Volatility puzzles: a simple framework for gauging return-volatility regressions
DOI10.1016/J.JECONOM.2005.01.006zbMATH Open1337.62346OpenAlexW2071105713MaRDI QIDQ292008FDOQ292008
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.006
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Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)
Cites Work
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- Alternative models for stock price dynamics.
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- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Volume, volatility, and leverage: A dynamic analysis
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Post-'87 crash fears in the S\&P 500 futures option market
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Empirical option pricing: A retrospection
- Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
Cited In (16)
- Stochastic volatility and stochastic leverage
- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
- Change point detection for nonparametric regression under strongly mixing process
- On the use of high frequency measures of volatility in MIDAS regressions
- Realized stochastic volatility with general asymmetry and long memory
- The long and the short of the risk-return trade-off
- Think again: volatility asymmetry and volatility persistence
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- Understanding the Risk-Return Relation: The Aggregate Wealth Proxy Actually Matters
- GMM estimation of a realized stochastic volatility model: A Monte Carlo study
- Stock return and cash flow predictability: the role of volatility risk
- Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach
- Multivariate stochastic volatility, leverage and news impact surfaces
- A unified framework jointly explaining business conditions, stock returns, volatility and ``volatility feedback news effects
- Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect
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