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The stochastic volatility in mean model: empirical evidence from international stock markets

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Cited by:

  1. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
  2. Pfarrhofer, Michael, 2019. "Measuring international uncertainty using global vector autoregressions with drifting parameters," Working Papers in Economics 2019-3, University of Salzburg.
  3. Asai Manabu & So Mike K.P., 2015. "Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes," Journal of Time Series Econometrics, De Gruyter, vol. 7(1), pages 1-26, January.
  4. Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2018. "Measuring Uncertainty and Its Impact on the Economy," The Review of Economics and Statistics, MIT Press, vol. 100(5), pages 799-815, December.
  5. Andreasen, Martin M., 2010. "Stochastic volatility and DSGE models," Economics Letters, Elsevier, vol. 108(1), pages 7-9, July.
  6. Yang Minxian, 2011. "Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-21, May.
  7. Asai, Manabu & McAleer, Michael, 2015. "Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing," Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.
  8. Mengheng Li & Siem Jan Koopman, 2021. "Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 614-627, August.
  9. Joshua C.C. Chan & Angelia L. Grant, 2014. "Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion," CAMA Working Papers 2014-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  10. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
  11. Haroon Mumtaz & Francesco Zanetti, 2013. "The Impact of the Volatility of Monetary Policy Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 535-558, June.
  12. Prayut Jain & Shashi Jain, 2019. "Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification," Risks, MDPI, vol. 7(3), pages 1-27, July.
  13. Carlos A. Abanto-Valle & Gabriel Rodríguez & Hernán B. Garrafa-Aragón, 2020. "Stochastic Volatility in Mean: Empirical Evidence from Stock Latin American Markets," Documentos de Trabajo / Working Papers 2020-481, Departamento de Economía - Pontificia Universidad Católica del Perú.
  14. Zied Ftiti & Fredj Jawadi, 2019. "Forecasting Inflation Uncertainty in the United States and Euro Area," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 455-476, June.
  15. Antonis Demos, 2023. "Estimation of Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2309, Athens University of Economics and Business.
  16. Davide Raggi & Silvano Bordignon, 2011. "Volatility, Jumps, and Predictability of Returns: A Sequential Analysis," Econometric Reviews, Taylor & Francis Journals, vol. 30(6), pages 669-695.
  17. Mengheng Li & Ivan Mendieta‐Muñoz, 2020. "Are long‐run output growth rates falling?," Metroeconomica, Wiley Blackwell, vol. 71(1), pages 204-234, February.
  18. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
  19. Fuest, Angela & Schmidt, Torsten, 2017. "Inflation expectation uncertainty, inflation and the output gap," Ruhr Economic Papers 673, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  20. Chen, Liyuan & Zerilli, Paola & Baum, Christopher F., 2019. "Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications," Energy Economics, Elsevier, vol. 79(C), pages 111-129.
  21. Claudiu Tiberiu Albulescu & Cornel Oros, 2020. "Inflation, uncertainty, and labour market conditions in the US," Applied Economics, Taylor & Francis Journals, vol. 52(52), pages 5770-5782, November.
  22. Gulten Mero & Serge Darolles & Gaëlle Le Fol, 2015. "Financial Market Liquidity: Who Is Acting Strategically?," THEMA Working Papers 2015-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  23. Berument, Hakan & Yalcin, Yeliz & Yildirim, Julide, 2009. "The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework," Economic Modelling, Elsevier, vol. 26(6), pages 1201-1207, November.
  24. Minchul Shin & Molin Zhong, 2020. "A New Approach to Identifying the Real Effects of Uncertainty Shocks," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 367-379, April.
  25. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.).
  26. García-Centeno, María del Carmen & Fernández-Avilés, Gema & Montero, José María, 2010. "Asymmetries in the Volatility of Precious Metals Returns: The TA-ARSV Modelling Strategy," The Journal of Economic Asymmetries, Elsevier, vol. 7(1), pages 23-41.
  27. Abanto-Valle, Carlos A. & Rodríguez, Gabriel & Garrafa-Aragón, Hernán B., 2021. "Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 272-286.
