@article{econhot_econhot-reading-21, title = {Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation}, author = {Robert F. Engle}, journal = {Econometrica}, year = {1982}, volume = {50}, number = {4}, pages = {987}, doi = {10.2307/1912773}, url = {https://doi.org/10.2307/1912773} } @article{econhot_econhot-reading-23, title = {Generalized autoregressive conditional heteroskedasticity}, author = {Tim Bollerslev}, journal = {Journal of Econometrics}, year = {1986}, volume = {31}, number = {3}, pages = {307-327}, doi = {10.1016/0304-4076(86)90063-1}, url = {https://doi.org/10.1016/0304-4076(86)90063-1} } @article{econhot_econhot-reading-44, title = {Comparing Predictive Accuracy}, author = {Francis X. Diebold and Roberto S. Mariano}, journal = {Journal of Business \& Economic Statistics}, year = {1995}, volume = {13}, number = {3}, pages = {253-263}, doi = {10.1080/07350015.1995.10524599}, url = {https://doi.org/10.1080/07350015.1995.10524599} } @article{econhot_econhot-reading-45, title = {Tests of Conditional Predictive Ability}, author = {Raffaella Giacomini and Halbert White}, journal = {Econometrica}, year = {2006}, volume = {74}, number = {6}, pages = {1545-1578}, doi = {10.1111/j.1468-0262.2006.00718.x}, url = {https://doi.org/10.1111/j.1468-0262.2006.00718.x} } @article{econhot_econhot-reading-52, title = {Modeling and Forecasting Realized Volatility}, author = {Torben G. Andersen and Tim Bollerslev and Francis X. Diebold and Paul Labys}, journal = {Econometrica}, year = {2003}, volume = {71}, number = {2}, pages = {579-625}, doi = {10.1111/1468-0262.00418}, url = {https://doi.org/10.1111/1468-0262.00418} } @article{econhot_econhot-reading-53, title = {Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models}, author = {Ole E. Barndorff-Nielsen and Neil Shephard}, journal = {Journal of the Royal Statistical Society Series B: Statistical Methodology}, year = {2002}, volume = {64}, number = {2}, pages = {253-280}, doi = {10.1111/1467-9868.00336}, url = {https://doi.org/10.1111/1467-9868.00336} } @article{econhot_econhot-reading-54, title = {A Tale of Two Time Scales}, author = {Lan Zhang and Per A Mykland and Yacine Aït-Sahalia}, journal = {Journal of the American Statistical Association}, year = {2005}, volume = {100}, number = {472}, pages = {1394-1411}, doi = {10.1198/016214505000000169}, url = {https://doi.org/10.1198/016214505000000169} } @article{econhot_econhot-reading-55, title = {Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise}, author = {Ole E. Barndorff-Nielsen and Peter Reinhard Hansen and Asger Lunde and Neil Shephard}, journal = {Econometrica}, year = {2008}, volume = {76}, number = {6}, pages = {1481-1536}, doi = {10.3982/ecta6495}, url = {https://doi.org/10.3982/ecta6495} } @article{econhot_econhot-reading-56, title = {CAViaR}, author = {Robert F Engle and Simone Manganelli}, journal = {Journal of Business \& Economic Statistics}, year = {2004}, volume = {22}, number = {4}, pages = {367-381}, doi = {10.1198/073500104000000370}, url = {https://doi.org/10.1198/073500104000000370} } @article{econhot_econhot-reading-58, title = {Dynamic Conditional Correlation}, author = {Robert Engle}, journal = {Journal of Business \& Economic Statistics}, year = {2002}, volume = {20}, number = {3}, pages = {339-350}, doi = {10.1198/073500102288618487}, url = {https://doi.org/10.1198/073500102288618487} } @article{econhot_econhot-reading-59, title = {Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?}, author = {John Y. Campbell and Samuel B. Thompson}, journal = {Review of Financial Studies}, year = {2008}, volume = {21}, number = {4}, pages = {1509-1531}, doi = {10.1093/rfs/hhm055}, url = {https://doi.org/10.1093/rfs/hhm055} } @article{econhot_econhot-reading-60, title = {A Comprehensive Look at The Empirical Performance of Equity Premium Prediction}, author = {Ivo Welch and Amit Goyal}, journal = {Review of Financial Studies}, year = {2008}, volume = {21}, number = {4}, pages = {1455-1508}, doi = {10.1093/rfs/hhm014}, url = {https://doi.org/10.1093/rfs/hhm014} } @article{econhot_econhot-reading-61, title = {Regression Shrinkage and Selection Via the Lasso}, author = {Robert Tibshirani}, journal = {Journal of the Royal Statistical Society Series B: Statistical Methodology}, year = {1996}, volume = {58}, number = {1}, pages = {267-288}, doi = {10.1111/j.2517-6161.1996.tb02080.x}, url = {https://doi.org/10.1111/j.2517-6161.1996.tb02080.x} } @article{econhot_econhot-cited-ae61d95ff862a3a1, title = {Illiquidity and stock returns: cross-section and time-series effects}, author = {Yakov Amihud}, journal = {Journal of Financial