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Seasonality in Perceived Risk: A Sentiment Effect
16 references·0 citing·45 second hopsampled
Seasonality in Perceived Risk: A Sentiment Effect (2016)Seasonality in Perceived Risk: A Sentimen…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…The VIX, the variance premium and stock market volatility (2014)The VIX, the variance premium…Risk, uncertainty and monetary policy (2013)Risk, uncertainty and monetar…News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons (2010)News—Good or Bad—and Its Impa…Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2010)Dynamic estimation of volatil…Sentiment and stock prices: The case of aviation disasters (2009)Sentiment and stock prices: T…Variance Risk Premiums (2008)Variance Risk PremiumsThe Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Winter Blues: A SAD Stock Market Cycle (2003)Winter Blues: A SAD Stock Mar…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…The distribution of realized stock return volatility (2001)The distribution of realized …The Investor Fear Gauge (2000)The Investor Fear GaugeOption Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)What's Vol Got to Do with It (2010)Tails, Fears, and Risk Premia (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)The Pricing of Options on Assets with Stochastic Volatilities (1987)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Model Specification and Risk Premia: Evidence from Futures Options (2007)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Momentum crashes (2016)Economic Forces and the Stock Market (1986)Measuring and Testing the Impact of News on Volatility (1993)Sports Sentiment and Stock Returns (2007)Attention to Global Warming (2019)Climate Change, Firm Performance, and Investor Surprises (2023)Macroeconomics and Reality (1980)Discretion versus policy rules in practice (1993)The Impact of Uncertainty Shocks (2009)Economic policy uncertainty: A literature review (2019)U.S. Monetary Policy and the Global Financial Cycle (2020)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)In Search of Attention (2011)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)
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References

  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 2008Variance Risk Premiums1,328 cited
  • 2013Risk, uncertainty and monetary policy1,237 cited
  • 2003Winter Blues: A SAD Stock Market Cycle1,105 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
  • 2014The VIX, the variance premium and stock market volatility812 cited
  • 2003Forecasting Volatility in Financial Markets: A Review800 cited
  • 2009Sentiment and stock prices: The case of aviation disasters610 cited
  • 2003Forecasting Volatility in Financial Markets: A Review545 cited
  • 2010Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities470 cited

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News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons
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