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Citations for "Why Does Stock Market Volatility Change Over Time?"

by G. William Schwert

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  1. Cheng-si Zhang & Da-yin Zhang & Jeffery Breece, 2011. "Financial Crisis, Monetary Policy, and Stock Market Volatility in China," Annals of Economics and Finance, Society for AEF, vol. 12(2), pages 371-388, November.
  2. Chng, Michael T., 2009. "Economic linkages across commodity futures: Hedging and trading implications," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 958-970, May.
  3. Hong, Yongmiao, 2001. "A test for volatility spillover with application to exchange rates," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 183-224, July.
  4. Jing Wang & Xiaoneng Zhu, 2013. "The reaction of international stock markets to Federal Reserve policy," Financial Markets and Portfolio Management, Springer, vol. 27(1), pages 1-30, March.
  5. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
  6. Xin Li & Carlos F. Tolmasky, 2015. "An asymmetric ARCH model and the non-stationarity of Clustering and Leverage effects," Papers 1512.01916, arXiv.org.
  7. Huang, MeiChi & Wu, Chih-Chiang & Liu, Shih-Min & Wu, Chang-Che, 2016. "Facts or fates of investors' losses during crises? Evidence from REIT-stock volatility and tail dependence structures," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 54-71.
  8. Kevin J. Lansing, 2008. "Speculative growth and overreaction to technology shocks," Working Paper Series 2008-08, Federal Reserve Bank of San Francisco.
  9. Rangel, José Gonzalo, 2011. "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
  10. Ryan SULEIMANN, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, EconWPA, revised 18 Jul 2003.
  11. Peter Christoffersen & Kris Jacobs, 2004. "Which GARCH Model for Option Valuation?," Management Science, INFORMS, vol. 50(9), pages 1204-1221, September.
  12. Chabot, Benjamin & Ghysels, Eric & Jagannathan, Ravi, 2014. "Momentum Trading, Return Chasing and Predictable Crashes," Working Paper Series WP-2014-27, Federal Reserve Bank of Chicago.
  13. Ole E. Barndorff-Nielsen & Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280.
  14. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington.
  15. Eleanor Xu, Xiaoqing & Chen, Peter & Wu, Chunchi, 2006. "Time and dynamic volume-volatility relation," Journal of Banking & Finance, Elsevier, vol. 30(5), pages 1535-1558, May.
  16. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz, 2006. "Stock market volatiltity around national elections," MPRA Paper 302, University Library of Munich, Germany, revised Nov 2006.
  17. Xu, Cheng Kenneth, 2000. "The microstructure of the Chinese stock market," China Economic Review, Elsevier, vol. 11(1), pages 79-97.
  18. Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," Economics Series Working Papers 2005-FE-09, University of Oxford, Department of Economics.
  19. Campbell, John Y., 2003. "Consumption-based asset pricing," 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 13, pages 803-887 Elsevier.
  20. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford.
  21. Hsin, Chin-Wen & Tseng, Po-Wen, 2012. "Stock price synchronicities and speculative trading in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 82-109.
  22. Juncal Cunado & Javier Gómez Biscarri & Fernando Pérez de Gracia, 2003. "Structural Changes in Volatility and Stock Market Development: Evidence for Spain," Faculty Working Papers 06/03, School of Economics and Business Administration, University of Navarra.
  23. Nick Bloom, 2007. "Uncertainty and the Dynamics of R&D," CEP Discussion Papers dp0792, Centre for Economic Performance, LSE.
  24. 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.
  25. Nunes, Mauricio & Da Silva, Sergio, 2005. "Política Monetária e Relação entre PIB Real e Mercado de Ações na Economia Brasileira
    [Monetary policy and the relationship between real GDP and stockmarket in the Brazilian economy]
    ," MPRA Paper 4158, University Library of Munich, Germany.
  26. Gospodinov, Nikolay & Jamali, Ibrahim, 2014. "The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks," FRB Atlanta Working Paper 2014-14, Federal Reserve Bank of Atlanta.
