On the long-run volatility of stocks

DOI10.1080/01621459.2017.1407769MaRDI QIDQ4559692zbMATH OpenOpenAlexFDO

Authors Hedibert F. Lopes, Robert E. McCulloch, Carlos M. Carvalho

Publication date 4 December 2018

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01621459.2017.1407769

zbMATH Keywords

covariance matrixdynamic modelsvolatilitylong-run investing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Analysis of variance and covariance (ANOVA) (62J10)

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Cites work

• scientific article; zbMATH DE number 947414 (Why is no real title available?)
• Bayesian analysis of covariance matrices and dynamic models for longitudinal data
• Bayesian forecasting and dynamic models.
• Bayesianly justifiable and relevant frequency calculations for the applied statistician
• Markov chain Monte Carlo methods for stochastic volatility models.
• Predictability of stock returns and asset allocation under structural breaks
• Time series. Modeling, computation, and inference.

Cited in

(6)

• Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model
• Parsimony inducing priors for large scale state-space models
• Systematic risk in the biopharmaceutical sector: a multiscale approach
• Long-run risk-return trade-offs
• Long-run comovements in East Asian stock market volatility
• Time-varying asymmetry and tail thickness in long series of daily financial returns

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