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Citations for "Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?"

by Chang-Jin Kim & James C. Morley & Charles Nelson

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  1. Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0028, Department of Economics at the University of Washington.
  2. de Bondt, Gabe & Peltonen, Tuomas A. & Santabárbara, Daniel, 2010. "Booms and busts in China's stock market: Estimates based on fundamentals," Working Paper Series 1190, European Central Bank.
  3. Jinho Bae, 2011. "Does knowing the volatility states affect the market risk premium?," Annals of Finance, Springer, vol. 7(1), pages 83-94, February.
  4. Jensen, Mark J. & Maheu, John M., 2014. "Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis," FRB Atlanta Working Paper 2014-6, Federal Reserve Bank of Atlanta.
  5. Kim, Chang-Jin & Piger, Jeremy & Startz, Richard, 2008. "Estimation of Markov regime-switching regression models with endogenous switching," Journal of Econometrics, Elsevier, vol. 143(2), pages 263-273, April.
  6. Buranavityawut, Nonthipoth & Freeman, Mark C. & Freeman, Nisih, 2006. "Has the equity premium been low for 40 years?," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 191-205, August.
  7. Nelson Areal & Maria Cortez & Florinda Silva, 2013. "The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?," Financial Markets and Portfolio Management, Springer, vol. 27(4), pages 397-429, December.
  8. Bernard Ben Sita, 2013. "Volatility links between US industries," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1273-1286, August.
  9. Walentin, Karl, 2007. "Earnings Inequality and the Equity Premium," Working Paper Series 215, Sveriges Riksbank (Central Bank of Sweden).
  10. repec:wyi:journl:002192 is not listed on IDEAS
  11. 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.
  12. Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano, 2014. "Regime switches in the risk–return trade-off," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 118-138.
  13. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
  14. 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.
  15. Liu, Jia & Maheu, John M, 2015. "Improving Markov switching models using realized variance," MPRA Paper 71120, University Library of Munich, Germany.
  16. repec:dau:papers:123456789/9293 is not listed on IDEAS
  17. repec:dau:papers:123456789/7739 is not listed on IDEAS
  18. Nauzer Balsara & Lin Zheng & Andrea Vidozzi & Luca Vidozzi, 2006. "Explaining momentum profits with an epidemic diffusion model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 30(3), pages 407-422, September.
  19. Scott Mayfield, E., 2004. "Estimating the market risk premium," Journal of Financial Economics, Elsevier, vol. 73(3), pages 465-496, September.
  20. Mihaly Ormos & Dusan Timotity, 2016. "Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring," Papers 1606.03597, arXiv.org.
  21. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
  22. Francesco Guidi, 2009. "Volatility and Long-Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK," The IUP Journal of Financial Economics, IUP Publications, vol. 0(2), pages 7-39, June.
  23. 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.
  24. Azamat Abdymomunov, 2013. "Regime-switching measure of systemic financial stress," Annals of Finance, Springer, vol. 9(3), pages 455-470, August.
  25. 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.
  26. Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014. "Time Varying Transition Probabilities for Markov Regime Switching Models," Tinbergen Institute Discussion Papers 14-072/III, Tinbergen Institute.
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