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Citations for " Good News, Bad News, Volatility, and Betas"

by Braun, Phillip A & Nelson, Daniel B & Sunier, Alain M

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  1. Yu, Jun, 2012. "A semiparametric stochastic volatility model," Journal of Econometrics, Elsevier, vol. 167(2), pages 473-482.
  2. Abdul Qayyum & A. R. Kemal, 2006. "Volatility Spillover between the Stock Market and the Foreign Market in Pakistan," Finance Working Papers 22216, East Asian Bureau of Economic Research.
  3. Luc Savard, 2010. "Scaling up Infrastructure spending in the Philippines: A CGE top-down/bottom up microsimulation approach," Cahiers de recherche 10-06, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
  4. 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.
  5. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc.
  6. Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2013. "An evolutionary CAPM under heterogeneous beliefs," Annals of Finance, Springer, vol. 9(2), pages 185-215, May.
  7. 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.
  8. Hardouvelis, Gikas A. & Malliaropulos, Dimitrios & Priestley, Richard, 2007. "The impact of EMU on the equity cost of capital," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 305-327, March.
  9. Gianni Amisano & Roberto Savona, 2007. "Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk," Working Papers 0706, University of Brescia, Department of Economics.
  10. Ferson, Wayne E. & Harvey, Campbell R., 1994. "Sources of risk and expected returns in global equity markets," Journal of Banking & Finance, Elsevier, vol. 18(4), pages 775-803, September.
  11. LINTON, Olivier & PERRON, Benoît, 1999. "The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model," Cahiers de recherche 9911, Universite de Montreal, Departement de sciences economiques.
  12. McKenzie, Michael D. & Brooks, Robert D. & Faff, Robert W. & Ho, Yew Kee, 2000. "Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(1), pages 85-106.
  13. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc.
  14. Kotkatvuori-Örnberg, Juha & Nikkinen, Jussi & Äijö, Janne, 2013. "Stock market correlations during the financial crisis of 2008–2009: Evidence from 50 equity markets," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 70-78.
  15. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
  16. Kilian, Lutz & Gonçalves, Sílvia, 2002. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies 2002,26, Deutsche Bundesbank, Research Centre.
  17. Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal.
  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. Brooks, Chris & Henry, Olan T, 2002. " The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(5), pages 487-507, December.
  20. Emenike, Kalu O., 2010. "Modelling Stock Returns Volatility In Nigeria Using GARCH Models," MPRA Paper 22723, University Library of Munich, Germany.
  21. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
  22. Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc.
  23. Harrison Hong & Jeremy C. Stein, 1999. "Differences of Opinion, Rational Arbitrage and Market Crashes," NBER Working Papers 7376, National Bureau of Economic Research, Inc.
  24. Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2001. "Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices," Journal of Financial Economics, Elsevier, vol. 61(3), pages 345-381, September.
  25. repec:kap:iaecre:v:17:y:2011:i:2:p:181-192 is not listed on IDEAS
  26. Choudhry, Taufiq & Jayasekera, Ranadeva, 2014. "Market efficiency during the global financial crisis: Empirical evidence from European banks," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 299-318.
  27. Jacquier, Eric & Titman, Sheridan & YalçIn, Atakan, 2010. "Predicting systematic risk: Implications from growth options," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 991-1005, December.
  28. Mohammed Bouaddi & Denis Larocque & Michel Normandin, 2010. "Equity Premia and State-Dependent Risks," Cahiers de recherche 1019, CIRPEE.
  29. Hafner, C.M. & Herwartz, H., 2002. "Testing for vector autoregressive dynamics under heteroskedasticity," Econometric Institute Research Papers EI 2002-36, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  30. Soosung Hwang & Steve Satchell, 2005. "GARCH model with cross-sectional volatility: GARCHX models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(3), pages 203-216.
  31. de Goeij, P. C. & Marquering, W., 2009. "Stock and bond market interactions with level and asymmetry dynamics : An out-of-sample application," Other publications TiSEM fa1d33b9-7e68-4e15-b211-e, Tilburg University, School of Economics and Management.