Markets}, year = {2002}, volume = {5}, number = {1}, pages = {31-56}, doi = {10.1016/s1386-4181(01)00024-6}, url = {https://doi.org/10.1016/s1386-4181(01)00024-6} } @article{econhot_econhot-cited-109d8e9516234dcf, title = {Conditional Heteroskedasticity in Asset Returns: A New Approach}, author = {Daniel B. Nelson}, journal = {Econometrica}, year = {1991}, volume = {59}, number = {2}, pages = {347}, doi = {10.2307/2938260}, url = {https://doi.org/10.2307/2938260} } @article{econhot_econhot-cited-c871b31c8f0d7e5b, title = {A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options}, author = {Steven L. Heston}, journal = {Review of Financial Studies}, year = {1993}, volume = {6}, number = {2}, pages = {327-343}, doi = {10.1093/rfs/6.2.327}, url = {https://doi.org/10.1093/rfs/6.2.327} } @article{econhot_econhot-cited-4ae0c51b282a631a, title = {On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks}, author = {Lawrence R. Glosten and Ravi Jagannathan and David Edward Runkle}, journal = {The Journal of Finance}, year = {1993}, volume = {48}, number = {5}, pages = {1779-1801}, doi = {10.1111/j.1540-6261.1993.tb05128.x}, url = {https://doi.org/10.1111/j.1540-6261.1993.tb05128.x} } @article{econhot_econhot-cited-f7b3a85dbb269b7d, title = {Better to give than to receive: Predictive directional measurement of volatility spillovers}, author = {Francis X. Diebold and Kamil Yılmaz}, journal = {International Journal of Forecasting}, year = {2011}, volume = {28}, number = {1}, pages = {57-66}, doi = {10.1016/j.ijforecast.2011.02.006}, url = {https://doi.org/10.1016/j.ijforecast.2011.02.006} } @article{econhot_econhot-cited-aac8b835c06c7ecc, title = {The Cross‐Section of Volatility and Expected Returns}, author = {Andrew Ang and Robert J. Hodrick and Yuhang Xing and Xiaoyan Zhang}, journal = {The Journal of Finance}, year = {2006}, volume = {61}, number = {1}, pages = {259-299}, doi = {10.1111/j.1540-6261.2006.00836.x}, url = {https://doi.org/10.1111/j.1540-6261.2006.00836.x} } @article{econhot_econhot-cited-c50f0fc91b3c5a9d, title = {Multivariate Simultaneous Generalized ARCH}, author = {Robert F. Engle and Kenneth F. Kroner}, journal = {Econometric Theory}, year = {1995}, volume = {11}, number = {1}, pages = {122-150}, doi = {10.1017/s0266466600009063}, url = {https://doi.org/10.1017/s0266466600009063} } @article{econhot_econhot-cited-03b1d2a7ae609a64, title = {ARCH modeling in finance}, author = {Tim Bollerslev and Ray Yeutien Chou and Kenneth F. Kroner}, journal = {Journal of Econometrics}, year = {1992}, volume = {52}, number = {1-2}, pages = {5-59}, doi = {10.1016/0304-4076(92)90064-x}, url = {https://doi.org/10.1016/0304-4076(92)90064-x} } @article{econhot_econhot-cited-83e7d2e83b42776d, title = {Expected stock returns and volatility}, author = {Kenneth R. French and G. William Schwert and Robert F. Stambaugh}, journal = {Journal of Financial Economics}, year = {1987}, volume = {19}, number = {1}, pages = {3-29}, doi = {10.1016/0304-405x(87)90026-2}, url = {https://doi.org/10.1016/0304-405x(87)90026-2} } @article{econhot_econhot-cited-03f277f5c32f80b8, title = {Measuring and Testing the Impact of News on Volatility}, author = {Robert F. Engle and Victor Ng}, journal = {The Journal of Finance}, year = {1993}, volume = {48}, number = {5}, pages = {1749-1778}, doi = {10.1111/j.1540-6261.1993.tb05127.x}, url = {https://doi.org/10.1111/j.1540-6261.1993.tb05127.x} } @article{econhot_econhot-cited-a5ed644d4190f223, title = {Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model}, author = {Tim Bollerslev}, journal = {The Review of Economics and Statistics}, year = {1990}, volume = {72}, number = {3}, pages = {498}, doi = {10.2307/2109358}, url = {https://doi.org/10.2307/2109358} } @article{econhot_econhot-cited-011bb67502225f43, title = {Why Does Stock Market Volatility Change Over Time?}, author = {G. William Schwert}, journal = {The Journal of Finance}, year = {1989}, volume = {44}, number = {5}, pages = {1115-1153}, doi = {10.1111/j.1540-6261.1989.tb02647.x}, url = {https://doi.org/10.1111/j.1540-6261.1989.tb02647.x} } @article{econhot_econhot-cited-be25e3242e46a83a, title = {Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts}, author = {Torben Gustav Andersen and Tim Bollerslev}, journal = {International Economic Review}, year = {1998}, volume = {39}, number = {4}, pages = {885}, doi = {10.2307/2527343}, url = {https://doi.org/10.2307/2527343} } @article{econhot_econhot-cited-4062083d79631ad0, title = {Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets}, author = {Francis X. Diebold and Kamil Yılmaz}, journal = {The Economic