TY - JOUR TI - Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation AU - Robert F. Engle JO - Econometrica PY - 1982 VL - 50 IS - 4 DO - 10.2307/1912773 UR - https://doi.org/10.2307/1912773 ER - TY - JOUR TI - Generalized autoregressive conditional heteroskedasticity AU - Tim Bollerslev JO - Journal of Econometrics PY - 1986 VL - 31 IS - 3 DO - 10.1016/0304-4076(86)90063-1 UR - https://doi.org/10.1016/0304-4076(86)90063-1 ER - TY - JOUR TI - Comparing Predictive Accuracy AU - Francis X. Diebold AU - Roberto S. Mariano JO - Journal of Business & Economic Statistics PY - 1995 VL - 13 IS - 3 DO - 10.1080/07350015.1995.10524599 UR - https://doi.org/10.1080/07350015.1995.10524599 ER - TY - JOUR TI - Tests of Conditional Predictive Ability AU - Raffaella Giacomini AU - Halbert White JO - Econometrica PY - 2006 VL - 74 IS - 6 DO - 10.1111/j.1468-0262.2006.00718.x UR - https://doi.org/10.1111/j.1468-0262.2006.00718.x ER - TY - JOUR TI - Modeling and Forecasting Realized Volatility AU - Torben G. Andersen AU - Tim Bollerslev AU - Francis X. Diebold AU - Paul Labys JO - Econometrica PY - 2003 VL - 71 IS - 2 DO - 10.1111/1468-0262.00418 UR - https://doi.org/10.1111/1468-0262.00418 ER - TY - JOUR TI - Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models AU - Ole E. Barndorff-Nielsen AU - Neil Shephard JO - Journal of the Royal Statistical Society Series B: Statistical Methodology PY - 2002 VL - 64 IS - 2 DO - 10.1111/1467-9868.00336 UR - https://doi.org/10.1111/1467-9868.00336 ER - TY - JOUR TI - A Tale of Two Time Scales AU - Lan Zhang AU - Per A Mykland AU - Yacine Aït-Sahalia JO - Journal of the American Statistical Association PY - 2005 VL - 100 IS - 472 DO - 10.1198/016214505000000169 UR - https://doi.org/10.1198/016214505000000169 ER - TY - JOUR TI - Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise AU - Ole E. Barndorff-Nielsen AU - Peter Reinhard Hansen AU - Asger Lunde AU - Neil Shephard JO - Econometrica PY - 2008 VL - 76 IS - 6 DO - 10.3982/ecta6495 UR - https://doi.org/10.3982/ecta6495 ER - TY - JOUR TI - CAViaR AU - Robert F Engle AU - Simone Manganelli JO - Journal of Business & Economic Statistics PY - 2004 VL - 22 IS - 4 DO - 10.1198/073500104000000370 UR - https://doi.org/10.1198/073500104000000370 ER - TY - JOUR TI - Dynamic Conditional Correlation AU - Robert Engle JO - Journal of Business & Economic Statistics PY - 2002 VL - 20 IS - 3 DO - 10.1198/073500102288618487 UR - https://doi.org/10.1198/073500102288618487 ER - TY - JOUR TI - Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? AU - John Y. Campbell AU - Samuel B. Thompson JO - Review of Financial Studies PY - 2008 VL - 21 IS - 4 DO - 10.1093/rfs/hhm055 UR - https://doi.org/10.1093/rfs/hhm055 ER - TY - JOUR TI - A Comprehensive Look at The Empirical Performance of Equity Premium Prediction AU - Ivo Welch AU - Amit Goyal JO - Review of Financial Studies PY - 2008 VL - 21 IS - 4 DO - 10.1093/rfs/hhm014 UR - https://doi.org/10.1093/rfs/hhm014 ER - TY - JOUR TI - Regression Shrinkage and Selection Via the Lasso AU - Robert Tibshirani JO - Journal of the Royal Statistical Society Series B: Statistical Methodology PY - 1996 VL - 58 IS - 1 DO - 10.1111/j.2517-6161.1996.tb02080.x UR - https://doi.org/10.1111/j.2517-6161.1996.tb02080.x ER - TY - JOUR