Stock Returns and Volatility

By Benjamin Miranda Tabak, S. M. Guerra. 2002

290 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d33625cac278a5508c302251e2c951dc27fc8d13

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Citations in the corpus

Robust Conditional Variance Estimation and Value-at-Risk (2001, unknown): “…of returns is normal (see Nelson and Foster, 1996).3 However, there is considerable evidence that the conditional distribution of daily equity returns is not normal, but instead displays excess kurtosis (see, for instance, Baillie and DeGennaro, 1990; Bollerslev, Chou and Kroner, 1992).”
The day of the week effect on stock market volatility and volume: International evidence (2003, background): “Baillie and DeGennaro (1990) find no evidence of a relationship between portfolio mean returns and variance.”
The intertemporal capital asset pricing model with dynamic conditional correlations (2010, unknown): “Follow-up studies by Baillie and DeGennaro (1990), Campbell and Hentchel (1992), Glosten et al. (1993), Harrison and Zhang (1999), and Bollerslev and Zhou (2006) rely on the GARCH-in-mean and realized volatility models that provide no evidence for a robust, significant link between expected return…”
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates (2002, background): “First, this conditional normality is not assumed and, following Baillie and DeGennaro (1990) among others, this paper considers a Student-t -density aimed at accounting for the fat-tailed properties of the data.”
Central Bank intervention and foreign exchange rates: new evidence from FIGARCH estimations (2002, background): “5 Although the purpose is quite different (the analysis deals with the forward risk premium and no effect on volatility is considered), Baillie and Osterberg (1998) also combine central bank interventions and FIGARCH innovations.”
Is there a risk–return trade‐off? Evidence from high‐frequency data (2006, unknown): “…of future return volatility over the remaining life of the relevant 1 See French et al. (1987), Campbell (1987), Chou (1988), Scruggs (1998), Baillie and DeGennaro (1990), Nelson (1991), Campbell and Hentschel (1992), Chan et al. (1992), Chou et al. (1992), Glosten et al. (1993), Whitelaw…”
Managing extreme risks in tranquil and volatile markets using conditional extreme value theory (2004, background): “Among others, Baillie and DeGennaro (1990) as well as Poon and Taylor (1992) clearly demonstrate that the t distribution gives a better fit to financial return series.”
Risk Premia and the Dynamic Covariance between Stock and Bond Returns (2003, unknown): “1Papers in this literature include Campbell (1987), French, Schwert, and Stambaugh (1987), Harvey (1989), Turner, Startz, and Nelson (1989), Pagan and Hong (1989), Baillie and DeGennaro (1990), Nelson (1991), Campbell and Hentschel (1992), and Glosten, Jagannathan, and Runkle (1993). Whitelaw (1994)”
Investor Attention and Time-Varying Comovements (2007, unknown): “As shown in Peng (2005) and Peng and Xiong (2006), the market factor tends to carry more weight in most investors’ portfolios and it is in their best interest to quickly resolve the market uncertainty before processing other assetspecific information.”
Macroeconomic News Announcements and the Role of Expectations: Evidence for US Bond, Stock and Foreign Exchange Markets (2005, result): “Fifth, in terms of the stock market, information relating to prices, appears to be the primary source of news to which the mean market return responds which is consistent with the previous research of DeGennaro and Zhao (1998).”
Stock Market Openings: Experience of Emerging Economies (2000, methodology): “November 1989. Details. The liberalization began with the New Foreign Investment Regime in November 1989 (Park and Van Agtmael 1993, p. 326). Under this reform, all legal limits on the type and nature of foreign investments were abolished, and a free exchange regime was introduced. Capital, dividend”
The Relationship between Stock Returns and Volatility in International Stock Markets (2005, background): “As summarized in Baillie and DeGennarro (1990), most asset-pricing models (e.g., Sharpe, 1964; Linter, 1965; Mossin, 1966; Merton, 1973) postulate a positive relationship between a stock portfolio’s expected returns and volatility. On the other hand, there is also a long tradition in finance that mo”
Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model (2003, background): “Baillie and DeGennaro (1990) find a longer lag in the autocorrelation parameter. 5. As indicated by an anonymous referee as well as Hamao et al (1990) and Chiang and Chiang (1996), the volatility spillovers from the United States to other stock markets may be added to enhance the predictability of t”
MIDAS Regressions: Further Results and New Directions (2007, background): “To review the literature, Baillie and DeGennaro ( 1990 ), French et al.”