State-dependent volatility feedback effect in the ICAPM-Reference-Cited by-同舟云学术

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State-dependent volatility feedback effect in the ICAPM

Published:2024-01 Issue: Volume:59 Page:104700
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Kilic Osman,Nam Kiseok^ORCID,O'Connor Matthew L.

Publisher

Elsevier BV

Subject

Finance

Reference12 articles.

1. Investor sentiment and the cross-section of stock returns;Baker;J. Finance,2006

2. Why are stock returns and volatility negatively correlated?;Bae;J. Empir. Finance,2007

3. Asymmetric volatility and risk in equity markets;Bekaert;Rev. Financ. Stud.,2000

4. No news is good news: an asymmetric model of changing volatility in stock returns;Campbell;J. Financ. Econ.,1992

5. Leverage effect, volatility feedback, and self-exciting market disruptions;Carr;J. Financ. Quantit. Analy.,2017

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