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Uncertainty Shocks as Second-Moment News Shocks
16 references·1 citing·36 second hop
Uncertainty Shocks as Second-Moment News Shocks (2017)Uncertainty Shocks as Second-Moment News …Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Measuring Uncertainty (2015)Measuring UncertaintyThe Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Variance Risk Premiums (2008)Variance Risk PremiumsThe Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Measuring the Effects of Mone…Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2002)Stock Return Characteristics,…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…No news is good news (1992)No news is good newsSubstitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, …Production, growth and business cycles (1988)Production, growth and busine…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Trade and Uncertainty (2014)Trade and UncertaintyA Contribution to the Theory of Economic Growth (1956)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Long-Run Policy Analysis and Long-Run Growth (1991)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Race Between Machine and Man: Implications of Technology for Growth, Factor Shares and Employment (2016)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Liquidity and leverage (2008)Digesting Anomalies: An Investment Approach (2012)Macroeconomics and Reality (1980)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Macroeconomic Shocks and Their Propagation (2016)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)The Quarterly Journal of Economics (2024)Irreversibility, Uncertainty, and Cyclical Investment (1980)Investment Under Uncertainty. (1994)Measuring Geopolitical Risk (2022)Investment under Uncertainty (1994)Policy Uncertainty and Corporate Investment (2015)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The Econometrics of Financial Markets (2012)ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)Postwar U.S. Business Cycles: An Empirical Investigation (1997)COVID-Induced Economic Uncertainty (2020)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)
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References

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  • 2008Variance Risk Premiums1,381 cited

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  • 2002Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
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    • 2014Trade and Uncertainty215 cited