Asymmetric stock market volatility and the cyclical behavior of expected returns

By A. Melé. 2007

242 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b5bd3f4f5b4da85062ad328eeaa1dd2938586e55

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Citations in the corpus

Asset Prices and Institutional Investors (2013, result): “This is consistent with the empirical evidence that the stock market volatility increases in bad times (Schwert (1989), Mele (2007)).”
Curbing the Credit Cycle (2015, unknown): “Theoretical explanations have been put forward by, among others, Campbell and Cochrane (1999) and Mele (2007), who show that habits and cyclically asymmetric risk premia respectively may generate counter cyclical volatility in asset pricing models.”
Learning from History: Volatility and Financial Crises (2016, unknown): “In addition, following Mele (2007); Fornari and Mele (2009); Corradi et al. (2013), we measure volatility as the sum of absolute monthly returns, instead of standard deviation.”
A Comprehensive Look at Financial Volatility Prediction by Economic Variables (2011, unknown): “Economic theory suggests that variables capturing time-varying risk premia are primary candidates for understanding and forecasting volatility (Mele, 2007).”
Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests (2016, background): “There is indeed evidence which suggests that stock market volatility is higher during recessions than during expansions, exhibiting a pronounced business cycle behaviour (see e.g., Officer, 1973; Schwert, 1989; Hamilton and Lin, 1996; Brandt and Kang, 2004; Mele, 2007).”
Testing for Granger Causality in Large Mixed-Frequency VARs (2016, unknown): “As argued in Miller (2011), if the aggregation scheme used to compute xt is different from the true underlying aggregation scheme, potentially crucial high-frequency information will be forfeited.”
Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014, unknown): “Equity risk premium volatility, RVOL: based on a 12-month moving standard deviation estimator (Mele 2007).2 6.”
Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables (2012, unknown): “, Bansal and Yaron, 2004), nonlinear relations between time-varying expected returns and the business cycle (Mele, 2007), learning effects related to investors’ uncertainty about fundamentals (e.”