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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Citations

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Cited by:

  1. Chang, Hao-Wen & Chang, Tsangyao & Lee, Chien-Chiang, 2023. "Return and volatility connectedness among the BRICS stock and oil markets," Resources Policy, Elsevier, vol. 86(PA).
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  3. Li, Longqing, 2017. "A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk," MPRA Paper 85645, University Library of Munich, Germany.
  4. Fuentes Vélez, Mariana & Pinilla Barrera, Alejandro, 2021. "Transmisión de volatilidad en el Mercado Integrado Latinoamericano (MILA): una evidencia del grado de integración. || Transmission of volatility in the Latin American Integrated Market (MILA): evidenc," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 31(1), pages 301-328, June.
  5. Naifar, Nader & Hammoudeh, Shawkat & Al dohaiman, Mohamed S., 2016. "Dependence structure between sukuk (Islamic bonds) and stock market conditions: An empirical analysis with Archimedean copulas," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 148-165.
  6. Rui Luo & Weinan Zhang & Xiaojun Xu & Jun Wang, 2017. "A Neural Stochastic Volatility Model," Papers 1712.00504, arXiv.org, revised Dec 2018.
  7. Diether Beuermann & Antonios Antoniou & Alejandro Bernales, 2005. "The Dynamics of the Short-Term Interest Rate in the UK," Finance 0512029, University Library of Munich, Germany.
  8. Beatriz Mota Aragón, 2011. "Capital Investments and Real Options: New Proposals," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 65-76.
  9. Yiguo Sun & Ximing Wu, 2018. "Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study," JRFM, MDPI, vol. 11(2), pages 1-20, June.
  10. Lisa A. Kramer & Mark J. Kamstra & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September.
  11. Kamal, Javed Bin & Hassan, M. Kabir, 2022. "Asymmetric connectedness between cryptocurrency environment attention index and green assets," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
  12. Hasan, Amena & Dowla, Asif-Ud & Tarannum, Ramisa, 2024. "Financial Inclusion and Economic Growth in Developing Nations: A Case Study of Bangladesh," MPRA Paper 120213, University Library of Munich, Germany, revised 08 Feb 2024.
  13. Kuan, Chung-Ming & Yeh, Jin-Huei & Hsu, Yu-Chin, 2009. "Assessing value at risk with CARE, the Conditional Autoregressive Expectile models," Journal of Econometrics, Elsevier, vol. 150(2), pages 261-270, June.
  14. Takaishi, Tetsuya, 2018. "Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 139-154.
  15. Han, Chulwoo & Park, Frank C., 2022. "A geometric framework for covariance dynamics," Journal of Banking & Finance, Elsevier, vol. 134(C).
  16. Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
  17. George Filis & Christos Floros & Bruno Eeckels, 2011. "Option listing, returns and volatility: evidence from Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1423-1435.
  18. Jiawei Du, 2020. "A Research on Cross-sectional Return Dispersion and Volatility of US Stock Market during COVID-19," Papers 2007.11546, arXiv.org, revised Mar 2021.
  19. Yaya, OlaOluwa & Ogbonna, Ahamuefula, 2018. "Modelling crude oil-petroleum products’ price nexus using dynamic conditional correlation GARCH models," MPRA Paper 91227, University Library of Munich, Germany.
  20. Eric Benhamou & David Saltiel & Serge Tabachnik & Sui Kai Wong & François Chareyron, 2021. "Distinguish the indistinguishable: a Deep Reinforcement Learning approach for volatility targeting models," Working Papers hal-03202431, HAL.
  21. Huang, Shoujun & Bossman, Ahmed & Gubareva, Mariya & Teplova, Tamara, 2024. "International transmission of shocks and African forex markets," Energy Economics, Elsevier, vol. 131(C).
  22. Elena Andreou & Alessandra Pelloni & Marianne Sensier, 2008. "Is Volatility Good for Growth? Evidence from the G7," Economics Discussion Paper Series 0804, Economics, The University of Manchester.
  23. Sujay Mukhoti & Pritam Ranjan, 2016. "Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors," Papers 1605.02418, arXiv.org.