  32. Koutmos, Gregory & Knif, Johan, 2002. "Time variation and asymmetry in systematic risk: evidence from the Finnish stock exchange," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 261-271, July.
  33. Sascha Mergner & Jan Bulla, 2005. "Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques," Finance 0510029, EconWPA.
  34. 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.
  35. Liu, Qingfu & Wong, Ieokhou & An, Yunbi & Zhang, Jinqing, 2014. "Asymmetric Information and Volatility Forecasting in Commodity Futures Markets," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 79-97.
  36. Grout, Paul A. & Zalewska, Anna, 2006. "The impact of regulation on market risk," Journal of Financial Economics, Elsevier, vol. 80(1), pages 149-184, April.
  37. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.
  38. Jun Yu & Renate Meyer, 2004. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Working Papers 23-2004, Singapore Management University, School of Economics.
  39. R. D. Brooks & R. W. Faff & M. McKenzie, 2002. "Time varying country risk: an assessment of alternative modelling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 249-274.
  40. KALNINA, Ilze, 2015. "Inference for nonparametric high-frequency estimators with an application to time variation in betas," Cahiers de recherche 2015-08, Universite de Montreal, Departement de sciences economiques.
  41. Vicente Meneu & Hipolit Torro, . "Asymmetric covariance in sport-future markets," Studies on the Spanish Economy 135, FEDEA.
  42. Helena Chuliá & Hipòlit Torró, 2008. "The economic value of volatility transmission between the stock and bond markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1066-1094, November.
  43. Tudorache Florentin Gabriel & Luminiţa Nicolescu & Radu Lupu, 2015. "Evolution of Mutual Funds in Romania: Performance and Risks," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 180-197, December.
  44. Wayne Ferson & Campbell R. Harvey, 1994. "An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," NBER Chapters, in: The Internationalization of Equity Markets, pages 59-147 National Bureau of Economic Research, Inc.
  45. 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.
  46. Tolga Cenesizoglu & Jonathan J. Reeves, 2013. "CAPM, Components of Beta and the Cross Section of Expected Returns," CIRANO Working Papers 2013s-09, CIRANO.
  47. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September.
  48. 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.
  49. Godfrey Charles-Cadogan, 2012. "Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets," Papers 1206.2662, arXiv.org.
  50. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
  51. Anders Ekholm & Daniel Pasternack, 2005. "The negative news threshold—An explanation for negative skewness in stock returns," The European Journal of Finance, Taylor & Francis Journals, vol. 11(6), pages 511-529.
  52. 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.
  53. Kim, Suk-Joong & Salem, Leith & Wu, Eliza, 2015. "The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China," Journal of Financial Stability, Elsevier, vol. 18(C), pages 208-224.
  54. 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.
  55. Stefano D'Addona & Mattia Ciprian, 2007. "Time Varying Sensitivities On A Grid Architecture," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 307-329.
  56. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers 10449, C.E.P.R. Discussion Papers.
  57. Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003. "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers 694, Department of Economics and Business, Universitat Pompeu Fabra.
  58. Geonwoo Kim & Hyuncheul Lim & Sungchul Lee, 2015. "On pricing options with stressed-beta in a reduced form model," Review of Derivatives Research, Springer, vol. 18(1), pages 29-50, April.
  59. Jozef Baruník & Evžen Kocenda & Lukáš Vácha, 2015. "Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover," CESifo Working Paper Series 5305, CESifo Group Munich.
  60. Joanna Olbrys, 2013. "Asymmetric impact of innovations on volatility in the case of the US and CEEC-3 markets: EGARCH based approach," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 13, pages 33-50.
  61. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris.
  62. Miyakoshi, Tatsuyoshi, 2003. "Spillovers of stock return volatility to Asian equity markets from Japan and the US," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 383-399, October.
