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

by John Y. Campbell & Ludger Hentschel

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  1. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
  2. Yacine Ait-Sahalia & Jianqing Fan & Yingying Li, 2011. "The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency," NBER Working Papers 17592, National Bureau of Economic Research, Inc.
  3. Supachok THAKOLSRI & Yuthana SETHAPRAMOTE & Komain JIRANYAKUL, 2015. "Asymmetric Volatility of the Thai Stock Market. Evidence from High-Frequency Data," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 0(2), pages 71-76, December.
  4. Canner, Niko & Mankiw, N Gregory & Weil, David N, 1997. "An Asset Allocation Puzzle," American Economic Review, American Economic Association, vol. 87(1), pages 181-91, March.
  5. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross-Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, 02.
  6. Hautsch, Nikolaus & Herrera, Rodrigo, 2015. "Multivariate dynamic intensity peaks-over-threshold models," CFS Working Paper Series 516, Center for Financial Studies (CFS).
  7. Ana Fostel & John Geanakoplos, 2010. "Why Does Bad News Increase Volatility and Decrease Leverage?," IMF Working Papers 10/206, International Monetary Fund.
  8. 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.
  9. Tim Bollerslev & Natalia Sizova & George Tauchen, 2009. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," CREATES Research Papers 2009-05, Department of Economics and Business Economics, Aarhus University.
  10. 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.
  11. 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.
  12. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics.
  13. McInish, Thomas H. & Ding, David K. & Pyun, Chong Soo & Wongchoti, Udomsak, 2008. "Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 312-329.
  14. Lee, Wayne Y. & Jiang, Christine X. & Indro, Daniel C., 2002. "Stock market volatility, excess returns, and the role of investor sentiment," Journal of Banking & Finance, Elsevier, vol. 26(12), pages 2277-2299.
  15. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
  16. Beatrice Simo-Kengne & Stephen Miller & Rangan Gupta & Mehmet Balcilar, 2016. "Evolution of the Monetary Transmission Mechanism in the US: the Role of Asset Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 52(3), pages 226-243, April.
  17. Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc.
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  20. Koutmos, Dimitrios, 2016. "Distilling private information from plain-vanilla options to predict future underlying stock price volatility: Evidence from the H-shares of Chinese banks," Research in International Business and Finance, Elsevier, vol. 37(C), pages 391-405.
  21. Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011. "Multifrequency News and Stock Returns," Working Papers hal-00591678, HAL.
  22. Mark J. Jensen & John M. Maheu, 2014. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," Working Paper Series 31_14, The Rimini Centre for Economic Analysis.
  23. Morales-Arias, Leonardo & Moura, Guilherme V., 2013. "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 493-509.
  24. Bent Jesper Christensen & Jie Zhu & Morten Ørregaard Nielsen, 2009. "Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model," Working Papers 1207, Queen's University, Department of Economics.
  25. Dimitri Vayanos, 2004. "Flight to quality, flight to liquidity, and the pricing of risk," LSE Research Online Documents on Economics 456, London School of Economics and Political Science, LSE Library.
  26. Jonathan Manton & Anton Muscatelli & Vikram Krishnamurthy & Stan Hurn, . "Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise," Working Papers 9806, Business School - Economics, University of Glasgow.
  27. 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.
  28. 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.
  29. David E. Allen & Abhay K. Singh & Robert J. Powell & Michael McAleer & James Taylor & Lyn Thomas, 2013. "Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression," Tinbergen Institute Discussion Papers 13-020/III, Tinbergen Institute.
  30. Bansal, Ravi & Lundblad, Christian, 2002. "Market efficiency, asset returns, and the size of the risk premium in global equity markets," Journal of Econometrics, Elsevier, vol. 109(2), pages 195-237, August.
  31. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers 2014-46, University of Paris West - Nanterre la Défense, EconomiX.
  32. Ho, Hwai-Chung, 2015. "Sample quantile analysis for long-memory stochastic volatility models," Journal of Econometrics, Elsevier, vol. 189(2), pages 360-370.
  33. John M. Maheu & Thomas H. McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
  34. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA.
  35. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
  36. Li, Junye, 2011. "Volatility components, leverage effects, and the return-volatility relations," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1530-1540, June.
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  38. Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2006. "Risk, Uncertainty and Asset Prices," CEPR Discussion Papers 5947, C.E.P.R. Discussion Papers.
  39. Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance 0507012, EconWPA, revised 17 Jan 2006.
  40. 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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  42. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
  43. 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.
  44. Oliver Linton & Anisha Ghosh, 2007. "Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error," FMG Discussion Papers dp605, Financial Markets Group.
  45. John H. Boyd & Ravi Jagannathan & Jian Hu, 2001. "The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks," NBER Working Papers 8092, National Bureau of Economic Research, Inc.
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  48. Alistair Mees & Berndt Pilgram, 2000. "Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility," Econometric Society World Congress 2000 Contributed Papers 1162, Econometric Society.
