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Why are stock returns and volatility negatively correlated? · Study

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ArticleWhy are stock returns and volatility negatively correlated?

Jinho Bae2006

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Articlegreen2006

Why are stock returns and volatility negatively correlated?

Jinho Bae · Chang‐Jin Kim · Charles R. Nelson

109 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1987Expected stock returns and volatility 1989Why Does Stock Market Volatility Change Over Time?1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects 1985Stock Returns and the Term Structure 1992No news is good news

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Year2006

Typearticle

Published2006-08-25

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations109

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2006.04.005

openalex_workW3124022984

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