Advanced Search
MyIDEAS: Login

Citations for "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns"

by Hentschel, Ludger & Campbell, John

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Kang, Jangkoo & Park, Hyoung-Jin, 2008. "The information content of net buying pressure: Evidence from the KOSPI 200 index option market," Journal of Financial Markets, Elsevier, vol. 11(1), pages 36-56, February.
  2. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007. "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers 2007-10, School of Economics and Management, University of Aarhus.
  3. Ulibarri, Carlos A., 2013. "Multivariate GARCH analysis of Fannie Mae, Freddie Mac, and American International Group: Did the short-selling ban reduce systemic return-risk?," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 60-69.
  4. Chiang, Thomas C. & Yu, Hai-Chin & Wu, Ming-Chya, 2009. "Statistical properties, dynamic conditional correlation and scaling analysis: Evidence from Dow Jones and Nasdaq high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1555-1570.
  5. Viral V. Acharya & Peter M. DeMarzo & Ilan Kremer, 2010. "Endogenous Information Flows and the Clustering of Announcements," NBER Working Papers 16485, National Bureau of Economic Research, Inc.
  6. George CHACKO & Luis M. VICEIRA, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," FAME Research Paper Series rp11, International Center for Financial Asset Management and Engineering.
  7. Dimitris Kenourgios & Aristeidis Samitas & Spyros Papathanasiou, 2005. "The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange," Finance 0512028, EconWPA.
  8. Canner, Niko & Mankiw, N Gregory & Weil, David N, 1997. "An Asset Allocation Puzzle," American Economic Review, American Economic Association, vol. 87(1), pages 181-91, March.
  9. Whitelaw, Robert F, 1994. " Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns," Journal of Finance, American Finance Association, vol. 49(2), pages 515-41, June.
  10. Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2013. "A nonparametric test of a strong leverage hypothesis," CeMMAP working papers CWP28/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  11. Demosthenes Tambakis, 2009. "Feedback trading and intermittent market turbulence," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 477-489.
  12. Bandi, Federico M. & Perron, Benoît, 2008. "Long-run risk-return trade-offs," Journal of Econometrics, Elsevier, vol. 143(2), pages 349-374, April.
  13. Olan T. Henry & Nilss Olekalns & Kalvinder Shields, 2004. "Time Variation And Asymmetry In The World Price Of Covariance Risk: The Implications For International Diversification," Department of Economics - Working Papers Series 907, The University of Melbourne.
  14. Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics 0411014, EconWPA, revised 09 Dec 2004.
  15. Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George, 2009. "A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects," Journal of Econometrics, Elsevier, vol. 150(2), pages 151-166, June.
  16. Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
  17. Anderson, Evan W. & Ghysels, Eric & Juergens, Jennifer L., 2009. "The impact of risk and uncertainty on expected returns," Journal of Financial Economics, Elsevier, vol. 94(2), pages 233-263, November.
  18. Nam, Kiseok & Pyun, Chong Soo & Avard, Stephen L., 2001. "Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 807-824, April.
  19. Kim, Mi Ae & Jang, Bong-Gyu & Lee, Ho-Seok, 2008. "A first-passage-time model under regime-switching market environment," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2617-2627, December.
  20. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.
  21. Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc.
  22. Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, . "A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Discussion Papers 00/24, Department of Economics, University of York.
  23. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
  24. Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2011. "Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 275-287, October.
  25. Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001. "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September.
  26. 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.
  27. Brailsford, Timothy J. & Faff, Robert W., 1996. "An evaluation of volatility forecasting techniques," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 419-438, April.
  28. Thomas C. Chiang & Jiandong Li, 2012. "Stock Returns and Risk: Evidence from Quantile," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 5(1), pages 20-58, December.
  29. Nicole Davis & Ali Kutan, 2003. "Inflation and output as predictors of stock returns and volatility: international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 693-700.
  30. Lüders, Erik & Peisl, Bernhard, 2001. "How do investors' expectations drive asset prices?," ZEW Discussion Papers 01-15, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  31. Bruno Feunou & Jean-Sébastien & Abderrahim Taamouti & Roméo Tédongap, 2011. "Risk premium, variance premium and the maturity structure of uncertainty," Economics Working Papers we1144, Universidad Carlos III, Departamento de Economía.
  32. Susan Thorp & George Milunovich, 2005. "Asymmetric Risk and International Portfolio Choice," Research Paper Series 160, Quantitative Finance Research Centre, University of Technology, Sydney.
  33. Ignazio Angeloni, 2010. "Monetary Policy and Risk Taking," Working Papers 380, Bruegel.
  34. Sequeira, John M. & Lan, Dong, 2003. "Does world-level volatility matter for the average firm in a global equity market?," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 341-357, December.
  35. Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," NBER Working Papers 6961, National Bureau of Economic Research, Inc.
  36. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA.
  37. Guidi, Francesco, 2008. "Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK," MPRA Paper 11535, University Library of Munich, Germany.
  38. Nyberg, Henri, 2010. "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper 23724, University Library of Munich, Germany.
  39. M, El Babsiri & Jean-Michel Zakoïan, 1997. "Contemporaneous Asymmetry in GARCH Processes," Working Papers 97-03, Centre de Recherche en Economie et Statistique.
