The Specification of Conditional Expectations

By Campbell R. Harvey. 2001

339 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bfabd44e50b3d559ab2a4d3659d2f643cb27c751

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

The empirical risk–return relation: A factor analysis approach ☆ (2006, background): “…criticism of the existing empirical literature is that the estimated relation between the conditional mean and conditional volatility of excess returns often depends on the parametric model of volatility, e.g., GARCH, EGARCH, stochastic volatility, or kernel density estimation (Harvey, 2001).”
MIDAS Regressions: Further Results and New Directions (2007, methodology): “Using different methods, Campbell (1987) and Nelson (1991) find a significantly negative relation, whereas Glosten et al. (1993), Harvey (2001), and Turner et al. (1989) find both a positive and a negative relation depending on the method used.”
Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices (2002, positive): “One such mechanism is countercyclical variation in the aggregate risk aversion and the market price of risk, as shown by Campbell and Cochrane (1999). This effect arises in our model as a result of heterogeneity in risk preferences among (12)Several papers make progress along these dimensions, e.g.,”
Portfolio and Financing Adjustments for U.S. Banks: Some Empirical Evidence (2008, neutral): “…observed in the empirical work of Fama and French (1989), Ferson and Harvey (1991), Hardouvelis and Wizman (1992), Harrison and Zhang (1999), and Harvey (2001) among others, and the 11 theoretical work of Campbell and Cochrane (1999), Chan and Kogin (2002), and Bekaert, Engstrom, and Grenadier…”
Time-varying beta: a boundedly rational equilibrium approach (2010, neutral): “2More recently, Harvey (2001) used instrumental variables to estimate betas and showed that the estimates are very sensitive to the choice of instruments used to proxy for time-variation in the conditional betas.”
THE INTERTEMPORAL RELATION BETWEEN EXPECTED RETURNS AND RISK (2008, background): “Examples include Campbell (1987), Breen, Glosten, and Jagannathan (1989), Turner, Startz, and Nelson (1989), Nelson (1991), Glosten, Jagannathan, and Runkle (1993), Whitelaw (1994), and Harvey (2001).”
CAPM Over the Long-Run: 1926-2001 (2003, neutral): “However, Harvey (2001) finds that the results in estimating time-varying expected return models crucially depend on the set of regressors.”
There is a Risk-Return Tradeoff after All (2005, neutral): “Glosten, Jagannathan, and Runkle (1993), Harvey (2001), and Turner, Startz, and Nelson (1989) find both a positive and a negative relation depending on the method used.”
Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk (2006, background): “When q = 1 and 2 2 V V ∗ = , (A4) reduces to the expression of Jagannathan and Wang (1998, Theorem 1). This can be seen by replacing (A3) into (A4), and substituting analytically for V2. The term V3 corresponds to the original covariance matrix of pricing errors as proposed by Fama-MacBeth (1973) wh”
Asset pricing and ambiguity: Empirical evidence (2018, neutral): “Some have dealt with the econometric methodology employed to estimate the conditional variance (e.g., Glosten et al. (1993) and Harvey (2001)) while others have proposed alternative risk measures (e.g., Ghysels et al. (2005)).”
The impact of risk and uncertainty on expected returns. (2009, background): “Glosten, Jagannathan, and Runkle (1993), Harvey (2001), and Turner, Startz, and Nelson (1989) find both a positive and a negative relation depending on the estimation method used.”
On the Relationship between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach (2004, background): “Furthermore, the evidence on the time-series relationship between the conditional mean and volatility of stock returns is inconclusive and depends on the model and exogenous predictors used to draw inferences (e.g., Harvey, 2001).”
Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables (2012, neutral): “• Consumption-wealth ratio (cay): The consumption-wealth ratio (cay), proposed by Lettau and Ludvigson (2001), is the residual obtained from estimating a co-integrating relation between aggregate consumption, wealth, and labor income.”