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The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations
16 references·1 citing·42 second hop
The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations (2007)The Effects of Federal Funds Target Rate …Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Markets (2006)Monetary Policy Surprises and…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks (2005)The Stock Market's Reaction t…Taking Stock: Monetary Policy Transmission to Equity Markets (2004)Taking Stock: Monetary Policy…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment (2004)Monetary Policy Alternatives …Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Do Actions Speak Louder Than …Bad Beta, Good Beta (2004)Bad Beta, Good BetaPre-announcement effects, news effects, and volatility: Monetary policy and the stock market (2002)Pre-announcement effects, new…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries (2016)Impacts of short-term interes…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Discretion versus policy rules in practice (1993)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Capital flows, push versus pull factors and the global financial crisis (2012)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry Concentration and Average Stock Returns (2003)Consumption Strikes Back? Measuring Long‐Run Risk (2008)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Expected Stock Returns and Variance Risk Premia (2009)The VIX, the variance premium and stock market volatility (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence (2008)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Uncertainty about Government Policy and Stock Prices (2012)
this work references cited by second hop

References

  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2004Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements1,566 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2004Bad Beta, Good Beta1,167 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 2005The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks793 cited
  • 2004Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment670 cited
  • 2004Taking Stock: Monetary Policy Transmission to Equity Markets466 cited

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  • 2002Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market435 cited
  • 2006Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Markets414 cited
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    • 2016Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries14 cited