Journal}, year = {2008}, volume = {119}, number = {534}, pages = {158-171}, doi = {10.1111/j.1468-0297.2008.02208.x}, url = {https://doi.org/10.1111/j.1468-0297.2008.02208.x} } @article{econhot_econhot-cited-67d15226c66d510e, title = {A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return}, author = {Tim Bollerslev}, journal = {The Review of Economics and Statistics}, year = {1987}, volume = {69}, number = {3}, pages = {542}, doi = {10.2307/1925546}, url = {https://doi.org/10.2307/1925546} } @article{econhot_econhot-cited-1cc07895a297ed92, title = {A Simple Approximate Long-Memory Model of Realized Volatility}, author = {Fulvio Corsi}, journal = {Journal of Financial Econometrics}, year = {2008}, volume = {7}, number = {2}, pages = {174-196}, doi = {10.1093/jjfinec/nbp001}, url = {https://doi.org/10.1093/jjfinec/nbp001} } @article{econhot_econhot-cited-3f05ee5d33d1c233, title = {Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model}, author = {Robert F. Engle and David M. Lilien and Russell P. Robins}, journal = {Econometrica}, year = {1987}, volume = {55}, number = {2}, pages = {391}, doi = {10.2307/1913242}, url = {https://doi.org/10.2307/1913242} } @article{econhot_econhot-cited-cb9bda8255a7a4a5, title = {Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments}, author = {Joshua D. Angrist and Alan B Krueger}, journal = {The Journal of Economic Perspectives}, year = {2001}, volume = {15}, number = {4}, pages = {69-85}, doi = {10.1257/jep.15.4.69}, url = {https://doi.org/10.1257/jep.15.4.69} } @article{econhot_econhot-cited-db2a8315907f9a44, title = {Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options}, author = {David S. Bates}, journal = {Review of Financial Studies}, year = {1996}, volume = {9}, number = {1}, pages = {69-107}, doi = {10.1093/rfs/9.1.69}, url = {https://doi.org/10.1093/rfs/9.1.69} } @article{econhot_econhot-cited-9403f02f73aebe3a, title = {The distribution of realized stock return volatility}, author = {Torben Gustav Andersen}, journal = {Journal of Financial Economics}, year = {2001}, volume = {61}, number = {1}, pages = {43-76}, doi = {10.1016/s0304-405x(01)00055-1}, url = {https://doi.org/10.1016/s0304-405x(01)00055-1} } @article{econhot_econhot-cited-225753d0057717c5, title = {Fractionally integrated generalized autoregressive conditional heteroskedasticity}, author = {Richard T. Baillie and Tim Bollerslev and Hans Ole Mikkelsen}, journal = {Journal of Econometrics}, year = {1996}, volume = {74}, number = {1}, pages = {3-30}, doi = {10.1016/s0304-4076(95)01749-6}, url = {https://doi.org/10.1016/s0304-4076(95)01749-6} } @article{econhot_econhot-cited-ca13ea77684ee5f4, title = {Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models}, author = {Sang‐Joon Kim and Neil Shepherd and Siddhartha Chib}, journal = {The Review of Economic Studies}, year = {1998}, volume = {65}, number = {3}, pages = {361-393}, doi = {10.1111/1467-937x.00050}, url = {https://doi.org/10.1111/1467-937x.00050} } @article{econhot_econhot-cited-4e35cb8694692367, title = {The Distribution of Realized Exchange Rate Volatility}, author = {Torben Gustav Andersen and Tim Bollerslev and Francis X. Diebold and Paul Labys}, journal = {Journal of the American Statistical Association}, year = {2001}, volume = {96}, number = {453}, pages = {42-55}, doi = {10.1198/016214501750332965}, url = {https://doi.org/10.1198/016214501750332965} } @article{econhot_econhot-cited-d56f17cefd4b54e8, title = {Power and Bipower Variation with Stochastic Volatility and Jumps}, author = {Ole Eiler Barndorff-Nielsen}, journal = {Journal of Financial Econometrics}, year = {2004}, volume = {2}, number = {1}, pages = {1-37}, doi = {10.1093/jjfinec/nbh001}, url = {https://doi.org/10.1093/jjfinec/nbh001} } @article{econhot_econhot-cited-288ef27f8e1fdab0, title = {Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices}, author = {Joseph S. Chen and Harrison G. Hong and Jeremy C. Stein}, journal = {Journal of Financial Economics}, year = {2001}, volume = {61}, number = {3}, pages = {345-381}, doi = {10.1016/s0304-405x(01)00066-6}, url = {https://doi.org/10.1016/s0304-405x(01)00066-6} } @article{econhot_econhot-cited-f6380fce11782c97, title = {Correlations in Price Changes and Volatility across International Stock Markets}, author = {Yasushi Hamao and Ronald W. Masulis and Victor Ng}, journal = {Review of Financial Studies}, year = {1990}, volume = {3}, number = {2}, pages = {281-307}, doi = {10.1093/rfs/3.2.281}, url = {https://doi.org/10.1093/rfs/3.2.281} } @article{econhot_econhot-cited-4059cbb662c5f451, title = {Autoregressive conditional heteroskedasticity