  40. Andrew Ang & Joseph Chen, 2005. "CAPM Over the Long Run: 1926-2001," NBER Working Papers 11903, National Bureau of Economic Research, Inc.
  41. Aggarwal, Raj & Schirm, David C., 1998. "Asymmetric impact of trade balance news on asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 83-100, January.
  42. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
  43. Loriano Mancini & Fabio Trojani, 2005. "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series 07-31, Swiss Finance Institute, revised Oct 2007.
  44. Jonathan B. Hill, 2005. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Strochastic Processes with an Application," Working Papers 0513, Florida International University, Department of Economics.
  45. Audrino, Francesco, 2006. "The impact of general non-parametric volatility functions in multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3032-3052, July.
  46. Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance 0504009, EconWPA, revised 17 Jan 2006.
  47. Jingzhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes," Finance 0401002, EconWPA.
  48. Kane, Alex & Lehmann, Bruce N. & Trippi, Robert R., 2000. "Regularities in volatility and the price of risk following large stock market movements in the US and Japan," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 1-32, February.
  49. Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2004. "Estimation of Markov regime-switching regression models with endogenous switching," Working Papers 2003-015, Federal Reserve Bank of St. Louis.
  50. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2012. "The impact of financial crises on the risk-return tradeoff and the leverage effect," Working Papers 1295, Queen's University, Department of Economics.
  51. Chikashi Tsuji, 2003. "Is Volatility the Best Predictor of Market Crashes?," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 163-185, September.
  52. Michael Devaney & William Weber, 2005. "Efficiency, Scale Economies, and the Risk/Return Performance of Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 31(3), pages 301-317, November.
  53. Boucher, Christophe & Maillet, Bertrand & Michel, Thierry, 2008. "Do misalignments predict aggregated stock-market volatility?," Economics Letters, Elsevier, vol. 100(2), pages 317-320, August.
  54. Nikolaus Hautsch & Yangguoyi Ou, 2008. "Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference," SFB 649 Discussion Papers SFB649DP2008-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  55. de Goeij, Peter & Marquering, Wessel, 2006. "Macroeconomic announcements and asymmetric volatility in bond returns," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2659-2680, October.
  56. Juho Kanniainen & Robert Pich\'e, 2012. "Stock Price Dynamics and Option Valuations under Volatility Feedback Effect," Papers 1209.4718, arXiv.org.
  57. Jiranyakul, Komain, 2007. "Behavior of Stock Market Index in the Stock Exchange of Thailand," MPRA Paper 45961, University Library of Munich, Germany.
  58. Kim, Harold Y. & Mei, Jianping P., 2001. "What makes the stock market jump? An analysis of political risk on Hong Kong stock returns," Journal of International Money and Finance, Elsevier, vol. 20(7), pages 1003-1016, December.
  59. Girard, Eric & Rahman, Hamid & Zaher, Tarek, 2003. "On market price of risk in Asian capital markets around the Asian flu," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 241-265.
  60. Mark J. Jensen & John M. Maheu, 2012. "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," Working Paper 2012-06, Federal Reserve Bank of Atlanta.
  61. Li, Junye, 2011. "Volatility components, leverage effects, and the return-volatility relations," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1530-1540, June.
  62. Pollet, Joshua M. & Wilson, Mungo, 2010. "Average correlation and stock market returns," Journal of Financial Economics, Elsevier, vol. 96(3), pages 364-380, June.
  63. Lahrech, Abdelmounaim & Sylwester, Kevin, 2013. "The impact of NAFTA on North American stock market linkages," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 94-108.
  64. Sandy Suardi & O.T.Henry & N. Olekalns, . "Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics," MRG Discussion Paper Series 0206, School of Economics, University of Queensland, Australia.
  65. Szu-Yin Hung & John Glascock, 2010. "Volatilities and Momentum Returns in Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 126-149, August.
  66. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
  67. Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
  68. Zhang, Bing & Li, Xiao-Ming & He, Fei, 2014. "Testing the evolution of crude oil market efficiency: Data have the conn," Energy Policy, Elsevier, vol. 68(C), pages 39-52.
  69. Wong, Woon K. & Tu, Anthony H., 2009. "Market imperfections and the information content of implied and realized volatility," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 58-79, January.
  70. Sofiane Aboura, 2014. "When the U.S. Stock Market Becomes Extreme?," Risks, MDPI, Open Access Journal, vol. 2(2), pages 211-225, May.
  71. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
  72. Jennifer Huang & Jiang Wang, 2008. "Liquidity and Market Crashes," NBER Working Papers 14013, National Bureau of Economic Research, Inc.
  73. Goeij, P. C. de & Marquering, W., 2004. "Modeling the conditional covariance between stock and bond returns: A multivariate GARCH approach," Open Access publications from Tilburg University urn:nbn:nl:ui:12-194709, Tilburg University.
  74. Paul Harrison & Harold H. Zhang, . "Cyclical Variation in the Risk and Return Relation," Computing in Economics and Finance 1997 175, Society for Computational Economics.
  75. Nam, Kiseok & Pyun, Chong Soo & Kim, Sei-Wan, 2003. "Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(5), pages 481-502, December.
  76. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, EconWPA.
  77. Liudas Giraitis & Remigijus Leipus & Peter M. Robinson & Donatas Surgailis, 2004. "LARCH, leverage, and long memory," LSE Research Online Documents on Economics 294, London School of Economics and Political Science, LSE Library.
