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Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
16 references·2 citing·26 second hop
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2010)Volatility in Equilibrium: Asymmetries an…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…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…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Understanding Risk and Return (1993)Understanding Risk and ReturnOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…No news is good news (1992)No news is good newsSubstitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, …Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Consumption, Income, and Inte…Expected stock returns and volatility (1987)Expected stock returns and vo…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Forecasting volatilities of oil and gas assets: A comparison of GAS, GARCH, and EGARCH models (2021)Forecasting volatilities of o…The variance risk premium and fundamental uncertainty (2015)The variance risk premium and…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Introductory Econometrics for Finance (2008)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)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)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)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)
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References

  • 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
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1992No news is good news1,929 cited
  • 1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence1,820 cited
  • 1993Understanding Risk and Return1,797 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 1991

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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis
1,703 cited

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  • 2015The variance risk premium and fundamental uncertainty30 cited
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