TI - Illiquidity and stock returns: cross-section and time-series effects AU - Yakov Amihud JO - Journal of Financial Markets PY - 2002 VL - 5 IS - 1 DO - 10.1016/s1386-4181(01)00024-6 UR - https://doi.org/10.1016/s1386-4181(01)00024-6 ER - TY - JOUR TI - Conditional Heteroskedasticity in Asset Returns: A New Approach AU - Daniel B. Nelson JO - Econometrica PY - 1991 VL - 59 IS - 2 DO - 10.2307/2938260 UR - https://doi.org/10.2307/2938260 ER - TY - JOUR TI - A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options AU - Steven L. Heston JO - Review of Financial Studies PY - 1993 VL - 6 IS - 2 DO - 10.1093/rfs/6.2.327 UR - https://doi.org/10.1093/rfs/6.2.327 ER - TY - JOUR TI - On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks AU - Lawrence R. Glosten AU - Ravi Jagannathan AU - David Edward Runkle JO - The Journal of Finance PY - 1993 VL - 48 IS - 5 DO - 10.1111/j.1540-6261.1993.tb05128.x UR - https://doi.org/10.1111/j.1540-6261.1993.tb05128.x ER - TY - JOUR TI - Better to give than to receive: Predictive directional measurement of volatility spillovers AU - Francis X. Diebold AU - Kamil Yılmaz JO - International Journal of Forecasting PY - 2011 VL - 28 IS - 1 DO - 10.1016/j.ijforecast.2011.02.006 UR - https://doi.org/10.1016/j.ijforecast.2011.02.006 ER - TY - JOUR TI - The Cross‐Section of Volatility and Expected Returns AU - Andrew Ang AU - Robert J. Hodrick AU - Yuhang Xing AU - Xiaoyan Zhang JO - The Journal of Finance PY - 2006 VL - 61 IS - 1 DO - 10.1111/j.1540-6261.2006.00836.x UR - https://doi.org/10.1111/j.1540-6261.2006.00836.x ER - TY - JOUR TI - Multivariate Simultaneous Generalized ARCH AU - Robert F. Engle AU - Kenneth F. Kroner JO - Econometric Theory PY - 1995 VL - 11 IS - 1 DO - 10.1017/s0266466600009063 UR - https://doi.org/10.1017/s0266466600009063 ER - TY - JOUR TI - ARCH modeling in finance AU - Tim Bollerslev AU - Ray Yeutien Chou AU - Kenneth F. Kroner JO - Journal of Econometrics PY - 1992 VL - 52 IS - 1-2 DO - 10.1016/0304-4076(92)90064-x UR - https://doi.org/10.1016/0304-4076(92)90064-x ER - TY - JOUR TI - Expected stock returns and volatility AU - Kenneth R. French AU - G. William Schwert AU - Robert F. Stambaugh JO - Journal of Financial Economics PY - 1987 VL - 19 IS - 1 DO - 10.1016/0304-405x(87)90026-2 UR - https://doi.org/10.1016/0304-405x(87)90026-2 ER - TY - JOUR TI - Measuring and Testing the Impact of News on Volatility AU - Robert F. Engle AU - Victor Ng JO - The Journal of Finance PY - 1993 VL - 48 IS - 5 DO - 10.1111/j.1540-6261.1993.tb05127.x UR - https://doi.org/10.1111/j.1540-6261.1993.tb05127.x ER - TY - JOUR TI - Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model AU - Tim Bollerslev JO - The Review of Economics and Statistics PY - 1990 VL - 72 IS - 3 DO - 10.2307/2109358 UR - https://doi.org/10.2307/2109358 ER - TY - JOUR TI - Why Does Stock Market Volatility Change Over Time? AU - G. William Schwert JO - The Journal of Finance PY - 1989 VL - 44 IS - 5 DO - 10.1111/j.1540-6261.1989.tb02647.x UR - https://doi.org/10.1111/j.1540-6261.1989.tb02647.x ER - TY - JOUR TI - Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts AU - Torben Gustav Andersen AU - Tim Bollerslev JO - International Economic Review PY - 1998 VL - 39 IS - 4 DO - 10.2307/2527343 UR - https://doi.org/10.2307/2527343 ER - TY - JOUR TI - Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets AU - Francis X. Diebold AU - Kamil Yılmaz JO - The Economic Journal PY - 2008 VL - 119 IS - 534 DO - 10.1111/j.1468-0297.2008.02208.x UR - https://doi.org/10.1111/j.1468-0297.2008.02208.x ER - TY - JOUR TI - A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return AU - Tim Bollerslev JO - The Review of Economics and Statistics PY - 1987 VL - 69 IS - 3 DO - 10.2307/1925546 UR - https://doi.org/10.2307/1925546 ER - TY - JOUR TI - A Simple Approximate Long-Memory Model of Realized Volatility AU - Fulvio Corsi JO - Journal of Financial Econometrics PY - 2008 VL - 7 IS - 2 DO - 10.1093/jjfinec/nbp001 UR - https://doi.org/10.1093/jjfinec/nbp001 ER - TY - JOUR TI - Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model AU - Robert F. Engle AU - David M. Lilien AU - Russell P. Robins JO - Econometrica PY - 1987 VL - 55 IS - 2 DO - 10.2307/1913242 UR - https://doi.org/10.2307/1913242 ER - TY - JOUR TI - Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments AU - Joshua D. Angrist AU - Alan B Krueger JO - The Journal of Economic Perspectives PY - 2001 VL - 15 IS - 4 DO - 10.1257/jep.15.4.69 UR - https://doi.org/10.1257/jep.15.4.69 ER - TY - JOUR TI - Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options AU - David S. Bates JO - Review of Financial Studies PY - 1996 VL - 9 IS - 1 DO - 10.1093/rfs/9.1.69 UR - https://doi.org/10.1093/rfs/9.1.69 ER - TY - JOUR TI - The distribution of realized stock return volatility AU - Torben Gustav Andersen JO - Journal of Financial Economics PY - 2001 VL - 61 IS - 1 DO - 10.1016/s0304-405x(01)00055-1 UR - https://doi.org/10.1016/s0304-405x(01)00055-1 ER - TY - JOUR TI - Fractionally integrated generalized autoregressive conditional heteroskedasticity AU - Richard T. Baillie AU - Tim Bollerslev AU - Hans Ole Mikkelsen JO - Journal of Econometrics PY - 1996 VL - 74 IS - 1 DO - 10.1016/s0304-4076(95)01749-6 UR - https://doi.org/10.1016/s0304-4076(95)01749-6 ER - TY - JOUR TI - Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models AU - Sang‐Joon Kim AU - Neil Shepherd AU - Siddhartha Chib JO - The Review of Economic Studies PY - 1998 VL - 65 IS - 3 DO - 10.1111/1467-937x.00050 UR - https://doi.org/10.1111/1467-937x.00050 ER - TY - JOUR TI - The Distribution of Realized Exchange Rate Volatility AU - Torben Gustav Andersen AU - Tim Bollerslev AU - Francis X. Diebold AU - Paul Labys JO - Journal of the American Statistical Association PY - 2001 VL - 96 IS - 453 DO - 10.1198/016214501750332965 UR - https://doi.org/10.1198/016214501750332965 ER - TY - JOUR TI - Power and Bipower Variation with Stochastic Volatility and Jumps AU - Ole Eiler Barndorff-Nielsen JO - Journal of Financial Econometrics PY - 2004 VL - 2 IS - 1 DO - 10.1093/jjfinec/nbh001 UR - https://doi.org/10.1093/jjfinec/nbh001 ER - TY - JOUR TI - Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices AU - Joseph S. Chen AU - Harrison G. Hong AU - Jeremy C. Stein JO - Journal of Financial Economics PY - 2001 VL - 61 IS - 3 DO - 10.1016/s0304-405x(01)00066-6 UR - https://doi.org/10.1016/s0304-405x(01)00066-6 ER - TY - JOUR TI - Correlations in Price Changes and Volatility across International Stock Markets AU - Yasushi Hamao AU - Ronald W. Masulis AU - Victor Ng JO - Review of Financial Studies PY - 1990 VL - 3 IS - 2 DO - 10.1093/rfs/3.2.281 UR - https://doi.org/10.1093/rfs/3.2.281 ER - TY - JOUR TI - Autoregressive conditional heteroskedasticity and changes in regime AU - James Douglas Hamilton AU - Raúl Susmel JO - Journal of Econometrics PY - 1994 VL - 64 IS - 1-2 DO - 10.1016/0304-4076(94)90067-1 UR - https://doi.org/10.1016/0304-4076(94)90067-1 ER - TY - JOUR TI - Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data AU - Robert F. Engle AU - Jeffrey R. Russell JO - Econometrica PY - 1998 VL - 66 IS - 5 DO - 10.2307/2999632 UR - https://doi.org/10.2307/2999632 ER - TY - JOUR TI - The jump-risk premia implicit in options: evidence from an integrated time-series study AU - Jun Min Pan JO - Journal of Financial Economics PY - 2002 VL - 63 IS - 1 DO - 10.1016/s0304-405x(01)00088-5 UR - https://doi.org/10.1016/s0304-405x(01)00088-5 ER - TY - JOUR TI - Predicting returns in the stock and bond markets AU - Donald B. Keim AU - Robert F. Stambaugh JO - Journal of Financial Economics PY - 1986 VL - 17 IS - 2 DO - 10.1016/0304-405x(86)90070-x UR - https://doi.org/10.1016/0304-405x(86)90070-x ER - TY - JOUR TI - Forecasting the Term Structure of Government Bond Yields AU - Francis X. Diebold AU - Canlin Li JO - Journal of Econometrics PY - 2003 VL - 130 IS - 2 DO - 10.1016/j.jeconom.2005.03.005 UR - https://doi.org/10.1016/j.jeconom.2005.03.005 ER - TY - JOUR TI - A forecast comparison of volatility models: does anything beat a GARCH(1,1)? AU - Peter Reinhard Hansen AU - Asger Lunde JO - Journal of Applied Econometrics PY - 2005 VL - 20 IS - 7 DO - 10.1002/jae.800 UR - https://doi.org/10.1002/jae.800 ER - TY - JOUR TI - A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables AU - Andrew Ang AU - Monika Piazzesi JO - Journal of Monetary Economics PY - 2003 VL - 50 IS - 4 DO - 10.1016/s0304-3932(03)00032-1 UR - https://doi.org/10.1016/s0304-3932(03)00032-1 ER - TY - JOUR TI - Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach AU - Alexander J. McNeil AU - Rüdiger Frey JO - Journal of Empirical Finance PY - 2000 VL - 7 IS - 3-4 DO - 10.1016/s0927-5398(00)00012-8 UR - https://doi.org/10.1016/s0927-5398(00)00012-8 ER - TY - JOUR TI - Emerging equity market volatility AU - Geert Bekaert AU - Campbell R. Harvey JO - Journal of Financial Economics PY - 1997 VL - 43 IS - 1 DO - 10.1016/s0304-405x(96)00889-6 UR - https://doi.org/10.1016/s0304-405x(96)00889-6 ER - TY - JOUR TI - Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy AU - David E. Rapach AU - Jack Strauss AU - Guofu Zhou JO - Review of Financial Studies PY - 2009 VL - 23 IS - 2 DO - 10.1093/rfs/hhp063 UR - https://doi.org/10.1093/rfs/hhp063 ER - TY - JOUR TI - Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets AU - James Joshua Claus AU - Jacob K. Kandathil Thomas JO - The Journal of Finance PY - 2001 VL - 56 IS - 5 DO - 10.1111/0022-1082.00384 UR - https://doi.org/10.1111/0022-1082.00384 ER - TY - JOUR TI - Transmission of Volatility between Stock Markets AU - Mervyn A. King AU - Sushil B. Wadhwani JO - Review of Financial Studies PY - 1990 VL - 3 IS - 1 DO - 10.1093/rfs/3.1.5 UR - https://doi.org/10.1093/rfs/3.1.5 ER - TY - JOUR TI - Does Academic Research Destroy Stock Return