Multifrequency News and Stock Returns

By Laurent E. Calvet, Adlai J. Fisher. 2007

116 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d622196acfecec642a4b5f03d1b90766a03ccd83

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Citations in the corpus

Correlation Risk and Optimal Portfolio Choice (2010, unknown): “Calvet and Fisher (2007) develop an equilibrium model in which innovations in dividend volatility depend on shocks that decay with different frequencies.”
Accurate Methods for Approximate Bayesian Computation Filtering (2015, unknown): “We now apply our methodology to the multifractal equilibrium model of equity returns developed in Calvet & Fisher (2007, 2008).”
Regime Changes and Financial Markets (2012, unknown): “For the case shown in Figure 1, the ﬁrst-order autocorrelation of the series in levels is 0.28, while the ﬁrst-order autocorrelation for the squared series is 0.13.”
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2009, unknown): “assuming that the dividend growth volatility follows a multifractal process, as in Calvet and Fisher (2002), along with an Epstein–Zin–Weil-type representative agent, as in the model developed here, the equilibrium models in Calvet and Fisher (2007, 2008) are also able to generate endogenous volatil”
The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2010, background): “16Other papers which use Markov chains to model stochastic mean growth rates and volatilities, such as Kandel and Stambaugh (1991) and Calvet and Fisher (2007), do not exploit this feature of the Markov chain approach.”
The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment (2012, unknown): “A more recent calibration of the model by Bansal, Kiku, and Yaron (henceforth BKY, 2011) greatly increases the importance of changing volatility by increasing its persistence, somewhat in the spirit of Calvet and Fisher (2007, 2008).”
The Aggregate Dynamics of Capital Structure and Macroeconomic Risk (2010, background): “Target leverage is also 2See e.g. Hamilton (1989), Cecchetti, Lam, and Mark (1993), Whitelaw (2000), Hansen, Heaton, and Li (2006), Jobert and Rogers (2006), Calvet and Fisher (2007), and Calvet and Fisher (2008).”
How Much Would You Pay to Resolve Long-Run Risk? (2014, unknown): “It is assumed, for example, in Campbell and Cochrane (1999), Calvet and Fisher (2007), where dividends are separated from consumption, and in Barberis et al (2001).”