Return Volatility and Asymmetric News of Computer Industry stocks in Tehran Stock Exchange (TEX)

References (33)

1. 1 Distribution of the Estimators for Autoregressive Time Series With a Unit Root [DOI]
2. 2 Generalized autoregressive conditional heteroskedasticity [DOI]
3. 3 Testing for a Unit Root in Time Series Regression [DOI]
4. 4 Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root [DOI]
5. 5 Conditional Heteroskedasticity in Asset Returns: A New Approach [DOI]
6. 6 On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks [DOI]
7. 7 Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis [DOI]
8. 8 Measuring and Testing the Impact of News on Volatility [DOI]
9. 9 The stochastic behavior of common stock variances Value, leverage and interest rate effects [DOI]
10. 10 Threshold heteroskedastic models [DOI]
11. 11 Asymmetric Volatility and Risk in Equity Markets [DOI]
12. 12 There is a risk-return trade-off after all [DOI]
13. 13 Applied Econometrics: A Modern Approach Using Eviews and Microfit
14. 14 The Determinants of Asymmetric Volatility [DOI]
15. 15 Leverage and Volatility Feedback Effects in High-Frequency Data [DOI]
16. 16 The risk return tradeoff in the long run: 1836–2003 [DOI]
17. 17 Is there a risk–return trade‐off? Evidence from high‐frequency data [DOI]
18. 18 Time-varying leverage effects [DOI]
19. 19 Is Unlevered Firm Volatility Asymmetric? [DOI]
20. 20 Detecting volatility persistence in GARCH models in the presence of the leverage effect [DOI]
21. 21 Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing [DOI]
22. 22 Stock price dynamics and option valuations under volatility feedback effect [DOI]
23. 23 LONG-RUN RELATIONSHIP BETWEEN THE VOLATILITY OF EFFECTIVE REAL EXCHANGE RATE AND INDUSTRIAL RETURN INDEX IN TEHRAN STOCK EXCHANGE MARKET (MULTIVARIATE GARCH APPROACH)
24. 24 A DYNAMIC INVESTIGATION TO INDEXES SPILLOVERS IN TEHRAN STOCK EXCHANGE USING A MULTIVARIATE DYNAMIC MODEL
25. 25 Modeling and Forecasting Tehran Stock Exchange Return using ARFIMA and FIGARCH
26. 26 IDENTIFYING AND MODELING TEHRAN STOCK MARKET CALENDAR EFFECTS: USING ARCH AND GARCH MODELS
27. 27 ESTIMATING AND FORECASTING THE VOLATILITY OF TEHRAN STOCK MARKET, USING MARKOV REGIME SWITCHING GARCH MODELS
28. 28 INVESTIGATE THE CAUSAL AND CONTEMPORANEOUS RELATIONS OF STOCK RETURNS, TRADING VOLUME AND TEHRAN STOCK EXCHANGE RETURN VOLATILITY: APPLICATION OF VAR-GRJ-GARCH AND GRJ-GARCHDCC MULTIVARIATE MODELS
29. 29 FINANCIAL CRISIS AND ITS EFFECTS ON TEHRAN STOCK EXCHANGE
30. 30 THE EFFECTS OF ANTICIPATED AND UNANTICIPATED STOCK RETURN VOLATILITY ON STOCK RETURN OF AUTOMOBILE MANUFACTURING INDUSTRIES IN TEHRAN STOCK MARKET
31. 31 No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns [DOI]
32. 32 The Effects of Exchange Rate Volatility on Economic Growth in Iran
33. 33 The Application of GARCH Methods in Modeling Volatility Using Sector Indices from the Egyptian Exchange

Cited by 0

No indexed citations yet.