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Volatility jumps and macroeconomic news announcements
16 references·0 citing·41 second hop
Volatility jumps and macroeconomic news announcements (2018)Volatility jumps and macroeconomic news a…The Pre-FOMC Announcement Drift (2012)The Pre-FOMC Announcement Dri…Jump-robust volatility estimation using nearest neighbor truncation (2012)Jump-robust volatility estima…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Model Specification and Risk Premia: Evidence from Futures Options (2007)Model Specification and Risk …What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns (2004)News Arrival, Jump Dynamics, …The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market (2002)Pre-announcement effects, new…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…On Stock Market Returns and Monetary Policy (1997)On Stock Market Returns and M…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyQuasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Stock Return Predictability and The Role of Monetary Policy (1997)Firm Size and Cyclical Variations in Stock Returns (2000)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Cross-Section of Expected Stock Returns (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)How Sovereign Is Sovereign Credit Risk? (2011)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Theory of Intraday Patterns: Volume and Price Variability (1988)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)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)Option pricing when underlying stock returns are discontinuous (1976)On estimating the expected return on the market (1980)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Uncertainty about Government Policy and Stock Prices (2012)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)The VIX, the variance premium and stock market volatility (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)
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References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1997On Stock Market Returns and Monetary Policy931 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 2007Model Specification and Risk Premia: Evidence from Futures Options630 cited
  • 2012The Pre-FOMC Announcement Drift630 cited
  • 2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns561 cited
  • 2012

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Jump-robust volatility estimation using nearest neighbor truncation
449 cited
  • 2002Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market435 cited
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