Predictability? AU - R. David McLean AU - Jeffrey Pontiff JO - The Journal of Finance PY - 2015 VL - 71 IS - 1 DO - 10.1111/jofi.12365 UR - https://doi.org/10.1111/jofi.12365 ER - TY - JOUR TI - The Credibility Revolution in Empirical Economics: How Better Research Design is Taking the Con out of Econometrics AU - Joshua D. Angrist AU - Jörn‐Steffen Pischke JO - The Journal of Economic Perspectives PY - 2010 VL - 24 IS - 2 DO - 10.1257/jep.24.2.3 UR - https://doi.org/10.1257/jep.24.2.3 ER - TY - JOUR TI - Bitcoin, gold and the dollar – A GARCH volatility analysis AU - Anne Haubo Dyhrberg JO - Finance research letters PY - 2015 VL - 16 DO - 10.1016/j.frl.2015.10.008 UR - https://doi.org/10.1016/j.frl.2015.10.008 ER - TY - JOUR TI - The Impact of Jumps in Volatility and Returns AU - Bjørn Eraker AU - Michael Slater Johannes AU - Nicholas Polson JO - The Journal of Finance PY - 2003 VL - 58 IS - 3 DO - 10.1111/1540-6261.00566 UR - https://doi.org/10.1111/1540-6261.00566 ER - TY - JOUR TI - Stock Price Distributions with Stochastic Volatility: An Analytic Approach AU - Elias M. Stein AU - Jeremy C. Stein JO - Review of Financial Studies PY - 1991 VL - 4 IS - 4 DO - 10.1093/rfs/4.4.727 UR - https://doi.org/10.1093/rfs/4.4.727 ER - TY - JOUR TI - Does financial development cause economic growth? Time-series evidence from 16 countries AU - Panicos O. Demetriades AU - Khaled Hussein JO - Journal of Development Economics PY - 1996 VL - 51 IS - 2 DO - 10.1016/s0304-3878(96)00421-x UR - https://doi.org/10.1016/s0304-3878(96)00421-x ER - TY - JOUR TI - High idiosyncratic volatility and low returns: International and further U.S. evidence AU - Andrew Ang AU - Robert J. Hodrick AU - Yuhang Xing AU - Xiaoyan Zhang JO - Journal of Financial Economics PY - 2008 VL - 91 IS - 1 DO - 10.1016/j.jfineco.2007.12.005 UR - https://doi.org/10.1016/j.jfineco.2007.12.005 ER - TY - JOUR TI - Asymmetric Volatility and Risk in Equity Markets AU - Geert Bekaert AU - Guojun Wu JO - Review of Financial Studies PY - 2000 VL - 13 IS - 1 DO - 10.1093/rfs/13.1.1 UR - https://doi.org/10.1093/rfs/13.1.1 ER - TY - JOUR TI - Analyst forecast accuracy: Do ability, resources, and portfolio complexity matter? AU - Michael B. Clement JO - Journal of Accounting and Economics PY - 1999 VL - 27 IS - 3 DO - 10.1016/s0165-4101(99)00013-0 UR - https://doi.org/10.1016/s0165-4101(99)00013-0 ER - TY - JOUR TI - Evaluating Density Forecasts with Applications to Financial Risk Management AU - Francis X. Diebold AU - Todd A. Gunther AU - Anthony S. Tay JO - International Economic Review PY - 1998 VL - 39 IS - 4 DO - 10.2307/2527342 UR - https://doi.org/10.2307/2527342 ER - TY - JOUR TI - Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility AU - Torben Gustav Andersen AU - Tim Bollerslev AU - Francis X. Diebold JO - The Review of Economics and Statistics PY - 2007 VL - 89 IS - 4 DO - 10.1162/rest.89.4.701 UR - https://doi.org/10.1162/rest.89.4.701 ER - TY - JOUR TI - The changing time-series properties of earnings, cash flows and accruals: Has financial reporting become more conservative? AU - Dan Givoly AU - Carla K. Hayn JO - Journal of Accounting and Economics PY - 2000 VL - 29 IS - 3 DO - 10.1016/s0165-4101(00)00024-0 UR - https://doi.org/10.1016/s0165-4101(00)00024-0 ER - TY - JOUR TI - Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation AU - Craig Hiemstra AU - Jonathan D. Jones JO - The Journal of Finance PY - 1994 VL - 49 IS - 5 DO - 10.1111/j.1540-6261.1994.tb04776.x UR - https://doi.org/10.1111/j.1540-6261.1994.tb04776.x ER - TY - JOUR TI - Bayesian Analysis of Stochastic Volatility Models AU - Éric Jacquier AU - Nicholas G. Polson AU - Peter E. Rossi JO - Journal of Business and Economic Statistics PY - 2002 VL - 20 IS - 1 DO - 10.1198/073500102753410408 UR - https://doi.org/10.1198/073500102753410408 ER - TY - JOUR TI - Stock Return Predictability: Is it There? AU - Andrew Ang AU - Geert Bekaert JO - Review of Financial Studies PY - 2006 VL - 20 IS - 3 DO - 10.1093/rfs/hhl021 UR - https://doi.org/10.1093/rfs/hhl021 ER - TY - JOUR TI - Intraday periodicity and volatility persistence in financial markets AU - Torben Gustav Andersen AU - Tim Bollerslev JO - Journal of Empirical Finance PY - 1997 VL - 4 IS - 2-3 DO - 10.1016/s0927-5398(97)00004-2 UR - https://doi.org/10.1016/s0927-5398(97)00004-2 ER - TY - JOUR TI - Forecasting Volatility in Financial Markets: A Review AU - Ser‐Huang Poon AU - Clive W. J. Granger JO - Journal of Economic Literature PY - 2003 VL - 41 IS - 2 DO - 10.1257/002205103765762743 UR - https://doi.org/10.1257/002205103765762743 ER - TY - JOUR TI - The Dog That Did Not Bark: A Defense of Return Predictability AU - John H. Cochrane JO - Review of Financial Studies PY - 2007 VL - 21 IS - 4 DO - 10.1093/rfs/hhm046 UR - https://doi.org/10.1093/rfs/hhm046 ER - TY - JOUR TI - Implied Volatility Functions: Empirical Tests AU - Bernard Dumas AU - Jeff Fleming AU - Robert E. Whaley JO - The Journal of Finance PY - 1998 VL - 53 IS - 6 DO - 10.1111/0022-1082.00083 UR - https://doi.org/10.1111/0022-1082.00083 ER - TY - JOUR TI - Volatility forecast comparison using imperfect volatility proxies AU - Andrew J. Patton JO - Journal of Econometrics PY - 2010 VL - 160 IS - 1 DO - 10.1016/j.jeconom.2010.03.034 UR - https://doi.org/10.1016/j.jeconom.2010.03.034 ER - TY - JOUR TI - Alternative models for conditional stock volatility AU - Adrian Pagan AU - G. William Schwert JO - Journal of Econometrics PY - 1990 VL - 45 IS - 1-2 DO - 10.1016/0304-4076(90)90101-x UR - https://doi.org/10.1016/0304-4076(90)90101-x ER - TY - JOUR TI - 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 AU - Michael John Brennan AU - Tarun Chordia AU - Avanidhar Subrahmanyam JO - Journal of Financial Economics PY - 1998 VL - 49 IS - 3 DO - 10.1016/s0304-405x(98)00028-2 UR - https://doi.org/10.1016/s0304-405x(98)00028-2 ER - TY - JOUR TI - Equity Volatility and Corporate Bond Yields AU - John Y. Campbell AU - Glen B. Taksler JO - The Journal of Finance PY - 2003 VL - 58 IS - 6 DO - 10.1046/j.1540-6261.2003.00607.x UR - https://doi.org/10.1046/j.1540-6261.2003.00607.x ER - TY - JOUR TI - Modeling and pricing long memory in stock market volatility AU - Tim Bollerslev AU - Hans Ole Mikkelsen JO - Journal of Econometrics PY - 1996 VL - 73 IS - 1 DO - 10.1016/0304-4076(95)01736-4 UR - https://doi.org/10.1016/0304-4076(95)01736-4 ER - TY - JOUR TI - Realized Variance and Market Microstructure Noise AU - Peter Reinhard Hansen AU - Asger Lunde JO - Journal of Business and Economic Statistics PY - 2006 VL - 24 IS - 2 