  78. Black, Angela J. & McMillan, David G., 2006. "Asymmetric risk premium in value and growth stocks," International Review of Financial Analysis, Elsevier, vol. 15(3), pages 237-246.
  79. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  80. Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009. "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, vol. 91(1), pages 59-82, January.
  81. Duffee, Gregory R., 1995. "Stock returns and volatility A firm-level analysis," Journal of Financial Economics, Elsevier, vol. 37(3), pages 399-420, March.
  82. Truong, Cameron & Corrado, Charles & Chen, Yangyang, 2012. "The options market response to accounting earnings announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 423-450.
  83. Adam Clements & Scott White, 2005. "Nonlinear Filtering for Stochastic Volatility Models with Heavy Tails and Leverage," School of Economics and Finance Discussion Papers and Working Papers Series 192, School of Economics and Finance, Queensland University of Technology.
  84. Lubos Pastor & Meenakshi Sinha & Bhaskaran Swaminathan, 2006. "Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital," NBER Working Papers 11941, National Bureau of Economic Research, Inc.
  85. Marc Joëts, 2012. "Energy price transmissions during extreme movements," EconomiX Working Papers 2012-38, University of Paris West - Nanterre la Défense, EconomiX.
  86. Menelaos Karanasos & J. Kim, . "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York.
  87. Kiseok Nam & Sei-Wan Kim & Augustine. Arize, 2006. "Mean Reversion of Short-Horizon Stock Returns: Asymmetry Property," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 137-163, March.
  88. Tim Bollerslev & Natalia Sizova & George Tauchen, 2010. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Working Papers 10-34, Duke University, Department of Economics.
  89. Geert Bekaert & Marie Hoerova, 2013. "The VIX, the Variance Premium and Stock Market Volatility," NBER Working Papers 18995, National Bureau of Economic Research, Inc.
  90. Mani Motameni & Esmaiel Abounoori, 2009. "Crisis Effect on the Relationship between Stock Returns and Volatility in Iran," Iranian Economic Review, Economics faculty of Tehran university, vol. 14(2), pages 41-49, fall.
  91. Bae, Jinho & Kim, Chang-Jin & Nelson, Charles R., 2007. "Why are stock returns and volatility negatively correlated?," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 41-58, January.
  92. Lee, Shih-Cheng & Lin, Chien-Ting & Yang, Chih-Kai, 2011. "The asymmetric behavior and procyclical impact of asset correlations," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2559-2568, October.
  93. Beyer, Anne & Cohen, Daniel A. & Lys, Thomas Z. & Walther, Beverly R., 2010. "The financial reporting environment: Review of the recent literature," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 296-343, December.
  94. MeiChi Huang, 2013. "The Role of People’s Expectation in the Recent US Housing Boom and Bust," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 452-479, April.
  95. Qingwei Wang, 2010. "Sentiment, Convergence of Opinion, and Market Crash," Working Papers 10012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  96. Brian Lucey & Raj Aggarwal, 2005. "Psychological Barriers in Gold Prices," The Institute for International Integration Studies Discussion Paper Series iiisdp053, IIIS.
  97. M. Berument & Nukhet Dogan, 2012. "Stock market return and volatility: day-of-the-week effect," Journal of Economics and Finance, Springer, vol. 36(2), pages 282-302, April.
  98. Bansal, Ravi & Lundblad, Christian, 2002. "Market efficiency, asset returns, and the size of the risk premium in global equity markets," Journal of Econometrics, Elsevier, vol. 109(2), pages 195-237, August.
  99. Ricardo Alverola, 2007. "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 66, pages 251-276, Enero-Jun.
  100. Chalmers, John & Kaul, Aditya & Phillips, Blake, 2013. "The wisdom of crowds: Mutual fund investors’ aggregate asset allocation decisions," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3318-3333.
  101. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2009. "The Determinants of Stock and Bond Return Comovements," NBER Working Papers 15260, National Bureau of Economic Research, Inc.
  102. Jullavut Kittiakarasakun & Yiuman Tse & George H.K. Wang, 2012. "The impact of trades by traders on asymmetric volatility for Nasdaq-100 index futures," Managerial Finance, Emerald Group Publishing, vol. 38(8), pages 752-767, August.
  103. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO.
  104. John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
  105. Khaled Amira & Abderrahim Taamouti & Georges Tsafack, 2009. "What Drives International Equity Correlations? Volatility or Market Direction?," Economics Working Papers we094122, Universidad Carlos III, Departamento de Economía.
  106. X. Henry Wang & Carmen F. Menezes, 2004. "Increasing Outer Risk," Working Papers 0413, Department of Economics, University of Missouri, revised 23 Dec 2004.
  107. GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Universite de Montreal, Departement de sciences economiques.
  108. Manuel Vega, . "Tipos de cambio flexibles, volatilidad y una nueva informacion: La nueva informacion como fuente de volatilidad," Studies on the Spanish Economy 139, FEDEA.
  109. Lee, Wayne Y. & Jiang, Christine X. & Indro, Daniel C., 2002. "Stock market volatility, excess returns, and the role of investor sentiment," Journal of Banking & Finance, Elsevier, vol. 26(12), pages 2277-2299.
