The DOI matches its Crossref record; 15 of the 15 references it cites were found in a registry or an index.
Stock returns and volatility a firm-level analysis
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Citations
Cites
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
Introduction to Statistical Time Series
McClave, J. T. (1978) · Technometrics · doi:10.1080/00401706.1978.10489651 · Cited by 4,252
Expected stock returns and volatility
French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987) · Journal of Financial Economics · doi:10.1016/0304-405x(87)90026-2 · Cited by 4,107
Why Does Stock Market Volatility Change Over Time?
SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
Box, G. E. P., & Pierce, D. A. (1970) · Journal of the American Statistical Association · doi:10.1080/01621459.1970.10481180 · Cited by 3,234
The stochastic behavior of common stock variances Value, leverage and interest rate effects
Christie, A. (1982) · Journal of Financial Economics · doi:10.1016/0304-405x(82)90018-6 · Cited by 2,379
Campbell, J. Y., & Hentschel, L. (1992) · Journal of Financial Economics · doi:10.1016/0304-405x(92)90037-x · Cited by 1,926
Tests For Unit Roots: A Monte Carlo Investigation
Schwert, G. W. (1988) · National Bureau of Economic Research · doi:10.3386/t0073 · Cited by 1,222
Another Look at the Cross‐section of Expected Stock Returns
KOTHARI, S. P., SHANKEN, J., & SLOAN, R. G. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb05171.x · Cited by 1,007
Davidian, M., & Carroll, R. J. (1987) · Journal of the American Statistical Association · doi:10.1080/01621459.1987.10478543 · Cited by 622
Cited by
The distribution of realized stock return volatility
Andersen, T. (2001) · Journal of Financial Economics · doi:10.1016/s0304-405x(01)00055-1 · Cited by 2,259
Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices
Chen, J., Hong, H., & Stein, J. C. (2001) · Journal of Financial Economics · doi:10.1016/s0304-405x(01)00066-6 · Cited by 1,907
Asymmetric correlations of equity portfolios
Ang, A., & Chen, J. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(02)00068-5 · Cited by 1,522
Differences of Opinion, Short-Sales Constraints, and Market Crashes
Hong, H., & Stein, J. C. (2003) · Review of Financial Studies · doi:10.1093/rfs/hhg006 · Cited by 1,352
Goyal, A., & Santa‐Clara, P. (2003) · The Journal of Finance · doi:10.1111/1540-6261.00555 · Cited by 1,161
Metadata
- Authors
- Duffee, G.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 1995-03
- Volume
- 37
- Issue
- 3
- Pages
- 399-420
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W2099856928
- Cited by
- 391
- References
- 15
- FWCI
- 4.07
- Type
- journal article
- Language
- en
- Open access
- green
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