and changes in regime}, author = {James Douglas Hamilton and Raúl Susmel}, journal = {Journal of Econometrics}, year = {1994}, volume = {64}, number = {1-2}, pages = {307-333}, doi = {10.1016/0304-4076(94)90067-1}, url = {https://doi.org/10.1016/0304-4076(94)90067-1} } @article{econhot_econhot-cited-f834655db452eb81, title = {Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data}, author = {Robert F. Engle and Jeffrey R. Russell}, journal = {Econometrica}, year = {1998}, volume = {66}, number = {5}, pages = {1127}, doi = {10.2307/2999632}, url = {https://doi.org/10.2307/2999632} } @article{econhot_econhot-cited-0e86b941e586d10c, title = {The jump-risk premia implicit in options: evidence from an integrated time-series study}, author = {Jun Min Pan}, journal = {Journal of Financial Economics}, year = {2002}, volume = {63}, number = {1}, pages = {3-50}, doi = {10.1016/s0304-405x(01)00088-5}, url = {https://doi.org/10.1016/s0304-405x(01)00088-5} } @article{econhot_econhot-cited-ae8aad641c50ef13, title = {Predicting returns in the stock and bond markets}, author = {Donald B. Keim and Robert F. Stambaugh}, journal = {Journal of Financial Economics}, year = {1986}, volume = {17}, number = {2}, pages = {357-390}, doi = {10.1016/0304-405x(86)90070-x}, url = {https://doi.org/10.1016/0304-405x(86)90070-x} } @article{econhot_econhot-cited-be4866137f3b3e2f, title = {Forecasting the Term Structure of Government Bond Yields}, author = {Francis X. Diebold and Canlin Li}, journal = {Journal of Econometrics}, year = {2003}, volume = {130}, number = {2}, pages = {337-364}, doi = {10.1016/j.jeconom.2005.03.005}, url = {https://doi.org/10.1016/j.jeconom.2005.03.005} } @article{econhot_econhot-cited-786f8646e533a7a6, title = {A forecast comparison of volatility models: does anything beat a GARCH(1,1)?}, author = {Peter Reinhard Hansen and Asger Lunde}, journal = {Journal of Applied Econometrics}, year = {2005}, volume = {20}, number = {7}, pages = {873-889}, doi = {10.1002/jae.800}, url = {https://doi.org/10.1002/jae.800} } @article{econhot_econhot-cited-048eb6f245d2b341, title = {A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables}, author = {Andrew Ang and Monika Piazzesi}, journal = {Journal of Monetary Economics}, year = {2003}, volume = {50}, number = {4}, pages = {745-787}, doi = {10.1016/s0304-3932(03)00032-1}, url = {https://doi.org/10.1016/s0304-3932(03)00032-1} } @article{econhot_econhot-cited-20e1ceda0e739a55, title = {Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach}, author = {Alexander J. McNeil and Rüdiger Frey}, journal = {Journal of Empirical Finance}, year = {2000}, volume = {7}, number = {3-4}, pages = {271-300}, doi = {10.1016/s0927-5398(00)00012-8}, url = {https://doi.org/10.1016/s0927-5398(00)00012-8} } @article{econhot_econhot-cited-110fdd0924630476, title = {Emerging equity market volatility}, author = {Geert Bekaert and Campbell R. Harvey}, journal = {Journal of Financial Economics}, year = {1997}, volume = {43}, number = {1}, pages = {29-77}, doi = {10.1016/s0304-405x(96)00889-6}, url = {https://doi.org/10.1016/s0304-405x(96)00889-6} } @article{econhot_econhot-cited-78a6715eea6ecd04, title = {Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy}, author = {David E. Rapach and Jack Strauss and Guofu Zhou}, journal = {Review of Financial Studies}, year = {2009}, volume = {23}, number = {2}, pages = {821-862}, doi = {10.1093/rfs/hhp063}, url = {https://doi.org/10.1093/rfs/hhp063} } @article{econhot_econhot-cited-32d90dacb1ec854e, title = {Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets}, author = {James Joshua Claus and Jacob K. Kandathil Thomas}, journal = {The Journal of Finance}, year = {2001}, volume = {56}, number = {5}, pages = {1629-1666}, doi = {10.1111/0022-1082.00384}, url = {https://doi.org/10.1111/0022-1082.00384} } @article{econhot_econhot-cited-49cfeb7709d1d61f, title = {Transmission of Volatility between Stock Markets}, author = {Mervyn A. King and Sushil B. Wadhwani}, journal = {Review of Financial Studies}, year = {1990}, volume = {3}, number = {1}, pages = {5-33}, doi = {10.1093/rfs/3.1.5}, url = {https://doi.org/10.1093/rfs/3.1.5} } @article{econhot_econhot-cited-977e1b44a866ddfb, title = {Does Academic Research Destroy Stock Return Predictability?