  110. Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1176-1187.
  111. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
  112. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría.
  113. Arisoy, Yakup Eser, 2010. "Volatility risk and the value premium: Evidence from the French stock market," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 975-983, May.
  114. Glenn Boyle & Andrew Hagan & R. Seini O'Connor & Nick Whitwell, 2004. "Emotion, fear and superstition in the New Zealand stockmarket," New Zealand Economic Papers, Taylor & Francis Journals, vol. 38(1), pages 65-85.
  115. Ehrmann, Michael & Fratzscher, Marcel, 2004. "Exchange rates and fundamentals: new evidence from real-time data," Working Paper Series 0365, European Central Bank.
  116. Matteo Grigoletto & Francesco Lisi, 2011. "Practical implications of higher moments in risk management," Statistical Methods and Applications, Springer, vol. 20(4), pages 487-506, November.
  117. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
  118. Jensen, Mark J & Maheu, John M, 2013. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," MPRA Paper 52132, University Library of Munich, Germany.
  119. Aurea Grané & Helena Veiga, 2012. "Asymmetry, realised volatility and stock return risk estimates," Portuguese Economic Journal, Springer, vol. 11(2), pages 147-164, August.
  120. John H. Boyd & Ravi Jagannathan & Jian Hu, 2001. "The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks," NBER Working Papers 8092, National Bureau of Economic Research, Inc.
  121. Thomakos, Dimitrios D. & Wang, Tao, 2003. "Realized volatility in the futures markets," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 321-353, May.
  122. David O. Lucca & Emanuel Moench, 2011. "The pre-FOMC announcement drift," Staff Reports 512, Federal Reserve Bank of New York.
  123. George Chacko & Sanjiv Ranjan Das, 1997. "Average Interest," NBER Working Papers 6045, National Bureau of Economic Research, Inc.
  124. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar," Finance Working Papers 22571, East Asian Bureau of Economic Research.
  125. Dimitri Vayanos, 2004. "Flight to Quality, Flight to Liquidity, and the Pricing of Risk," NBER Working Papers 10327, National Bureau of Economic Research, Inc.
  126. Hood, Matthew & Malik, Farooq, 2013. "Is gold the best hedge and a safe haven under changing stock market volatility?," Review of Financial Economics, Elsevier, vol. 22(2), pages 47-52.
  127. Bali, Turan G. & Engle, Robert F., 2010. "The intertemporal capital asset pricing model with dynamic conditional correlations," Journal of Monetary Economics, Elsevier, vol. 57(4), pages 377-390, May.
  128. Fostel, Ana & Geanakoplos, John, 2012. "Why does bad news increase volatility and decrease leverage?," Journal of Economic Theory, Elsevier, vol. 147(2), pages 501-525.
  129. Anisha Ghosh & Oliver Linton, 2009. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," Economics Working Papers we094928, Universidad Carlos III, Departamento de Economía.
  130. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
  131. Tim Bollerslev & Daniela Osterrieder & Natalia Sizova & George Tauchen, 2011. "Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability," CREATES Research Papers 2011-51, School of Economics and Management, University of Aarhus.
  132. Rogers, Jonathan L. & Skinner, Douglas J. & Van Buskirk, Andrew, 2009. "Earnings guidance and market uncertainty," Journal of Accounting and Economics, Elsevier, vol. 48(1), pages 90-109, October.
  133. Bali, Turan G. & Wu, Liuren, 2010. "The role of exchange rates in intertemporal risk-return relations," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1670-1686, December.
  134. 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.).
  135. Petri Kyröläinen, 2008. "Day trading and stock price volatility," Journal of Economics and Finance, Springer, vol. 32(1), pages 75-89, January.
  136. Brée, David S. & Joseph, Nathan Lael, 2013. "Testing for financial crashes using the Log Periodic Power Law model," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 287-297.
  137. Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 722-740.
  138. repec:ebl:ecbull:v:7:y:2007:i:12:p:1-12 is not listed on IDEAS
  139. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
  140. Martin Chalkley & In Ho Lee, 1998. "Learning and Asymmetric Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 1(3), pages 623-645, July.
  141. Colm Kearney & Margaret Lynch, 2005. "Volume and Skewness in International Equity Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp043, IIIS.
  142. Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
  143. repec:dgr:uvatin:2000024 is not listed on IDEAS
  144. Dewally, Michaël & Shao, Yingying, 2013. "Financial derivatives, opacity, and crash risk: Evidence from large US banks," Journal of Financial Stability, Elsevier, vol. 9(4), pages 565-577.
  145. John R. Graham & Campbell R. Harvey, 2001. "Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective," NBER Working Papers 8678, National Bureau of Economic Research, Inc.
  146. Florian Steiger, 2010. "The Impact of Credit Risk and Implied Volatility on Stock Returns," Papers 1005.5538, arXiv.org.
  147. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
  148. Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.
  149. L. Vanessa Smith & Takashi Yamagata, 2008. "Firm Level Volatility-Return Analysis using Dynamic Panels," Discussion Papers 08/09, Department of Economics, University of York.
  150. Morales-Arias, Leonardo & Moura, Guilherme V., 2013. "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 493-509.
  151. Ali F. Darrat & Bin Li & Omar Benkato, 2011. "The Relationship between Volatility and Expected Returns: Some Evidence for Australia," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 10(1), pages 27-43, April.
