Volatility Expectations and Returns
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DOI: 10.1111/jofi.13120
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Citations
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Cited by:
- Zhang, Junyu & Ruan, Xinfeng & Zhang, Jin E., 2023. "Do short-term market swings improve realized volatility forecasts?," Finance Research Letters, Elsevier, vol. 58(PD).
- Victor Olkhov, 2023.
"Market-Based Probability of Stock Returns,"
Papers
2302.07935, arXiv.org, revised Dec 2024.
- Olkhov, Victor, 2023. "The Market-Based Probability of Stock Returns," MPRA Paper 116234, University Library of Munich, Germany.
- Qiao, Fang & Xu, Lai & Zhang, Xiaoyan & Zhou, Hao, 2024. "Variance risk premiums in emerging markets," Journal of Banking & Finance, Elsevier, vol. 167(C).
- Nagel, Stefan & Xu, Zhengyang, 2023.
"Dynamics of subjective risk premia,"
Journal of Financial Economics, Elsevier, vol. 150(2).
- Nagel, Stefan & Xu, Zhengyang, 2022. "Dynamics of Subjective Risk Premia," CEPR Discussion Papers 17064, C.E.P.R. Discussion Papers.
- Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," NBER Working Papers 29803, National Bureau of Economic Research, Inc.
- Stefan Nagel & Zhengyang Xu, 2022. "Dynamics of Subjective Risk Premia," CESifo Working Paper Series 9693, CESifo.
- VICTOR DeMIGUEL & ALBERTO MARTÍN‐UTRERA & RAMAN UPPAL, 2024. "A Multifactor Perspective on Volatility‐Managed Portfolios," Journal of Finance, American Finance Association, vol. 79(6), pages 3859-3891, December.
- Leland Bybee, 2023. "Surveying Generative AI's Economic Expectations," Papers 2305.02823, arXiv.org, revised May 2023.
- Jon Danielsson & Marcela Valenzuela & Ilknur Zer, 2023.
"The Impact of Risk Cycles on Business Cycles: A Historical View,"
The Review of Financial Studies, Society for Financial Studies, vol. 36(7), pages 2922-2961.
- Jón Daníelsson & Marcela Valenzuela & Ilknur Zer, 2022. "The impact of risk cycles on business cycles: a historical view," International Finance Discussion Papers 1358, Board of Governors of the Federal Reserve System (U.S.).
- Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2023. "The impact of risk cycles on business cycles: a historical view," LSE Research Online Documents on Economics 117384, London School of Economics and Political Science, LSE Library.
- Gu, Ming & Sun, Minxing & Xiong, Zhitao & Xu, Weike, 2024. "Market volatility and the trend factor," Finance Research Letters, Elsevier, vol. 65(C).
- Harshit Mishra & Parama Barai, 2024. "Entropy Augmented Asset Pricing Model: Study on Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 81-99, March.
- Naresh Bansal & Robert A. Connolly & Chris Stivers, 2022. "Beta and size equity premia following a high‐VIX threshold," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1491-1517, August.
- Bangsgaard, Christine & Kokholm, Thomas, 2024. "The lead–lag relation between VIX futures and SPX futures," Journal of Financial Markets, Elsevier, vol. 67(C).
- Pezzo, Luca & Zhu, Yinchu & Hassan, M. Kabir & Tian, Jiayuan, 2024. "Testing the boundaries of applicability of standard Stochastic Discount Factor models," Journal of Financial Stability, Elsevier, vol. 72(C).
- Cheng, Hang & Guo, Hui & Shi, Yongdong, 2024. "Multifactor conditional equity premium model: Evidence from China's stock market," Journal of Banking & Finance, Elsevier, vol. 161(C).
- Li, Kai & Liu, Jun, 2023. "Extrapolative asset pricing," Journal of Economic Theory, Elsevier, vol. 210(C).
- Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2024. "Why do rational investors like variance at the peak of a crisis? A learning-based explanation," Journal of Monetary Economics, Elsevier, vol. 142(C).
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