  28. Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015. "Forecasting Value-at-Risk using block structure multivariate stochastic volatility models," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.
  29. Montero, José M. & García-Centeno, Maria C. & Fernández-Avilés, Gema, 2011. "Modelling the Volatility of the Spanish Wholesale Electricity Spot Market. Asymmetric GARCH Models vs. Threshold ARSV model/Modelización de la volatilidad en el mercado eléctrico español. Modelos GARC," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 29, pages 597-616, Agosto.
  30. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
  31. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhuang, Xin-Tian, 2019. "Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles," Chaos, Solitons & Fractals, Elsevier, vol. 121(C), pages 129-136.
  32. Manabu Asai & Michael McAleer, 2006. "Asymmetric Multivariate Stochastic Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 453-473.
  33. Mehmet Balcilar & Zeynel Abidin Ozdemir, 2018. "The volatility effect on precious metals prices in a stochastic volatility in mean model with time-varying parameters," Working Papers 15-34, Eastern Mediterranean University, Department of Economics.
  34. Florian Huber & Michael Pfarrhofer, 2021. "Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(2), pages 262-270, March.
  35. Thomas C. Chiang & Jiandong Li, 2012. "Stock Returns and Risk: Evidence from Quantile," JRFM, MDPI, vol. 5(1), pages 1-39, December.
  36. Nonejad, Nima, 2014. "Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox," MPRA Paper 55662, University Library of Munich, Germany.
  37. Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten, 2017. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Journal of Econometrics, Elsevier, vol. 201(2), pages 367-383.
  38. Terence D. Agbeyegbe, 2023. "The Link Between Output Growth and Output Growth Volatility: Barbados," Annals of Data Science, Springer, vol. 10(3), pages 787-804, June.
  39. Jamie L. Cross & Chenghan Hou & Aubrey Poon, 2018. "International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach," Working Papers No 12/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  40. Cathy Yi†Hsuan Chen & Thomas C. Chiang, 2016. "Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time†varying Transition Probability Models," European Financial Management, European Financial Management Association, vol. 22(5), pages 749-796, November.
  41. Nam, Kyungsik, 2021. "Investigating the effect of climate uncertainty on global commodity markets," Energy Economics, Elsevier, vol. 96(C).
  42. Haroon Mumtaz, 2016. "The Evolving Transmission of Uncertainty Shocks in the United Kingdom," Econometrics, MDPI, vol. 4(1), pages 1-18, March.
  43. Joshua C. C. Chan & Eric Eisenstat, 2018. "Bayesian model comparison for time‐varying parameter VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(4), pages 509-532, June.
  44. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
  45. Jiang, Yong & Zhou, Zhongbao & Liu, Qing & Lin, Ling & Xiao, Helu, 2020. "How do oil price shocks affect the output volatility of the U.S. energy mining industry? The roles of structural oil price shocks," Energy Economics, Elsevier, vol. 87(C).
  46. Łukasz Kwiatkowski, 2010. "Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 2(1), pages 59-94, January.
  47. M. Berument & Yeliz Yalcin & Julide Yildirim, 2011. "The inflation and inflation uncertainty relationship for Turkey: a dynamic framework," Empirical Economics, Springer, vol. 41(2), pages 293-309, October.
  48. Awijen, Haithem & Ben Zaied, Younes & Nguyen, Duc Khuong & Sensoy, Ahmet, 2020. "Endogenous Financial Uncertainty and Macroeconomic Volatility: Evidence from the United States," MPRA Paper 101276, University Library of Munich, Germany, revised Jun 2020.
  49. Kim C. Raath & Katherine B. Ensor, 2023. "Wavelet-L2E Stochastic Volatility Models: an Application to the Water-Energy Nexus," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 150-176, May.
  50. Mumtaz, Haroon, 2018. "A generalised stochastic volatility in mean VAR," Economics Letters, Elsevier, vol. 173(C), pages 10-14.
