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Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models
16 references·2 citing·33 second hopsampled
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (2006)Do Bonds Span Volatility Risk in the U.S.…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The distribution of realized stock return volatility (2001)The distribution of realized …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Expected stock returns and volatility (1987)Expected stock returns and vo…Stock return variances (1986)Stock return variancesStock Returns and the Term Structure (1985)Stock Returns and the Term St…An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks (2021)An International Dynamic Term…An explicitly solvable Heston model with stochastic interest rate (2015)An explicitly solvable Heston…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)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)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)The Pricing of Options and Corporate Liabilities (1973)An equilibrium characterization of the term structure (1977)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)An Intertemporal Capital Asset Pricing Model (1973)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Expected Stock Returns and Variance Risk Premia (2009)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)ARCH modeling in finance (1992)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 1987Expected stock returns and volatility4,147 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1986Stock return variances1,813 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited

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2002
Term Premia and Interest Rate Forecasts in Affine Models
1,581 cited

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