  27. J. Ignacio Peña, 1992. "On meteor showers in stock markets: New York vs Madrid," Investigaciones Economicas, Fundación SEPI, vol. 16(2), pages 225-234, May.
  28. Goto, Shingo, 2000. "The Fed's Effect on Excess Returns and Inflation is Much Bigger Than You Think," University of California at Los Angeles, Anderson Graduate School of Management qt04f1z5hb, Anderson Graduate School of Management, UCLA.
  29. Benos, Evangelos & Sagade, Satchit, 2012. "High-frequency trading behaviour and its impact on market quality: evidence from the UK equity market," Bank of England working papers 469, Bank of England.
  30. Amira, Khaled & Taamouti, Abderrahim & Tsafack, Georges, 2011. "What drives international equity correlations? Volatility or market direction?," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1234-1263, October.
  31. George CHACKO & Luis M. VICEIRA, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," FAME Research Paper Series rp11, International Center for Financial Asset Management and Engineering.
  32. Han Kim, E. & Singal, Vijay, 2000. "The fear of globalizing capital markets," Emerging Markets Review, Elsevier, vol. 1(3), pages 183-198, November.
  33. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2011. "Recent trends in trading activity and market quality," Journal of Financial Economics, Elsevier, vol. 101(2), pages 243-263, August.
  34. Kinnunen, Jyri, 2014. "Risk-return trade-off and serial correlation: Do volume and volatility matter?," Journal of Financial Markets, Elsevier, vol. 20(C), pages 1-19.
  35. Nicholas Bloom, 2013. "Fluctuations in Uncertainty," CEP Occasional Papers 038, Centre for Economic Performance, LSE.
  36. Hutson, Elaine & Kearney, Colm, 2001. "Volatility in stocks subject to takeover bids: Australian evidence using daily data," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 273-296, July.
  37. Alexander David & Pietro Veronesi, 2009. "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers 15563, National Bureau of Economic Research, Inc.
  38. repec:dau:papers:123456789/7739 is not listed on IDEAS
  39. Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in an DSGE model for the US," Research Discussion Papers 11/2010, Bank of Finland.
  40. Benoit Perron & Oliver Linton, 2004. "The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model," FMG Discussion Papers dp514, Financial Markets Group.
  41. Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2011. "Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 275-287, October.
  42. Konstantinidi, Eirini & Skiadopoulos, George, 2011. "Are VIX futures prices predictable? An empirical investigation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 543-560, April.
  43. Haan, Wouter J. den & Spear, Scott A., 1998. "Volatility clustering in real interest rates Theory and evidence," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 431-453, May.
  44. Barroso, Pedro & Santa-Clara, Pedro, 2015. "Momentum has its moments," Journal of Financial Economics, Elsevier, vol. 116(1), pages 111-120.
  45. Nyberg, Peter & Vaihekoski, Mika, 2011. "Descriptive analysis of Finnish equity, bond and money market returns," Research Discussion Papers 14/2011, Bank of Finland.
  46. Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc.
  47. Osazee Godwin Omorokunwa & Nosakhare Ikponmwosa, 2014. "Macroeconomic variables and stock price volatility in Nigeria," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 14(1), pages 259-268.
  48. Allan Timmermann & Gabriel Perez-Quiros, 2000. "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," FMG Discussion Papers dp360, Financial Markets Group.
  49. 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.
  50. Elder, Adam & Gannon, Gerard, 1998. "Evaluation of volatility forecasts in an economic value framework," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 221-236.
  51. West,K.D. & Wong,K.-F. & Anatolyev,S., 2001. "Instrumental variables estimation of heteroskedastic linear models using all lags of instruments," Working papers 20, Wisconsin Madison - Social Systems.
  52. Nevin Yörük & Cumhur Erdem & Meziyet Sema Erdem, 2006. "Testing for linear and nonlinear Granger Causality in the stock price--volume relation: Turkish banking firms’ evidence," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(3), pages 165-171, May.
  53. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc.
