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Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence
16 references·5 citing·43 second hop
Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence (2010)Conditional Coskewness in Stock and Bond …Macro Factors in Bond Risk Premia (2009)Macro Factors in Bond Risk Pr…Expected Idiosyncratic Skewness (2009)Expected Idiosyncratic Skewne…Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Stocks as Lotteries: The Impl…Equilibrium Underdiversification and the Preference for Skewness (2007)Equilibrium Underdiversificat…What does the yield curve tell us about GDP growth? (2005)What does the yield curve tel…Optimal Expectations (2005)Optimal ExpectationsA New Approach to Measuring Financial Contagion (2003)A New Approach to Measuring F…Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Precautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Precautionary Saving in the Small and in the Large (1989)Precautionary Saving in the S…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Time-varying spillover networks of green bond and related financial markets (2023)Time-varying spillover networ…Return and volatility transmission between China's and international crude oil futures markets: A first look (2020)Return and volatility transmi…Short-term momentum (almost) everywhere (2019)Short-term momentum (almost) …Conditional co-skewness and safe-haven currencies: A regime switching approach (2018)Conditional co-skewness and s…Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities (2013)Modeling the joint dynamics o…Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)Forecasting Volatility in Financial Markets: A Review (2003)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)… and the Cross-Section of Expected Returns (2015)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)Common risk factors in the returns on stocks and bonds (1993)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Saving and Uncertainty: The Precautionary Demand for Saving (1968)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The analysis of household surveys (1997)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Determining the Number of Factors in Approximate Factor Models (2002)Common Risk Factors in Currency Markets (2011)Pricing the term structure with linear regressions (2013)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)
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  • 2005What does the yield curve tell us about GDP growth?815 cited
  • 2005Optimal Expectations789 cited
  • 2007

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Equilibrium Underdiversification and the Preference for Skewness
784 cited

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  • 2020Return and volatility transmission between China's and international crude oil futures markets: A first look102 cited
  • 2018Conditional co-skewness and safe-haven currencies: A regime switching approach41 cited
  • 2013Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities37 cited
  • 2019Short-term momentum (almost) everywhere36 cited
  • 2023Time-varying spillover networks of green bond and related financial markets33 cited