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Discovering the drivers of stock market volatility in a data-rich world
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Discovering the drivers of stock market volatility in a data-rich world (2022)Discovering the drivers of stock market v…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)The Asset-Pricing Implication…Measuring Uncertainty (2015)Measuring UncertaintyThe Sum of All FEARS Investor Sentiment and Asset Prices (2014)The Sum of All FEARS Investor…Uncertainty about Government Policy and Stock Prices (2012)Uncertainty about Government …In Search of Attention (2011)In Search of AttentionThe Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…The distribution of realized stock return volatility (2001)The distribution of realized …How do investors react to overnight returns? Evidence from Korea (2023)How do investors react to ove…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)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)The Impact of Uncertainty Shocks (2007)Measuring Geopolitical Risk (2022)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Editor's Choice Digesting Anomalies: An Investment ApproachThe Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Risk, Return, and Equilibrium: Empirical Tests (1973)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Attention to Global Warming (2019)Prospect theory: An analysis of decision under risk (1988)Media Coverage and the Cross‐section of Stock Returns (2009)Who Gambles in the Stock Market? (2009)Comparing Predictive Accuracy (1994)Macroeconomic Forecasting Using Diffusion Indexes (2002)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)An Economic Theory of Democracy. (1958)Distributive Politics and Economic Growth (1994)Political uncertainty and risk premia (2013)Carbon Tail Risk (2018)The Role of Monetary Policy (1995)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)Postwar U.S. Business Cycles: An Empirical Investigation (1997)COVID-Induced Economic Uncertainty (2020)
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • 2011In Search of Attention3,088 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2012Uncertainty about Government Policy and Stock Prices2,327 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2014The Sum of All FEARS Investor Sentiment and Asset Prices1,384 cited

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  • 2015The Asset-Pricing Implications of Government Economic Policy Uncertainty1,352 cited
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    • 2023How do investors react to overnight returns? Evidence from Korea16 cited