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

by G. William Schwert

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  1. Lehnert, Thorsten & Wolff, Christian C, 2001. "Modelling Scale-Consistent VaR with the Truncated Lévy Flight," CEPR Discussion Papers 2711, C.E.P.R. Discussion Papers.
  2. Caiado, Jorge & Crato, Nuno, 2009. "Identifying common dynamic features in stock returns," MPRA Paper 15241, University Library of Munich, Germany.
  3. Christian Hafner, 2003. "Simple approximations for option pricing under mean reversion and stochastic volatility," Computational Statistics, Springer, vol. 18(3), pages 339-353, September.
  4. 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.
  5. Amir Kia, 2005. "Developing a Market-Based Monetary Policy Transparency Index and Testing Its Impact on Risk and Volatility in the United States," Carleton Economic Papers 05-02, Carleton University, Department of Economics.
  6. 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.
  7. Acharya, Viral V & Bisin, Alberto, 2002. "Entrepreneurial Incentives in Stock Market Economies," CEPR Discussion Papers 3474, C.E.P.R. Discussion Papers.
  8. Baosheng Yuan & Kan Chen, 2005. "Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations," Papers physics/0506224, arXiv.org.
  9. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer, vol. 10(3), pages 169-196, September.
  10. Aslanidis, Nektarios & Christiansen, Charlotte & Lambertides, Neophytos & Savva, Christos S., 2015. "Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors," Working Papers 2072/246968, Universitat Rovira i Virgili, Department of Economics.
  11. Daniel Andrei & Bruce Carlin & Michael Hasler, 2014. "Model Disagreement and Economic Outlook," NBER Working Papers 20190, National Bureau of Economic Research, Inc.
  12. Shinhua Liu & Zhen Zhu, 2009. "Transaction Costs and Price Volatility: New Evidence from the Tokyo Stock Exchange," Journal of Financial Services Research, Springer, vol. 36(1), pages 65-83, August.
  13. 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.
  14. Mamoon, Dawood, 2007. "Macro Economic Uncertainty of 1990s and Volatility at Karachi Stock Exchange," MPRA Paper 3219, University Library of Munich, Germany.
  15. Yufeng Han, 2010. "On the Economic Value of Return Predictability," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 1-33, May.
  16. Chris Stivers & Licheng Sun, 2002. "Stock market uncertainty and the relation between stock and bond returns," FRB Atlanta Working Paper 2002-3, Federal Reserve Bank of Atlanta.
  17. Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2006. "Regime switching GARCH models," Cahiers de recherche 06-08, HEC Montréal, Institut d'économie appliquée.
  18. Cunado Eizaguirre, Juncal & Biscarri, Javier Gomez & Hidalgo, Fernando Perez de Gracia, 2004. "Structural changes in volatility and stock market development: Evidence for Spain," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1745-1773, July.
  19. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Empirical investigation on the relationship between Japanese and Asian emerging equity markets," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 77-86, March.
  20. Francesco Giurda & Elias Tzavalis, 2004. "Is the Currency Risk Priced in Equity Markets?," Working Papers 511, Queen Mary University of London, School of Economics and Finance.
  21. Fatih Guvenen, 2009. "A parsimonious macroeconomic model for asset pricing," Staff Report 434, Federal Reserve Bank of Minneapolis.
  22. Chauvet, Marcelle & Potter, Simon, 2001. "Nonlinear Risk," Macroeconomic Dynamics, Cambridge University Press, vol. 5(04), pages 621-646, September.
  23. Jianping Mei & Limin Guo, 2004. "Political Uncertainty, Financial Crisis and Market Volatility," European Financial Management, European Financial Management Association, vol. 10(4), pages 639-657.
  24. Kourogenis, Nikolaos & Pittis, Nikitas, 2010. "Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator," Economics Letters, Elsevier, vol. 106(2), pages 84-86, February.
