Heteroskedasticity in stock return data: Volume versus GARCH effects CG Lamoureux, WD Lastrapes The journal of finance 45 (1), 221-229, 1990 | 1942 | 1990 |
Persistence in variance, structural change, and the GARCH model CG Lamoureux, WD Lastrapes Journal of Business & Economic Statistics 8 (2), 225-234, 1990 | 1700 | 1990 |
Forecasting stock-return variance: Toward an understanding of stochastic implied volatilities CG Lamoureux, WD Lastrapes The Review of Financial Studies 6 (2), 293-326, 1993 | 918 | 1993 |
The market reaction to stock splits CG Lamoureux, P Poon The journal of finance 42 (5), 1347-1370, 1987 | 655 | 1987 |
Endogenous trading volume and momentum in stock-return volatility CG Lamoureux, WD Lastrapes Journal of Business & Economic Statistics 12 (2), 253-260, 1994 | 335 | 1994 |
Firm size and turn‐of‐the‐year effects in the OTC/NASDAQ market CG Lamoureux, GC Sanger The Journal of Finance 44 (5), 1219-1245, 1989 | 202 | 1989 |
Estimation of stable-law parameters: A comparative study V Akgiray, CG Lamoureux Journal of Business & Economic Statistics 7 (1), 85-93, 1989 | 115 | 1989 |
Market effects of changes in the Standard & Poor's 500 index CG Lamoureux, JW Wansley Financial Review 22 (1), 53-69, 1987 | 89 | 1987 |
When it's not the only game in town: The effect of bilateral search on the quality of a dealer market CG Lamoureux, CR Schnitzlein The Journal of Finance 52 (2), 683-712, 1997 | 74 | 1997 |
Empirical analysis of the yield curve: The information in the data viewed through the window of cox, ingersoll, and ross CG Lamoureux, HD Witte The Journal of Finance 57 (3), 1479-1520, 2002 | 68 | 2002 |
Temporary components of stock returns: what do the data tell us? CG Lamoureux, G Zhou The Review of Financial Studies 9 (4), 1033-1059, 1996 | 66 | 1996 |
Variations in stock returns: Asymmetries and other patterns C Lamoureux, SK Panikkath Unpublished working paper. University of Arizona, 1994 | 30 | 1994 |
The relevance of the distributional form of common stock returns to the construction of optimal portfolios GM Frankfurter, CG Lamoureux Journal of Financial and Quantitative Analysis 22 (4), 505-511, 1987 | 23 | 1987 |
The pricing of when‐issued securities CG Lamoureux, JW Wansley Financial Review 24 (2), 183-198, 1989 | 15 | 1989 |
Dividends, taxes, and normative portfolio theory CG Lamoureux Journal of Economics and Business 42 (2), 121-131, 1990 | 12 | 1990 |
Information in option prices and the underlying asset dynamics CG Lamoureux, A Paseka Working Paper, University of Arizona, 2009 | 8 | 2009 |
Microstructure with multiple assets: an experimental investigation into direct and indirect dealer competition CG Lamoureux, CR Schnitzlein Journal of Financial Markets 7 (2), 117-143, 2004 | 8 | 2004 |
Stock selection and timing—A new look at market efficiency GM Frankfurter, CG Lamoureux Journal of Business Finance & Accounting 15 (3), 385-400, 1988 | 8 | 1988 |
Option Listing Does Not Affect the Variance of the Underlying Stock: A Cautionary Tale CG Lamoureux | 7 | 1991 |
ESTIMATION AND SELECTION BIAS IN MEAN‐VARIANCE PORTFOLIO SELECTION GM Frankfurter, CG Lamoureux Journal of Financial research 12 (2), 173-181, 1989 | 7 | 1989 |