  152. Doan, Phuong & Lin, Chien-Ting & Zurbruegg, Ralf, 2010. "Pricing assets with higher moments: Evidence from the Australian and us stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 51-67, February.
  153. Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute.
  154. Khan, Mozaffar & Watts, Ross L., 2009. "Estimation and empirical properties of a firm-year measure of accounting conservatism," Journal of Accounting and Economics, Elsevier, vol. 48(2-3), pages 132-150, December.
  155. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
  156. David E Allen & Abhay K Singh & Robert J Powell & Michael McAleer & James Taylor & Lyn Thomas, 2012. "The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions," KIER Working Papers 831, Kyoto University, Institute of Economic Research.
  157. Devaney, Michael, 2012. "Financial crisis, REIT short-sell restrictions and event induced volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(2), pages 219-226.
  158. Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu, 2012. "The Reactive Volatility Model," Papers 1209.5190, arXiv.org, revised Apr 2013.
  159. Chan, Kam C. & Cheng, Louis T. W. & Lung, Peter P., 2003. "Moneyness and the response of the implied volatilities to price changes: The empirical evidence from HSI options," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 527-553, September.
  160. repec:ipg:wpaper:28 is not listed on IDEAS
  161. Ernst Konrad, 2009. "The impact of monetary policy surprises on asset return volatility: the case of Germany," Financial Markets and Portfolio Management, Springer, vol. 23(2), pages 111-135, June.
  162. Tsiakas, Ilias, 2008. "Overnight information and stochastic volatility: A study of European and US stock exchanges," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 251-268, February.
  163. Turgut Kisinbay, 2003. "Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons," IMF Working Papers 03/131, International Monetary Fund.
  164. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
  165. Ludvigson, Sydney C. & Ng, Serena, 2007. "The empirical risk-return relation: A factor analysis approach," Journal of Financial Economics, Elsevier, vol. 83(1), pages 171-222, January.
  166. Hibbert, Ann Marie & Daigler, Robert T. & Dupoyet, Brice, 2008. "A behavioral explanation for the negative asymmetric return-volatility relation," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2254-2266, October.
  167. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, vol. 12(4), pages 363-380.
  168. Steven Beach & Alexei Orlov, 2007. "An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management," Financial Markets and Portfolio Management, Springer, vol. 21(2), pages 147-166, June.
  169. Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
  170. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers 0905, University of Nevada, Las Vegas , Department of Economics.
  171. Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012. "Semiparametric inference in a GARCH-in-mean model," Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
  172. Lüders, Erik, 2002. "Why Are Asset Returns Predictable?," ZEW Discussion Papers 02-48, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  173. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
  174. Susan Sunila Sharma & Paresh Kumar Narayan, 2011. "Firm heterogeneity and calendar anomalies," Financial Econometics Series 2011_12, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  175. Pierre Giot & Sébastien Laurent, 2002. "Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models," Computing in Economics and Finance 2002 52, Society for Computational Economics.
  176. Koutmos, Dimitrios & Song, Wei, 2014. "Speculative dynamics and price behavior in the Shanghai Stock Exchange," Research in International Business and Finance, Elsevier, vol. 31(C), pages 74-86.
  177. Gamini Premaratne & Lakshmi Bala, 2004. "Stock Market Volatility: Examining North America, Europe and Asia," Econometric Society 2004 Far Eastern Meetings 479, Econometric Society.
  178. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, School of Economics and Management, University of Aarhus.
  179. Thomakos, Dimitrios D. & Wang, Tao, 2010. "'Optimal' probabilistic and directional predictions of financial returns," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 102-119, January.
  180. Li, George, 2008. "Aggregate stock market behavior and investors' low risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2349-2369, July.
  181. Jose Gonzalo Rangel & Robert F. Engle, 2009. "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers 2009-03, Banco de México.
  182. Emenike, Kalu O., 2010. "Modelling Stock Returns Volatility In Nigeria Using GARCH Models," MPRA Paper 22723, University Library of Munich, Germany.
  183. McInish, Thomas H. & Ding, David K. & Pyun, Chong Soo & Wongchoti, Udomsak, 2008. "Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 312-329.
  184. Donaldson, R. Glen & Kamstra, Mark, 1997. "An artificial neural network-GARCH model for international stock return volatility," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 17-46, January.
  185. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2011. "The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations," Research in International Business and Finance, Elsevier, vol. 25(3), pages 329-334, September.
  186. Smith, Reginald, 2008. "The Spread of the Credit Crisis: View from a Stock Correlation Network," MPRA Paper 12659, University Library of Munich, Germany, revised 02 Dec 2008.
  187. Bozos, Konstantinos & Koutmos, Dimitrios & Song, Wei, 2013. "Beta risk and price synchronicity of bank acquirers’ common stock following merger announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 47-58.
  188. Aboura, Sofiane & Chevallier, Julien, 2013. "Leverage vs. feedback: Which Effect drives the oil market?," Finance Research Letters, Elsevier, vol. 10(3), pages 131-141.
  189. Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 559-581, December.
  190. Pentti Saikkonen & Markku Lanne, 2004. "A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns," Econometric Society 2004 North American Summer Meetings 469, Econometric Society.
