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The impact of macroeconomic announcements on implied volatility
16 references·1 citing·37 second hop
The impact of macroeconomic announcements on implied volatility (2011)The impact of macroeconomic announcements…S&P 500 implied volatility and monetary policy announcements (2007)S&P 500 implied volatility an…Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance (2005)Re-examining the asymmetric p…Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach (2004)Modeling the Conditional Cova…Sudden changes in variance and volatility persistence in foreign exchange markets (2003)Sudden changes in variance an…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market (2002)Pre-announcement effects, new…Volatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …The impact of firm specific news on implied volatilities (1996)The impact of firm specific n…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Good news, bad news and international spillovers of stock return volatility between Japan and the U.S. (1994)Good news, bad news and inter…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Testing the CAPM with Time-Varying Risks and Returns (1991)Testing the CAPM with Time-Va…Correlations in Price Changes and Volatility across International Stock Markets (1990)Correlations in Price Changes…Time-varying conditional covariances in tests of asset pricing models (1989)Time-varying conditional cova…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal? (2021)The US equity sectors, implie…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Time Series Analysis: Forecasting and Control (1977)A Guide to Simulation (1983)Selection of estimation window in the presence of breaks (2006)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)The Behavior of Stock-Market Prices (1965)Transmission of Volatility between Stock Markets (1990)Fundamentals and Stock Returns in Japan (1991)Asymmetric Volatility and Risk in Equity Markets (2000)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Causality and cointegration of stock markets among the United States, Japan and the South China Growth Triangle (2000)Spillovers of stock return volatility to Asian equity markets from Japan and the US (2003)Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis (2010)Empirical exchange rate models of the seventies (1983)Discretion versus policy rules in practice (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)High-Frequency Trading and Price Discovery (2014)Autoregressive conditional heteroskedasticity and changes in regime (1994)Time‐Varying World Market Integration (1995)Stock Market Openings: Experience of Emerging Economies (2000)Dating the integration of world equity markets (2002)Research in emerging markets finance: looking to the future (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditioning Variables and the Cross Section of Stock Returns (1999)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (2005)Practical Issues in the Analysis of Univariate GARCH Models (2009)A comprehensive survey on deep neural networks for stock market: The need, challenges, and future directions (2021)
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References

  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1990Correlations in Price Changes and Volatility across International Stock Markets1,913 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1989Time-varying conditional covariances in tests of asset pricing models851 cited
  • 1999Volatility in Emerging Stock Markets735 cited
  • 2002Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market435 cited
  • 1994Good news, bad news and international spillovers of stock return volatility between Japan and the U.S.223 cited
  • 2004Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach158 cited
  • 1991Testing the CAPM with Time-Varying Risks and Returns156 cited
  • 2005Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance105 cited
  • 2003Sudden changes in variance and volatility persistence in foreign exchange markets

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96 cited
  • 2007S&P 500 implied volatility and monetary policy announcements94 cited
  • 1996The impact of firm specific news on implied volatilities92 cited
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    • 2021The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?67 cited