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Citations for "Heteroskedasticity in Stock Returns"

by G. William Schwert & Paul J. Seguin

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  1. He, Zhongzhi (Lawrence) & Kryzanowski, Lawrence, 2008. "Dynamic betas for Canadian sector portfolios," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1110-1122, December.
  2. Daniele Girardi, 2015. "Financialization of food . Modelling the time-varying relation between agricultural prices and stock market dynamics," International Review of Applied Economics, Taylor & Francis Journals, vol. 29(4), pages 482-505, July.
  3. Locke, Peter R. & Sarajoti, Pattarake, 2004. "Aggressive dealer pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 559-573, September.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. Taufiq Choudhry & Hao Wu, 2008. "Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 670-689.
  9. 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.
  10. Marshall, Andrew & Maulana, Tubagus & Tang, Leilei, 2009. "The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 250-259, December.
  11. 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.
  12. Piotr Wdowinski & Marta Malecka, 2010. "Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets," CESifo Working Paper Series 2974, CESifo Group Munich.
  13. 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.
  14. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
  15. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
  16. Bruno Solnik, 1991. "Finance Theory and Investment Management," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 303-324, September.
  17. Graham, John R. & Harvey, Campbell R., 1996. "Market timing ability and volatility implied in investment newsletters' asset allocation recommendations," Journal of Financial Economics, Elsevier, vol. 42(3), pages 397-421, November.
  18. Menelaos Karanasos, "undated". "The Covariance Structure of Component and Multivariate Garch Models," Discussion Papers 99/12, Department of Economics, University of York.
  19. Ming-Hsien Chen & Vivian Tai, 2014. "The price discovery of day trading activities in futures market," Review of Derivatives Research, Springer, vol. 17(2), pages 217-239, July.
  20. Menelaos Karanasos, "undated". "Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models," Discussion Papers 00/14, Department of Economics, University of York.
  21. Michelle Lowry & G. William Schwert, 2001. "Biases in the IPO Pricing Process," NBER Working Papers 8586, National Bureau of Economic Research, Inc.
  22. Henker, Thomas & Husodo, Zaäfri A., 2010. "Noise and efficient variance in the Indonesia Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 18(2), pages 199-216, April.
  23. Gonzalez-Rivera, Gloria, 1998. "Dynamic asset pricing and statistical properties of risk," Journal of Economics and Business, Elsevier, vol. 50(5), pages 461-470, September.
  24. repec:adr:anecst:y:1991:i:24:p:01 is not listed on IDEAS
  25. Capozza, Dennis R. & Seguin, Paul J., 1996. "Expectations, efficiency, and euphoria in the housing market," Regional Science and Urban Economics, Elsevier, vol. 26(3-4), pages 369-386, June.
  26. Cross, Rod & Grinfeld, Michael & Lamba, Harbir & Seaman, Tim, 2005. "A threshold model of investor psychology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 354(C), pages 463-478.
  27. Patrick L. Brockett & Hwei-Mei CHEN & James R. GARVEN, 1995. "Event Study Methodology: A New And Stochastically Flexible Approach," Risk and Insurance 9507001, EconWPA.
  28. Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 91-119, January.
  29. Nath, H. (Mindi) B. & Kim, Jae H. & Brooks, Robert D., 2012. "Realized dual-betas for leading Australian stocks: An evaluation of the estimation methods and the effect of the sampling interval," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 10-22.
  30. Bae, Kee-Hong, 1995. "Market segmentation and time variation in the price of risk: Evidence on the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 1-29, May.
  31. Bali, Turan G. & Cakici, Nusret & Levy, Haim, 2008. "A model-independent measure of aggregate idiosyncratic risk," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 878-896, December.
  32. Grout, Paul A. & Zalewska, Anna, 2006. "The impact of regulation on market risk," Journal of Financial Economics, Elsevier, vol. 80(1), pages 149-184, April.
  33. Zhou, Jian, 2013. "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, vol. 30(C), pages 196-204.
  34. Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 1999. "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," NBER Working Papers 7039, National Bureau of Economic Research, Inc.
  35. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.
  36. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier.
  37. Hwee Kwan Chow & Yoonbai Kim, 2004. "The Empirical Relationship Between Exchange Rates and Interest Rates in Post-Crisis Asia," Working Papers 11-2004, Singapore Management University, School of Economics.
  38. Chen, Chao & Jeng, Jau-Lian, 1996. "The impact of price limits on foreign currency futures' price volatility and market efficiency," Global Finance Journal, Elsevier, vol. 7(1), pages 13-25.
  39. Twm Evans & David G. McMillan, 2009. "Financial co-movement and correlation: evidence from 33 international stock market indices," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(3), pages 215-241.
  40. Mattia Ciprian & Stefano d'Addona, 2005. "Time Varying Sensitivities on a GRID architecture," Finance 0511007, EconWPA.
  41. Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry, 2002. "The dual contributions of information instruments in return models: magnitude and direction predictability," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 511-523, December.
  42. G. William Schwert, 1989. "Indexes of United States Stock Prices From 1802 to 1987," NBER Working Papers 2985, National Bureau of Economic Research, Inc.
