-
2
-
-
0036198446
-
Short rate nonlinearities and regime switches
-
_. "Short Rate Nonlinearities and Regime Switches." Journal of Economic Dynamics and Control, 26 (2002b), 1243-1274.
-
(2002)
Journal of Economic Dynamics and Control
, vol.26
, pp. 1243-1274
-
-
-
3
-
-
15844399071
-
How regimes affect asset allocation
-
_. "How Regimes Affect Asset Allocation" Financial Analysts Journal, 60 (2004), 86-99.
-
(2004)
Financial Analysts Journal
, vol.60
, pp. 86-99
-
-
-
4
-
-
0037839145
-
Delta-hedged gains and the negative market volatility risk premium
-
Bakshi, G., and N. Kapadia. "Delta-Hedged Gains and the Negative Market Volatility Risk Premium." Review of Financial Studies, 16 (2003), 527-566.
-
(2003)
Review of Financial Studies
, vol.16
, pp. 527-566
-
-
Bakshi, G.1
Kapadia, N.2
-
5
-
-
0001449462
-
Why don't the prices of stocks and bonds move together?
-
Barsky, R. "Why Don't the Prices of Stocks and Bonds Move Together?" American Economic Review, 79 (1989), 1132-1145.
-
(1989)
American Economic Review
, vol.79
, pp. 1132-1145
-
-
Barsky, R.1
-
6
-
-
10944262541
-
Stock and bond pricing in an affine economy
-
Columbia Univ.
-
Bekaert, G., and S. Grenadier. "Stock and Bond Pricing in an Affine Economy." Working Paper, Columbia Univ. (2001).
-
(2001)
Working Paper
-
-
Bekaert, G.1
Grenadier, S.2
-
7
-
-
0012676386
-
Forecasting S&P 100 volatility: The incremental information content of implied volatilities and high-frequency index returns
-
Blair, B.; S. Poon; and S. Taylor. "Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High-frequency Index Returns." Journal of Econometrics, 105 (2001), 5-26.
-
(2001)
Journal of Econometrics
, vol.105
, pp. 5-26
-
-
Blair, B.1
Poon, S.2
Taylor, S.3
-
8
-
-
70349218800
-
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
-
Bollerslev, T., and J. Wooldridge. "Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances." Econometric Reviews, 11 (1992), 143-172.
-
(1992)
Econometric Reviews
, vol.11
, pp. 143-172
-
-
Bollerslev, T.1
Wooldridge, J.2
-
10
-
-
84993921339
-
What moves the stock and bond markets? A variance decomposition for long-term asset returns
-
Campbell, J., and J. Ammer. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns." Journal of Finance, 48 (1993), 3-37.
-
(1993)
Journal of Finance
, vol.48
, pp. 3-37
-
-
Campbell, J.1
Ammer, J.2
-
12
-
-
0002519023
-
Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk
-
Campbell, J.; M. Lettau; B. Malkiel; and Y. Xu. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk." Journal of Finance, 56 (2001), 1-43.
-
(2001)
Journal of Finance
, vol.56
, pp. 1-43
-
-
Campbell, J.1
Lettau, M.2
Malkiel, B.3
Xu, Y.4
-
13
-
-
0000218139
-
Forecasting crashes: Trading volume, past returns and conditional skewness in stock prices
-
Chen, J.; H. Hong; and J. Stein. "Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices." Journal of Financial Economics, 61 (2001), 345-381.
-
(2001)
Journal of Financial Economics
, vol.61
, pp. 345-381
-
-
Chen, J.1
Hong, H.2
Stein, J.3
-
14
-
-
14244265060
-
Common determinants of bond and stock market liquidity: The impact of financial crises, monetary policy, and mutual fund flows
-
Emory Univ., the Federal Reserve Bank of New York, and UCLA
-
Chordia, T.; A. Sarkar; and A. Subrahmanyam. "Common Determinants of Bond and Stock Market Liquidity: The Impact of Financial Crises, Monetary Policy, and Mutual Fund Flows." Working Paper, Emory Univ., the Federal Reserve Bank of New York, and UCLA (2001).
-
(2001)
Working Paper
-
-
Chordia, T.1
Sarkar, A.2
Subrahmanyam, A.3
-
15
-
-
0000243642
-
The relation between implied and realized volatility
-
Christensen, B., and N. Prabhala. "The Relation between Implied and Realized Volatility." Journal of Financial Economics, 50 (1998), 125-150.