  49. Vesna Bucevska, 2013. "An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange," Business Systems Research, Society for Promotion of Business Information Technology (BIT), vol. 4(1), pages 49-64.
  50. Hutson, Elaine & Kearney, Colm & Lynch, Margaret, 2008. "Volume and skewness in international equity markets," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1255-1268, July.
  51. Ruiz, Esther & Peña, Daniel & Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
  52. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics In Foreign Exchange Rates: Further Evidence From The Malaysian Ringgit And Singapore Dollar," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 0850004-1-0.
  53. Talpsepp, Tõnn & Rieger, Marc Oliver, 2010. "Explaining asymmetric volatility around the world," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 938-956, December.
  54. Ulibarri, Carlos A., 2013. "Multivariate GARCH analysis of Fannie Mae, Freddie Mac, and American International Group: Did the short-selling ban reduce systemic return-risk?," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 60-69.
  55. Tudorache Florentin Gabriel & Luminiţa Nicolescu & Radu Lupu, 2015. "Evolution of Mutual Funds in Romania: Performance and Risks," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 180-197, December.
  56. Vo, Minh & Cohen, Michael & Boulter, Terry, 2015. "Asymmetric risk and return: Evidence from the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 558-573.
  57. Alaganar, V.T. & Bhar, Ramaprasad, 2007. "Empirical properties of currency risk in country index portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 159-174, March.
  58. Nam, Kiseok & Pyun, Chong Soo & Avard, Stephen L., 2001. "Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 807-824, April.
  59. Lüders, Erik & Peisl, Bernhard, 2001. "How do investors' expectations drive asset prices?," ZEW Discussion Papers 01-15, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  60. Beyer, Anne & Cohen, Daniel A. & Lys, Thomas Z. & Walther, Beverly R., 2010. "The financial reporting environment: Review of the recent literature," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 296-343, December.
  61. Aboura, Sofiane & Wagner, Niklas, 2016. "Extreme asymmetric volatility: Stress and aggregate asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 47-59.
  62. 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.
  63. René Garcia & Richard Luger & Eric Renault, 2000. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Working Papers 2000-57, Centre de Recherche en Economie et Statistique.
  64. Giot, Pierre & Laurent, Sebastien, 2004. "Modelling daily Value-at-Risk using realized volatility and ARCH type models," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 379-398, June.
  65. Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," University of St. Gallen Department of Economics working paper series 2007 2007-36, Department of Economics, University of St. Gallen.
  66. Chang, Kuang-Liang, 2016. "Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 72-87.
  67. Brian Lucey & Raj Aggarwal, 2005. "Psychological Barriers in Gold Prices," The Institute for International Integration Studies Discussion Paper Series iiisdp053, IIIS.
  68. Chikashi Tsuji, 2003. "Is Volatility the Best Predictor of Market Crashes?," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 163-185, September.
  69. Choudhry, Taufiq & Jayasekera, Ranadeva, 2014. "Market efficiency during the global financial crisis: Empirical evidence from European banks," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 299-318.
  70. Zhou, Jian, 2016. "A high-frequency analysis of the interactions between REIT return and volatility," Economic Modelling, Elsevier, vol. 56(C), pages 102-108.
  71. Chacko, George & Viceira, Luis M, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," CEPR Discussion Papers 4913, C.E.P.R. Discussion Papers.
  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. Fratzscher, Marcel, 2001. "Financial market integration in Europe: on the effects of EMU on stock markets," Working Paper Series 0048, European Central Bank.
  74. 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.
  75. 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.
  76. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Working Paper Research 119, National Bank of Belgium.
  77. 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.
  78. Xiao-Ming Li, 2003. "Time-varying Informational Efficiency in China's A-Share and B-Share Markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 1(1), pages 33-56.
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  82. Christoffersen, Peter F. & Diebold, Francis X., 2003. "Financial asset returns, direction-of-change forecasting, and volatility dynamics," CFS Working Paper Series 2004/08, Center for Financial Studies (CFS).
  83. Leonardo Morales-Arias & Alexander Dross, 2010. "Adaptive Forecasting of Exchange Rates with Panel Data," Research Paper Series 285, Quantitative Finance Research Centre, University of Technology, Sydney.
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  88. Cecilia Maya & Karoll Gómez, 2008. "What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 161-183.
  89. 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.
  90. Yeung Lewis Chan & Leonid Kogan, 2001. "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers 8607, National Bureau of Economic Research, Inc.
  91. Campbell, John Y & Giglio, Stefano W & Polk, Christopher & Turley, Robert, 2015. "An Intertemporal CAPM with Stochastic Volatility," CEPR Discussion Papers 10681, C.E.P.R. Discussion Papers.
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  100. 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.
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  128. Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," CREATES Research Papers 2007-22, Department of Economics and Business Economics, Aarhus University.
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  135. 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.
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  137. 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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  139. Ang, Andrew & Chen, Joseph, 2007. "CAPM over the long run: 1926-2001," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 1-40, January.
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