  43. Brockett, P. L., & Chen, H. M. & J. R. Garven, "undated". "Event Study Methodology: A New and Stochastically Flexible Approach," Working Papers 003, Risk and Insurance Archive.
  44. Ising, Jan & Schiereck, Dirk & Simpson, Marc W. & Thomas, Thomas W., 2006. "Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 598-619, September.
  45. Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
  46. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  47. Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2004. "A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1," NBER Working Papers 10447, National Bureau of Economic Research, Inc.
  48. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
  49. Brockett, Patrick L. & Chen, Hwei-Mei & Garven, James R., 1999. "A new stochastically flexible event methodology with application to Proposition 103," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 197-217, November.
  50. Elfakhani, Said & Visiting Professor & Wionzek, Ritchie J. & Chaudhury, Mohammed, 1999. "Thin trading and mispricing profit opportunities in the Canadian commodity futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 37-58.
  51. Kim, Dongcheol & Kon, Stanley J., 1999. "Structural change and time dependence in models of stock returns," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 283-308, September.
  52. Solnik, Bruno, 1993. "The performance of international asset allocation strategies using conditioning information," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 33-55, June.
  53. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
  54. William Fallon, 1996. "Calculating Value-at-Risk," Center for Financial Institutions Working Papers 96-49, Wharton School Center for Financial Institutions, University of Pennsylvania.
  55. Holger Claessen & Stefan Mittnik, 2002. "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 302-321.
  56. Levy, Moshe & Ritov, Yaacov, 2001. "Portfolio Optimization with Many Assets: The Importance of Short-Selling," University of California at Los Angeles, Anderson Graduate School of Management qt41x4t67m, Anderson Graduate School of Management, UCLA.
  57. Laborde, David & Rey, Serge, 2001. "Transmission internationale de la volatilité des prix d’actifs financiers : les relations entre les marchés français et américains de 1997 à 2000
    [Volatility and cross correlation across asset mark
    ," MPRA Paper 30284, University Library of Munich, Germany.
  58. McPherson, Matthew Q. & Palardy, Joseph & Vilasuso, Jon, 2005. "Are international stock returns predictable?: An application of spectral shape tests corrected for heteroskedasticity," Journal of Economics and Business, Elsevier, vol. 57(2), pages 103-118.
  59. Parisi, Franco & Nail, Lance & Soto, Catherine, 2002. "Evidence of a leadership role in the Chilean stock exchanges," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 191-205, July.
  60. Асатуров К.Г., 2015. "Динамические Модели Систематического Риска: Сравнение На Примере Индийского Фондового Рынка," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 51(4), pages 59-75, октябрь.
  61. Eduardo Ortas & José Moneva & Roger Burritt & Joanne Tingey-Holyoak, 2014. "Does Sustainability Investment Provide Adaptive Resilience to Ethical Investors? Evidence from Spain," Journal of Business Ethics, Springer, vol. 124(2), pages 297-309, October.
  62. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
  63. Hodgson, Douglas J & Vorkink, Keith P, 2003. "Efficient Estimation of Conditional Asset-Pricing Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.
  64. Bandi, Federico M. & Russell, Jeffrey R., 2006. "Separating microstructure noise from volatility," Journal of Financial Economics, Elsevier, vol. 79(3), pages 655-692, March.
  65. Byun, Sung Je, 2016. "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 162-180.
  66. Avouyi-Dovi, S. & Jondeau, E. & Lai Tong, C., 1997. "Effets “volume”, volatilité et transmissions internationales sur les marchés boursiers dans le G5," Working papers 42, Banque de France.
  67. Chen, Carl R. & Lung, Peter P. & Tay, Nicholas S. P., 2005. "Information flow between the stock and option markets: Where do informed traders trade?," Review of Financial Economics, Elsevier, vol. 14(1), pages 1-23.
  68. Jacobsen, Brian J. & Liu, Xiaochun, 2008. "China's segmented stock market: An application of the conditional international capital asset pricing model," Emerging Markets Review, Elsevier, vol. 9(3), pages 153-173, September.
  69. Stephen Lee, 2008. "Is The Uk Real Estate Market Converging With The Rest Of Europe?," ERES eres2008_192, European Real Estate Society (ERES).
  70. Adrian, Tobias & Franzoni, Francesco, 2009. "Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 537-556, September.
  71. Ortas, Eduardo & Moneva, José M. & Salvador, Manuel, 2012. "Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil," Emerging Markets Review, Elsevier, vol. 13(4), pages 581-597.
  72. M. Rahman & M. Hassan, 2013. "Firm fundamentals and stock prices in emerging Asian stock markets: some panel data evidence," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 463-487, October.
  73. Jones, Christopher S., 2001. "Extracting factors from heteroskedastic asset returns," Journal of Financial Economics, Elsevier, vol. 62(2), pages 293-325, November.
  74. 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.
  75. Ekaterina Dorodnykh, 2012. "What Is the Degree of Convergence among Developed Equity Markets?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 3(2), pages 2-16, April.
  76. Tao Wang, 2007. "Financial Constraints and the Risk-Return Relation," Economics Bulletin, AccessEcon, vol. 7(12), pages 1-12.
