Volatility puzzles: a simple framework for gauging return-volatility regressions
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Publication:292008
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Cites work
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- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Empirical option pricing: A retrospection
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Post-'87 crash fears in the S\&P 500 futures option market
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
- Volume, volatility, and leverage: A dynamic analysis
Cited in
(19)- Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect
- Multivariate stochastic volatility, leverage and news impact surfaces
- GMM estimation of a realized stochastic volatility model: a Monte Carlo study
- Realized stochastic volatility with general asymmetry and long memory
- Fat tails, serial dependence, and implied volatility index connections
- Stock return and cash flow predictability: the role of volatility risk
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- Stochastic volatility and stochastic leverage
- Cross-section stock return and implied covariance between jump and diffusive volatility
- On the use of high frequency measures of volatility in MIDAS regressions
- A unified framework jointly explaining business conditions, stock returns, volatility and ``volatility feedback news effects
- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- The long and the short of the risk-return trade-off
- Change point detection for nonparametric regression under strongly mixing process
- Volatility spreads and expected stock returns
- Think again: volatility asymmetry and volatility persistence
- Understanding the Risk-Return Relation: The Aggregate Wealth Proxy Actually Matters
- Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach
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