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The Impact of the Federal Reserve's Interest Rate Target Announcement on Stock Prices: A Closer Look at how the Market Impounds New Information
16 references·1 citing·37 second hop
The Impact of the Federal Reserve's Interest Rate Target Announcement on Stock Prices: A Closer Look at how the Market Impounds New Information (2010)The Impact of the Federal Reserve's Inter…Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…Quantitative Risk Management (2011)Quantitative Risk ManagementWhat Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Demand-Based Option Pricing (2005)Demand-Based Option PricingThe Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…The Investor Fear Gauge (2000)The Investor Fear GaugePost-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Robust Estimation of Shape-Constrained State Price Density Surfaces (2015)Robust Estimation of Shape-Co…The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Impact of Jumps in Volatility and Returns (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Efficient Capital Markets: II (1991)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Uncertainty about Government Policy and Stock Prices (2012)Introductory Econometrics for Finance (2008)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
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References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2011Quantitative Risk Management985 cited
  • 2005Demand-Based Option Pricing889 cited
  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets

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  • 2015Robust Estimation of Shape-Constrained State Price Density Surfaces22 cited