}, author = {R. David McLean and Jeffrey Pontiff}, journal = {The Journal of Finance}, year = {2015}, volume = {71}, number = {1}, pages = {5-32}, doi = {10.1111/jofi.12365}, url = {https://doi.org/10.1111/jofi.12365} } @article{econhot_econhot-cited-39fbc8f3ab48a747, title = {The Credibility Revolution in Empirical Economics: How Better Research Design is Taking the Con out of Econometrics}, author = {Joshua D. Angrist and Jörn‐Steffen Pischke}, journal = {The Journal of Economic Perspectives}, year = {2010}, volume = {24}, number = {2}, pages = {3-30}, doi = {10.1257/jep.24.2.3}, url = {https://doi.org/10.1257/jep.24.2.3} } @article{econhot_econhot-cited-848ed1e273ff1b54, title = {Bitcoin, gold and the dollar – A GARCH volatility analysis}, author = {Anne Haubo Dyhrberg}, journal = {Finance research letters}, year = {2015}, volume = {16}, pages = {85-92}, doi = {10.1016/j.frl.2015.10.008}, url = {https://doi.org/10.1016/j.frl.2015.10.008} } @article{econhot_econhot-cited-bf4973db192dec04, title = {The Impact of Jumps in Volatility and Returns}, author = {Bjørn Eraker and Michael Slater Johannes and Nicholas Polson}, journal = {The Journal of Finance}, year = {2003}, volume = {58}, number = {3}, pages = {1269-1300}, doi = {10.1111/1540-6261.00566}, url = {https://doi.org/10.1111/1540-6261.00566} } @article{econhot_econhot-cited-8cbf67eae80ea4d6, title = {Stock Price Distributions with Stochastic Volatility: An Analytic Approach}, author = {Elias M. Stein and Jeremy C. Stein}, journal = {Review of Financial Studies}, year = {1991}, volume = {4}, number = {4}, pages = {727-752}, doi = {10.1093/rfs/4.4.727}, url = {https://doi.org/10.1093/rfs/4.4.727} } @article{econhot_econhot-cited-fec33b9450ecf6fe, title = {Does financial development cause economic growth? Time-series evidence from 16 countries}, author = {Panicos O. Demetriades and Khaled Hussein}, journal = {Journal of Development Economics}, year = {1996}, volume = {51}, number = {2}, pages = {387-411}, doi = {10.1016/s0304-3878(96)00421-x}, url = {https://doi.org/10.1016/s0304-3878(96)00421-x} } @article{econhot_econhot-cited-bc7466d5ac13eb74, title = {High idiosyncratic volatility and low returns: International and further U.S. evidence}, author = {Andrew Ang and Robert J. Hodrick and Yuhang Xing and Xiaoyan Zhang}, journal = {Journal of Financial Economics}, year = {2008}, volume = {91}, number = {1}, pages = {1-23}, doi = {10.1016/j.jfineco.2007.12.005}, url = {https://doi.org/10.1016/j.jfineco.2007.12.005} } @article{econhot_econhot-cited-77f58681d67ebcd1, title = {Asymmetric Volatility and Risk in Equity Markets}, author = {Geert Bekaert and Guojun Wu}, journal = {Review of Financial Studies}, year = {2000}, volume = {13}, number = {1}, pages = {1-42}, doi = {10.1093/rfs/13.1.1}, url = {https://doi.org/10.1093/rfs/13.1.1} } @article{econhot_econhot-cited-c574955779b1a370, title = {Analyst forecast accuracy: Do ability, resources, and portfolio complexity matter?}, author = {Michael B. Clement}, journal = {Journal of Accounting and Economics}, year = {1999}, volume = {27}, number = {3}, pages = {285-303}, doi = {10.1016/s0165-4101(99)00013-0}, url = {https://doi.org/10.1016/s0165-4101(99)00013-0} } @article{econhot_econhot-cited-9f6176f64d92cb75, title = {Evaluating Density Forecasts with Applications to Financial Risk Management}, author = {Francis X. Diebold and Todd A. Gunther and Anthony S. Tay}, journal = {International Economic Review}, year = {1998}, volume = {39}, number = {4}, pages = {863}, doi = {10.2307/2527342}, url = {https://doi.org/10.2307/2527342} } @article{econhot_econhot-cited-23b588a72f83beba, title = {Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility}, author = {Torben Gustav Andersen and Tim Bollerslev and Francis X. Diebold}, journal = {The Review of Economics and Statistics}, year = {2007}, volume = {89}, number = {4}, pages = {701-720}, doi = {10.1162/rest.89.4.701}, url = {https://doi.org/10.1162/rest.89.4.701} } @article{econhot_econhot-cited-f789535edcba8c24, title = {The changing time-series properties of earnings, cash flows and accruals: Has financial reporting become more conservative?}, author = {Dan Givoly and Carla K. Hayn}, journal = {Journal of Accounting and Economics}, year = {2000}, volume = {29}, number = {3}, pages = {287-320}, doi = {10.1016/s0165-4101(00)00024-0}, url = {https://doi.org/10.1016/s0165-4101(00)00024-0} } @article{econhot_econhot-cited-cd1c4a24606e320f, title = {Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation}, author = {Craig Hiemstra and Jonathan D. Jones}, journal = {The Journal of Finance}, year = {1994}, volume = {49}, number = {5}, pages = {1639-1664}, doi = {10.1111/j.1540-6261.1994.tb04776.x}, url = {https://doi.org/10.1111/j.1540-6261.1994.tb04776.x} } @article{econhot_econhot-cited-ad67ac1cf333c119, title = {Bayesian Analysis of Stochastic Volatility Models}, author = {Éric Jacquier and Nicholas G. Polson and Peter E. Rossi}, journal = {Journal of Business and Economic Statistics}, year = {2002}, volume = {20}, number = {1}, pages = {69-87}, doi = {10.1198/073500102753410408}, url = {https://doi.org/10.1198/073500102753410408} } @article{econhot_econhot-cited-976c2ff4c7b858e3, title = {Stock Return Predictability: Is it There?