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Citations for "Expected stock returns and volatility"

by French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F.

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  1. Fan, Qinbin & Jahan-Parvar, Mohammad R., 2012. "U.S. industry-level returns and oil prices," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 112-128.
  2. Samarjit Das & Nityananda Sarkar, 2010. "Is the relative risk aversion parameter constant over time? A multi-country study," Empirical Economics, Springer, vol. 38(3), pages 605-617, June.
  3. Wang, Huijun & Yan, Jinghua & Yu, Jianfeng, 2017. "Reference-dependent preferences and the risk–return trade-off," Journal of Financial Economics, Elsevier, vol. 123(2), pages 395-414.
  4. 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.
  5. 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.
  6. Ray Chou & Chun-Chou Wu & Nathan Liu, 2009. "Forecasting time-varying covariance with a range-based dynamic conditional correlation model," Review of Quantitative Finance and Accounting, Springer, vol. 33(4), pages 327-345, November.
  7. Jie Zhu, 2008. "FIEGARCH-M and and International Crises: A Cross-Country Analysis," CREATES Research Papers 2008-16, Department of Economics and Business Economics, Aarhus University.
  8. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
  9. Evrensel, Ayse Y. & Kutan, Ali M., 2006. "Creditor moral hazard in stock markets: Empirical evidence from Indonesia and Korea," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 640-654, June.
  10. Hassler, J., 1995. "Regime Shifts and Volatility Spillovers on International Stock Markets," Papers 603, Stockholm - International Economic Studies.
  11. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-059, New York University, Leonard N. Stern School of Business-.
  12. 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.
  13. Amihud, Yakov & Hurvich, Clifford M., 2004. "Predictive Regressions: A Reduced-Bias Estimation Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(04), pages 813-841, December.
  14. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
  15. Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 290-318.
  16. Llubos Pástor, 2001. "The Equity Premium and Structural Breaks," Journal of Finance, American Finance Association, vol. 56(4), pages 1207-1239, 08.
  17. Hui Guo & Robert F. Whitelaw, 2006. "Uncovering the Risk-Return Relation in the Stock Market," Journal of Finance, American Finance Association, vol. 61(3), pages 1433-1463, 06.
  18. Peter Christoffersen & Hyunchul Chung & Vihang Errunza, 2003. "Size Matters: The Impact of Capital Market Liberalization on Individual Firms," CIRANO Working Papers 2003s-13, CIRANO.
  19. Michelle Lowry & Micah S. Officer & G. William Schwert, 2010. "The Variability of IPO Initial Returns," Journal of Finance, American Finance Association, vol. 65(2), pages 425-465, 04.
  20. Shiller, Robert J, 1989. " Comovements in Stock Prices and Comovements in Dividends," Journal of Finance, American Finance Association, vol. 44(3), pages 719-729, July.
  21. Neil Shephard & Ole E. Barndorff-Nielsen, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Series Working Papers 240, University of Oxford, Department of Economics.
  22. Babsiri, Mohamed El & Zakoian, Jean-Michel, 2001. "Contemporaneous asymmetry in GARCH processes," Journal of Econometrics, Elsevier, vol. 101(2), pages 257-294, April.
  23. Kandel, Shmuel & Stambaugh, Robert F, 1996. " On the Predictability of Stock Returns: An Asset-Allocation Perspective," Journal of Finance, American Finance Association, vol. 51(2), pages 385-424, June.
  24. 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.
  25. 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.
  26. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian, 2008. "Option valuation with long-run and short-run volatility components," Journal of Financial Economics, Elsevier, vol. 90(3), pages 272-297, December.
  27. Casalin, Fabrizio & Dia, Enzo, 2009. "Financial market volatility and primary placements," Economics Letters, Elsevier, vol. 105(3), pages 284-286, December.
  28. Daniel L. Tortorice, 2014. "Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks," Working Papers 70, Brandeis University, Department of Economics and International Businesss School.
  29. Hong, Harrison & Torous, Walter & Valkanov, Rossen, 2002. "Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability," University of California at Los Angeles, Anderson Graduate School of Management qt6x49x543, Anderson Graduate School of Management, UCLA.
  30. Wang, Jianxin & Yang, Minxian, 2013. "On the risk return relationship," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 132-141.
  31. Schwert, G William & Seguin, Paul J, 1990. " Heteroskedasticity in Stock Returns," Journal of Finance, American Finance Association, vol. 45(4), pages 1129-1155, September.
  32. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO.
  33. Kanokwan Chancharoenchai & Sel Dibooglu, 2006. "Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(2), pages 4-17, April.
  34. David G. McMillan & Alan E. H. Speight, 2006. "Volatility dynamics and heterogeneous markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 115-121.