  51. Mehmet Balcilar & Zeynel Abidin Ozdemir, 2017. "The nexus between the oil price and its volatility in a stochastic volatility in mean model with time-varying parameters," Working Papers 15-33, Eastern Mediterranean University, Department of Economics.
  52. Nonejad, Nima, 2014. "Particle Gibbs with Ancestor Sampling Methods for Unobserved Component Time Series Models with Heavy Tails, Serial Dependence and Structural Breaks," MPRA Paper 55664, University Library of Munich, Germany.
  53. Jean Pierre Fernández Prada Saucedo & Gabriel Rodríguez, 2020. "Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models," Documentos de Trabajo / Working Papers 2020-484, Departamento de Economía - Pontificia Universidad Católica del Perú.
  54. Yin Liao & John Stachurski, 2011. "Parametric Conditional Monte Carlo Density Estimation," ANU Working Papers in Economics and Econometrics 2011-562, Australian National University, College of Business and Economics, School of Economics.
  55. repec:kap:iaecre:v:15:y:2009:i:1:p:71-87 is not listed on IDEAS
  56. Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar & Wolfgang Schmid & Anil K. Bera, 2023. "Spatial and Spatiotemporal Volatility Models: A Review," Papers 2308.13061, arXiv.org.
  57. 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.
  58. Joshua Chan & Eric Eisenstat & Xuewen Yu, 2022. "Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis," Papers 2207.03988, arXiv.org.
  59. Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
  60. Joshua C. C. Chan, 2017. "The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 17-28, January.
  61. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
  62. Chan, Joshua C.C. & Grant, Angelia L., 2016. "Modeling energy price dynamics: GARCH versus stochastic volatility," Energy Economics, Elsevier, vol. 54(C), pages 182-189.
  63. Yong Jiang & Chao-Qun Ma & Xiao-Guang Yang & Yi-Shuai Ren, 2018. "Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model," Sustainability, MDPI, vol. 10(12), pages 1-17, December.
  64. Baur Dirk G. & Dimpfl Thomas, 2019. "Think again: volatility asymmetry and volatility persistence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-19, February.
  65. Ying Wang & Hoi Ying Wong, 2017. "VIX Forecast Under Different Volatility Specifications," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(2), pages 131-148, June.
  66. Carlos A. Abanto‐Valle & Roland Langrock & Ming‐Hui Chen & Michel V. Cardoso, 2017. "Maximum likelihood estimation for stochastic volatility in mean models with heavy‐tailed distributions," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 33(4), pages 394-408, August.
  67. Balaji Bathmanaban & Raja Sethu Durai S & Ramachandran M, 2017. "The relationship between Output Uncertainty and Economic Growth-Evidence from India," Economics Bulletin, AccessEcon, vol. 37(4), pages 2680-2691.
  68. Berument, M. Hakan & Yalcin, Yeliz & Yildirim, Julide, 2012. "Inflation and inflation uncertainty: A dynamic framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4816-4826.
  69. Łukasz Kwiatkowski, 2011. "Bayesian Analysis of a Regime Switching In-Mean Effect for the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 3(4), pages 187-219, December.
  70. Martin Vance L. & Sarkar Saikat & Kanto Antti Jaakko, 2014. "Modelling nonlinearities in equity returns: the mean impact curve analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 51-72, February.
  71. Doğan, Osman & Taşpınar, Süleyman & Bera, Anil K., 2021. "A Bayesian robust chi-squared test for testing simple hypotheses," Journal of Econometrics, Elsevier, vol. 222(2), pages 933-958.
  72. Lu Yang & Shigeyuki Hamori, 2018. "Modeling The Dynamics Of International Agricultural Commodity Prices: A Comparison Of Garch And Stochastic Volatility Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-20, September.
  73. Mehmet Balcilar & Zeynel Abidin Ozdemir, 2020. "A re-examination of growth and growth uncertainty relationship in a stochastic volatility in the mean model with time-varying parameters," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(3), pages 611-641, August.
  74. Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2018. "News and expected returns in East Asian equity markets: The RV-GARCHM model," Journal of Asian Economics, Elsevier, vol. 57(C), pages 36-52.