  54. Cumhur ÞAHÝN & Hüseyin ALTAY, 2016. "Examination of the Relationship between Turkey’s Credit Default Swap (CDS) Points and Unemployment," Eurasian Business & Economics Journal, Eurasian Academy Of Sciences, vol. 4(4), pages 52-67, January.
  55. Hyun Song Shin, 2001. "Disclosures and Asset Returns," FMG Discussion Papers dp371, Financial Markets Group.
  56. Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2009. "Volatility Dynamics of the UK Business Cycle: a Multivariate Asymmetric Garch Approach," Economie Internationale, CEPII research center, issue 117, pages 31-46.
  57. Paresh K Narayan, . "An Analysis of Sectoral Equity and CDS Spreads," Financial Econometics Series 2015_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  58. Kostas Mouratidis & Dimitris Kenourgios & Aris Samitas, 2010. "Evaluating currency crisis:A multivariate Markov switching approach," Working Papers 2010018, The University of Sheffield, Department of Economics, revised Oct 2010.
  59. Koski, Jennifer Lynch, 1998. "Measurement Effects and the Variance of Returns after Stock Splits and Stock Dividends," Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 143-62.
  60. Hyun-Han Shin & Rene M. Stulz, 2000. "Firm Value, Risk, and Growth Opportunities," NBER Working Papers 7808, National Bureau of Economic Research, Inc.
  61. Franco Parisi, 1997. "Los ADRS Chilenos y sus Implicancias en Precio y Varianza en sus Activos Subyacentes," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(102), pages 217-236.
  62. Huang, Teng-Ching & Wu, Ching-Chih & Lin, Bing-Huei, 2016. "Institutional herding and risk–return relationship," Journal of Business Research, Elsevier, vol. 69(6), pages 2073-2080.
  63. Nikolaus Hautsch & Dieter Hess & David Veredas, 2010. "The impact of macroeconomic news on quote adjustments, noise and informational volatility," Working Papers ECARES 2010-004, ULB -- Universite Libre de Bruxelles.
  64. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
  65. Fatih Guvenen, 2009. "A parsimonious macroeconomic model for asset pricing," Staff Report 434, Federal Reserve Bank of Minneapolis.
  66. Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011. "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, vol. 40(2), pages 381-407, 06.
  67. Zeng, Songlin & Bec, Frédérique, 2015. "Do stock returns rebound after bear markets? An empirical analysis from five OECD countries," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 50-61.
  68. Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," CREATES Research Papers 2007-25, Department of Economics and Business Economics, Aarhus University.
  69. Chong, Terence Tai Leung & Lin, Shiyu, 2015. "Predictive Models for Disaggregate Stock Market Volatility," MPRA Paper 68460, University Library of Munich, Germany.
  70. Chan, Kam C. & Cheng, Louis T. W. & Lung, Peter P., 2003. "Moneyness and the response of the implied volatilities to price changes: The empirical evidence from HSI options," Pacific-Basin Finance Journal, Elsevier, vol. 11(4), pages 527-553, September.
  71. Choi, Sangyup & Loungani, Prakash, 2015. "Uncertainty and unemployment: The effects of aggregate and sectoral channels," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 344-358.
  72. John Y. Campbell & Ludger Hentschel, 1991. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," NBER Working Papers 3742, National Bureau of Economic Research, Inc.
  73. 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.
  74. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
  75. Daniel King and Ferdi Botha, 2014. "Modelling Stock Return Volatility Dynamics in Selected African Markets," Working Papers 410, Economic Research Southern Africa.
  76. Robert A. Connolly & Christopher T. Stivers, 2000. "Evidence on the Economics of Equity Return Volatility Clustering," Econometric Society World Congress 2000 Contributed Papers 1575, Econometric Society.
  77. 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.
  78. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
  79. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2008. "Real-time macroeconomic data and ex ante stock return predictability," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 274-290.
  80. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2007. "Multifrequency news and stock returns," Post-Print hal-00459675, HAL.
  81. Boucher, Christophe & Maillet, Bertrand & Michel, Thierry, 2008. "Do misalignments predict aggregated stock-market volatility?," Economics Letters, Elsevier, vol. 100(2), pages 317-320, August.