  25. Schüder, Stefan, 2011. "Monetary policy trade-offs in a portfolio model with endogenous asset supply," MPRA Paper 32019, University Library of Munich, Germany.
  26. 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 363-76, July.
  27. 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.
  28. Liesenfeld, Roman, 2001. "A generalized bivariate mixture model for stock price volatility and trading volume," Journal of Econometrics, Elsevier, vol. 104(1), pages 141-178, August.
  29. Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2012. "The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options," CREATES Research Papers 2012-04, School of Economics and Management, University of Aarhus.
  30. Sangyup Choi & Prakash Loungani, 2015. "Uncertainty and Unemployment: The Effects of Aggregate and Sectoral Channels," IMF Working Papers 15/36, International Monetary Fund.
  31. Caiado, Jorge & Crato, Nuno, 2007. "Identifying common spectral and asymmetric features in stock returns," MPRA Paper 6607, University Library of Munich, Germany.
  32. 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.
  33. Acharya, Viral V & DeMarzo, Peter & Kremer, Ilan, 2008. "Endogenous Information Flows and the Clustering of Announcements," CEPR Discussion Papers 6985, C.E.P.R. Discussion Papers.
  34. Claudio Borio, 2007. "Change and Constancy in the Financial System: Implications for Financial Distress and Policy," RBA Annual Conference Volume, in: Christopher Kent & Jeremy Lawson (ed.), The Structure and Resilience of the Financial System Reserve Bank of Australia.
  35. 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.
  36. Singh, Ajit, 1995. "Emerging markets, industrialisation and economic development," MPRA Paper 54985, University Library of Munich, Germany.
  37. Malik, Farooq & Ewing, Bradley T., 2009. "Volatility transmission between oil prices and equity sector returns," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 95-100, June.
  38. Meitz, Mika, 2006. "A Necessary And Sufficient Condition For The Strict Stationarity Of A Family Of Garch Processes," Econometric Theory, Cambridge University Press, vol. 22(05), pages 985-988, October.
  39. He, Changli & Teräsvirta, Timo, 1997. "Properties of Moments of a Family of GARCH Processes," SSE/EFI Working Paper Series in Economics and Finance 198, Stockholm School of Economics.
  40. George Chacko & Luis M. Viceira, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," NBER Working Papers 7377, National Bureau of Economic Research, Inc.
  41. Paul H. Kupiec, 1997. "Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since The Crash?," FMG Special Papers sp97, Financial Markets Group.
  42. Francis X. Diebold & Sean D. Campbell, 2005. "Stock returns and expected business conditions: half a century of direct evidence," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  43. Diana Barro & Elio Canestrelli & Fabio Lanza, 2014. "Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance," Working Papers 2014:18, Department of Economics, University of Venice "Ca' Foscari".
  44. F. Gonzalez Miranda & N. Burgess, 1997. "Modelling market volatilities: the neural network perspective," The European Journal of Finance, Taylor & Francis Journals, vol. 3(2), pages 137-157.
  45. Sharma, Susan Sunila & Narayan, Paresh Kumar & Zheng, Xinwei, 2014. "An analysis of firm and market volatility," Economic Systems, Elsevier, vol. 38(2), pages 205-220.
  46. Valentina Corradi & Norman Swanson & Walter Distaso, 2006. "Predictive Inference for Integrated Volatility," Departmental Working Papers 200616, Rutgers University, Department of Economics.
  47. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
  48. Ertimur, Yonca & Sletten, Ewa & Sunder, Jayanthi, 2014. "Large shareholders and disclosure strategies: Evidence from IPO lockup expirations," Journal of Accounting and Economics, Elsevier, vol. 58(1), pages 79-95.
  49. Christian Dunis & Jason Laws & Stephane Chauvin, 2003. "FX volatility forecasts and the informational content of market data for volatility," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 242-272.
