Modelling Australian stock market volatility

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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The Econometrics of Financial Markets

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Multivariate Simultaneous Generalized ARCH

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ARCH modeling in finance

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Why Does Stock Market Volatility Change Over Time?

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Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

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A Capital Asset Pricing Model with Time-Varying Covariances

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Threshold heteroskedastic models

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Is the correlation in international equity returns constant: 1960–1990?

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Estimation and Inference in Nonlinear Structural Models

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International Transmission of Stock Market Movements

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Stock Returns, Expected Returns, and Real Activity

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Alternative models for conditional stock volatility

1990 • 1,337 citations

A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations

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Persistence in Variance, Structural Change, and the GARCH Model

1990 • 1,094 citations

Asymmetric volatility transmission in international stock markets

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Volatility spillover effects from Japan and the US to the Pacific–Basin

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Quadratic ARCH Models

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A Class of Nonlinear Arch Models

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An Introduction to Applied Econometrics: A Time Series Approach

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MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE

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International Stock Market Efficiency and Integration: A Study of Eighteen Nations

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Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing

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Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis

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Asymmetric Predictability of Conditional Variances

1991 • 209 citations

Volatility spillovers across equity markets: European evidence

1998 • 181 citations

International linkages of the Chinese stock exchanges: a multivariate GARCH analysis

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Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach

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Multivariate GARCH modeling of sector volatility transmission

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The Asian Financial Crisis

1998 • 141 citations

RELATIONSHIP BETWEEN VOLATILITY AND EXPECTED RETURNS ACROSS INTERNATIONAL STOCK MARKETS

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Volatility transmission and financial crises

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Economic growth and equity returns

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Global capital market interdependence and spillover effect of credit risk: evidence from the 2007–2009 global financial crisis

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Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns

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Alternative estimators for factor garch models—A monte carlo comparison

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Residual‐based diagnostics for conditional heteroscedasticity models

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Financial Spillovers to Emerging Markets During the Global Financial Crisis

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Macroeconomic Determinants of European Stock Market Volatility

1998 • 96 citations

Macroeconomic volatility and stock market volatility: empirical evidence on Finnish data

1997 • 96 citations

Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets

1997 • 84 citations

The causes of stock market volatility in Australia

1998 • 80 citations

Does the linkage between stock market performance and economic growth vary across Greater China?

2008 • 75 citations

Stock Market and Economic Growth: An Empirical Analysis for Germany

2010 • 70 citations

Integration and interdependence of stock and foreign exchange markets: an Australian perspective

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Australian Stock Market Volatility: 1875–1987*

1993 • 64 citations

Inflation and output as predictors of stock returns and volatility: international evidence

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The spillover effects of US and Japanese public information news in advanced Asia-Pacific stock markets

2003 • 62 citations

Modelling the asymmetry of stock market volatility

1998 • 61 citations

Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

2000 • 55 citations

Asymmetric volatility spillover in the Tokyo stock exchange

2001 • 53 citations

FINANCIAL CRISES AND INTERNATIONAL STOCK MARKET VOLATILITY TRANSMISSION

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Transmission of movements in stock markets

1998 • 45 citations

Volatility spillovers across international swap markets: The US, Japan, and the UK

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A robust LR test for the GARCH model

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The Response of Financial Markets in Australia and New Zealand to News about the Asian Crisis

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A factor analysis of international portfolio diversification

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Volatility Spillovers Across the Tasman

1996 • 41 citations

Volatility and Comovement in a Globalized World Economy: An Empirical Exploration

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Modeling the Taiwan Stock Market and International Linkages

1999 • 39 citations

The Implied Volatility of Australian Index Options

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Modelling the linkages between the Australian and G7 stock markets: common stochastic trends and regime shifts

2004 • 37 citations

The influence of foreign stock markets and macroeconomic news announcements on Australian financial markets

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Volatility relationship between stock performance and real output

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Volatility dynamics in high frequency financial data: an empirical investigation of the Australian equity returns

2001 • 25 citations

Volatility analysis during the Asia crisis: a multivariate GARCH‐M model for stock returns in the U.S., Germany and Japan

2001 • 20 citations

On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1992 • 20 citations

Stock Market Volatility and Macroeconomic Uncertainty: Evidence from Survey Data

2006 • 13 citations

Multivariate GARCH modeling analysis of unexpected U.S. D, Yen and Euro-dollar to Reminibi volatility spillover to stock markets

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Global output growth and volatility spillovers

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Financial Deregulation And The Relationship Between The Economy And The Share Market In Australia

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The generalized asymmetric dynamic covariance model

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Announcements and revisions of Australian macroeconomic data and their news content for Australian financial markets

1999 • 7 citations

RDP 9609: Australian Financial Market Volatility: An Exploration of Cross-Country and Cross-Market Linkages

1996 • 6 citations

On the forecasting accuracy of multivariate GARCH models

2010 • 5 citations

The effects of financial crises on international stock market volatility transmission

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A Multivariate Generalized Orthogonal Factor GARCH Model

2005 • 2 citations

Untitled

1999 • 2 citations

Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application

2009 • 1 citations