  35. Ivelina Pavlova & Maria E. de Boyrie, 2015. "Carry Trades and Sovereign CDS Spreads: Evidence from Asia‐Pacific Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(11), pages 1067-1087, November.
  36. 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.
  37. Petri Kyröläinen, 2008. "Day trading and stock price volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(1), pages 75-89, January.
  38. Qianqiu Liu, 2009. "On portfolio optimization: How and when do we benefit from high-frequency data?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 560-582.
  39. el Alaoui, AbdelKader O. & Ismath Bacha, Obiyathulla & Masih, Mansur & Asutay, Mehmet, 2017. "Leverage versus volatility: Evidence from the capital structure of European firms," Economic Modelling, Elsevier, vol. 62(C), pages 145-160.
  40. Stéphanie Bilo & Hans Christophers & Michèl Degosciu & Heinz Zimmermann, 2005. "Risk, returns, and biases of listed private equity portfolios," Working papers 2005/01, Faculty of Business and Economics - University of Basel.
  41. 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.
  42. Carol Alexander & Anca Dimitriu, 2003. "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2003-02, Henley Business School, Reading University.
  43. Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009. "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, vol. 91(1), pages 59-82, January.
  44. Li, Zhongfei & Zeng, Yan & Lai, Yongzeng, 2012. "Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 191-203.
  45. Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005. "External Habit and the Cyclicality of Expected Stock Returns," The Journal of Business, University of Chicago Press, vol. 78(3), pages 1023-1048, May.
  46. Choudhry, Taufiq & Jayasekera, Ranadeva, 2014. "Returns and volatility spillover in the European banking industry during global financial crisis: Flight to perceived quality or contagion?," International Review of Financial Analysis, Elsevier, vol. 36(C), pages 36-45.
  47. Dungey, Mardi & McKenzie, Michael & Tambakis, Demosthenes N., 2009. "Flight-to-quality and asymmetric volatility responses in US Treasuries," Global Finance Journal, Elsevier, vol. 19(3), pages 252-267.
  48. Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
  49. Li, Yuming, 1998. "Expected stock returns, risk premiums and volatilities of economic factors1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 69-97, June.
  50. Ferreira, Miguel A. & Santa-Clara, Pedro, 2011. "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, vol. 100(3), pages 514-537, June.
  51. Xilong Chen & Eric Ghysels, 2011. "News--Good or Bad--and Its Impact on Volatility Predictions over Multiple Horizons," Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 46-81, October.
  52. Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order," CeMMAP working papers CWP53/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  53. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
  54. 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.
  55. James T. Moser, 1992. "Determining margin for futures contracts: the role of private interests and the relevance of excess volatility," Economic Perspectives, Federal Reserve Bank of Chicago, issue Mar, pages 2-18.
  56. Leachman, Lori L. & Francis, Bill, 1996. "Equity market return volatility: Dynamics and transmission among the G-7 countries," Global Finance Journal, Elsevier, vol. 7(1), pages 27-52.
  57. An-Sing Chen, 1997. "Volatility of exchange rate futures and high-low price spreads," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(1), pages 33-42, March.
  58. 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.
  59. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-1153, December.
  60. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
  61. Jones, Charles M. & Lamont, Owen & Lumsdaine, Robin L., 1998. "Macroeconomic news and bond market volatility," Journal of Financial Economics, Elsevier, vol. 47(3), pages 315-337, March.
  62. Friedmann, Ralph & Sanddorf-Kohle, Walter G., 2002. "Volatility clustering and nontrading days in Chinese stock markets," Journal of Economics and Business, Elsevier, vol. 54(2), pages 193-217.
  63. Kang, Wenjin & Zhang, Huiping, 2014. "Measuring liquidity in emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 49-71.
  64. Yacine Aït-Sahalia, 2001. "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, 08.
  65. Christopher F. Baum & Mustafa Caglayan & Neslihan Ozkan, 2004. "Nonlinear effects of exchange rate volatility on the volume of bilateral exports," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 1-23.
  66. Zhang, H.S. & Shen, X.Y. & Huang, J.P., 2016. "Pattern of trends in stock markets as revealed by the renormalization method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 340-346.
  67. Christian Conrad & Karin Loch, 2015. "Anticipating Long‐Term Stock Market Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1090-1114, November.
  68. Karali, Berna & Ramirez, Octavio A., 2014. "Macro determinants of volatility and volatility spillover in energy markets," Energy Economics, Elsevier, vol. 46(C), pages 413-421.
  69. Hasan, Iftekhar & Song, Liang & Wachtel, Paul, 2014. "Institutional development and stock price synchronicity: Evidence from China," Journal of Comparative Economics, Elsevier, vol. 42(1), pages 92-108.
