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The impact of the coronavirus crisis on the market price of risk
16 references·4 citing·37 second hopsampled
The impact of the coronavirus crisis on the market price of risk (2020)The impact of the coronavirus crisis on t…Downside Risks and the Cross-Section of Asset Returns (2017)Downside Risks and the Cross-…Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals (2017)Asset Return Dynamics under H…Tail risk premia and return predictability (2015)Tail risk premia and return p…Bad environments, good environments: A non-Gaussian asymmetric volatility model (2014)Bad environments, good enviro…Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Can Time‐Varying Risk of Rare…Tails, Fears, and Risk Premia (2011)Tails, Fears, and Risk PremiaModeling Market Downside Volatility (2011)Modeling Market Downside Vola…An Investigation of the Risk and Return Relation at Long Horizons (1999)An Investigation of the Risk …Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…No news is good news (1992)No news is good newsSemiparametric ARCH Models (1991)Semiparametric ARCH ModelsQuasi-maximum likelihood estimation of dynamic models with time varying covariances (1988)Quasi-maximum likelihood esti…Expected stock returns and volatility (1987)Expected stock returns and vo…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Can Banking Intermediates Crowd Out Their High‐Tech Promising Successors? A Financial Stress Perspective (2026)Can Banking Intermediates Cro…The impact of Bank of Japan’s exchange-traded fund purchases (2023)The impact of Bank of Japan’s…The COVID-19 pandemic, consumption and sovereign credit risk: Cross-country evidence (2022)The COVID-19 pandemic, consum…Banking Research in the Time of COVID-19 (2021)Banking Research in the Time …An Intertemporal Capital Asset Pricing Model (1973)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty (2018)Average skewness matters (2019)Option Return Predictability with Machine Learning and Big Data (2023)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)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Threshold heteroskedastic models (1994)The variation of certain speculative prices (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)A Theory of the Term Structure of Interest Rates (1985)The equity premium: A puzzle (1985)Rare Disasters, Asset Prices, and Welfare Costs (2009)Tail Risk and Asset Prices (2014)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Coherent Measures of Risk (1999)Stochastic Integration and Differential Equations (2005)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)Nonlinear Dynamic Structures (1993)Multifractality in Asset Returns: Theory and Evidence (2002)Term Structure of Interest Rates with Regime Shifts (2002)The Cross‐Section of Volatility and Expected Returns (2006)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)The distribution of realized stock return volatility (2001)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1992No news is good news1,929 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2013Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?914 cited
  • 2011Tails, Fears, and Risk Premia814 cited
  • 1991Semiparametric ARCH Models482 cited
  • 2015Tail risk premia and return predictability415 cited
  • 1999An Investigation of the Risk and Return Relation at Long Horizons188 cited
  • 2017Asset Return Dynamics under Habits and Bad Environment–Good Environment Fundamentals183 cited
  • 1988Quasi-maximum likelihood estimation of dynamic models with time varying covariances170 cited
  • 2011Modeling Market Downside Volatility104 cited
  • 2017Downside Risks and the Cross-Section of Asset Returns100 cited

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  • 2014Bad environments, good environments: A non-Gaussian asymmetric volatility model96 cited
  • Cited by

    • 2026Can Banking Intermediates Crowd Out Their High‐Tech Promising Successors? A Financial Stress Perspective37 cited
    • 2021Banking Research in the Time of COVID-1930 cited
    • 2022The COVID-19 pandemic, consumption and sovereign credit risk: Cross-country evidence26 cited
    • 2023The impact of Bank of Japan’s exchange-traded fund purchases13 cited