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Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate
16 references·14 citing·22 second hop
Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate (2000)Testing the Empirical Performance of Stoc…Theory of rational option pricing (2005)Theory of rational option pri…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…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…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives (2020)Dynamic dependence and risk c…Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets (2017)Stock Market Volatility Using…The Joint Cross Section of Stocks and Options (2012)The Joint Cross Section of St…Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle (2011)Risk-Return Tradeoff in U.S. …Do ETFs provide effective international diversification? (2011)Do ETFs provide effective int…Volatility forecasting using threshold heteroskedastic models of the intra-day range (2007)Volatility forecasting using …Testing mean reversion in financial market volatility: Evidence from S&P 500 index futures (2007)Testing mean reversion in fin…Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates (2007)Level-ARCH short rate models …A conditional extreme value volatility estimator based on high-frequency returns (2006)A conditional extreme value v…Nonlinear term structure dependence: Copula functions, empirics, and risk implications (2005)Nonlinear term structure depe…A comprehensive analysis of the short-term interest-rate dynamics (2005)A comprehensive analysis of t…Multivariate term structure models with level and heteroskedasticity effects (2004)Multivariate term structure m…Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds (2003)Modeling the stochastic behav…Disturbing extremal behavior of spot rate dynamics (2003)Disturbing extremal behavior …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)Econometric Analysis of Cross Section and Panel Data (2001)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)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 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
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate

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1,679 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • Cited by

    • 2020Dynamic dependence and risk connectedness among oil and stock markets: New evidence from time-frequency domain perspectives105 cited
    • 2005Nonlinear term structure dependence: Copula functions, empirics, and risk implications90 cited
    • 2011Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle82 cited
    • 2006A conditional extreme value volatility estimator based on high-frequency returns69 cited
    • 2003Disturbing extremal behavior of spot rate dynamics62 cited
    • 2007Volatility forecasting using threshold heteroskedastic models of the intra-day range57 cited
    • 2011Do ETFs provide effective international diversification?56 cited
    • 2005A comprehensive analysis of the short-term interest-rate dynamics56 cited
    • 2012The Joint Cross Section of Stocks and Options51 cited
    • 2007Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates43 cited
    • 2007Testing mean reversion in financial market volatility: Evidence from S&P 500 index futures36 cited
    • 2017Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets30 cited
    • 2003Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds30 cited
    • 2004Multivariate term structure models with level and heteroskedasticity effects27 cited