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Macroeconomic uncertainty and conditional stock‐price volatility in frontier African markets
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Macroeconomic uncertainty and conditional stock‐price volatility in frontier African markets (2009)Macroeconomic uncertainty and conditional…What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Monetary Policy and Asset Price Volatility (2000)Monetary Policy and Asset Pri…Emerging equity market volatility (1997)Emerging equity market volati…Time‐Varying World Market Integration (1995)Time‐Varying World Market Int…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Asset returns and inflation (1977)Asset returns and inflationMONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)Testing for a Unit Root in Time Series Regression (1988)Efficient Tests for an Autoregressive Unit Root (1996)A PANIC Attack on Unit Roots and Cointegration (2004)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Econometric Analysis of Cross Section and Panel Data (2001)Multivariate Simultaneous Generalized ARCH (1995)
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References

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1986Economic Forces and the Stock Market5,258 cited
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  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
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  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1977Asset returns and inflation2,701 cited
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  • 1995Time‐Varying World Market Integration2,152 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1990Stock Returns, Expected Returns, and Real Activity

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  • 2000Monetary Policy and Asset Price Volatility1,274 cited
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