  191. Frankel, David M., 2007. "Adaptive Expectations and Stock Market Crashes," Staff General Research Papers 12817, Iowa State University, Department of Economics.
  192. Jun Yu, 2008. "A Semiparametric Stochastic Volatility Model," Working Papers CoFie-04-2008, Sim Kee Boon Institute for Financial Economics.
  193. Xiang, Ju & Zhu, Xiaoneng, 2014. "Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 134-148.
  194. Fratzscher, M., 2001. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," Papers 48, Quebec a Montreal - Recherche en gestion.
  195. Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
  196. Lassaâd Mbarek & Dorra Mezzez Hmaied, 2012. "Bank informational opacity: evidence from the Tunisian stock market," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 20(3), pages 278-292, July.
  197. Bali, Turan G., 2008. "The intertemporal relation between expected returns and risk," Journal of Financial Economics, Elsevier, vol. 87(1), pages 101-131, January.
  198. Sean D. Campbell & Canlin Li, 2004. "Alternative estimates of the presidential premium," Finance and Economics Discussion Series 2004-69, Board of Governors of the Federal Reserve System (U.S.).
  199. Charles M. Jones & Owen Lamont & Robin Lumsdaine, 1996. "Public Information and the Persistence of Bond Market Volatility," NBER Working Papers 5446, National Bureau of Economic Research, Inc.
  200. Fady Barsoum, 2013. "The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach," Working Paper Series of the Department of Economics, University of Konstanz 2013-15, Department of Economics, University of Konstanz.
  201. Yang, Wei, 2011. "Long-run risk in durable consumption," Journal of Financial Economics, Elsevier, vol. 102(1), pages 45-61, October.
  202. Harrison Hong & Jeremy C. Stein, 1999. "Differences of Opinion, Rational Arbitrage and Market Crashes," NBER Working Papers 7376, National Bureau of Economic Research, Inc.
  203. repec:dgr:uvatin:2013020 is not listed on IDEAS
  204. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Structural Break in the Equity Premium?," Discussion Papers in Economics at the University of Washington 0024, Department of Economics at the University of Washington.
  205. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices," Working Papers 2009-11, Faculty of Economic Sciences, University of Warsaw.
  206. Jonathan Manton & Anton Muscatelli & Vikram Krishnamurthy & Stan Hurn, . "Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise," Working Papers 9806, Business School - Economics, University of Glasgow.
  207. Nikolaos Sariannidis, 2011. "Stock, Energy and Currency Effects on the Asymmetric Wheat Market," International Advances in Economic Research, Springer, vol. 17(2), pages 181-192, May.
  208. Mazzotta, Stefano, 2008. "How important is asymmetric covariance for the risk premium of international assets?," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1636-1647, August.
  209. Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 374-417, June.
  210. Yusaku Nishimura & Ming Men, 2010. "The paradox of China's international stock market co-movement: Evidence from volatility spillover effects between China and G5 stock markets," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing, vol. 3(3), pages 235-253, December.
  211. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
  212. Yeh, Yin-Hua & Lee, Tsun-Siou, 2000. "The interaction and volatility asymmetry of unexpected returns in the greater China stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 129-149.
  213. Christelle Lecourt, 2000. "Dépendance de court et de long terme des rendements de taux de change," Économie et Prévision, Programme National Persée, vol. 146(5), pages 127-137.
  214. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department.
  215. Marcelle Chauvet & Simon Potter, 1999. "Nonlinear risk," Staff Reports 61, Federal Reserve Bank of New York.
  216. Vicente Meneu & Hipolit Torro, . "Asymmetric covariance in sport-future markets," Studies on the Spanish Economy 135, FEDEA.
  217. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics.
  218. Mahfuzul Haque & Imen Kouki, 2009. "Effect of 9/11 on the conditional time-varying equity risk premium: evidence from developed markets," Journal of Risk Finance, Emerald Group Publishing, vol. 10(3), pages 261-276, May.
  219. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 684-700, November.
  220. Assaf, Ata, 2006. "The stochastic volatility in mean model and automation: Evidence from TSE," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 241-253, May.
  221. Ali Kutan & Tansu Aksoy, 2003. "Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey," Journal of Financial Services Research, Springer, vol. 23(3), pages 225-239, June.
  222. Jokipii, Terhi, 2006. "Forecasting market crashes: further international evidence," Research Discussion Papers 22/2006, Bank of Finland.
  223. Ederington, Louis H. & Guan, Wei, 2010. "How asymmetric is U.S. stock market volatility?," Journal of Financial Markets, Elsevier, vol. 13(2), pages 225-248, May.
  224. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer, vol. 12(3), pages 199-226, September.
  225. Jaesun Noh & Robert F. Engle & Alex Kane, 1993. "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers 4520, National Bureau of Economic Research, Inc.
  226. Ramchand, Latha & Susmel, Raul, 1998. "Variances and covariances of international stock returns: the international capital asset pricing model revisited," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 39-57, January.
  227. Alistair Mees & Berndt Pilgram, 2000. "Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility," Econometric Society World Congress 2000 Contributed Papers 1162, Econometric Society.
  228. Yu, Jianfeng & Yuan, Yu, 2011. "Investor sentiment and the mean-variance relation," Journal of Financial Economics, Elsevier, vol. 100(2), pages 367-381, May.
