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Stochastic Volatility in General Equilibrium
16 references·16 citing·28 second hopsampled
Stochastic Volatility in General Equilibrium (2011)Stochastic Volatility in General Equilibr…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…The Econometrics of Financial Markets (1997)The Econometrics of Financial…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Expected stock returns and volatility (1987)Expected stock returns and vo…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world (2021)Immunizing markets against th…Option-Implied Correlations and the Price of Correlation Risk (2020)Option-Implied Correlations a…Option Prices in a Model with Stochastic Disaster Risk (2018)Option Prices in a Model with…Downside Risks and the Cross-Section of Asset Returns (2017)Downside Risks and the Cross-…EXPECTATIONS-BASED REFERENCE-DEPENDENT PREFERENCES AND ASSET PRICING (2015)EXPECTATIONS-BASED REFERENCE-…Regime switches in the risk–return trade-off (2014)Regime switches in the risk–r…Consumption Volatility and the Cross-Section of Stock Returns (2014)Consumption Volatility and th…Understanding the Puzzling Risk-Return Relationship for Housing (2013)Understanding the Puzzling Ri…Stochastic Volatility of Volatility and Variance Risk Premia (2012)Stochastic Volatility of Vola…Econometric analysis of jump-driven stochastic volatility models (2010)Econometric analysis of jump-…Stochastic Volatility and Stochastic Leverage (2009)Stochastic Volatility and Sto…What's Vol Got to Do With It (2008)What's Vol Got to Do With ItCan Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2008)Can Time-Varying Risk of Rare…Affine General Equilibrium Models (2008)Affine General Equilibrium Mo…Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models (2006)Simulation Methods for Lévy-D…Risk, Uncertainty, and Asset Prices (2005)Risk, Uncertainty, and Asset …Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The equity premium: A puzzle (1985)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)The Cross‐Section of Volatility and Expected Returns (2006)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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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
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 2016Numerical solution of stochastic differential equations5,001 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
  • 1987Expected stock returns and volatility4,147 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1987

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Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
2,469 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
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