Why Does Stock Market Volatility Change Over Time? A Time-Varying Variance Decomposition for Stock Returns
Author:
Publisher
Elsevier BV
Reference53 articles.
1. Measuring international economic linkages with stock market data;John Ammer;Journal of Finance,1996
2. Stock Return Predictability: Is it There?
3. Investing for the long run when returns are predictable;Nicholas Barberis;Journal of Finance,2000
4. ARCH modeling in finance;Tim Bollerslev;Journal of Econometrics,1992
5. What moves the stock and bond markets? A variance decomposition for long-term asset returns;John Y Campbell;Journal of Political Economy,1991
Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Numerical solution of American option pricing problem with volatility regimes;THE 5TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE IN INFORMATION SYSTEMS (CIIS 2022): Intelligent and Resilient Digital Innovations for Sustainable Living;2023
2. Conditions for the Growth of the “Silver Economy” in the Context of Sustainable Development Goals: Peculiarities of Russia;Journal of Risk and Financial Management;2021-08-25
3. Effectiveness of investment activities of managers in the mandatory pension insurance system;St Petersburg University Journal of Economic Studies;2020
4. A semi-analytic valuation of American options under a two-state regime-switching economy;Physica A: Statistical Mechanics and its Applications;2020-01
5. Complexity and endogenous instability;Research in International Business and Finance;2014-01
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3