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The impact of regime-switching behaviour of price volatility on efficiency of the US sovereign debt market
16 references·0 citing·35 second hop
The impact of regime-switching behaviour of price volatility on efficiency of the US sovereign debt market (2017)The impact of regime-switching behaviour …Handbook of the Economics of Finance (2013)Handbook of the Economics of …The Efficient Market Hypothesis and Its Critics (2003)The Efficient Market Hypothes…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Manias, Panics, and Crashes: A History of Financial Crises (1979)Manias, Panics, and Crashes: …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …A model of investor sentiment /A model of investor sentiment…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Judgment under Uncertainty: Heuristics and Biases (1974)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 cited
  • 1979Manias, Panics, and Crashes: A History of Financial Crises2,838 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 2003The Efficient Market Hypothesis and Its Critics

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2,159 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 2013Handbook of the Economics of Finance1,813 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
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