Victor Ng

University of Michigan at Ann Arbor

500 S. State Street

Ann Arbor, MI 48109

United States

SCHOLARLY PAPERS

4

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Top 20,580

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2,506

SSRN CITATIONS
Rank 3,721

SSRN RANKINGS

Top 3,721

in Total Papers Citations

23

CROSSREF CITATIONS

291

Scholarly Papers (4)

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
Center on Japanese Economy and Business, University of New South Wales, Sydney and University of Michigan at Ann Arbor
Downloads 1,570 (11,782)
Citation 19

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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
Center on Japanese Economy and Business, University of New South Wales, Sydney and University of Michigan at Ann Arbor
Downloads 588 (48,776)
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 273 (120,029)

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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: 07 Sep 2010
New York University - Leonard N. Stern School of Business - Department of Economics, University of Michigan at Ann Arbor and Princeton University
Downloads 75 (338,643)
Citation 1

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