On the Relationship between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach

By Michael W. Brandt, Qiang Kang. 2004

172 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c58ff7b46f024fb20b8fd1852a27bc3e09d6e386

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Citations in the corpus

The intertemporal capital asset pricing model with dynamic conditional correlations (2010, methodology): “The intertemporal capital asset pricing model of Merton (1973) is examined using the dynamic conditional correlation (DCC) model of Engle (2002). The mean-reverting DCC model is used to estimate a stock’s (portfolio’s) conditional covariance with the market and test whether the conditional covarianc”
CAPM Over the Long-Run: 1926-2001 (2003, unknown): “This has the advantage of not relying on exogenous predictor variables to capture the time-variation in the betas and avoids any potential omitted variable biases from misspecifying the set of predictor variables (see Harvey, 2001; Brandt and Kang, 2002).”
Asset pricing and ambiguity: Empirical evidence (2018, unknown): “Another concern regarding our methodology for estimating ambiguity is that the measure f2 may be an outcome of time-varying risk or volatility innovation; see, for example, Brandt and Kang (2004). To address this concern, we test our model by introducing expected volatility of volatility (VolVol) in”
There is a Risk-Return Tradeoff after All (2005, unknown): “These findings are consistent with Brandt and Kang, 2004, and Whitelaw, 1994, who report a lagged relation between the conditional variance and the conditional mean.”
Estimation of Markov regime-switching regression models with endogenous switching (2003, unknown): “If the volatility feedback effect is strong enough, it 7 For a recent discussion of this result, see Brandt and Kang (2004). may create a negative contemporaneous correlation between realized returns and volatility in the data.”
Predictive Regressions: A Present-Value Approach (2010, unknown): “Our paper is closely related to the recent literature on present-value models, see Cochrane (2007), Lettau and Van Nieuwerburgh (2006), Pástor and Veronesi (2003), Pástor and Veronesi (2006), Pástor, Sinha, and Swaminathan (2007), Bekaert, Engstrom, and Grenadier (2001), Bekaert, Engstrom, and Grena”
Investor Sentiment and the Mean-Variance Relation (2011, background): “Campbell (1987), Nelson (1991), Whitelaw (1994), Lettau and Ludvigson (2003), and Brandt and Kang (2004) find a negative relation.”
Is there a risk–return trade‐off? Evidence from high‐frequency data (2006, unknown): “(1993), Whitelaw (1994), Harvey (1989, 2001), Goyal and Santa-Clara (2003), Brandt and Kang (2004), Lettau and Ludvigson (2004), Bollerslev and Zhou (2005), Ghysels et al.”
Testing the assumptions behind importance sampling (2009, background): “…Danielsson (1994), Shephard and Pitt (1997), Durbin and Koopman (1997), Sandmann and Koopman (1998), Durham and Gallant (2002), Durham (2003), Liesenfeld and Richard (2003), Brandt and Kang (2004), Durham (2006), Asai and McAleer (2006), Richard and Zhang (2007), and Jungbacker and Koopman (2007).”