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The stochastic behavior of common stock variances : Value, leverage and interest rate effects

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Christie, Andrew A.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 10 (1982)
Issue (Month): 4 (December)
Pages: 407-432
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Handle: RePEc:eee:jfinec:v:10:y:1982:i:4:p:407-432

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  1. Viviana Fernández, 2002. "How Sensitive is Volatility to Exchange Rate Regimes?," Documentos de Trabajo 135, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
  2. Joseph Chen & Harrison Hong & Jeremy C. Stein, 2000. "Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices," NBER Working Papers 7687, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000. "The Distribution of Stock Return Volatility," NBER Working Papers 7933, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Simon van Norden & Huntley Schaller & ), 1995. "Regime Switching in Stock Market Returns," Econometrics 9502002, EconWPA. [Downloadable!]
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  5. Allan D. Brunner & David P. Simon, 1995. "Excess returns and risk at the long end of the Treasury market: an EGARCH-M approach," International Finance Discussion Papers 522, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  6. Shin, Hyun Song, 2002. "Disclosures and Asset Returns," CEPR Discussion Papers 3345, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  7. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Robert F. Engle & Gary G.J. Lee, 1993. "A Permanent and Transitory Component Model of Stock Return Volatility," University of California at San Diego, Economics Working Paper Series 92-44r, Department of Economics, UC San Diego. [Downloadable!]
  10. P. Bossaerts & C. Hafner & W. H"Ardle, . "Foreign Exchange Rates Have Surprising Volatility," Sonderforschungsbereich 373 1996-68, Humboldt Universitaet Berlin.
  11. Pandey Ajay, 2003. "Modeling and Forecasting Volatility in Indian Capital Markets," IIMA Working Papers 2003-08-03, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
  12. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Documents de Travail 57, Banque de France. [Downloadable!]
  13. Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
  14. Takatoshi Ito & Wen-Ling Lin, 1993. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Working Papers 4592, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  15. J. David Cummins & Christopher M. Lewis, 2002. "Catastrophic Events, Parameter Uncertainty and the Breakdown of Implicit Long-term Contracting in the Insurance Market: The Case of Terrorism Insurance," Center for Financial Institutions Working Papers 02-40, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  16. Peter Christoffersen & Steven Heston & Kris Jacobs, 2009. "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well," CREATES Research Papers 2009-34, School of Economics and Management, University of Aarhus. [Downloadable!]
  17. Laurence Copeland & Biqiong Zhang, 2003. "Volatility and Volume in Chinese Stock Markets," Journal of Chinese Economic and Business Studies, Taylor and Francis Journals, vol. 1(3), pages 287-300, September. [Downloadable!] (restricted)
  18. Bartram, Sohnke M. & Karolyi, G. Andrew, 2004. "The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures," Working Paper Series 2005-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
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  19. Turgut Kisinbay, 2003. "Predictive Ability of Asymmetric Volatility Models at Medium-Term Horizons," IMF Working Papers 03/131, International Monetary Fund. [Downloadable!]
  20. Steven L. Heston & Saikat Nandi, 1997. "A closed-form GARCH option pricing model," Working Paper 97-9, Federal Reserve Bank of Atlanta. [Downloadable!]
  21. John Y. Campbell & Ludger Hentschel, 1991. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," NBER Working Papers 3742, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  22. Thadavillil Jithendranathan, 2004. "Time-varying Correlations of Russian and U.S. Equity Returns," International Finance 0403006, EconWPA. [Downloadable!]
  23. Décamps, Jean-Paul & Mariotti, Thomas & Rochet, Jean-Charles & Villeneuve, Stéphane, 2008. "Free Cash-Flow, Issuance Costs and Stock Price Volatility," IDEI Working Papers 518, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
  24. Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 117-136. [Downloadable!]
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