}, author = {Andrew Ang and Geert Bekaert}, journal = {Review of Financial Studies}, year = {2006}, volume = {20}, number = {3}, pages = {651-707}, doi = {10.1093/rfs/hhl021}, url = {https://doi.org/10.1093/rfs/hhl021} } @article{econhot_econhot-cited-3024816eb8acb552, title = {Intraday periodicity and volatility persistence in financial markets}, author = {Torben Gustav Andersen and Tim Bollerslev}, journal = {Journal of Empirical Finance}, year = {1997}, volume = {4}, number = {2-3}, pages = {115-158}, doi = {10.1016/s0927-5398(97)00004-2}, url = {https://doi.org/10.1016/s0927-5398(97)00004-2} } @article{econhot_econhot-cited-6fac1eda14289877, title = {Forecasting Volatility in Financial Markets: A Review}, author = {Ser‐Huang Poon and Clive W. J. Granger}, journal = {Journal of Economic Literature}, year = {2003}, volume = {41}, number = {2}, pages = {478-539}, doi = {10.1257/002205103765762743}, url = {https://doi.org/10.1257/002205103765762743} } @article{econhot_econhot-cited-349ce0ab0b1892b3, title = {The Dog That Did Not Bark: A Defense of Return Predictability}, author = {John H. Cochrane}, journal = {Review of Financial Studies}, year = {2007}, volume = {21}, number = {4}, pages = {1533-1575}, doi = {10.1093/rfs/hhm046}, url = {https://doi.org/10.1093/rfs/hhm046} } @article{econhot_econhot-cited-d2d697835c2e303d, title = {Implied Volatility Functions: Empirical Tests}, author = {Bernard Dumas and Jeff Fleming and Robert E. Whaley}, journal = {The Journal of Finance}, year = {1998}, volume = {53}, number = {6}, pages = {2059-2106}, doi = {10.1111/0022-1082.00083}, url = {https://doi.org/10.1111/0022-1082.00083} } @article{econhot_econhot-cited-9cb17cd78808a2d7, title = {Volatility forecast comparison using imperfect volatility proxies}, author = {Andrew J. Patton}, journal = {Journal of Econometrics}, year = {2010}, volume = {160}, number = {1}, pages = {246-256}, doi = {10.1016/j.jeconom.2010.03.034}, url = {https://doi.org/10.1016/j.jeconom.2010.03.034} } @article{econhot_econhot-cited-b721b40191dc1176, title = {Alternative models for conditional stock volatility}, author = {Adrian Pagan and G. William Schwert}, journal = {Journal of Econometrics}, year = {1990}, volume = {45}, number = {1-2}, pages = {267-290}, doi = {10.1016/0304-4076(90)90101-x}, url = {https://doi.org/10.1016/0304-4076(90)90101-x} } @article{econhot_econhot-cited-cbb27cc959986aa6, title = {Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1}, author = {Michael John Brennan and Tarun Chordia and Avanidhar Subrahmanyam}, journal = {Journal of Financial Economics}, year = {1998}, volume = {49}, number = {3}, pages = {345-373}, doi = {10.1016/s0304-405x(98)00028-2}, url = {https://doi.org/10.1016/s0304-405x(98)00028-2} } @article{econhot_econhot-cited-a2c59d4adaf0da33, title = {Equity Volatility and Corporate Bond Yields}, author = {John Y. Campbell and Glen B. Taksler}, journal = {The Journal of Finance}, year = {2003}, volume = {58}, number = {6}, pages = {2321-2350}, doi = {10.1046/j.1540-6261.2003.00607.x}, url = {https://doi.org/10.1046/j.1540-6261.2003.00607.x} } @article{econhot_econhot-cited-3be2a3b55ccbcefc, title = {Modeling and pricing long memory in stock market volatility}, author = {Tim Bollerslev and Hans Ole Mikkelsen}, journal = {Journal of Econometrics}, year = {1996}, volume = {73}, number = {1}, pages = {151-184}, doi = {10.1016/0304-4076(95)01736-4}, url = {https://doi.org/10.1016/0304-4076(95)01736-4} } @article{econhot_econhot-cited-d823c163a2b71072, title = {Realized Variance and Market Microstructure Noise}, author = {Peter Reinhard Hansen and Asger Lunde}, journal = {Journal of Business and Economic Statistics}, year = {2006}, volume = {24}, number = {2}, pages = {127-161}, doi = {10.1198/073500106000000071}, url = {https://doi.org/10.1198/073500106000000071} } @article{econhot_econhot-cited-0be41c92d314f045, title = {Predicting U.S. Recessions: Financial Variables as Leading Indicators}, author = {Arturo Estrella and Frederic S. Mishkin}, journal = {The Review of Economics and Statistics}, year = {1998}, volume = {80}, number = {1}, pages = {45-61}, doi = {10.1162/003465398557320}, url = {https://doi.org/10.1162/003465398557320} } @article{econhot_econhot-cited-aab6ba80f43f46f9, title = {A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations}, author = {Yiu‐Kuen Tse and Albert K. C. Tsui}, journal = {Journal of Business and Economic Statistics}, year = {2002}, volume = {20}, number = {3}, pages = {351-362}, doi = {10.1198/073500102288618496}, url = {https://doi.org/10.1198/073500102288618496} } @article{econhot_econhot-cited-0e7c0b78319ba17b, title = {The impact of growth, energy and financial development on the environment in China: A cointegration analysis}, author = {Abdul Jalil and Mete Feridun}, journal = {Energy Economics}, year = {2010}, volume = {33}, number = {2}, pages = {284-291}, doi = {10.1016/j.eneco.2010.10.003}, url = {https://doi.org/10.1016/j.eneco.2010.10.003} } @article{econhot_econhot-cited-5f64883f813c7dbe, title = {GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics}, author = {Robert F. Engle}, journal = {The Journal of Economic Perspectives}, year = {2001}, volume = {15}, number = {4}, pages = {157-168}, doi = {10.1257/jep.15.4.157}, url = {https://doi.org/10.1257/jep.15.4.157} } @article{econhot_econhot-cited-ef60848034d5dc28, title = {Range‐Based Estimation of Stochastic Volatility Models}, author = {Sassan Alizadeh and Michael W. Brandt and Francis X. Diebold}, journal = {The Journal of Finance}, year = {2002}, volume = {57}, number = {3}, pages = {1047-1091}, doi = {10.1111/1540-6261.00454}, url = {https://doi.org/10.1111/1540-6261.00454} } @article{econhot_econhot-cited-c0c81ad6c57e6c70, title = {Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies}, author = {Torben Gustav Andersen and Tim Bollerslev}, journal = {The Journal of Finance}, year = {1998}, volume = {53}, number = {1}, pages = {219-265}, doi = {10.1111/0022-1082.85732}, url = {https://doi.org/10.1111/0022-1082.85732} } @article{econhot_econhot-cited-f640de97a7e9cc09, title = {Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices}, author = {Bjørn Eraker}, journal = {The Journal of Finance}, year = {2004}, volume = {59}, number = {3}, pages = {1367-1403}, doi = {10.1111/j.1540-6261.2004.00666.x}, url = {https://doi.org/10.1111/j.1540-6261.2004.00666.x} } @article{econhot_econhot-cited-ed8897ee22087f7c, title = {The relation between implied and realized volatility}, author = {Bent Jesper Christensen and Nagpurnanand R. Prabhala}, journal = {Journal of Financial Economics}, year = {1998}, volume = {50}, number = {2}, pages = {125-150}, doi = {10.1016/s0304-405x(98)00034-8}, url = {https://doi.org/10.1016/s0304-405x(98)00034-8} } @article{econhot_econhot-cited-a6bb9329d6b35ddc, title = {THE GARCH OPTION PRICING MODEL}, author = {Jin‐Chuan Duan}, journal = {Mathematical Finance}, year = {1995}, volume = {5}, number = {1}, pages = {13-32}, doi = {10.1111/j.1467-9965.1995.tb00099.x}, url = {https://doi.org/10.1111/j.1467-9965.1995.tb00099.x} } @article{econhot_econhot-cited-e0c8971221469245, title = {Stock Market Volatility and Macroeconomic Fundamentals}, author = {Robert F. Engle and Éric Ghysels and Bumjean Sohn}, journal = {The Review of Economics and Statistics}, year = {2012}, volume = {95}, number = {3}, pages = {776-797}, doi = {10.1162/rest\_a\_00300}, url = {https://doi.org/10.1162/rest\_a\_00300} } @article{econhot_econhot-cited-a9794bb9dfb1aafc, title = {Persistence in Variance, Structural Change, and the GARCH Model}, author = {Christopher G. Lamoureux and William D. Lastrapes}, journal = {Journal of Business and Economic Statistics}, year = {1990}, volume = {8}, number = {2}, pages = {225-234}, doi = {10.1080/07350015.1990.10509794}, url = {https://doi.org/10.1080/07350015.1990.10509794} } @article{econhot_econhot-cited-9801fc77c34f67a1, title = {Stationarity and Persistence in the GARCH(1,1) Model}, author = {Daniel B. Nelson}, journal = {Econometric Theory}, year = {1990}, volume = {6}, number = {3}, pages = {318-334}, doi = {10.1017/s0266466600005296}, url = {https://doi.org/10.1017/s0266466600005296} } @article{econhot_econhot-cited-e6a6c6eff84f8ad0, title = {The Model-Free Implied Volatility and Its Information Content}, author = {George J. Jiang and Yisong S. Tian}, journal = {Review of Financial Studies}, year = {2005}, volume = {18}, number = {4}, pages = {1305-1342}, doi = {10.1093/rfs/hhi027}, url = {https://doi.org/10.1093/rfs/hhi027} } @article{econhot_econhot-cited-ce307def3289ddc5, title = {Volatility estimation for Bitcoin: A comparison of GARCH models}, author = {Paraskevi Katsiampa}, journal = {Economics Letters}, year = {2017}, volume = {158}, pages = {3-6}, doi = {10.1016/j.econlet.2017.06.023}, url = {https://doi.org/10.1016/j.econlet.2017.06.023} } @article{econhot_econhot-cited-b5de4e9d5fbdefba, title = {Forecasting Output and Inflation: The Role of Asset Prices}, author = {James H. Stock and Mark W. Watson}, journal = {Journal of Economic Literature}, year = {2003}, volume = {41}, number = {3}, pages = {788-829}, doi = {10.1257/002205103322436197}, url = {https://doi.org/10.1257/002205103322436197} } @article{econhot_econhot-cited-194f2318ba3712af, title = {Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects}, author = {Christopher G. Lamoureux and William D. Lastrapes}, journal = {The Journal of Finance}, year = {1990}, volume = {45}, number = {1}, pages = {221-229}, doi = {10.1111/j.1540-6261.1990.tb05088.x}, url = {https://doi.org/10.1111/j.1540-6261.1990.tb05088.x} } @article{econhot_econhot-cited-b438eb15d4149ad4, title = {Financial statement analysis and the prediction of stock returns}, author = {Jane A. Ou and Stephen H. Penman}, journal = {Journal of Accounting and Economics}, year = {1989}, volume = {11}, number = {4}, pages = {295-329}, doi = {10.1016/0165-4101(89)90017-7}, url = {https://doi.org/10.1016/0165-4101(89)90017-7} } @article{econhot_econhot-cited-7be0ec301c3a928d, title = {Efficient tests of stock return predictability☆}, author = {J CAMPBELL and Motohiro Yogo}, journal = {Journal of Financial Economics}, year = {2006}, volume = {81}, number = {1}, pages = {27-60}, doi = {10.1016/j.jfineco.2005.05.008}, url = {https://doi.org/10.1016/j.jfineco.2005.05.008} } @article{econhot_econhot-cited-34fd0606dba65a56, title = {Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle}, author = {Robert F. Stambaugh and Jianfeng Yu and Yu Yuan}, journal = {The Journal of Finance}, year = {2015}, volume = {70}, number = {5}, pages = {1903-1948}, doi = {10.1111/jofi.12286}, url = {https://doi.org/10.1111/jofi.12286} } @article{econhot_econhot-cited-6f001a33ee6e641d, title = {Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility}, author = {Torben Gustav Andersen}, journal = {The Journal of Finance}, year = {1996}, volume = {51}, number = {1}, pages = {169-204}, doi = {10.1111/j.1540-6261.1996.tb05206.x}, url = {https://doi.org/10.1111/j.1540-6261.1996.tb05206.x} } @article{econhot_econhot-cited-3b9e4c45d83dacf5, title = {Stealth trading and volatility}, author = {Michael J. Barclay and Jerold B. Warner}, journal = {Journal of Financial Economics}, year = {1993}, volume = {34}, number = {3}, pages = {281-305}, doi = {10.1016/0304-405x(93)90029-b}, url = {https://doi.org/10.1016/0304-405x(93)90029-b} } @article{econhot_econhot-cited-fd6c6869028492be, title = {Delta-Hedged Gains and the Negative Market Volatility Risk Premium}, author = {Gurdip Bakshi and Nikunj Kapadia}, journal = {Review of Financial Studies}, year = {2003}, volume = {16}, number = {2}, pages = {527-566}, doi = {10.1093/rfs/hhg002}, url = {https://doi.org/10.1093/rfs/hhg002} } @article{econhot_econhot-cited-a447423ecedd0d1a, title = {Predicting returns with financial ratios}, author = {Jonathan W. Lewellen}, journal = {Journal of Financial Economics}, year = {2004}, volume = {74}, number = {2}, pages = {209-235}, doi = {10.1016/j.jfineco.2002.11.002}, url = {https://doi.org/10.1016/j.jfineco.2002.11.002} } @article{econhot_econhot-cited-8c70887020f2efb6, title = {Predictability of Stock Returns: Robustness and Economic Significance}, author = {M. Hashem Pesaran and Allan Timmermann}, journal = {The Journal of Finance}, year = {1995}, volume = {50}, number = {4}, pages = {1201-1228}, doi = {10.1111/j.1540-6261.1995.tb04055.x}, url = {https://doi.org/10.1111/j.1540-6261.1995.tb04055.x} } @article{econhot_econhot-cited-b1c69221ad5b45de, title = {Information and Volatility: The No‐Arbitrage Martingale Approach to Timing and Resolution Irrelevancy}, author = {Stephen A. Ross}, journal = {The Journal of Finance}, year = {1989}, volume = {44}, number = {1}, pages = {1-17}, doi = {10.1111/j.1540-6261.1989.tb02401.x}, url = {https://doi.org/10.1111/j.1540-6261.1989.tb02401.x} } @article{econhot_econhot-cited-bfbfd37382a16a49, title = {Option Prices, Implied Price Processes, and Stochastic Volatility}, author = {Mark Britten‐Jones and Anthony John Neuberger}, journal = {The Journal of Finance}, year = {2000}, volume = {55}, number = {2}, pages = {839-866}, doi = {10.1111/0022-1082.00228}, url = {https://doi.org/10.1111/0022-1082.00228} } @article{econhot_econhot-cited-9b816015955e0024, title = {Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?}, author = {Nicolas P. B. Bollen and Robert E. Whaley}, journal = {The Journal of Finance}, year = {2004}, volume = {59}, number = {2}, pages = {711-753}, doi = {10.1111/j.1540-6261.2004.00647.x}, url = {https://doi.org/10.1111/j.1540-6261.2004.00647.x} }