  229. Koutmos, Gregory & Knif, Johan & Philippatos, George C., 2008. "Modeling common volatility characteristics and dynamic risk premia in European equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 567-578, August.
  230. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
  231. Daly, Kevin & Vo, Vinh, 2008. "Idiosyncratic risk in the Dow Jones Eurostoxx50 Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(16), pages 4261-4271.
  232. Paul D. McNelis & Carrie K.C. Chan, 2004. "Deflationary Dynamics in Hong Kong: Evidence from Linear and Neural Network Regime Switching Models," Working Papers 212004, Hong Kong Institute for Monetary Research.
  233. Juho Kanniainen, 2009. "Can properly discounted projects follow geometric Brownian motion?," Computational Statistics, Springer, vol. 70(3), pages 435-450, December.
  234. Kanas, Angelos, 2012. "Modelling the risk–return relation for the S&P 100: The role of VIX," Economic Modelling, Elsevier, vol. 29(3), pages 795-809.
  235. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
  236. Olan T. Henry & Michael McKenzie, 2003. "The Impact of Short Selling on the Price–Volume Relationship: Evidence from Hong Kong," Department of Economics - Working Papers Series 869, The University of Melbourne.
  237. Bargeron, Leonce L. & Lehn, Kenneth & Moeller, Sara B. & Schlingemann, Frederik P., 2014. "Disagreement and the informativeness of stock returns: The case of acquisition announcements," Journal of Corporate Finance, Elsevier, vol. 25(C), pages 155-172.
  238. Adam Clements & Stan Hurn & Scott White, 2006. "Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3," NCER Working Paper Series 3, National Centre for Econometric Research.
  239. Nam, Kiseok & Pyun, Chong Soo & Arize, Augustine C., 2002. "Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 563-588, December.
  240. Hans Dillen & Bo Stoltz, 1999. "The distribution of stock market returns and the market model," Finnish Economic Papers, Finnish Economic Association, vol. 12(1), pages 41-56, Spring.
  241. Ho, Kim Wai, 1996. "Short-sales restrictions and volatility The case of the Stock Exchange of Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 377-391, December.
  242. Jean-Marie Dufour & René García & Abderrahim Taamouti, 2008. "Measuring causality between volatility and returns with high-frequency data," Economics Working Papers we084422, Universidad Carlos III, Departamento de Economía.
  243. Wu, Guojun & Xiao, Zhijie, 2002. "A generalized partially linear model of asymmetric volatility," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 287-319, August.
  244. Basu, Parantap & Samanta, Prodyot, 2001. "Volatility and stock prices: implications from a production model of asset pricing," Economics Letters, Elsevier, vol. 70(2), pages 229-235, February.
  245. Leonardo Morales-Arias & Alexander Dross, 2010. "Adaptive Forecasting of Exchange Rates with Panel Data," Research Paper Series 285, Quantitative Finance Research Centre, University of Technology, Sydney.
  246. Vesna Bucevska, 2013. "An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange," Business Systems Research, Society for Promotion of Business Information Technology (BIT), vol. 4(1), pages 49-64.
  247. Şener, Emrah & Baronyan, Sayad & Ali Mengütürk, Levent, 2012. "Ranking the predictive performances of value-at-risk estimation methods," International Journal of Forecasting, Elsevier, vol. 28(4), pages 849-873.
  248. Audrino, Francesco & Hu, Yujia, 2011. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series 1138, University of St. Gallen, School of Economics and Political Science.
  249. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
  250. Alaganar, V.T. & Bhar, Ramaprasad, 2007. "Empirical properties of currency risk in country index portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 159-174, March.
  251. Aliyu, Shehu Usman Rano, 2011. "Reactions of stock market to monetary policy shocks during the global financial crisis: the Nigerian case," MPRA Paper 35581, University Library of Munich, Germany, revised 28 Dec 2011.
  252. Young-Hye Cho & Robert F. Engle, 1999. "Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks," NBER Working Papers 7330, National Bureau of Economic Research, Inc.
  253. Darrat, Ali F. & Gilley, Otis W. & Li, Bin & Wu, Yanhui, 2011. "Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models," Journal of Business Research, Elsevier, vol. 64(2), pages 199-206, February.
  254. Cecilia Maya & Karoll Gómez, 2008. "What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 161-183.
  255. Conrad, Christian & Loch, Karin, 2012. "Anticipating Long-Term Stock Market Volatility," Working Papers 0535, University of Heidelberg, Department of Economics.
  256. Stefano Giglio & Kelly Shue, 2013. "No News is News: Do Markets Underreact to Nothing?," NBER Working Papers 18914, National Bureau of Economic Research, Inc.
  257. David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013. "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers 13-020/III, Tinbergen Institute.
  258. Xiao-Ming Li, 2003. "Time-varying Informational Efficiency in China's A-Share and B-Share Markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 1(1), pages 33-56.
  259. Patricia Chelley-Steeley & James Steeley, 2005. "The leverage effect in the UK stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 15(6), pages 409-423.
  260. Li, George, 2007. "Time-varying risk aversion and asset prices," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 243-257, January.
  261. Monique C. Ebell, 2000. "Why Are Asset Returns more Volatile During Recessions? A Theoretical Examination," Econometric Society World Congress 2000 Contributed Papers 1554, Econometric Society.
