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The Variance Risk Premium Around the World
16 references·5 citing·44 second hopsampled
The Variance Risk Premium Around the World (2011)The Variance Risk Premium Around the WorldExpected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Variance Risk Premiums (2008)Variance Risk PremiumsThe Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Market Integration and Contagion (2005)Market Integration and Contag…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The distribution of realized stock return volatility (2001)The distribution of realized …Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…No Contagion, Only Interdependence: Measuring Stock Market Co-movements (1999)No Contagion, Only Interdepen…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)The Equity Premium Puzzle and…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)THE EQUITY PREMIUM PUZZLE AND…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…The equity premium: A puzzle (1985)The equity premium: A puzzleRisk-taking spillovers of U.S. monetary policy in the global market for U.S. dollar corporate loans (2019)Risk-taking spillovers of U.S…Variance risk premium and equity returns (2018)Variance risk premium and equ…The VIX, the variance premium and stock market volatility (2014)The VIX, the variance premium…Model uncertainty and systematic risk in US banking (2014)Model uncertainty and systema…The VIX, the Variance Premium and Stock Market Volatility (2013)The VIX, the Variance Premium…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Dynamic Asset Pricing Theory. (1993)Household Finance (2006)The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Debt, Deficits, and Finite Horizons (1985)Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)The Cross-Section of Expected Stock Returns (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Liquidity and leverage (2008)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)A Theory of the Term Structure of Interest Rates (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Correlations in Price Changes and Volatility across International Stock Markets (1990)Transmission of Volatility between Stock Markets (1990)Is the correlation in international equity returns constant: 1960–1990? (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Aggregate Confusion: The Divergence of ESG Ratings (2019)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)
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References

  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,735 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 1989The Equity Premium Puzzle and the Riskfree Rate Puzzle1,663 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 2008Variance Risk Premiums1,381 cited
  • 1988THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE1,378 cited
  • 2005Market Integration and Contagion1,095 cited
  • 2005The Model-Free Implied Volatility and Its Information Content

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1,012 cited
  • 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements999 cited
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    • 2014The VIX, the variance premium and stock market volatility821 cited
    • 2018Variance risk premium and equity returns28 cited
    • 2014Model uncertainty and systematic risk in US banking26 cited
    • 2019Risk-taking spillovers of U.S. monetary policy in the global market for U.S. dollar corporate loans21 cited
    • 2013The VIX, the Variance Premium and Stock Market Volatility20 cited