The stochastic volatility in mean model: empirical evidence from international stock markets

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Volatility puzzles: a simple framework for gauging return-volatility regressions (2006, unknown): “Moreover, the contemporaneous risk-return tradeoff appears sensitive to the use of ARCH as opposed to stochastic volatility formulations (Koopman and Uspensky, 2002), the length of the return horizon (Harrison and Zhang, 1999), along with the instruments and conditioning information used in…”
Policy uncertainty and aggregate fluctuations (2018, unknown): “The framework proposed in this paper can be thought of as a multivariate extension of the stochastic volatility in mean speci(cid:133)cation put forward by Koopman and Uspensky (2002) and applied by Berument, Yalcin and Yildirim (2009) and Lemoine and Mou-gin (2010).”
The Impact of the Volatility of Monetary Policy Shocks (2013, methodology): “The model proposed above can be thought of as a multivariate extension of the stochastic volatility in mean model proposed in Koopman and Uspensky (2002) and applied in Berument, Yalcin, and Yildirim (2009), Kwiatkowski (2010), and Lemoine and Mougin (2010).”
On the Relationship between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach (2004, background): “In fact, Lettau and Ludvigson (2001) document similar lead-lag interactions using different exogenous predictors, which is evidence in favor of the second possibility.”