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The dynamic conditional relationship between stock market returns and implied volatility
16 references·1 citing·27 second hopsampled
The dynamic conditional relationship between stock market returns and implied volatility (2017)The dynamic conditional relationship betw…The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Spline-GARCH Model for Lo…The empirical risk–return relation: A factor analysis approach☆ (2006)The empirical risk–return rel…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …Nonlinear Time Series Models in Empirical Finance (2000)Nonlinear Time Series Models …Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…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 Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Returns and Volatility (1990)Stock Returns and VolatilityA Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Volatility forecasting and volatility-timing strategies: A machine learning approach (2024)Volatility forecasting and vo…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Market Liquidity and Trading Activity (2001)A new statistic and practical guidelines for nonparametric Granger causality testing (2006)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Expected Stock Returns and Variance Risk Premia (2009)A long memory property of stock market returns and a new model (1993)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2000Nonlinear Time Series Models in Empirical Finance1,111 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 1990Stock Returns and Volatility722 cited

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  • 2006The empirical risk–return relation: A factor analysis approach☆666 cited
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    • 2024Volatility forecasting and volatility-timing strategies: A machine learning approach21 cited