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Equity volatility, bond yields, and yield spreads
16 references·1 citing·35 second hop
Equity volatility, bond yields, and yield spreads (2011)Equity volatility, bond yields, and yield…Merton, Robert C. (2010)Merton, Robert C.Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market (2008)Flight-to-Quality or Flight-t…The economic value of volatility timing using “realized” volatility (2003)The economic value of volatil…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Equity Volatility and Corporate Bond Yields (2003)Equity Volatility and Corpora…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Stock Prices and Volume (1992)Stock Prices and VolumeQuasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Interest rate volatility and risk management: Evidence from CBOE Treasury options (2017)Interest rate volatility and …Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)An equilibrium characterization of the term structure (1977)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Volatility forecast comparison using imperfect volatility proxies (2010)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)The Econometrics of Financial Markets (2012)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Credit Spreads and Business Cycle Fluctuations (2012)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)The Cross‐Section of Volatility and Expected Returns (2006)
this work references cited by second hop

References

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  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
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  • 2003Equity Volatility and Corporate Bond Yields1,194 cited
  • 2010Merton, Robert C.812 cited
  • 2008Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

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706 cited
  • 2003The economic value of volatility timing using “realized” volatility668 cited
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    • 2017Interest rate volatility and risk management: Evidence from CBOE Treasury options24 cited