DO - 10.1198/073500106000000071 UR - https://doi.org/10.1198/073500106000000071 ER - TY - JOUR TI - Predicting U.S. Recessions: Financial Variables as Leading Indicators AU - Arturo Estrella AU - Frederic S. Mishkin JO - The Review of Economics and Statistics PY - 1998 VL - 80 IS - 1 DO - 10.1162/003465398557320 UR - https://doi.org/10.1162/003465398557320 ER - TY - JOUR TI - A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations AU - Yiu‐Kuen Tse AU - Albert K. C. Tsui JO - Journal of Business and Economic Statistics PY - 2002 VL - 20 IS - 3 DO - 10.1198/073500102288618496 UR - https://doi.org/10.1198/073500102288618496 ER - TY - JOUR TI - The impact of growth, energy and financial development on the environment in China: A cointegration analysis AU - Abdul Jalil AU - Mete Feridun JO - Energy Economics PY - 2010 VL - 33 IS - 2 DO - 10.1016/j.eneco.2010.10.003 UR - https://doi.org/10.1016/j.eneco.2010.10.003 ER - TY - JOUR TI - GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics AU - Robert F. Engle JO - The Journal of Economic Perspectives PY - 2001 VL - 15 IS - 4 DO - 10.1257/jep.15.4.157 UR - https://doi.org/10.1257/jep.15.4.157 ER - TY - JOUR TI - Range‐Based Estimation of Stochastic Volatility Models AU - Sassan Alizadeh AU - Michael W. Brandt AU - Francis X. Diebold JO - The Journal of Finance PY - 2002 VL - 57 IS - 3 DO - 10.1111/1540-6261.00454 UR - https://doi.org/10.1111/1540-6261.00454 ER - TY - JOUR TI - Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies AU - Torben Gustav Andersen AU - Tim Bollerslev JO - The Journal of Finance PY - 1998 VL - 53 IS - 1 DO - 10.1111/0022-1082.85732 UR - https://doi.org/10.1111/0022-1082.85732 ER - TY - JOUR TI - Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices AU - Bjørn Eraker JO - The Journal of Finance PY - 2004 VL - 59 IS - 3 DO - 10.1111/j.1540-6261.2004.00666.x UR - https://doi.org/10.1111/j.1540-6261.2004.00666.x ER - TY - JOUR TI - The relation between implied and realized volatility AU - Bent Jesper Christensen AU - Nagpurnanand R. Prabhala JO - Journal of Financial Economics PY - 1998 VL - 50 IS - 2 DO - 10.1016/s0304-405x(98)00034-8 UR - https://doi.org/10.1016/s0304-405x(98)00034-8 ER - TY - JOUR TI - THE GARCH OPTION PRICING MODEL AU - Jin‐Chuan Duan JO - Mathematical Finance PY - 1995 VL - 5 IS - 1 DO - 10.1111/j.1467-9965.1995.tb00099.x UR - https://doi.org/10.1111/j.1467-9965.1995.tb00099.x ER - TY - JOUR TI - Stock Market Volatility and Macroeconomic Fundamentals AU - Robert F. Engle AU - Éric Ghysels AU - Bumjean Sohn JO - The Review of Economics and Statistics PY - 2012 VL - 95 IS - 3 DO - 10.1162/rest_a_00300 UR - https://doi.org/10.1162/rest_a_00300 ER - TY - JOUR TI - Persistence in Variance, Structural Change, and the GARCH Model AU - Christopher G. Lamoureux AU - William D. Lastrapes JO - Journal of Business and Economic Statistics PY - 1990 VL - 8 IS - 2 DO - 10.1080/07350015.1990.10509794 UR - https://doi.org/10.1080/07350015.1990.10509794 ER - TY - JOUR TI - Stationarity and Persistence in the GARCH(1,1) Model AU - Daniel B. Nelson JO - Econometric Theory PY - 1990 VL - 6 IS - 3 DO - 10.1017/s0266466600005296 UR - https://doi.org/10.1017/s0266466600005296 ER - TY - JOUR TI - The Model-Free Implied Volatility and Its Information