  50. Goetzmann, William N. & Ibbotson, Roger G. & Peng, Liang, 2001. "A new historical database for the NYSE 1815 to 1925: Performance and predictability," Journal of Financial Markets, Elsevier, vol. 4(1), pages 1-32, January.
  51. Neely, Christopher J., 1999. "Target zones and conditional volatility: The role of realignments," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 177-192, April.
  52. Torben G. Andersen & Luca Benzoni, 2006. "Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models," Working Paper Series WP-06-15, Federal Reserve Bank of Chicago.
  53. Sarwar, Ghulam, 2014. "U.S. stock market uncertainty and cross-market European stock returns," Journal of Multinational Financial Management, Elsevier, vol. 28(C), pages 1-14.
  54. Han, Heejoon & Park, Joon Y., 2006. "Time series properties of ARCH processes with persistent covariates," MPRA Paper 5199, University Library of Munich, Germany.
  55. Sarwar, Ghulam, 2012. "Is VIX an investor fear gauge in BRIC equity markets?," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 55-65.
  56. Luis Catão & Allan Timmermann, 2003. "Country and Industry Dynamics in Stock Returns," IMF Working Papers 03/52, International Monetary Fund.
  57. 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.
  58. Ramos, Sofia B. & Veiga, Helena, 2013. "Oil price asymmetric effects: Answering the puzzle in international stock markets," Energy Economics, Elsevier, vol. 38(C), pages 136-145.
  59. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
  60. Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi, 2002. "Measuring and forecasting financial variability using realised variance with and without a model," Economics Papers 2002-W21, Economics Group, Nuffield College, University of Oxford.
  61. Chng, Michael T., 2004. "The trading dynamics of close-substitute futures markets: evidence of margin policy spillover effects," Journal of Multinational Financial Management, Elsevier, vol. 14(4-5), pages 463-483.
  62. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
  63. Charles K.D. Adjasi, 2009. "Macroeconomic uncertainty and conditional stock-price volatility in frontier African markets: Evidence from Ghana," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 333-349, August.
  64. Benjamas Jirasakuldech & Robert Campbell & Riza Emekter, 2009. "Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 137-154, February.
  65. Babsiri, Mohamed El & Zakoian, Jean-Michel, 2001. "Contemporaneous asymmetry in GARCH processes," Journal of Econometrics, Elsevier, vol. 101(2), pages 257-294, April.
  66. Radovan Parrák, 2013. "The Economic Valuation of Variance Forecasts: An Artificial Option Market Approach," Working Papers IES 2013/09, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2013.
  67. Conrad, Christian & Schienle, Melanie, 2015. "Misspecification Testing in GARCH-MIDAS Models," Working Papers 0597, University of Heidelberg, Department of Economics.
  68. M. Imtiaz Mazumder & Nazneen Ahmad, 2010. "Greed, financial innovation or laxity of regulation?: A close look into the 2007-2009 financial crisis and stock market volatility," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(2), pages 110-134, June.
  69. Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010. "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 74-98, November.
  70. M. Frenkel & C. Pierdzionc & G. Stadtmann, 2001. "The foreign exchange market interventions of the European Central Bank," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 54(218), pages 249-287.
  71. Daly, Kevin, 2008. "Financial volatility: Issues and measuring techniques," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2377-2393.
  72. Oberndorfer, Ulrich, 2009. "Energy prices, volatility, and the stock market: Evidence from the Eurozone," Energy Policy, Elsevier, vol. 37(12), pages 5787-5795, December.
  73. Sourafel Girma & Sandra Lancheros & Alejandro Riano, 2015. "Global Engagement and Returns Volatility," Discussion Papers 2015/12, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  74. 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.
  75. Claudio Raddatz ; & Sergio L. Schmukler, 2012. "On the International Transmission of Shocks: Micro – Evidence From Mutual Fund Portfolios," Working Papers Central Bank of Chile 668, Central Bank of Chile.