  75. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhuang, Xin-Tian, 2018. "Modeling volatility dynamics using non-Gaussian stochastic volatility model based on band matrix routine," Chaos, Solitons & Fractals, Elsevier, vol. 114(C), pages 193-201.
  76. B. Balaji & S. Raja Sethu Durai & M. Ramachandran, 2016. "The Dynamics Between Inflation and Inflation Uncertainty: Evidence from India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(1), pages 1-14, June.
  77. Abanto-Valle, C.A. & Bandyopadhyay, D. & Lachos, V.H. & Enriquez, I., 2010. "Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 2883-2898, December.
  78. Mengheng Li & Marcel Scharth, 2022. "Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 285-301, January.
  79. A. M. M. Shahiduzzaman Quoreshi & Reaz Uddin & Viroj Jienwatcharamongkhol, 2019. "Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model," JRFM, MDPI, vol. 12(2), pages 1-18, June.
  80. Andrew Harvey & Rutger-Jan Lange, 2015. "Modeling the Interactions between Volatility and Returns," Cambridge Working Papers in Economics 1518, Faculty of Economics, University of Cambridge.
  81. Chang, Hao-Wen & Lin, Chinho, 2023. "Currency portfolio behavior in seven major Asian markets," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 540-559.
  82. Fuest, Angela & Schmidt, Torsten, 2020. "Inflation expectation uncertainty in a New Keynesian framework," Ruhr Economic Papers 867, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  83. Vivek Sharma & Edgar Silgado-Gómez, 2019. "Sovereign Spread Volatility and Banking Sector," CEIS Research Paper 454, Tor Vergata University, CEIS, revised 08 Mar 2019.
  84. Xu, Qinhua & Fu, Buben & Wang, Bin, 2022. "The effects of oil price uncertainty on China’s economy," Energy Economics, Elsevier, vol. 107(C).
  85. Li, Yifan, 2020. "Nearly unbiased estimation of sample skewness," Economics Letters, Elsevier, vol. 192(C).
  86. Lemoine, M. & Mougin, C., 2010. "The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models," Working papers 285, Banque de France.
  87. Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2019. "The nexus between the oil price and its volatility risk in a stochastic volatility in the mean model with time-varying parameters," Resources Policy, Elsevier, vol. 61(C), pages 572-584.
  88. Yang, Chunpeng & Jia, Yun, 2016. "Buy-sell imbalance and the mean-variance relation," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 49-58.
  89. Nonejad, Nima, 2017. "Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market," Economic Modelling, Elsevier, vol. 61(C), pages 388-408.
  90. Antonis Demos, 2023. "Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2303, Athens University of Economics and Business.
  91. Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2019. "The volatility effect on precious metals price returns in a stochastic volatility in mean model with time-varying parameters," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  92. Apergis, Nicholas, 2015. "Policy risks, technological risks and stock returns: New evidence from the US stock market," Economic Modelling, Elsevier, vol. 51(C), pages 359-365.
  93. Hau, Liya & Zhu, Huiming & Huang, Rui & Ma, Xiang, 2020. "Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression," Energy, Elsevier, vol. 213(C).
  94. Joseph P Byrne & Erkal Ersoy, 2020. "Endogenous Uncertainty in the Oil Market: A Bayesian Stochastic Volatility-in-Mean Analysis," CEERP Working Paper Series 012, Centre for Energy Economics Research and Policy, Heriot-Watt University.
  95. María García Centeno & Román Mínguez Salido, 2009. "Estimation of Asymmetric Stochastic Volatility Models for Stock-Exchange Index Returns," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(1), pages 71-87, February.
  96. Mário Correia Fernandes & José Carlos Dias & João Pedro Vidal Nunes, 2024. "Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 343-383, March.
  97. 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.
  98. José‐María Montero & Gema Fernández‐Avilés & María‐Carmen García, 2010. "Estimation of Asymmetric Stochastic Volatility Models: Application to Daily Average Prices of Energy Products," International Statistical Review, International Statistical Institute, vol. 78(3), pages 330-347, December.
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