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Expected stock returns and volatility

Kenneth R. French, G. William Schwert, Robert F. Stambaugh

Journal of Financial Economics· 1987-09-01· article· 4,147 citationsgreen

Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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Kenneth R. French, G. William Schwert, Robert F. Stambaugh (1987). Expected stock returns and volatility. Journal of Financial Economics. https://doi.org/10.1016/0304-405x(87)90026-2

@article{r1987expected,
  title  = {Expected stock returns and volatility},
  author = {French, Kenneth R. and Schwert, G. William and Stambaugh, Robert F.},
  year   = {1987},
  journal = {Journal of Financial Economics},
  doi    = {10.1016/0304-405x(87)90026-2}
}

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References

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2003Modeling and Forecasting Realized Volatility

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