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No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
0 references·16 citing·46 second hopsampled
No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns (1991)No News is Good News: An Asymmetric Model…On the return-volatility relationship in the Bitcoin market around the price crash of 2013 (2017)On the return-volatility rela…Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Discrete-Time Volatility Fore…News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons (2010)News—Good or Bad—and Its Impa…Average correlation and stock market returns (2010)Average correlation and stock…The Impact of Trades on Daily Volatility (2006)The Impact of Trades on Daily…Leverage and Volatility Feedback Effects in High-Frequency Data (2006)Leverage and Volatility Feedb…Which GARCH Model for Option Valuation? (2004)Which GARCH Model for Option …Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Specification Analysis of Opt…News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns (2004)News Arrival, Jump Dynamics, …Flight to Quality, Flight to Liquidity, and the Pricing of Risk (2004)Flight to Quality, Flight to …The Conditional CAPM Does Not Explain Asset-Pricing Anomalies (2003)The Conditional CAPM Does Not…The Distribution of Stock Return Volatility (2000)The Distribution of Stock Ret…Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices (2000)Forecasting Crashes: Trading …Asymmetric Correlations of Equity Portfolios (2000)Asymmetric Correlations of Eq…An Asset Allocation Puzzle (1994)An Asset Allocation PuzzleThreshold arch models and asymmetries in volatility (1993)Threshold arch models and asy…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)Variable Selection for Portfolio Choice (2001)Dynamic Asset Allocation under Inflation (2002)Time Horizon, Costs of Equity Capital, and Generic Investment Strategies of Firms (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2005)Forecasting stock prices with a feature fusion LSTM-CNN model using different representations of the same data (2019)Powerful CEOs and stock price crash risk (2020)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Forecasting realized volatility in a changing world: A dynamic model averaging approach (2015)Forecasting the volatility of crude oil futures using HAR-type models with structural breaks (2016)The impact of sentiment and attention measures on stock market volatility (2019)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Optimal Asset Allocation and Risk Shifting in Money Management (2007)Learning from Prices and the Dispersion in Beliefs (2011)Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets (2016)The Limits of Arbitrage (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Limits of Arbitrage (2010)Hedge Fund Stock Trading in the Financial Crisis of 2007-2009 (2011)The flight home effect: Evidence from the syndicated loan market during financial crises (2011)The Behavior of Stock-Market Prices (1965)The Economic Value of Volatility Timing Using 'Realized' Volatility (2001)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Augmented GARCH (p,q) process and its diffusion limit (1997)A nonlinear autoregressive conditional duration model with applications to financial transaction data (2001)Modelling Nonlinear Economic Time Series (2010)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Granger causality in risk and detection of extreme risk spillover between financial markets (2009)Undeserved Loss: The Spread of Legitimacy Loss to Innocent Organizations in Response to Reported Corporate Deviance (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)A Theory of the Term Structure of Interest Rates (1985)Option valuation with long-run and short-run volatility components☆ (2008)Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices (2010)Capturing Option Anomalies with a Variance-Dependent Pricing Kernel (2013)No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications (2006)
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  • 2006The Impact of Trades on Daily Volatility269 cited
  • 2017On the return-volatility relationship in the Bitcoin market around the price crash of 2013264 cited

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  • 2010Average correlation and stock market returns259 cited
  • 2000Asymmetric Correlations of Equity Portfolios214 cited