-
(1998)
Journal of Financial Economics
, vol.50
, pp. 125-150
-
-
Christensen, B.1
Prabhala, N.2
-
16
-
-
0142157065
-
Momentum and reversals in equity-index returns during periods of abnormal turnover and return dispersion
-
Connolly, R., and C. Stivers. "Momentum and Reversals in Equity-Index Returns during Periods of Abnormal Turnover and Return Dispersion." Journal of Finance, 58 (2003), 1521-1556.
-
(2003)
Journal of Finance
, vol.58
, pp. 1521-1556
-
-
Connolly, R.1
Stivers, C.2
-
17
-
-
0041030608
-
Expected option returns
-
Coval, J., and T. Shumway. "Expected Option Returns." Journal of Finance, 56 (2001), 983-1009.
-
(2001)
Journal of Finance
, vol.56
, pp. 983-1009
-
-
Coval, J.1
Shumway, T.2
-
18
-
-
77955183648
-
Inflation and earnings uncertainty and the volatility of asset prices: An empirical investigation
-
Univ. of Chicago
-
David, A., and P. Veronesi. "Inflation and Earnings Uncertainty and the Volatility of Asset Prices: An Empirical Investigation." Working Paper, Univ. of Chicago (2001).
-
(2001)
Working Paper
-
-
David, A.1
Veronesi, P.2
-
19
-
-
0041620035
-
Option prices with uncertain fundamentals: Theory and evidence on the dynamics of implied volatilities
-
Univ. of Chicago
-
_. "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities." Working Paper, Univ. of Chicago (2002).
-
(2002)
Working Paper
-
-
-
20
-
-
0002361162
-
Regime shifting with time-varying transitions probabilities
-
C. Hargreaves, ed. Oxford Univ. Press
-
Diebold, F.; J. Lee; and G. Weinbach. "Regime Shifting with Time-Varying Transitions Probabilities." In C. Hargreaves, ed. Time Series Analysis and Cointegration, Oxford Univ. Press (1994).
-
(1994)
Time Series Analysis and Cointegration
-
-
Diebold, F.1
Lee, J.2
Weinbach, G.3
-
21
-
-
0000274402
-
Aggregate price effects of institutional trading: A study of mutual fund flow and market returns
-
Edelen, R., and J. Warner. "Aggregate Price Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns." Journal of Financial Economics, 59 (2001), 195-220.
-
(2001)
Journal of Financial Economics
, vol.59
, pp. 195-220
-
-
Edelen, R.1
Warner, J.2
-
22
-
-
15844428489
-
Long swings in the dollar: Are they in the data and do markets know it?
-
Engel, C., and J. Hamilton. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?" Journal of Financial Economics, 25 (1990), 23-49.
-
(1990)
Journal of Financial Economics
, vol.25
, pp. 23-49
-
-
Engel, C.1
Hamilton, J.2
-
23
-
-
34250890715
-
Business conditions and expected returns on stocks and bonds
-
Fama, E., and K. French. "Business Conditions and Expected Returns on Stocks and Bonds." Journal of Financial Economics, 25 (1989), 23-49.
-
(1989)
Journal of Financial Economics
, vol.25
, pp. 23-49
-
-
Fama, E.1
French, K.2
-
24
-
-
0000642051
-
The quality of market volatility forecasts implied by S&P 100 index options
-
Fleming, J. "The Quality of Market Volatility Forecasts Implied by S&P 100 Index Options." Journal of Empirical Finance, 5 (1998), 317-345.
-
(1998)
Journal of Empirical Finance
, vol.5
, pp. 317-345
-
-
Fleming, J.1
-
25
-
-
0001266564
-
Information and volatility linkages in the stock, bond, and money markets
-
Fleming, J.; C. Kirby; and B. Ostdiek. "Information and Volatility Linkages in the Stock, Bond, and Money Markets." Journal of Financial Economics, 49 (1998), 111-137.
-
(1998)
Journal of Financial Economics
, vol.49
, pp. 111-137
-
-
Fleming, J.1
Kirby, C.2
Ostdiek, B.3
-
26
-
-
0037321512
-
The economic value of volatility timing using 'realized' volatility
-
_. "The Economic Value of Volatility Timing Using 'Realized' Volatility." Journal of Financial Economics, 67 (2003), 473-509.
