메뉴 건너뛰기




Volumn 76, Issue 4, 2003, Pages 613-644

Investigating the Behavior of Idiosyncratic Volatility

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0347569245     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/377033     Document Type: Article
Times cited : (305)

References (28)
  • 1
    • 0031161196 scopus 로고    scopus 로고
    • Intraday periodicity and volatility persistence in financial markets
    • Andersen, T. G., and Bollerslev, T. 1997. Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance 4 (June): 115-58.
    • (1997) Journal of Empirical Finance , vol.4 , Issue.JUNE , pp. 115-158
    • Andersen, T.G.1    Bollerslev, T.2
  • 3
    • 34848900983 scopus 로고
    • ARCH modeling in finance: A review of the theory and empirical evidence
    • Bollerslev, T.; Chou, R. Y.; and Kroner, K. F. 1992. ARCH modeling in finance: A review of the theory and empirical evidence. Journal of Econometrics 52 (April-May): 5-59.
    • (1992) Journal of Econometrics , vol.52 , Issue.APRIL-MAY , pp. 5-59
    • Bollerslev, T.1    Chou, R.Y.2    Kroner, K.F.3
  • 4
    • 70350121603 scopus 로고
    • ARCH models
    • R. F. Engle and D. McFadden (eds.). Amsterdam: North Holland
    • Bollerslev, T.; Engle, R. F.; and Nelson, D. B. 1994. ARCH models. In R. F. Engle and D. McFadden (eds.), Handbook of Econometrics, Vol. 4. Amsterdam: North Holland.
    • (1994) Handbook of Econometrics , vol.4
    • Bollerslev, T.1    Engle, R.F.2    Nelson, D.B.3
  • 5
    • 84993882002 scopus 로고
    • Good news, bad news, volatility, and beta
    • Braun, P. A.; Nelson, D. B.; and Sunier, A. M. 1995. Good news, bad news, volatility, and beta. Journal of Finance 50 (December): 1575-1603.
    • (1995) Journal of Finance , vol.50 , Issue.DECEMBER , pp. 1575-1603
    • Braun, P.A.1    Nelson, D.B.2    Sunier, A.M.3
  • 6
    • 0000433727 scopus 로고
    • A variance decomposition for stock returns
    • Campbell, J. Y. 1991. A variance decomposition for stock returns. Economic Journal 101 (March): 157-79.
    • (1991) Economic Journal , vol.101 , Issue.MARCH , pp. 157-179
    • Campbell, J.Y.1
  • 7
    • 0002519023 scopus 로고    scopus 로고
    • Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
    • Campbell, J. Y.; Lettau, M.; Malkiel, B. G.; and Xu, Y. 2001. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance 56 (February): 1-43.
    • (2001) Journal of Finance , vol.56 , Issue.FEBRUARY , pp. 1-43
    • Campbell, J.Y.1    Lettau, M.2    Malkiel, B.G.3    Xu, Y.4
  • 8
    • 0002438484 scopus 로고    scopus 로고
    • Estimating deterministic trends in the presence of serially correlated errors
    • Canjels, E., and Watson, M. W. 1997. Estimating deterministic trends in the presence of serially correlated errors. Review of Economics and Statistics 79 (May): 184-200.
    • (1997) Review of Economics and Statistics , vol.79 , Issue.MAY , pp. 184-200
    • Canjels, E.1    Watson, M.W.2
  • 9
    • 84986384825 scopus 로고
    • Volatility persistence and stock valuations
    • Chou, R. Y. 1988. Volatility persistence and stock valuations. Journal of Applied Econometrics 3 (October-December): 279-94.
    • (1988) Journal of Applied Econometrics , vol.3 , Issue.OCTOBER-DECEMBER , pp. 279-294
    • Chou, R.Y.1
  • 10
    • 0001905231 scopus 로고    scopus 로고
    • The econometrics of ultra-high-frequency data
    • Engle, R. F. 2000. The econometrics of ultra-high-frequency data. Econometrica 68 (January): 1-22.
    • (2000) Econometrica , vol.68 , Issue.JANUARY , pp. 1-22
    • Engle, R.F.1
  • 11
    • 0031161249 scopus 로고    scopus 로고
    • Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
    • Engle, R. F., and Russell, J. R. 1997. Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model. Journal of Empirical Finance 4 (June): 187-212.
    • (1997) Journal of Empirical Finance , vol.4 , Issue.JUNE , pp. 187-212
    • Engle, R.F.1    Russell, J.R.2
  • 12
    • 0000373457 scopus 로고    scopus 로고
    • Autoregressive conditional duration: A new model for irregularly spaced transaction data
    • Engle, R. F., and Russell, J. R. 1998. Autoregressive conditional duration: A new model for irregularly spaced transaction data. Econometrica 66 (September): 1127-62.
    • (1998) Econometrica , vol.66 , Issue.SEPTEMBER , pp. 1127-1162
    • Engle, R.F.1    Russell, J.R.2
  • 13
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, E. F., and French, K. R. 1992. The cross-section of expected stock returns. Journal of Finance 47 (June): 427-65.
    • (1992) Journal of Finance , vol.47 , Issue.JUNE , pp. 427-465
    • Fama, E.F.1    French, K.R.2
  • 14
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, E. F., and French, K. R. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (February): 3-56.
