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Asymmetric attention and volatility asymmetry
16 references·10 citing·39 second hop
Asymmetric attention and volatility asymmetry (2017)Asymmetric attention and volatility asymm…In Search of Attention (2011)In Search of AttentionJumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Jumps in Financial Markets: A…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts (2003)Analyzing the Analysts: Caree…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…The distribution of realized stock return volatility (2001)The distribution of realized …Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A long memory property of stock market returns and a new model (1993)A long memory property of sto…No news is good news (1992)No news is good newsWhy Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Expected stock returns and volatility (1987)Expected stock returns and vo…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …Estimating betas from nonsynchronous data (1977)Estimating betas from nonsync…A Comparative Analysis of the Nature of Stock Return Volatility in BRICS and G7 Markets (2022)A Comparative Analysis of the…News sentiment and stock market volatility (2021)News sentiment and stock mark…Investor attention, ETF returns, and country-specific factors (2021)Investor attention, ETF retur…Investor attention and oil market volatility: Does economic policy uncertainty matter? (2021)Investor attention and oil ma…Forecasting volatilities of oil and gas assets: A comparison of GAS, GARCH, and EGARCH models (2021)Forecasting volatilities of o…Media Attention and the Volatility Effect (2019)Media Attention and the Volat…Asymmetry of retail investors’ attention and asymmetric volatility: Evidence from China (2019)Asymmetry of retail investors…A novel UMIDAS-SVQR model with mixed frequency investor sentiment for predicting stock market volatility (2019)A novel UMIDAS-SVQR model wit…Firm-level political risk and asymmetric volatility (2018)Firm-level political risk and…Contagion Effect of Natural Disaster and Financial Crisis Events on International Stock Markets (2018)Contagion Effect of Natural D…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)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)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)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)A five-factor asset pricing model (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)An Intertemporal Capital Asset Pricing Model (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Attention to Global Warming (2019)Advances in prospect theory: Cumulative representation of uncertainty (1992)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2011In Search of Attention3,088 cited
  • 1977Estimating betas from nonsynchronous data2,751 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002Differences of Opinion and the Cross Section of Stock Returns2,145 cited
  • 1992No news is good news1,929 cited
  • 2003Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts1,471 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics

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864 cited

Cited by

  • 2021Investor attention and oil market volatility: Does economic policy uncertainty matter?76 cited
  • 2022A Comparative Analysis of the Nature of Stock Return Volatility in BRICS and G7 Markets39 cited
  • 2018Contagion Effect of Natural Disaster and Financial Crisis Events on International Stock Markets35 cited
  • 2019A novel UMIDAS-SVQR model with mixed frequency investor sentiment for predicting stock market volatility31 cited
  • 2021News sentiment and stock market volatility31 cited
  • 2018Firm-level political risk and asymmetric volatility29 cited
  • 2021Investor attention, ETF returns, and country-specific factors28 cited
  • 2019Media Attention and the Volatility Effect27 cited
  • 2019Asymmetry of retail investors’ attention and asymmetric volatility: Evidence from China27 cited
  • 2021Forecasting volatilities of oil and gas assets: A comparison of GAS, GARCH, and EGARCH models23 cited