Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk

By Tobias Adrian, Joshua V. Rosenberg. 2006

300 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/9084bfdc76b2bacafe4d3a4e41fb2d1f7dfcf2e0

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Citations in the corpus

Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012, unknown): “A¨ıt-Sahalia and Mancini (2008) show that using the two-scale estimator instead of standard realized volatility measures yields signiﬁcant gains in volatility forecasting.”
Realizing smiles: Options pricing with realized volatility (2013, unknown): “In addition, Adrian and Rosenberg (2008) show that a multi-components volatility model substantially improves the cross-sectional pricing of volatility risk. In this paper, we combine all these streams of literature and we introduce a new class of models that rely on the RV, featuring long-memory, m”
Investor Sentiment and Economic Forces (2017, background): “…money illusion (Cohen, Polk, and Vuolteenaho (2005)), and disagreement (Hong and Sraer 9Among others, see, Coval and Shumway (2001), Ang, Hodrick, Xing, and Zhang (2006), Adrian and Rosenberg (2008), Bansal, Kiku, Shaliastovich, and Yaron (2014), and Campbell, Giglio, Polk, and Turley (2012).”
When Does Idiosyncratic Risk Really Matter (2009, unknown): “With Equation (1) and (2), it is clear that the presence of idiosyncratic risk increases the expected return as long as qk is less than unity.”
Learning from History: Volatility and Financial Crises (2016, methodology): “Even if it were marked, it is hard to verify the precise timing of a crisis as (4)There is an extensive literature on volatility modeling following from the ARCH/GARCH models, including the ones that develop methods to identify long-run and short-run volatility, like Engle and Rangel (2008); Adrian ”
Carry Trades and Global Foreign Exchange Volatility (2012, unknown): “Motivated by these insights, several recent papers study how exposure to market volatility risk is priced in the cross section of returns on the stock market (Ang et al. (2006), Adrian and Rosenberg (2008), Da and Schaumburg (2008)).”
Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, unknown): “Finally, we construct themarket skewness factor as it is shown to be important for the short-term component by Adrian and Rosenberg (2008).”
High idiosyncratic volatility and low returns: International and further U.S. evidence (2008, unknown): “, we also consider contemporaneous L-FF factor loadings from equation (1) computed using daily data over the month fromt to t + 1.”
Consumption Volatility Risk (2012, unknown): “Adrian and Rosenberg (2008) perform a similar analysis.”
A Component Model for Dynamic Correlations (2011, background): “Ding and Granger (1996), Gallant, Hsu, and Tauchen (1999), Alizadeh, Brandt, and Diebold (2002), Chernov, Gallant, Ghysels, and Tauchen (2003), Adrian and Rosenberg (2004), Christoffersen, Jacobs, Ornthanalai, and Wang (2008), among many others. Chernov, Gallant, Ghysels, and Tauchen (2003) examine ”