-
(2003)
Journal of Financial Economics
, vol.67
, pp. 473-509
-
-
-
28
-
-
0002189762
-
The round-the-clock market for U.S. treasury securities
-
Federal Reserve Bank of New York
-
Fleming, M. "The Round-the-Clock Market for U.S. Treasury Securities." Economic Policy Review, Federal Reserve Bank of New York, 3 (1997), 9-32.
-
(1997)
Economic Policy Review
, vol.3
, pp. 9-32
-
-
Fleming, M.1
-
29
-
-
0003350474
-
No contagion, only interdependence: Measuring stock market comovements
-
Forbes, K., and R. Rigobon. "No Contagion, Only Interdependence: Measuring Stock Market Comovements." Journal of Finance, 57 (2002), 2223-2261.
-
(2002)
Journal of Finance
, vol.57
, pp. 2223-2261
-
-
Forbes, K.1
Rigobon, R.2
-
30
-
-
0030242133
-
Modeling the conditional distribution of interest rates as a regime-switching process
-
Gray, S. "Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process." Journal of Financial Economics, 42 (1996), 27-62.
-
(1996)
Journal of Financial Economics
, vol.42
, pp. 27-62
-
-
Gray, S.1
-
32
-
-
0003410290
-
-
Princeton, NJ: Princeton Univ. Press
-
Hamilton, J. Time-Series Analysis, Princeton, NJ: Princeton Univ. Press (1994).
-
(1994)
Time-series Analysis
-
-
Hamilton, J.1
-
33
-
-
21344493808
-
Differences of opinion make a horse race
-
Harris, M., and A. Raviv. "Differences of Opinion Make a Horse Race." Review of Financial Studies, 6 (1993), 473-506.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 473-506
-
-
Harris, M.1
Raviv, A.2
-
35
-
-
2942745821
-
The impact of the federal reserve bank's open market operations
-
Harvey, C., and R. Huang. "The Impact of the Federal Reserve Bank's Open Market Operations." Journal of Financial Markets, 6 (2002), 223-257.
-
(2002)
Journal of Financial Markets
, vol.6
, pp. 223-257
-
-
Harvey, C.1
Huang, R.2
-
36
-
-
4243088649
-
Evaluating the effects of incomplete markets on risk sharing and asset pricing
-
Heaton, J., and D. Lucas. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing." Journal of Political Economy, 104 (1996), 443-487.
-
(1996)
Journal of Political Economy
, vol.104
, pp. 443-487
-
-
Heaton, J.1
Lucas, D.2
-
37
-
-
46149129689
-
Predicting returns in bond and stock markets
-
Keim, D., and R. Stambaugh. "Predicting Returns in Bond and Stock Markets." Journal of Financial Economics, 17 (1986), 357-390.
-
(1986)
Journal of Financial Economics
, vol.17
, pp. 357-390
-
-
Keim, D.1
Stambaugh, R.2
-
39
-
-
0003151378
-
Transmission of volatility between stock markets
-
King, M., and S. Wadhwani. "Transmission of Volatility between Stock Markets." Review of Financial Studies, 3 (1990), 5-33.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 5-33
-
-
King, M.1
Wadhwani, S.2
-
40
-
-
0013067956
-
A rational expectations model of financial contagion
-
Kodres, L., and M. Pritsker. "A Rational Expectations Model of Financial Contagion." Journal of Finance, 57 (2002), 769-799.
-
(2002)
Journal of Finance
, vol.57
, pp. 769-799
-
-
Kodres, L.1
Pritsker, M.2
-
41
-
-
0001771044
-
Does the October 1987 crash strengthen the comovements among national stock markets?
-
Lee, S., and K. Kim. "Does the October 1987 Crash Strengthen the Comovements among National Stock Markets?" Review of Financial Economics, 3 (1993), 89-102.
-
(1993)
Review of Financial Economics
, vol.3
, pp. 89-102
-
-
Lee, S.1
Kim, K.2
-
42
-
-
34147114572
-
Correlation of stock and bond returns
-
Yale Univ.
-
Li, L. "Correlation of Stock and Bond Returns." Working Paper, Yale Univ. (2002).
-
(2002)
Working Paper
-
-
Li, L.1
-
43
-
-
0034382837
-
Trading volume: Definitions, data analysis, and implications of portfolio theory
-
Lo, A., and J. Wang. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory." Review of Financial Studies, 13 (2000), 257-300.