  63. Sascha Mergner, 2005. "Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques," Finance 0509024, EconWPA.
  64. Francesco Giurda & Elias Tzavalis, 2004. "Is the Currency Risk Priced in Equity Markets?," Working Papers 511, Queen Mary University of London, School of Economics and Finance.
  65. Ivo Welch, 2016. "Levered Returns," NBER Working Papers 22150, National Bureau of Economic Research, Inc.
  66. Hafner, Christian M. & Herwartz, Helmut, 1999. "Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications," SFB 373 Discussion Papers 1999,22, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  67. de Goeij, P. C. & Marquering, W., 2004. "Modeling the conditional covariance between stock and bond returns : A multivariate GARCH approach," Other publications TiSEM 94fe5ada-715a-4339-b94c-f, Tilburg University, School of Economics and Management.
  68. 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.
  69. Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012. "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers ECO2012/28, European University Institute.
  70. Faten Ben Slimane & Mohamed Mehanaoui & Irfan A. Kazi, 2014. "Interdependency and Spillover during the Financial Crisis of 2007 to 2009 – Evidence from High Frequency Intraday Data," Working Papers 2014-126, Department of Research, Ipag Business School.
  71. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc.
  72. Connolly, Robert & Stivers, Chris, 2006. "Information content and other characteristics of the daily cross-sectional dispersion in stock returns," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 79-112, January.
  73. Abdul Qayyum & Muhammad Arshad Khan, 2014. "Dynamic Relationship and Volatility Spillover between the Stock Market and the Foreign Exchange Market in Pakistan: Evidence from VAR-EGARCH Modelling," PIDE-Working Papers 2014:103, Pakistan Institute of Development Economics.
  74. Schill, Michael J., 2004. "Sailing in rough water: market volatility and corporate finance," Journal of Corporate Finance, Elsevier, vol. 10(5), pages 659-681, November.
  75. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013. "Time-varying beta: a boundedly rational equilibrium approach," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 609-639, July.
  76. 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.
  77. 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.
  78. Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent, 2015. "Aggregate volatility expectations and threshold CAPM," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 231-253.
  79. 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;Western Finance Association, vol. 23(3), pages 225-239, June.
  80. Bollerslev, Tim & Zhang, Benjamin Y. B., 2003. "Measuring and modeling systematic risk in factor pricing models using high-frequency data," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 533-558, December.
  81. Ozcan Ceylan, 2015. "Limited information-processing capacity and asymmetric stock correlations," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1031-1039, June.
  82. 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.
  83. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
  84. Wang, Daxue, 2008. "Herd behavior towards the market index: Evidence from 21 financial markets," IESE Research Papers D/776, IESE Business School.
  85. Londono Yarce, J.M., 2011. "Essays on asset pricing," Other publications TiSEM 744a2ac5-7ada-4fa8-a7aa-e, Tilburg University, School of Economics and Management.
  86. de Goeij, Peter & Marquering, Wessel, 2009. "Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 318-329, March.
  87. Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016. "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, vol. 27(C), pages 118-139.
  88. 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.
  89. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2010. "Systematic risks for the financial and for the non-financial Romanian companies," MPRA Paper 41636, University Library of Munich, Germany, revised 28 Feb 2010.
  90. 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.
  91. Kevin Sheppard, 2014. "Factor High-Frequency Based Volatility (HEAVY) Models," Economics Series Working Papers 710, University of Oxford, Department of Economics.
  92. Lee, Mingchih & Chen, Chun-Da, 2005. "The intraday behaviors and relationships with its underlying assets: evidence on option market in Taiwan," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 587-603.
  93. Răzvan Ştefănescu & Costel Nistor & Ramona Dumitriu, 2009. "Asymmetric Responses of CAPM - Beta to the Bull and Bear Markets on the Bucharest Stock Exchange," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(4), pages 257-262.
  94. Jin, Xiaoye & An, Ximeng, 2016. "Global financial crisis and emerging stock market contagion: A volatility impulse response function approach," Research in International Business and Finance, Elsevier, vol. 36(C), pages 179-195.
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