References
References
- Akgiray , V . 1989 . Conditional heteroscedasticity in time series of stock returns: evidence and forecasts . Journal of Business , 62 : 55 – 80 .
- Baillie , RT and DeGennaro , RP . 1990 . Stock returns and volatility . Journal of Financial and Quantitative Analysis , 25 : 203 – 14 .
- Balaban E Bayar A Faff R 1998 Forecasting stock market volatility: further international evidence Unpublished Manuscript, Johann Wolfgang Goethe University Frankfurt/Main Germany
- Balaban , E , Bayar , A and Kan , OB . 2001 . Stock returns, seasonality and asymmetric conditional volatility in world equity markets . Applied Economics Letters , 8 : 263 – 8 .
- Bollerslev , T and Wooldridge , J . 1992 . Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances . Econometrics Reviews , 11 : 143 – 72 .
- Brailsford , TJ and Faff , RW . 1996 . An evaluation of volatility forecasting techniques . Journal of Banking and Finance , 20 : 419 – 38 .
- Campbell , JY and Hentschel , L . 1992 . No news is good news: an asymmetric model of changing volatility in stock returns . Journal of Financial Economics , 31 : 281 – 318 .
- Chan , KC , Karolyi , GA and Stulz , R . 1992 . Global financial markets and the risk premium on US equity . Journal of Financial Economics , 32 : 137 – 67 .
- Corhay , A and Rad , AT . 1994 . Expected returns and volatility in European stock markets . International Review of Economics and Finance , 3 : 45 – 56 .
- De Santis , G and Imrohoroglu , S . 1997 . Stock returns and volatility in emerging financial markets . Journal of International Money and Finance , 16 : 561 – 79 .
- French , KR , Schwert , GW and Stambaugh , R . 1987 . Expected stock returns and volatility . Journal of Financial Economics , 19 : 3 – 29 .
- Glosten , LR , Jagannathan , R and Runkle , DE . 1993 . On the relation between the expected value and the volatility of the nominal excess return on stocks . Journal of Finance , 48 : 1779 – 801 .
- Nelson , DB . 1991 . Conditional heteroscedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 70 .
- Poon , SH and Taylor , SJ . 1992 . Stock returns and volatility: an empirical study of the UK stock market . Journal of Banking and Finance , 16 : 37 – 59 .
- Theodossiou , P and Lee , U . 1995 . Relationship between volatility and expected returns across international stock markets . Journal of Business Finance and Accounting , 22 : 289 – 300 .
![Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.]({"type":"image" , "src" : "/sda/112440/MPU-Jenni-AI-ECONOMICS.png"})