Resolution of policy uncertainty and sudden declines in volatility-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Resolution of policy uncertainty and sudden declines in volatility

Published:2018-04 Issue:2 Volume:203 Page:297-315
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Amengual Dante,Xiu Dacheng

Funder

University of Chicago Booth School of Business

Spanish Ministry of Economy and Competitiveness

Santander Research chair

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference84 articles.

1. Stock returns and volatility: pricing the short-run and long-run components of market risk;Adrian;J. Finance,2008

2. Market-based estimation of stochastic volatility models;Aït-Sahalia;J. Econometrics,2015

3. Testing for jumps in a discretely observed process;Aït-Sahalia;Ann. Statist.,2009

4. The Term Structure of Variance Swaps, Risk Premia and the Expectations Hypothesis;Aït-Sahalia,2014

5. Estimating affine multifactor term structure models using closed-form likelihood expansions;Aït-Sahalia;J. Financ. Econ.,2010

Cited by 85 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. The term structure of interest rates as predictor of stock market volatility;International Journal of Finance & Economics;2024-08-16

2. Economic uncertainty, risk-taking incentives and production management;International Journal of Managerial Finance;2024-05-02

3. When uncertainty and volatility are disconnected: Implications for asset pricing and portfolio performance;Journal of Econometrics;2024-02

4. Climate policy uncertainty risk and sovereign bond volatility;Journal of Cleaner Production;2024-01

5. Measuring Trade Policy Uncertainty and Its Impact on Financial Market Volatility: A Perception-Based Approach;SSRN Electronic Journal;2024

同舟云学术

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