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A High‐Frequency Investigation of the Interaction between Volatility and DAX Returns
16 references·0 citing·36 second hopsampled
A High‐Frequency Investigation of the Interaction between Volatility and DAX Returns (2008)A High‐Frequency Investigation of the Int…There is a risk-return trade-off after all (2005)There is a risk-return trade-…Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Does Net Buying Pressure Affe…Recovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…No news is good news (1992)No news is good newsConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Expected stock returns and volatility (1987)Expected stock returns and vo…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Market Liquidity and Trading Activity (2001)A new statistic and practical guidelines for nonparametric Granger causality testing (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1992No news is good news1,929 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 2005There is a risk-return trade-off after all1,019 cited
  • 2004Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?

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991 cited
  • 2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
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