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

by Hentschel, Ludger & Campbell, John

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  1. 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.
  2. Tim Bollerslev & Natalia Sizova & George Tauchen, 2011. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Review of Finance, European Finance Association, vol. 16(1), pages 31-80.
  3. 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.
  4. Dimitri Vayanos, 2004. "Flight to Quality, Flight to Liquidity, and the Pricing of Risk," NBER Working Papers 10327, National Bureau of Economic Research, Inc.
  5. 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.
  6. John M. Maheu & Thomas H. McCurdy, 2004. "News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns," Journal of Finance, American Finance Association, vol. 59(2), pages 755-793, 04.
  7. 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.
  8. Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc.
  9. Giot Pierre & Laurent Sebastien, 2001. "Modelling daily value-at-risk using realized volatility and arch type models," Research Memorandum 014, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  10. 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.
  11. 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.
  12. Boyle, Glenn & Hagan, Andrew & O'Connor, R. Seini, 2004. "Emotion, Fear and Superstition in the New Zealand Stockmarket," Working Paper Series 3873, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  13. P. Girardello & Orietta Nicolis & Giovanni Tondini, 2002. "Comparing conditional variance models: Theory and empirical evidence," Departmental Working Papers 2002-08, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. Boyle, Glenn, 2005. "Risk, Expected Return and the Cost of Equity Capital," Working Paper Series 3852, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  22. 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.
  23. Jennifer Huang & Jiang Wang, 2008. "Liquidity and Market Crashes," NBER Working Papers 14013, National Bureau of Economic Research, Inc.
  24. Angeloni, Ignazio & Faia, Ester & Lo Duca, Marco, 2013. "Monetary policy and risk taking," SAFE Working Paper Series 8, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  25. 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.
  26. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market spillovers with ‘volatility surprise’," Review of Financial Economics, Elsevier, vol. 23(4), pages 194-207.
  27. John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1992. "Trading Volume and Serial Correlation in Stock Returns," NBER Working Papers 4193, National Bureau of Economic Research, Inc.
  28. Paul Harrison & Harold Zhang, . "Cyclical Variation in the Risk and Return Relation," GSIA Working Papers 1997-27, Carnegie Mellon University, Tepper School of Business.
  29. Thomakos, Dimitrios D. & Wang, Tao, 2003. "Realized volatility in the futures markets," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 321-353, May.
  30. 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.
  31. 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.
  32. 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.
  33. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006. "Risk, Uncertainty and Asset Prices," NBER Working Papers 12248, National Bureau of Economic Research, Inc.
  34. Taufiq Choudhry & Ranadeva Jayasekera, 2015. "Level of efficiency in the UK equity market: empirical study of the effects of the global financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 213-242, February.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. 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.
  40. Qingwei Wang, 2010. "Sentiment, Convergence of Opinion, and Market Crash," Working Papers 10012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  41. 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.
  42. 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.
  43. 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.
  44. 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.
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  46. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
  47. Garcia, R. & Luger, R. & Renault, E., 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  48. 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.
  49. Anisha Ghosh & Oliver Linton, 2007. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," LSE Research Online Documents on Economics 24506, London School of Economics and Political Science, LSE Library.
  50. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. Sebastien Valeyre & Denis Grebenkov & Sofiane Aboura & Qian Liu, 2012. "The Reactive Volatility Model," Papers 1209.5190, arXiv.org, revised Apr 2013.
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  57. Salvador, Enrique & Floros, Christos & Arago, Vicent, 2014. "Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 60-77.
  58. 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.
  59. 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.
  60. 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.
  61. 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.
  62. 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.
  63. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2012. "The impact of financial crises on the risk-return tradeoff and the leverage effect," CREATES Research Papers 2012-19, School of Economics and Management, University of Aarhus.
  64. 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.
  65. Sofiane Aboura, 2014. "When the U.S. Stock Market Becomes Extreme?," Risks, MDPI, Open Access Journal, vol. 2(2), pages 211-225, May.
  66. 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.
  67. 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.
  68. Chevallier, Julien & Aboura, Sofiane, 2013. "Leverage vs. Feedback: Which Effect Drives the Oil Market ?," Economics Papers from University Paris Dauphine 123456789/9860, Paris Dauphine University.
  69. 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.
  70. 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.
  71. 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.
  72. 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.
  73. 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.
  74. Sang Hoon Kang & SEONG-MIN YOON, 2008. "Asymmetry and Long Memory Features in Volatility: Evidence From Korean Stock Market," Korean Economic Review, Korean Economic Association, vol. 24, pages 383-412.
  75. 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.
  76. 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.
  77. 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.
  78. Jang, Bong-Gyu & Kim, Kyeong Tae, 2015. "Optimal reinsurance and asset allocation under regime switching," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 37-47.
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  89. 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.
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  92. Fratzscher, Marcel, 2002. "Financial Market Integration in Europe: On the Effects of EMU on Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 165-93, July.
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  113. Carlos Madeira & Joao Madeira, 2015. "Dissent in FOMC Meeting and the Announcement Drift," Working Papers Central Bank of Chile 749, Central Bank of Chile.
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  115. 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.
  116. Susan Thorp & George Milunovich, 2005. "Asymmetric Risk and International Portfolio Choice," Research Paper Series 160, Quantitative Finance Research Centre, University of Technology, Sydney.
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  119. 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.
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  122. Ehrmann, Michael & Fratzscher, Marcel, 2005. "Exchange rates and fundamentals: new evidence from real-time data," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 317-341, March.
  123. 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).
  124. 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.
  125. 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.
  126. Conrad, Christian & Loch, Karin, 2012. "Anticipating Long-Term Stock Market Volatility," Working Papers 0535, University of Heidelberg, Department of Economics.
  127. 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.
  128. 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.
  129. 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.
  130. 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.
  131. 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.
  132. 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.
  133. Chikashi Tsuji, 2003. "Is Volatility the Best Predictor of Market Crashes?," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 163-185, September.
  134. Yu, Jianfeng & Yuan, Yu, 2011. "Investor sentiment and the mean-variance relation," Journal of Financial Economics, Elsevier, vol. 100(2), pages 367-381, May.
  135. Jinho Bae, 2011. "Does knowing the volatility states affect the market risk premium?," Annals of Finance, Springer, vol. 7(1), pages 83-94, February.
  136. 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.
  137. Viral V. Acharya & Peter DeMarzo & Ilan Kremer, 2011. "Endogenous Information Flows and the Clustering of Announcements," American Economic Review, American Economic Association, vol. 101(7), pages 2955-79, December.
  138. Angi Rösch & Harald Schmidbauer, . "Extreme Returns and Contagion in Chinese and European Equity Markets: a Comparison of SSEC and DAX," EcoMod2006 272100074, EcoMod.
  139. Xuan Tam & Eric Young & bo sun, 2014. "Regulatory Intensity, Crash Risk, and the Business Cycle," 2014 Meeting Papers 416, Society for Economic Dynamics.
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