  82. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
  83. Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," PIER Working Paper Archive 05-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 16 Sep 2005.
  84. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," LEM Papers Series 2001/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  85. Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2009. "Option-Implied Measures of Equity Risk," CIRANO Working Papers 2009s-33, CIRANO.
  86. Jones, Brad & Lin, Chien-Ting & Masih, A. Mansur M., 2005. "Macroeconomic announcements, volatility, and interrelationships: An examination of the UK interest rate and equity markets," International Review of Financial Analysis, Elsevier, vol. 14(3), pages 356-375.
  87. Gabriel P. Mathy & Nicholas L. Ziebarth, 2014. "How Much Does Political Uncertainty Matter? The Case of Louisiana Under Huey Long," Working Papers 2014-06, American University, Department of Economics.
  88. Schwert, G.W. & Seguin, P.J., 1988. "Heteroskedasticity In Stock Returns," Papers bc_88-02, Rochester, Business - General.
  89. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00973922, HAL.
  90. Lang, Larry H. P. & Lee, Yi Tsung, 1999. "Performance of various transaction frequencies under call markets: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 23-39, February.
  91. Hwang, Soosung & Satchell, Stephen E., 2000. "Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 759-785, May.
  92. 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.
  93. 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.
  94. Chris Murray & Charles Nelson, 1998. "The Uncertain Trend in U.S. GDP," Discussion Papers in Economics at the University of Washington 0074, Department of Economics at the University of Washington.
  95. Taisei Kaizoji, 2013. "Modeling of Stock Returns and Trading Volume," Papers 1309.2416, arXiv.org.
  96. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
  97. Pop, Raluca Elena, 2012. "Herd behavior towards the market index: evidence from Romanian stock exchange," MPRA Paper 51595, University Library of Munich, Germany.
  98. Charles R. Nelson & Jeremy M. Piger & Eric Zivot, 2000. "Markov regime-switching and unit root tests," International Finance Discussion Papers 683, Board of Governors of the Federal Reserve System (U.S.).
  99. Eugene Amromin & Steven A. Sharpe, 2009. "Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
  100. Cevdet Aydemir, A., 2008. "Risk sharing and counter-cyclical variation in market correlations," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3084-3112, October.
  101. Charles Cao & Jing-Zhi Huang, 2007. "Determinants of S&P 500 index option returns," Review of Derivatives Research, Springer, vol. 10(1), pages 1-38, January.
  102. Serkan Erkam & Tarkan Cavusoglu, 2008. "Modelling Inflation Uncertainty In Transition Economies:The Case Of Russia And The Former Soviet Republics," Economic Annals, Faculty of Economics, University of Belgrade, vol. 53(178-179), pages 44-71, July - De.
  103. Peter Woehrmann, . "A dynamic model of the financial�real interaction as a model selection criterion for nonparametric stock market prediction," IEW - Working Papers 226, Institute for Empirical Research in Economics - University of Zurich.
  104. Andreou, Elena, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," CEPR Discussion Papers 11307, C.E.P.R. Discussion Papers.
  105. Claudio Borio, 2011. "Rediscovering the macroeconomic roots of financial stability policy: journey, challenges and a way forward," BIS Working Papers 354, Bank for International Settlements.
  106. Gintschel, Andreas & Markov, Stanimir, 2004. "The effectiveness of Regulation FD," Journal of Accounting and Economics, Elsevier, vol. 37(3), pages 293-314, September.
  107. Ryan SULEIMANN, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics 0307002, EconWPA, revised 18 Jul 2003.
  108. Kim, Mi Ae & Jang, Bong-Gyu & Lee, Ho-Seok, 2008. "A first-passage-time model under regime-switching market environment," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2617-2627, December.
  109. Jan G. De Gooijer & Kurt Brännäs, 2004. "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 155-171.
  110. Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2006. "Regime switching GARCH models," Cahiers de recherche 06-08, HEC Montréal, Institut d'économie appliquée.