-
(2000)
Review of Financial Studies
, vol.13
, pp. 257-300
-
-
Lo, A.1
Wang, J.2
-
44
-
-
33845717677
-
Market prices of risk and return predictability in a joint stock-bond pricing model
-
Yale Univ.
-
Mamaysky, H. "Market Prices of Risk and Return Predictability in a Joint Stock-Bond Pricing Model." Working Paper, Yale Univ. (2002).
-
(2002)
Working Paper
-
-
Mamaysky, H.1
-
45
-
-
0038793952
-
Stock market return dynamics, option volume, and the information content of implied volatility
-
Mayhew, S., and C. Stivers. "Stock Market Return Dynamics, Option Volume, and the Information Content of Implied Volatility." Journal of Futures Markets, 23 (2003), 615-646.
-
(2003)
Journal of Futures Markets
, vol.23
, pp. 615-646
-
-
Mayhew, S.1
Stivers, C.2
-
46
-
-
0001738730
-
An intertemporal capital asset pricing model
-
Merton, R. "An Intertemporal Capital Asset Pricing Model." Econometrica, 41 (1973), 867-887.
-
(1973)
Econometrica
, vol.41
, pp. 867-887
-
-
Merton, R.1
-
47
-
-
0000706085
-
A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, W., and K. West. "A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix." Econometrica, 55 (1987), 703-708.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.1
West, K.2
-
48
-
-
84977707955
-
Why does stock market volatility change over time?
-
Schwert, G. W. "Why Does Stock Market Volatility Change over Time?" Journal of Finance, 44 (1989), 1115-1153.
-
(1989)
Journal of Finance
, vol.44
, pp. 1115-1153
-
-
Schwert, G.W.1
-
50
-
-
21144464942
-
Volume, volatility, and the dispersion of beliefs
-
Shalen, C. "Volume, Volatility, and the Dispersion of Beliefs." Review of Financial Studies, 6 (1993), 405-434.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 405-434
-
-
Shalen, C.1
-
51
-
-
0002629076
-
Stock prices and bond yields: Can their comovements be explained in terms of present value models?
-
Shiller, R., and A. Beltratti. "Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models?" Journal of Monetary Economics, 6 (1992), 405-434.
-
(1992)
Journal of Monetary Economics
, vol.6
, pp. 405-434
-
-
Shiller, R.1
Beltratti, A.2
-
52
-
-
23044525776
-
Financial market responses to monetary policy changes in the 1990's
-
Urich, T., and P. Wachtel. "Financial Market Responses to Monetary Policy Changes in the 1990's." Contemporary Economic Policy, 19 (2001), 254-267.
-
(2001)
Contemporary Economic Policy
, vol.19
, pp. 254-267
-
-
Urich, T.1
Wachtel, P.2
-
53
-
-
0033407259
-
Stock market overreaction to bad news in good times: A rational expectations equilibrium model
-
Veronesi, P. "Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model." Review of Financial Studies, 12 (1999), 975-1007.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 975-1007
-
-
Veronesi, P.1
-
54
-
-
15844431479
-
Belief-dependent utilities, aversion to state-uncertainty and asset prices
-
Univ. of Chicago
-
_. "Belief-Dependent Utilities, Aversion to State-Uncertainty and Asset Prices." Working Paper, Univ. of Chicago (2001).
-
(2001)
Working Paper
-
-
-
55
-
-
84937302781
-
A model of competitive stock trading volume
-
Wang, J. "A Model of Competitive Stock Trading Volume." Journal of Political Economy, 102 (1994), 127-168.
-
(1994)
Journal of Political Economy
, vol.102
, pp. 127-168
-
-
Wang, J.1
-
56
-
-
0001273817
-
Aggregate mutual fund flows and security returns
-
Warther, V. "Aggregate Mutual Fund Flows and Security Returns." Journal of Financial Economics, 39 (1995), 209-235.
-
(1995)
Journal of Financial Economics
, vol.39
, pp. 209-235
-
-
Warther, V.1
-
57
-
-
0034377199
-
Stock market risk and returns: An equilibrium approach
-
Whitelaw, R. "Stock Market Risk and Returns: An Equilibrium Approach." Review of Financial Studies, 13 (2000), 521-547.
-
(2000)
Review of Financial Studies
, vol.13
, pp. 521-547
-
-
Whitelaw, R.1
|