What Ties Return Volatilities to Price Valuations and Fundamentals?
By Alexander David, Pietro Veronesi. Journal of Political Economy, 2013
238 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/dec9be2cb113e7a0e0503c9d2d39516dbf29b6bd
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In Economics and Econometrics
- Allan G. Timmermann
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- Andrew J. Patton
- Geert Bekaert
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In Finance
- Allan G. Timmermann
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Citations in the corpus
- Regime Changes and Financial Markets (2012, background): “David and Veronesi (2009) consider a three-regime model with transitory “good” and “bad” regimes and a more persistent “normal” regime in fundamentals.”
- Bond Market Exposures to Macroeconomic and Monetary Policy Risks (2017, unknown): “The works that come closest to my paper are Burkhardt and Hasseltoft (2012), Campbell, Pflueger, and Viceira (2013) and David and Veronesi (2013).”
- Anticipating Long‐Term Stock Market Volatility (2014, unknown): “We conjecture that survey based ex-ante uncertainty measures are more appropriate than ex-post regression based volatility proxies (see also David and Veronesi, 2009, and Arnold and Vrugt, 2008).”
- Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables (2012, unknown): “The first test, proposed by Giacomini and White (2006), is equivalent to the Diebold and Mariano (1995) test for equal predictive ability.”
- Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors (2012, unknown): “The message worth conveying is that the variance of the permanent (and transitory) component from an asset pricing model is denominated in the same units of riskiness as the bounds recovered from the data, a trait that our framework shares also with the studies of Hansen and Jagannathan (1991); Bern”
- Appendix: Monetary Policy Drivers of Bond and Equity Risks (2020, unknown): “Second, our regimes differ in an important dimension from the model of David and Veronesi (2013), where learning about regimes has important effects on bond and equity risks.”