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On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach
16 references·16 citing·32 second hopsampled
On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach (2003)On the relationship between the condition…The distribution of realized stock return volatility (2001)The distribution of realized …Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Predictive regressions (1999)Predictive regressionsBy Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…No news is good news (1992)No news is good newsARCH modeling in finance (1992)ARCH modeling in financeConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Expected stock returns and volatility (1987)Expected stock returns and vo…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Specification Tests in Econometrics (1978)Specification Tests in Econom…The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH‐MIDAS Approach (2013)The Importance of the Macroec…Curbing the Credit Cycle (2013)Curbing the Credit CycleMultifactor models and their consistency with the ICAPM (2012)Multifactor models and their …Are Stocks Really Less Volatile in the Long Run? (2012)Are Stocks Really Less Volati…The intertemporal capital asset pricing model with dynamic conditional correlations (2010)The intertemporal capital ass…Predictive Regressions: A Present‐Value Approach (2010)Predictive Regressions: A Pre…Measuring and Modeling Variation in the Risk-Return Trade-off (2010)Measuring and Modeling Variat…The impact of risk and uncertainty on expected returns☆ (2009)The impact of risk and uncert…Predictive Systems: Living with Imperfect Predictors (2009)Predictive Systems: Living wi…Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Stock Returns and Volatility:…Estimation of Markov regime-switching regression models with endogenous switching (2007)Estimation of Markov regime-s…Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics (2006)Financial Asset Returns, Dire…CAPM over the long run: 1926–2001 (2006)CAPM over the long run: 1926–…A Theory of Volatility Spreads (2006)A Theory of Volatility SpreadsVolatility puzzles: a simple framework for gauging return-volatility regressions (2005)Volatility puzzles: a simple …Estimation methods for stochastic volatility models: a survey (2004)Estimation methods for stocha…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)On the Pooling of Time Series and Cross Section Data (1978)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Econometric Analysis of Cross Section and Panel Data (2001)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)The equity premium: A puzzle (1985)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)The Cross‐Section of Volatility and Expected Returns (2006)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1978Specification Tests in Econometrics18,788 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1992ARCH modeling in finance4,288 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1992No news is good news1,929 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1999

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Predictive regressions
1,614 cited

Cited by

  • 2008Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk473 cited
  • 2013Curbing the Credit Cycle451 cited
  • 2010Predictive Regressions: A Present‐Value Approach446 cited
  • 2010Measuring and Modeling Variation in the Risk-Return Trade-off424 cited
  • 2006CAPM over the long run: 1926–2001412 cited
  • 2009The impact of risk and uncertainty on expected returns☆408 cited
  • 2009Predictive Systems: Living with Imperfect Predictors307 cited
  • 2006A Theory of Volatility Spreads292 cited
  • 2005Volatility puzzles: a simple framework for gauging return-volatility regressions263 cited
  • 2004Estimation methods for stochastic volatility models: a survey261 cited
  • 2010The intertemporal capital asset pricing model with dynamic conditional correlations259 cited
  • 2013The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH‐MIDAS Approach254 cited
  • 2012Multifactor models and their consistency with the ICAPM248 cited
  • 2006Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics239 cited
  • 2007Estimation of Markov regime-switching regression models with endogenous switching230 cited
  • 2012Are Stocks Really Less Volatile in the Long Run?226 cited