  76. Lopez, Jose A, 2001. "Evaluating the Predictive Accuracy of Volatility Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(2), pages 87-109, March.
  77. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
  78. Martin T. Bohl & Pierre Siklos, 2004. "Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets," Research Paper Series 137, Quantitative Finance Research Centre, University of Technology, Sydney.
  79. Nicholas Bloom, 2014. "Fluctuations in Uncertainty," Discussion Papers 13-033, Stanford Institute for Economic Policy Research.
  80. Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57 Bank for International Settlements.
  81. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," Alea Tech Reports 010, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
  82. Francisco Covas & Wouter J. Den Haan, 2012. "The Role of Debt and Equity Finance Over the Business Cycle," Economic Journal, Royal Economic Society, vol. 122(565), pages 1262-1286, December.
  83. Yongmiao Hong & Jun Tu & Guofu Zhou, 2013. "Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation," Papers 2013-10-14, Working Paper.
  84. Charfeddine, Lanouar & Ajmi, Ahdi Noomen, 2013. "The Tunisian stock market index volatility: Long memory vs. switching regime," Emerging Markets Review, Elsevier, vol. 16(C), pages 170-182.
  85. 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.
  86. Mohammed Nishat, 2000. "The Systematic Risk and Leverage Effect in the Corporate Sector of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 39(4), pages 951-962.
  87. 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.
  88. Carla Ysusi, 2007. "Multipower Variation Under Market Microstructure Effects," Working Papers 2007-13, Banco de México.
  89. BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen & TAAMOUTI, Abderrahim, 2009. "A nonparametric copula based test for conditional independence with applications to Granger causality," CORE Discussion Papers 2009041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  90. M. Frenkel & C. Pierdzionc & G. Stadtmann, 2001. "The foreign exchange market interventions of the European Central Bank," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 54(218), pages 249-287.
  91. Alexander David & Pietro Veronesi, 2009. "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers 15563, National Bureau of Economic Research, Inc.
  92. Kim, Byung-Yeon & Pirttilä, Jukka & Rautava, Jouko, 2001. "Money, Barter and Inflation in Russia," BOFIT Discussion Papers 15/2001, Bank of Finland, Institute for Economies in Transition.
  93. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper 49921, University Library of Munich, Germany.
  94. Hsu, Yenshan, 1996. "Margin requirements and stock market volatility Another look at the case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 4(4), pages 409-419, December.
  95. Scott Mayfield, E., 2004. "Estimating the market risk premium," Journal of Financial Economics, Elsevier, vol. 73(3), pages 465-496, September.
  96. Kurt Brännäs & Jan G. de Gooijer, 2000. "Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by asMA-asQGARCH," Tinbergen Institute Discussion Papers 00-049/4, Tinbergen Institute.
  97. 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.
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  101. Shiqing Ling & Michael McAleer, 2001. "Stationarity and the Existence of Moments of a Family of GARCH Processes," ISER Discussion Paper 0535, Institute of Social and Economic Research, Osaka University.
  102. 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.
  103. Narayan, Paresh Kumar & Westerlund, Joakim, 2014. "Does cash flow predict returns?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 230-236.
  104. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, Worldwide," NBER Working Papers 14269, National Bureau of Economic Research, Inc.
  105. Chun Liu & John M. Maheu, 2009. "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 709-733.
  106. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Oil Volatility Risk and Expected Stock Returns," CREATES Research Papers 2015-06, School of Economics and Management, University of Aarhus.
  107. De Arce Borda, R., 2004. "20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 27, Abril.
  108. Siddiqi, Hammad, 2013. "Analogy Making In Complete and Incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers 156934, University of Queensland, School of Economics.
  109. 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.
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  142. Sami Gharbi & Jean-Michel Sahut & Frédéric Teulon, 2014. "Research & Development And Volatility Of Equity Returns In The French Market," Working Papers 2014-120, Department of Research, Ipag Business School.
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