1 |
Meitz, M., & Terasvirta, T. (2006). Evaluating Models of Autoregressive Conditional Duration. Journal of Business & Economic Statistics, 24(1), 104-124.
DOI
|
2 |
Mendes, B. V. M., & Kolev, N. (2008). How Long Memory in Volatility Affects True Dependence Structure. International Review of Financial Analysis, 17, 1070-1086.
DOI
|
3 |
Ng, W. L. (2008). Analysing Liquidity and Absorption Limits of Electronic Markets with Volume Duration. Quantitative Finance, 8(4), 353-361.
DOI
|
4 |
Nguyen, C. T., & Nguyen, M. H. (2019). Modeling Stock Price Volatility: Empirical Evidence from the Ho Chi Minh City Stock Exchange in Vietnam. Journal of Asian Finance, Economics and Business, 6(3), 19-26. https://doi.org/10.13106/jafeb.2019.vol6.no3.19
DOI
|
5 |
Racicot, F. E., Theoret, R., & Coen, A. (2008). Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. International Advance in Economic Research, 14, 112-124.
DOI
|
6 |
Sahadudheen, I. (2015). An Exponential GARCH Approach to the Effect of Impulsiveness of Euro on Indian Stock Market. Journal of Asian Finance, Economics and Business, 2(3), 17-22. https://doi.org/10.13106/jafeb.2015.vol2.no3.17.
DOI
|
7 |
Shome, D. K., & Singh, S. (1995). Firm Value and External Blockholdings. Financial Management, 24(4), 3-14.
DOI
|
8 |
Aitken, M., & Frino, A. (2005). Asymmetry in Stock Returns Following Block Trades on the Australian Stock Exchange: A Note. Journal of Accounting, Finance and Business, 32(1), 54-61.
|
9 |
Akaike, H. (1976). Canonical Correlation Analysis of Time Series and the Use of an Information Criterion. In R. Metha & K. Lainiotis (eds), System Identification: Advances and Case Studies. New York, NY: Academic Press, Inc.
|
10 |
Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 74, 3-30.
DOI
|
11 |
Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31, 307-327.
DOI
|
12 |
Easley, D., & O'Hara, M. (1987). Price, Trade Size and Information in Securities Markets. Journal of Financial Economics, 19, 69-90.
DOI
|
13 |
Easley, D., & O'Hara, M. (1992). Time and the process of security price adjustment. Journal of Finance, 47, 905-927.
|
14 |
Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation. Econometrica, 50, 987-1008.
DOI
|
15 |
Engle, R. F., & Bollerslev, T. (1986). Modelling the Persistence of Conditional Variances. Econometric Reviews, 5, 81-87.
DOI
|
16 |
Engle, R. F., & Russell, J. R. (1998). Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data. Econometrica, 66, 1127-1162.
DOI
|
17 |
Engle, R. F. (2000). The Econometrics of Ultra-High-Frequency Data. Econometrica, 68, 1-22.
DOI
|
18 |
Gallant, A. R., Rossi, P. E., & Tauchen, G. (1992). Stock Prices and Volume. Review of Financial Studies, 2, 133-149.
|
19 |
Go, Y.-H., & Lau, W.-Y. (2016). Information Arrival between Price Change and Trading Volume in Crude Palm Oil Futures Market: A Non-linear Approach. Journal of Asian Finance, Economics and Business, 3(3), 79-91. https://doi.org/10.13106/jafeb.2016.vol3.no3.79.
DOI
|
20 |
Heynen, R. C., & Kat, H. M. (1994). Volatility Prediction: A Comparison of the Stochastic Volatility, GARCH (1,1) and EGARCH (1,1) Models. Journal of Derivatives, 2, 50-65.
DOI
|
21 |
Jati, K., & Premaratne, G. (2017). Analysis of Staple Food Price Behaviour: Multivariate BEKK-GARCH Model. Journal of Asian Finance, Economics and Business, 4(4), 27-37. http://dx.doi.org/10.13106/jafeb.2017.vol4.no4.27
DOI
|
22 |
Kraus, A., & Stoll, H. R. (1972). Price Impact of Block Trading on the New York Stock Exchange. Journal of Finance, 27, 569-588.
DOI
|
23 |
Lumsdaine, R. L. (1992). Finite Sample Properties of the Maximum Likelihood Estimator in GARCH (1,1) and IGARCH (1,1) Models: A Monte Carlo Investigation (Unpublished Manuscript). Department of Economics, Princeton University.
|