  77. Markus Ebner & Thorsten Neumann, 2005. "Time-Varying Betas of German Stock Returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 29-46, June.
  78. Gourieroux, C. & Jasiak, J. & Sufana, R., 2009. "The Wishart Autoregressive process of multivariate stochastic volatility," Journal of Econometrics, Elsevier, vol. 150(2), pages 167-181, June.
  79. Wayne E. Ferson & Andrew F. Siegel, 2003. "Stochastic Discount Factor Bounds with Conditioning Information," Review of Financial Studies, Society for Financial Studies, vol. 16(2), pages 567-595.
  80. Sarkar, Asani & Zhang, Lingjia, 2009. "Time varying consumption covariance and dynamics of the equity premium: Evidence from the G7 countries," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 613-631, September.
  81. Matthew Higgins & Alketa Hysenbegasi & Susan Pozo, 2004. "Exchange-rate uncertainty and workers' remittances," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 403-411.
  82. Chris Brooks & Xiafei Li & Joelle Miffre, 2009. "Time Varying Volatility and the Cross-Section of Equity Returns," ICMA Centre Discussion Papers in Finance icma-dp2009-01, Henley Business School, Reading University.
  83. George A. Christodoulakis, 2008. "Asymmetric rotation of risk factors in a global portfolio," Journal of Risk Finance, Emerald Group Publishing, vol. 9(4), pages 391-403, August.
  84. repec:ebl:ecbull:v:7:y:2007:i:12:p:1-12 is not listed on IDEAS
  85. Johnson, Lorne D. & Sakoulis, Georgios, 2008. "Maximizing equity market sector predictability in a Bayesian time-varying parameter model," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3083-3106, February.
  86. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
  87. Bessembinder, Hendrik & Chan, Kalok & Seguin, Paul J., 1996. "An empirical examination of information, differences of opinion, and trading activity," Journal of Financial Economics, Elsevier, vol. 40(1), pages 105-134, January.
  88. St. Pierre, Eileen F., 1998. "Estimating EGARCH-M models: Science or art?," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 167-180.
  89. Lu, Jin-Ray & Lee, Pei-Hsuan & Chuang, I-Yuan, 2011. "Estimation of oil firm's systematic risk via composite time-varying models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(11), pages 2389-2399.
  90. Yu, Wayne W. & Lui, Evans C.K. & Wang, Jacqueline W., 2010. "The predictive power of the implied volatility of options traded OTC and on exchanges," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 1-11, January.
  91. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  92. Kurach, Radosław & Stelmach, Jerzy, 2014. "Time-Varying Behaviour of Sector Beta Risk – The Case of Poland," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 139-159, March.
  93. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
  94. Safarian, Mher, 2013. "On portfolio risk estimation," Working Paper Series in Economics 52, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  95. Bentes, Sónia R., 2014. "Measuring persistence in stock market volatility using the FIGARCH approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 408(C), pages 190-197.
  96. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
  97. Domino, Krzysztof, 2017. "The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 267-276.
  98. Gregory R. Duffee, 2001. "Asymmetric cross-sectional dispersion in stock returns: evidence and implications," Working Paper Series 2000-18, Federal Reserve Bank of San Francisco.
  99. Chiang, Thomas C. & Li, Jiandong & Tan, Lin, 2010. "Empirical investigation of herding behavior in Chinese stock markets: Evidence from quantile regression analysis," Global Finance Journal, Elsevier, vol. 21(1), pages 111-124.
  100. Chevapatrakul, Thanaset, 2013. "Return sign forecasts based on conditional risk: Evidence from the UK stock market index," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2342-2353.
  101. Wang, Yuanfang & Roberts, Matthew C., 2005. "Realized Volatility in the Agricultural Futures Market," 2005 Annual meeting, July 24-27, Providence, RI 19211, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  102. Youguo Liang & Willard McIntosh & James R. Webb, 1995. "Intertemporal Changes in the Riskiness of REITs," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 427-444.
  103. Thomakos, Dimitrios D. & Wang, Tao, 2010. "'Optimal' probabilistic and directional predictions of financial returns," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 102-119, January.
  104. Chang, Charles & Lin, Emily, 2015. "Cash-futures basis and the impact of market maturity, informed trading, and expiration effects," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 197-213.
  105. Jeong, Jin-Gil, 1999. "Cross-border transmission of stock price volatility: evidence from the overlapping trading hours," Global Finance Journal, Elsevier, vol. 10(1), pages 53-70.
  106. Chuang, I-Yuan & Lu, Jin-Ray & Chen, Ching-Fu, 2006. "Estimating the systematic risk of airlines: A methodological comparison," Journal of Air Transport Management, Elsevier, vol. 12(2), pages 103-105.
  107. Connolly, Robert & Stivers, Chris, 2006. "Information content and other characteristics of the daily cross-sectional dispersion in stock returns," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 79-112, January.
  108. Duffee, Gregory R., 1995. "Stock returns and volatility A firm-level analysis," Journal of Financial Economics, Elsevier, vol. 37(3), pages 399-420, March.
  109. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
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