IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Volatility puzzles: a simple framework for gauging return-volatility regressions"

by Bollerslev, Tim & Zhou, Hao

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. Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo.
  2. 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.
  3. Xibin Zhang & Maxwell L. King, 2004. "Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors," Monash Econometrics and Business Statistics Working Papers 26/04, Monash University, Department of Econometrics and Business Statistics.
  4. Hao Zhou & Tim Bollerslev & Michael Gibson, 2005. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  5. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Asymmetry and Long Memory in Volatility Modelling," KIER Working Papers 726, Kyoto University, Institute of Economic Research.
  6. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers 2007-09, School of Economics and Management, University of Aarhus.
  7. Ahoniemi, Katja & Lanne, Markku, 2010. "Realized volatility and overnight returns," Research Discussion Papers 19/2010, Bank of Finland.
  8. Dinghai Xu & Yuying Li, 2010. "Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach," Working Papers 1002, University of Waterloo, Department of Economics, revised May 2010.
  9. Jie Zhu, 2008. "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers 2008-14, School of Economics and Management, University of Aarhus.
  10. Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2013. "Modeling and predicting the CBOE market volatility index," Textos para discussão 342, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  11. Vortelinos, Dimitrios I., 2010. "The properties of realized correlation: Evidence from the French, German and Greek equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 273-290, August.
  12. Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2014. "The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship," CAMA Working Papers 2014-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  13. Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance 0507012, EconWPA, revised 17 Jan 2006.
  14. Gael M. Martin & Andrew Reidy & Jill Wright, 2007. "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?," Monash Econometrics and Business Statistics Working Papers 5/07, Monash University, Department of Econometrics and Business Statistics.
  15. Almut Veraart & Luitgard Veraart, 2012. "Stochastic volatility and stochastic leverage," Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
  16. Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 0. "What Segments Equity Markets?," Review of Financial Studies, Society for Financial Studies, vol. 24(12), pages 3841-3890.
  17. 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.
  18. Łukasz Kwiatkowski, 2011. "Bayesian Analysis of a Regime Switching In-Mean Effect for the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 3(4), pages 187-219, December.
  19. Dinghai Xu, 2010. "A Threshold Stochastic Volatility Model with Realized Volatility," Working Papers 1003, University of Waterloo, Department of Economics, revised May 2010.
  20. Xing Jin & LepingWang & JunYu, 2007. "Temporal Aggregation and Risk-Return Relation," Finance Working Papers 21917, East Asian Bureau of Economic Research.
  21. Jin, Xing & Wang, Leping & Yu, Jun, 2007. "Temporal aggregation and risk-return relation," Finance Research Letters, Elsevier, vol. 4(2), pages 104-115, June.
  22. Vogel, Harold L. & Werner, Richard A., 2015. "An analytical review of volatility metrics for bubbles and crashes," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 15-28.
  23. 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.
  24. Ahmed, Shamim & Valente, Giorgio, 2015. "Understanding the price of volatility risk in carry trades," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 118-129.
  25. Tim Bollerslev & Natalia Sizova & George Tauchen, 2009. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," CREATES Research Papers 2009-05, School of Economics and Management, University of Aarhus.
  26. Tim Bollerslev & Lai Xu & Hao Zhou, 2012. "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers 2012-51, School of Economics and Management, University of Aarhus.
  27. 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.
  28. 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.
  29. 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.
  30. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing," Documentos de Trabajo del ICAE 2013-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  31. Masato Ubukata & Toshiaki Watanabe, 2011. "Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion," Global COE Hi-Stat Discussion Paper Series gd11-214, Institute of Economic Research, Hitotsubashi University.
  32. Neely, Christopher J., 2009. "Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 188-205, February.
  33. Hartwell , Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies: a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
  34. Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni, 2015. "A new approach to measuring riskiness in the equity market: Implications for the risk premium," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 101-117.
  35. Tobias Adrian & Joshua Rosenberg, 2008. "Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2997-3030, December.
  36. Li, Junye, 2011. "Volatility components, leverage effects, and the return-volatility relations," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1530-1540, June.
  37. 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.
  38. Ning, Cathy & Xu, Dinghai & Wirjanto, Tony S., 2008. "Modeling the leverage effect with copulas and realized volatility," Finance Research Letters, Elsevier, vol. 5(4), pages 221-227, December.
  39. Sunita Narang & V. K. Bhalla, 2011. "Risk-Return Trade-Off in Indian Capital Market During Last Two Decades with Special Emphasis on Crisis Period," Annals - Economic and Administrative Series -, Faculty of Business and Administration, University of Bucharest, vol. 5(1), pages 77-98, December.
  40. Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
  41. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.