  111. Murshed, S.M. & Mamoon, D., 2007. "On the Costs of Not Loving Thy Neighbour as Thyself," ISS Working Papers - General Series 18748, International Institute of Social Studies of Erasmus University Rotterdam (ISS), The Hague.
  112. William O. Brown & Richard C. K. Burdekin & Marc D. Weidenmier, 2005. "Volatility in an Era of Reduced Uncertainty: Lessons from Pax Britannica," NBER Working Papers 11319, National Bureau of Economic Research, Inc.
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  114. Viviana Fernández, 2002. "How Sensitive is Volatility to Exchange Rate Regimes?," Documentos de Trabajo 135, Centro de Economía Aplicada, Universidad de Chile.
  115. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
  116. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
  117. I-Chun Tsai & Cheng-Feng Lee & Ming-Chu Chiang, 2012. "The Asymmetric Wealth Effect in the US Housing and Stock Markets: Evidence from the Threshold Cointegration Model," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1005-1020, November.
  118. Liesenfeld, Roman, 1997. "Trading volume and the short and long-run components of volatility," Tübinger Diskussionsbeiträge 102, University of Tübingen, School of Business and Economics.
  119. Lars Forsberg & Tim Bollerslev, 2002. "Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 535-548.
  120. Kajal Lahiri & Fushang Liu, 2006. "Modeling Multi-Period Inflation Uncertainty Using a Panel of Density Forcasts," Discussion Papers 06-05, University at Albany, SUNY, Department of Economics.
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  125. Boris Blagov & Michael Funke & Richhild Moessner, 2015. "Modelling the time-variation in euro area lending spreads," BIS Working Papers 526, Bank for International Settlements.
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  128. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
  129. 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.
  130. Yacine Aït-Sahalia, 2001. "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, 08.
  131. Roxana Chiriac & Valeri Voev, 2008. "Modelling and Forecasting Multivariate Realized Volatility," CREATES Research Papers 2008-39, Department of Economics and Business Economics, Aarhus University.
  132. Mark J Jensen & John M Maheu, 2012. "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture," Working Papers tecipa-453, University of Toronto, Department of Economics.
  133. Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," Econometric Society 2004 North American Summer Meetings 223, Econometric Society.
  134. Christian Hafner, 2003. "Simple approximations for option pricing under mean reversion and stochastic volatility," Computational Statistics, Springer, vol. 18(3), pages 339-353, September.
  135. Nikkinen, Jussi, 2003. "Impact of foreign ownership restrictions on stock return distributions: evidence from an option market," Journal of Multinational Financial Management, Elsevier, vol. 13(2), pages 141-159, April.
  136. Neil Shephard & Ole E. Barndorff-Nielsen, 2002. "Realised power variation and stochastic volatility models," Economics Series Working Papers 2001-W18, University of Oxford, Department of Economics.
  137. Mouna BOUJELBENE ABBES & Youn�s BOUJELBENE & Abdelfettah BOURI, 2009. "Overconfidence Bias: Explanation Of Market Anomalies French Market Case," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(1(7)_ Spr).
  138. Rico Belda, Paz, 2013. "No linealidad y asimetría en el proceso generador del Índice Ibex35/Nonlinearity and Asymmetry in the Generator Process of Ibex35 Index," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 31, pages 555-576, Septiembr.
  139. Peter, Eckley, 2015. "Measuring economic uncertainty using news-media textual data," MPRA Paper 64874, University Library of Munich, Germany, revised 01 May 2015.
  140. Valadkhani, Abbas & Chancharat, Surachai & Harvie, Charles, 2006. "The Interplay Between the Thai and Several Other International Stock Markets," Economics Working Papers wp06-18, School of Economics, University of Wollongong, NSW, Australia.
  141. Kearney, Colm & Daly, Kevin, 1997. "Monetary volatility and real output volatility: An empirical model of the financial transmission mechanism in Australia," International Review of Financial Analysis, Elsevier, vol. 6(2), pages 77-95.
  142. Cho, Sungjun, 2014. "What drives stochastic risk aversion?," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 44-63.
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