Victor Ng

University of Michigan at Ann Arbor

500 S. State Street

Ann Arbor, MI 48109

United States

  • University of Michigan at Ann Arbor

SCHOLARLY PAPERS

4

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SSRN CITATIONS
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Top 5,468

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50

CROSSREF CITATIONS

290

Scholarly Papers (4)

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1.

Correlations in Price Changes and Volatility Across International Stock Markets

Review of Financial Studies, Vol. 3, No. 2, pp. 281-307, 1990
Number of pages: 27 Posted: 28 Feb 2006
Yasushi Hamao, Yasushi Hamao, Ronald W. Masulis and Victor Ng
University of Southern California - Marshall School of Business - Finance and Business Economics DepartmentCenter on Japanese Economy and Business, University of New South Wales, Sydney and University of Michigan at Ann Arbor
Downloads 1,878 (17,644)
Citation 47

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International Stock Markets, Price and Volatility Spillovers, London Stock Exchange, Tokyo Stock Exchange, New York Stock Exchange, GARCH Model

2.

The Effects of the 1987 Stock Crash on International Financial Integration

JAPANESE FINANCIAL MARKET RESEARCH, W. Ziemba, W. Bailey and Y. Hamao, editors, North Holland Publisher, 1991
Number of pages: 21 Posted: 19 May 2006
Yasushi Hamao, Yasushi Hamao, Ronald W. Masulis and Victor Ng
University of Southern California - Marshall School of Business - Finance and Business Economics DepartmentCenter on Japanese Economy and Business, University of New South Wales, Sydney and University of Michigan at Ann Arbor
Downloads 658 (78,502)
Citation 3

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International Stock Markets, Price and Volatility Spillovers, London Stock Exchange, Tokyo Stock Exchange, New York Stock Exchange, Stock Market Crash, GARCH, Financial Integration

3.

Overnight and Daytime Stock Return Dynamics on the London Stock Exchange

Journal of Business and Economic Statistics, Vol. 13, No. 4, 365-378, October 1995
Number of pages: 14 Posted: 30 Mar 2006
Victor Ng and Ronald W. Masulis
University of Michigan at Ann Arbor and University of New South Wales, Sydney
Downloads 329 (178,130)

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Stock Return Dynamics, London Stock Exchange, GARCH, Exchange Restructuring, Big Bang, Stock Market Crash

4.

Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills

NBER Working Paper No. t0065
Number of pages: 36 Posted: 28 Dec 2006 Last Revised: 08 Mar 2023
Robert F. Engle, Victor Ng and Michael Rothschild
New York University (NYU) - Department of Finance, University of Michigan at Ann Arbor and Princeton University
Downloads 111 (473,207)
Citation 2

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