  24. Hou, Yang & Li, Steven, 2013. "Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 109-131.
  25. Herjuna Qobush Izzahdi & Ani Wilujeng Suryani, 2023. "COVID-19 Vaccination, Government Strict Policy and Capital Market Volatility: Evidence from ASEAN Countries," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 117-135.
  26. El Ouadghiri, Imane & Uctum, Remzi, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Economic Modelling, Elsevier, vol. 54(C), pages 218-234.
  27. Baur, Dirk G. & Dimpfl, Thomas & Jung, Robert C., 2012. "Stock return autocorrelations revisited: A quantile regression approach," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 254-265.
  28. Kuang, Wei, 2023. "The equity-oil hedge: A comparison between volatility and alternative risk frameworks," Energy, Elsevier, vol. 271(C).
  29. Umar, Muhammad & Mirza, Nawazish & Rizvi, Syed Kumail Abbas & Furqan, Mehreen, 2023. "Asymmetric volatility structure of equity returns: Evidence from an emerging market," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 330-336.
  30. Kulikova, Maria V. & Taylor, David R. & Kulikov, Gennady Yu., 2024. "Evolving efficiency of the BRICS markets," Economic Systems, Elsevier, vol. 48(1).
  31. Janelle Mann, 2016. "Rockets and feathers meet markup margins: Applications to the oil and gasoline industry," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 49(2), pages 772-788, May.
  32. Noori, Mohammad, 2024. "Stock-oil comovements through fear, uncertainty, and expectations: Evidence from conditional comoments," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 529-551.
  33. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
  34. Friedmann, Ralph & Sanddorf-Kohle, Walter G., 2007. "A conditional distribution model for limited stock index returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 721-741, March.
  35. Jonas Dovern & Hans Manner, 2020. "Order‐invariant tests for proper calibration of multivariate density forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 440-456, June.
  36. Eric Ghysels & Leonardo Iania & Jonas Striaukas, 2018. "Quantile-based Inflation Risk Models," Working Paper Research 349, National Bank of Belgium.
  37. Bohl, Martin T. & Diesteldorf, Jeanne & Siklos, Pierre L., 2015. "The effect of index futures trading on volatility: Three markets for Chinese stocks," China Economic Review, Elsevier, vol. 34(C), pages 207-224.
  38. Darrat, Ali F. & Zhong, Maosen & Cheng, Louis T.W., 2007. "Intraday volume and volatility relations with and without public news," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2711-2729, September.
  39. Becker, Ralf & Clements, Adam E., 2008. "Are combination forecasts of S&P 500 volatility statistically superior?," International Journal of Forecasting, Elsevier, vol. 24(1), pages 122-133.
  40. Riccardo Ferretti & Francesco Pattarin, 2008. "Is public information really public? The role of newspapers," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08013, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  41. Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Modelling S&P 100 volatility: The information content of stock returns," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1665-1679, September.
  42. Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
  43. Heonyong Jung, 2019. "Formulating and Estimating of Dynamic Nonlinear Model of Korea¡¯s Bilateral Trade Balance," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(5), pages 161-166, August.
  44. Peter Spencer, 2009. "An Admissible Macro-Finance Model of the US Treasury Market," Multinational Finance Journal, Multinational Finance Journal, vol. 13(1-2), pages 1-38, March-Jun.
  45. Wang, Bo & Xiao, Yang, 2023. "Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
  46. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
  47. Rand Kwong Yew Low, 2018. "Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 423-463, November.
  48. Sayantan Bandhu Majumder & Ranjanendra Narayan Nag, 2018. "Shock and Volatility Spillovers Among Equity Sectors of the National Stock Exchange in India," Global Business Review, International Management Institute, vol. 19(1), pages 227-240, February.
  49. Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments," Papers 2102.12694, arXiv.org.
  50. Turalay Kenc & Emrah Ismail Cevik & Sel Dibooglu, 2021. "Bank default indicators with volatility clustering," Annals of Finance, Springer, vol. 17(1), pages 127-151, March.
  51. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
  52. Asif, Raheel & Frömmel, Michael, 2022. "Exchange rate exposure for exporting and domestic firms in central and Eastern Europe," Emerging Markets Review, Elsevier, vol. 51(PA).