  70. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
  71. Schwert, G William, 1990. " Stock Returns and Real Activity: A Century of Evidence," Journal of Finance, American Finance Association, vol. 45(4), pages 1237-1257, September.
  72. Hooper, Vincent J. & Ng, Kevin & Reeves, Jonathan J., 2008. "Quarterly beta forecasting: An evaluation," International Journal of Forecasting, Elsevier, vol. 24(3), pages 480-489.
  73. 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.
  74. Schwert, G William, 1990. "Stock Volatility and the Crash of '87," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102.
  75. Chang, Kuang-Liang, 2016. "Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 72-87.
  76. 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.
  77. Benoit Perron, 2003. "Semiparametric Weak-Instrument Regressions with an Application to the Risk-Return Tradeoff," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 424-443, May.
  78. Peter Christoffersen & Kris Jacobs, 2004. "Which GARCH Model for Option Valuation?," Management Science, INFORMS, vol. 50(9), pages 1204-1221, September.
  79. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
  80. Su, Jung-Bin & Lee, Ming-Chih & Chiu, Chien-Liang, 2014. "Why does skewness and the fat-tail effect influence value-at-risk estimates? Evidence from alternative capital markets," International Review of Economics & Finance, Elsevier, vol. 31(C), pages 59-85.
  81. Paudyal, Krishna & Saldanha, Liesl, 1997. "Stock returns and volatility in two regime markets: International evidence," International Review of Financial Analysis, Elsevier, vol. 6(3), pages 209-228.
  82. Chan, K. C. & Karolyi, G. Andrew & Stulz, ReneM., 1992. "Global financial markets and the risk premium on U.S. equity," Journal of Financial Economics, Elsevier, vol. 32(2), pages 137-167, October.
  83. Luc Savard, 2010. "Scaling up infrastructure spending in the Philippines: A CGE top-down bottom-up microsimulation approach," International Journal of Microsimulation, International Microsimulation Association, vol. 3(1), pages 43-59.
  84. Li, Junye, 2011. "Volatility components, leverage effects, and the return-volatility relations," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1530-1540, June.
  85. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, Elsevier.
  86. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1997. "Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure," Management Science, INFORMS, vol. 43(3), pages 371-385, March.
  87. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market spillovers with ‘volatility surprise’," Review of Financial Economics, Elsevier, vol. 23(4), pages 194-207.
  88. Nijman, T.E. & Palm, F.C., 1991. "Recent Developments in Modeling Volatility in Financial Data," Papers 9168, Tilburg - Center for Economic Research.
  89. 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.
  90. Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974 Elsevier.
  91. Don U.A. Galagedera & Roland Shami, 2003. "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Monash Econometrics and Business Statistics Working Papers 20/03, Monash University, Department of Econometrics and Business Statistics.
  92. 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.
  93. Thomakos, Dimitrios D. & Wang, Tao, 2003. "Realized volatility in the futures markets," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 321-353, May.
  94. Franco Parisi, 1997. "Medición y Test del Impacto de Innovaciones en la Volatilidad de Índices Accionarios," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(101), pages 27-47.
  95. Chauvet, Marcelle & Senyuz, Zeynep & Yoldas, Emre, 2015. "What does financial volatility tell us about macroeconomic fluctuations?," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 340-360.
  96. 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.
  97. Sabur Mollah, 2009. "Market volatility across countries – evidence from international markets," Studies in Economics and Finance, Emerald Group Publishing, vol. 26(4), pages 257-274, October.
  98. Nicholas Apergis & James E. Payne, 2013. "New Evidence on the Information and Predictive Content of the Baltic Dry Index," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 1(3), pages 1-19, July.
  99. 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.
  100. Gonzalez-Rivera, Gloria, 1996. "Time-varying risk The case of the American computer industry," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 333-342, February.
  101. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, 08.
  102. Robert F. Engle & Che-Hsiung Hong & Alex Kane, 1990. "Valuation of Variance Forecast with Simulated Option Markets," NBER Working Papers 3350, National Bureau of Economic Research, Inc.
  103. Robert Engle, 2004. "Risk and Volatility: Econometric Models and Financial Practice," American Economic Review, American Economic Association, vol. 94(3), pages 405-420, June.
  104. León, Angel & Nave, Juan & Rubio Irigoyen, Gonzalo, 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.
  105. Yehuda Izhakian & David Yermack, 2014. "Risk, Ambiguity, and the Exercise of Employee Stock Options," NBER Working Papers 19975, National Bureau of Economic Research, Inc.
