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The Distribution of Stock Return Volatility
16 references·16 citing·23 second hopsampled
The Distribution of Stock Return Volatility (2000)The Distribution of Stock Return Volatili…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The variation of certain speculative prices (1997)The variation of certain spec…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A long memory property of stock market returns and a new model (1993)A long memory property of sto…ARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Expected stock returns and volatility (1987)Expected stock returns and vo…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…On estimating the expected return on the market (1980)On estimating the expected re…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Forecasting the volatility of crude oil futures using intraday data (2014)Forecasting the volatility of…Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Uncertainty, Time‐Varying Fea…The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data (2013)The Effects of Oil Price Shoc…Risk, Uncertainty, and Expected Returns (2012)Risk, Uncertainty, and Expect…A reduced form framework for modeling volatility of speculative prices based on realized variation measures (2010)A reduced form framework for …A behavioral explanation for the negative asymmetric return–volatility relation (2008)A behavioral explanation for …Maximum Likelihood Estimation of Latent Affine Processes (2006)Maximum Likelihood Estimation…Leverage and Volatility Feedback Effects in High-Frequency Data (2006)Leverage and Volatility Feedb…Chapter 15 Volatility and Correlation Forecasting (2006)Chapter 15 Volatility and Cor…Neglecting parameter changes in GARCH models (2005)Neglecting parameter changes …Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models (2004)Forecasting currency volatili…Empirical option pricing: a retrospection (2003)Empirical option pricing: a r…Fourier series method for measurement of multivariate volatilities (2002)Fourier series method for mea…The Economic Value of Volatility Timing Using 'Realized' Volatility (2001)The Economic Value of Volatil…Is All that Talk Just Noise? The Information Content of Internet Stock Message Boards (2001)Is All that Talk Just Noise? …Designing realised kernels to measure the ex-post variation of equity prices in the presence of noiseDesigning realised kernels to…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)
this work references cited by second hop· second hop is a sample of the most-cited connections

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
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 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
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1973

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
2,781 cited

Cited by

  • 2001The Economic Value of Volatility Timing Using 'Realized' Volatility476 cited
  • 2013Uncertainty, Time‐Varying Fear, and Asset Prices442 cited
  • 2006Leverage and Volatility Feedback Effects in High-Frequency Data439 cited
  • 2003Empirical option pricing: a retrospection343 cited
  • 2006Chapter 15 Volatility and Correlation Forecasting330 cited
  • 2005Neglecting parameter changes in GARCH models321 cited
  • 2001Is All that Talk Just Noise? The Information Content of Internet Stock Message Boards297 cited
  • 2004Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models296 cited
  • 2014Forecasting the volatility of crude oil futures using intraday data263 cited
  • 2006Maximum Likelihood Estimation of Latent Affine Processes258 cited
  • 2008A behavioral explanation for the negative asymmetric return–volatility relation247 cited
  • 2010A reduced form framework for modeling volatility of speculative prices based on realized variation measures239 cited
  • 2002Fourier series method for measurement of multivariate volatilities230 cited
  • 2012Risk, Uncertainty, and Expected Returns197 cited
  • 2013The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data186 cited
  • n.d.Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise184 cited