  53. Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori, 2017. "Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(7), pages 1248-1268, May.
  54. Isabel Casas & Helena Veiga, 2021. "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1015-1039, April.
  55. Tomanova, Lucie, 2013. "Exchange Rate Volatility and the Foreign Trade in CEEC," EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey 267, Ekonomik Yaklasim Association.
  56. Piotr Wdowiński & Aneta Zglińska-Pietrzak, 2005. "The Warsaw Stock Exchange Index WIG: Modeling and Forecasting," FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making, in: Władysław Milo & Piotr Wdowiński (ed.), Acta Universitatis Lodziensis. Folia Oeconomica nr 192/2005 - Issues in Modeling, Forecasting and Decision-Making in Financial Markets, edition 1, volume 127, chapter 7, pages 115-127, University of Lodz.
  57. Ľluboš Pástor & Robert F. Stambaugh, 2001. "The Equity Premium and Structural Breaks," Journal of Finance, American Finance Association, vol. 56(4), pages 1207-1239, August.
  58. Kreis, Yvonne & Leisen, Dietmar P.J., 2018. "Systemic risk in a structural model of bank default linkages," Journal of Financial Stability, Elsevier, vol. 39(C), pages 221-236.
  59. Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios, 2016. "Islamic financial markets and global crises: Contagion or decoupling?," Economic Modelling, Elsevier, vol. 57(C), pages 36-46.
  60. Hugo Inzirillo & Ludovic De Villelongue, 2022. "An Attention Free Long Short-Term Memory for Time Series Forecasting," Papers 2209.09548, arXiv.org.
  61. Wendy Nyakabawo & Rangan Gupta & Hardik A. Marfatia, 2018. "High-Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs and Aggregate US Housing Returns and Volatility: A GJR-GARCH Approach," Working Papers 201817, University of Pretoria, Department of Economics.
  62. Lee, Jim, 2002. "Federal funds rate target changes and interest rate volatility," Journal of Economics and Business, Elsevier, vol. 54(2), pages 159-191.
  63. Dinghai Xu, 2021. "A study on volatility spurious almost integration effect: A threshold realized GARCH approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4104-4126, July.
  64. Hui Guo & Robert F. Whitelaw, 2006. "Uncovering the Risk–Return Relation in the Stock Market," Journal of Finance, American Finance Association, vol. 61(3), pages 1433-1463, June.
  65. Chang, C-L. & McAleer, M.J., 2017. "The Fiction of Full BEKK," Econometric Institute Research Papers TI 2017-015/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  66. Ben-Salha, Ousama & Mokni, Khaled, 2022. "Detrended cross-correlation analysis in quantiles between oil price and the US stock market," Energy, Elsevier, vol. 242(C).
  67. Chang, Carolyn W. & Li, Xiaodan & Lin, Edward M.H. & Yu, Min-Teh, 2018. "Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 273-284.
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  69. Manfen Chen & Rohan Christie-David & William Moore, 2007. "Deregulation, news releases, and price discovery," Journal of Regulatory Economics, Springer, vol. 31(3), pages 289-312, June.
  70. Díaz-Mendoza, Ana-Carmen & Pardo, Angel, 2020. "Holidays, weekends and range-based volatility," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  71. Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2021. "High-Frequency Volatility Forecasting of US Housing Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 62(2), pages 283-317, February.
  72. Chi-Wei Su & Hui Yu & Hsu-Ling Chang & Xiao-Lin Li, 2017. "How does inflation determine inflation uncertainty? A Chinese perspective," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(3), pages 1417-1434, May.
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  75. Silvennoinen, Annastiina & Teräsvirta, Timo, 2024. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," Econometrics and Statistics, Elsevier, vol. 32(C), pages 57-72.
  76. Będowska-Sójka, Barbara & Górka, Joanna & Hemmings, Danial & Zaremba, Adam, 2024. "Uncertainty and cryptocurrency returns: A lesson from turbulent times," International Review of Financial Analysis, Elsevier, vol. 94(C).
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  78. Mendy, David & Widodo, Tri, 2018. "On the Inflation-Uncertainty Hypothesis in The Gambia: A Multi-Sample View on Causality Linkages," MPRA Paper 86743, University Library of Munich, Germany.
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