  106. Pagel, Michaela, 2012. "Expectations-Based Reference-Dependent Preferences and Asset Pricing," MPRA Paper 47933, University Library of Munich, Germany.
  107. Changyun Wang, 2002. "The effect of net positions by type of trader on volatility in foreign currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(5), pages 427-450, 05.
  108. Andreou, Elena & Ghysels, Eric, 2002. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 363-376, July.
  109. Piotr Wdowinski & Marta Malecka, 2010. "Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets," CESifo Working Paper Series 2974, CESifo Group Munich.
  110. Guo, Hui, 2004. "Limited Stock Market Participation and Asset Prices in a Dynamic Economy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(03), pages 495-516, September.
  111. Kim, Soon-Ho & Kim, Dongcheol, 2014. "Investor sentiment from internet message postings and the predictability of stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 708-729.
  112. Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance 0507012, EconWPA, revised 17 Jan 2006.
  113. Krishnan, C.N.V. & Ritchken, Peter H. & Thomson, James B., 2010. "Predicting credit spreads," Journal of Financial Intermediation, Elsevier, vol. 19(4), pages 529-563, October.
  114. Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, vol. 30(C), pages 212-216.
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  116. McClain, Katherine T. & Humphreys, H. Brett & Boscan, Atahualpa, 1996. "Measuring risk in the mining sector with ARCH models with important observations on sample size," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 369-391, December.
  117. Chen, Carl R. & Su, Yuli & Huang, Ying, 2008. "Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 789-798, September.
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  119. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
  120. Abel, Andrew B., 1988. "Stock prices under time-varying dividend risk : An exact solution in an infinite-horizon general equilibrium model," Journal of Monetary Economics, Elsevier, vol. 22(3), pages 375-393.
  121. Ravi Jagannathan & Zhenyu Wang, 2002. "Empirical Evaluation of Asset-Pricing Models: A Comparison of the SDF and Beta Methods," Journal of Finance, American Finance Association, vol. 57(5), pages 2337-2367, October.
  122. Alberola, Ricardo, 2007. "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market," REVISTA LECTURAS DE ECONOMÍA, UNIVERSIDAD DE ANTIOQUIA - CIE, May.
  123. Ricardo Cao & Alicia Heras & Angeles Saavedra, 2009. "The uncertainties about the relationships risk–return–volatility in the Spanish stock market," Computational Statistics, Springer, vol. 24(1), pages 113-126, February.
  124. Savor, Pavel & Wilson, Mungo, 2014. "Asset pricing: A tale of two days," Journal of Financial Economics, Elsevier, vol. 113(2), pages 171-201.
  125. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
  126. Carolina Castagnetti, 2004. "Estimating the risk premium of swap spreads. Two econometric GARCH-based techniques," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 93-104.
  127. Chen, Jian & Jiang, Fuwei & Liu, Yangshu & Tu, Jun, 2017. "International volatility risk and Chinese stock return predictability," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 183-203.
  128. Kiani, Khurshid M., 2009. "Federal budget deficits and long-term interest rates in USA," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(1), pages 74-84, February.
  129. 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.
  130. Karolyi, G. Andrew & Kho, Bong-Chan, 2004. "Momentum strategies: some bootstrap tests," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 509-536, September.
  131. Mencía, Javier & Sentana, Enrique, 2013. "Valuation of VIX derivatives," Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.
  132. Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011. "The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets," Journal of Econometrics, Elsevier, vol. 160(1), pages 48-57, January.
  133. Roman Kräussl & Ronald Bosman & Thomas van Galen, 2014. "Emotions-at-Risk: An Experimental Investigation into Emotions, Option Prices and Risk Perception," LSF Research Working Paper Series 14-11, Luxembourg School of Finance, University of Luxembourg.
  134. Dongweí Su, 2003. "Risk, Return and Regulation in Chinese Stock Markets," World Scientific Book Chapters,in: Chinese Stock Markets A Research Handbook, chapter 3, pages 75-122 World Scientific Publishing Co. Pte. Ltd..
  135. Lim, Dominic & Durand, Robert B. & Yang, Joey Wenling, 2014. "The microstructure of fear, the Fama–French factors and the global financial crisis of 2007 and 2008," Global Finance Journal, Elsevier, vol. 25(3), pages 169-180.
  136. Manabu Asai & Michael McAleer, 2011. "Alternative Asymmetric Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 548-564, October.
  137. Avouyi-Dovi, S. & Jondeau, E., 1999. "Interest Rate Transmission and Volatility Transmission along the Yield Curve," Working papers 57, Banque de France.
  138. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2006. "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Working Papers 1188, Queen's University, Department of Economics.
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