    • (1993) Journal of Financial Economics , vol.33 , Issue.FEBRUARY , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 15
    • 84934453931 scopus 로고
    • The variation of economic risk premiums
    • Ferson, W. E., and Harvey, C. R. 1991. The variation of economic risk premiums. Journal of Political Economy 99 (April): 385-415.
    • (1991) Journal of Political Economy , vol.99 , Issue.APRIL , pp. 385-415
    • Ferson, W.E.1    Harvey, C.R.2
  • 16
    • 0030360244 scopus 로고    scopus 로고
    • Continuous record asymptotics for rolling sample variance estimators
    • Foster, D. P., and Nelson, D. B. 1996. Continuous record asymptotics for rolling sample variance estimators. Econometrica 64 (January): 139-74.
    • (1996) Econometrica , vol.64 , Issue.JANUARY , pp. 139-174
    • Foster, D.P.1    Nelson, D.B.2
  • 18
    • 67649497847 scopus 로고    scopus 로고
    • Stochastic volatility
    • G. S. Maddala (ed.). Amsterdam: North Holland
    • Ghysels, E.; Harvey, A.; and Renault, E. 1997. Stochastic volatility. In G. S. Maddala (ed.), Handbook of Statistics. Vol. 14. Amsterdam: North Holland.
    • (1997) Handbook of Statistics , vol.14
    • Ghysels, E.1    Harvey, A.2    Renault, E.3
  • 19
    • 0002340768 scopus 로고
    • The effect of seasonal adjustment filters on tests for a unit root
    • Ghysels, E., and Perron, P. 1993. The effect of seasonal adjustment filters on tests for a unit root. Journal of Econometrics 55 (January-February): 57-98.
    • (1993) Journal of Econometrics , vol.55 , Issue.JANUARY-FEBRUARY , pp. 57-98
    • Ghysels, E.1    Perron, P.2
  • 20
    • 0013469684 scopus 로고    scopus 로고
    • Institutional investors and equity prices
    • Gompers, P. A., and Metrick, A. 2001. Institutional investors and equity prices. Quarterly Journal of Economics 116 (February): 229-59.
    • (2001) Quarterly Journal of Economics , vol.116 , Issue.FEBRUARY , pp. 229-259
    • Gompers, P.A.1    Metrick, A.2
  • 21
    • 0039657041 scopus 로고    scopus 로고
    • The dynamics of discrete bid and ask quotes
    • Hasbrouck, J. 1999. The dynamics of discrete bid and ask quotes. Journal of Finance 54 (December): 2109-42.
    • (1999) Journal of Finance , vol.54 , Issue.DECEMBER , pp. 2109-2142
    • Hasbrouck, J.1
  • 22
    • 38249008015 scopus 로고
    • Research design issues in grouping-based tests
    • Lys, T., and Sabino, J. S. 1992. Research design issues in grouping-based tests. Journal of Financial Economics 32 (December): 355-87.
    • (1992) Journal of Financial Economics , vol.32 , Issue.DECEMBER , pp. 355-387
    • Lys, T.1    Sabino, J.S.2
  • 23
    • 0039861256 scopus 로고    scopus 로고
    • Idiosyncratic risk and security returns
    • Dallas: University of Texas at Dallas, School of Management
    • Malkiel, B. G., and Xu, Y. 2000. Idiosyncratic risk and security returns. Working paper. Dallas: University of Texas at Dallas, School of Management.
    • (2000) Working Paper
    • Malkiel, B.G.1    Xu, Y.2
  • 24
    • 84974220416 scopus 로고
    • Partially adaptive estimation of regression models via the generalized f-distribution
    • McDonald, J. B., and Newey, W. K. 1988. Partially adaptive estimation of regression models via the generalized f-distribution. Econometric Theory 4:428-57.
    • (1988) Econometric Theory , vol.4 , pp. 428-457
    • McDonald, J.B.1    Newey, W.K.2
  • 25
    • 43149089991 scopus 로고
    • A generalization of the beta distribution with applications
    • McDonald, J. B., and Xu, Y. 1995. A generalization of the beta distribution with applications. Journal of Econometrics 66 (March-April): 133-52.
    • (1995) Journal of Econometrics , vol.66 , Issue.MARCH-APRIL , pp. 133-152
    • McDonald, J.B.1    Xu, Y.2
  • 26
    • 84977707955 scopus 로고
    • Why does stock market volatility change over time?
    • Schwert, G. W. 1989. Why does stock market volatility change over time? Journal of Finance 44 (December): 1115-53.
    • (1989) Journal of Finance , vol.44 , Issue.DECEMBER , pp. 1115-1153
    • Schwert, G.W.1
  • 27
    • 84977727648 scopus 로고
    • Heteroskedasticity in stock returns
    • Schwert, G. W., and Seguin, P. J. 1990. Heteroskedasticity in stock returns. Journal of Finance 45 (September): 1129-55.
    • (1990) Journal of Finance , vol.45 , Issue.SEPTEMBER , pp. 1129-1155
    • Schwert, G.W.1    Seguin, P.J.2
  • 28
    • 0001760867 scopus 로고    scopus 로고
    • Trend function hypothesis testing in the presence of serial correlation
    • Vogelsang, T. 1998. Trend function hypothesis testing in the presence of serial correlation. Econometrica 66 (January): 123-48.
    • (1998) Econometrica , vol.66 , Issue.JANUARY , pp. 123-148
    • Vogelsang, T.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.