  262. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
  263. James Morley, 2000. "Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?," Econometric Society World Congress 2000 Contributed Papers 0915, Econometric Society.
  264. Laopodis, N. T., 1998. "Asymmetric volatility spillovers in deutsche mark exchange rates," Journal of Multinational Financial Management, Elsevier, vol. 8(4), pages 413-430, November.
  265. Jinho Bae, 2011. "Does knowing the volatility states affect the market risk premium?," Annals of Finance, Springer, vol. 7(1), pages 83-94, February.
  266. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, vol. 10(3), pages 303-330, September.
  267. Kao, Lie-Jane & Wu, Po-Cheng & Lee, Cheng-Few, 2012. "Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical study," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 115-129.
  268. Mele, Antonio, 2007. "Asymmetric stock market volatility and the cyclical behavior of expected returns," Journal of Financial Economics, Elsevier, vol. 86(2), pages 446-478, November.
  269. Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying, 2013. "The leverage effect puzzle: Disentangling sources of bias at high frequency," Journal of Financial Economics, Elsevier, vol. 109(1), pages 224-249.
  270. Tao Wang, 2007. "Financial Constraints and the Risk-Return Relation," Economics Bulletin, AccessEcon, vol. 7(12), pages 1-12.
  271. Lahrech, Abdelmounaim & Sylwester, Kevin, 2011. "U.S. and Latin American stock market linkages," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1341-1357.
  272. Seyyed, Fazal J. & Abraham, Abraham & Al-Hajji, Mohsen, 2005. "Seasonality in stock returns and volatility: The Ramadan effect," Research in International Business and Finance, Elsevier, vol. 19(3), pages 374-383, September.
  273. Cheng, Ai-Ru & Jahan-Parvar, Mohammad R., 2014. "Risk–return trade-off in the pacific basin equity markets," Emerging Markets Review, Elsevier, vol. 18(C), pages 123-140.
  274. Venetis, Ioannis A. & Peel, David, 2005. "Non-linearity in stock index returns: the volatility and serial correlation relationship," Economic Modelling, Elsevier, vol. 22(1), pages 1-19, January.
  275. Anilowski, Carol & Feng, Mei & Skinner, Douglas J., 2007. "Does earnings guidance affect market returns? The nature and information content of aggregate earnings guidance," Journal of Accounting and Economics, Elsevier, vol. 44(1-2), pages 36-63, September.
  276. Chang, Eric C. & Dong, Sen, 2006. "Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 14(2), pages 135-154, April.
  277. ERIC HILLEBRAND & MArcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
  278. repec:wyi:journl:002159 is not listed on IDEAS
  279. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
  280. Dimitriou, Dimitrios & Simos, Theodore, 2011. "The relationship between stock returns and volatility in the seventeen largest international stock markets: A semi-parametric approach," MPRA Paper 37528, University Library of Munich, Germany.
  281. Yeung Lewis Chan & Leonid Kogan, 2001. "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers 8607, National Bureau of Economic Research, Inc.
  282. Chan, Kam C. & Fung, Hung-Gay & Leung, Wai K., 2004. "Daily volatility behavior in Chinese futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 491-505, December.
  283. Jianxin Wang & Minxian Yang, 2012. "On the Risk Return Relationship," Discussion Papers 2012-31, School of Economics, The University of New South Wales.
  284. Andreas Georgantopoulos & Anastasios Tsamis, 2011. "Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 1(4), pages 211-219.
  285. Gregory R. Duffee, 2001. "Asymmetric cross-sectional dispersion in stock returns: evidence and implications," Working Paper Series 2000-18, Federal Reserve Bank of San Francisco.
  286. Thadavillil Jithendranathan, 2004. "Time-varying Correlations of Russian and U.S. Equity Returns," International Finance 0403006, EconWPA.
  287. Zhou, Yinggang, 2014. "Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 216-228.
  288. Sbuelz, Alessandro & Trojani, Fabio, 2008. "Asset prices with locally constrained-entropy recursive multiple-priors utility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3695-3717, November.
  289. Kim, Dongcheol & Kon, Stanley J., 1999. "Structural change and time dependence in models of stock returns," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 283-308, September.
  290. Wan, Yang & Clutter, Michael L. & Siry, Jacek P. & Mei, Bin, 2013. "Assessing the impact of macroeconomic news on the U.S. forest products industry portfolio across business cycles: 1963–2010," Forest Policy and Economics, Elsevier, vol. 28(C), pages 15-22.
  291. Talpsepp, Tõnn & Rieger, Marc Oliver, 2010. "Explaining asymmetric volatility around the world," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 938-956, December.
  292. Baker, H. Kent & Rahman, Abdul & Saadi, Samir, 2008. "The day-of-the-week effect and conditional volatility: Sensitivity of error distributional assumptions," Review of Financial Economics, Elsevier, vol. 17(4), pages 280-295, December.
  293. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
  294. Nave, Juan & Rubio Irigoyen, Gonzalo & León, Angel, 2005. "The Relationship between Risk and Expected Return in Europe," DFAEII Working Papers 2005-08, University of the Basque Country - Department of Foundations of Economic Analysis II.
  295. Beum-Jo Park, 2009. "Risk-return relationship in equity markets: using a robust GMM estimator for GARCH-M models," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 93-104.