Content AU - George J. Jiang AU - Yisong S. Tian JO - Review of Financial Studies PY - 2005 VL - 18 IS - 4 DO - 10.1093/rfs/hhi027 UR - https://doi.org/10.1093/rfs/hhi027 ER - TY - JOUR TI - Volatility estimation for Bitcoin: A comparison of GARCH models AU - Paraskevi Katsiampa JO - Economics Letters PY - 2017 VL - 158 DO - 10.1016/j.econlet.2017.06.023 UR - https://doi.org/10.1016/j.econlet.2017.06.023 ER - TY - JOUR TI - Forecasting Output and Inflation: The Role of Asset Prices AU - James H. Stock AU - Mark W. Watson JO - Journal of Economic Literature PY - 2003 VL - 41 IS - 3 DO - 10.1257/002205103322436197 UR - https://doi.org/10.1257/002205103322436197 ER - TY - JOUR TI - Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects AU - Christopher G. Lamoureux AU - William D. Lastrapes JO - The Journal of Finance PY - 1990 VL - 45 IS - 1 DO - 10.1111/j.1540-6261.1990.tb05088.x UR - https://doi.org/10.1111/j.1540-6261.1990.tb05088.x ER - TY - JOUR TI - Financial statement analysis and the prediction of stock returns AU - Jane A. Ou AU - Stephen H. Penman JO - Journal of Accounting and Economics PY - 1989 VL - 11 IS - 4 DO - 10.1016/0165-4101(89)90017-7 UR - https://doi.org/10.1016/0165-4101(89)90017-7 ER - TY - JOUR TI - Efficient tests of stock return predictability☆ AU - J CAMPBELL AU - Motohiro Yogo JO - Journal of Financial Economics PY - 2006 VL - 81 IS - 1 DO - 10.1016/j.jfineco.2005.05.008 UR - https://doi.org/10.1016/j.jfineco.2005.05.008 ER - TY - JOUR TI - Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle AU - Robert F. Stambaugh AU - Jianfeng Yu AU - Yu Yuan JO - The Journal of Finance PY - 2015 VL - 70 IS - 5 DO - 10.1111/jofi.12286 UR - https://doi.org/10.1111/jofi.12286 ER - TY - JOUR TI - Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility AU - Torben Gustav Andersen JO - The Journal of Finance PY - 1996 VL - 51 IS - 1 DO - 10.1111/j.1540-6261.1996.tb05206.x UR - https://doi.org/10.1111/j.1540-6261.1996.tb05206.x ER - TY - JOUR TI - Stealth trading and volatility AU - Michael J. Barclay AU - Jerold B. Warner JO - Journal of Financial Economics PY - 1993 VL - 34 IS - 3 DO - 10.1016/0304-405x(93)90029-b UR - https://doi.org/10.1016/0304-405x(93)90029-b ER - TY - JOUR TI - Delta-Hedged Gains and the Negative Market Volatility Risk Premium AU - Gurdip Bakshi AU - Nikunj Kapadia JO - Review of Financial Studies PY - 2003 VL - 16 IS - 2 DO - 10.1093/rfs/hhg002 UR - https://doi.org/10.1093/rfs/hhg002 ER - TY - JOUR TI - Predicting returns with financial ratios AU - Jonathan W. Lewellen JO - Journal of Financial Economics PY - 2004 VL - 74 IS - 2 DO - 10.1016/j.jfineco.2002.11.002 UR - https://doi.org/10.1016/j.jfineco.2002.11.002 ER - TY - JOUR TI - Predictability of Stock Returns: Robustness and Economic Significance AU - M. Hashem Pesaran AU - Allan Timmermann JO - The Journal of Finance PY - 1995 VL - 50 IS - 4 DO - 10.1111/j.1540-6261.1995.tb04055.x UR - https://doi.org/10.1111/j.1540-6261.1995.tb04055.x ER - TY - JOUR TI - Information and Volatility: The No‐Arbitrage Martingale Approach to Timing and Resolution Irrelevancy AU - Stephen A. Ross JO - The Journal of Finance PY - 1989 VL - 44 IS - 1 DO - 10.1111/j.1540-6261.1989.tb02401.x UR - https://doi.org/10.1111/j.1540-6261.1989.tb02401.x ER - TY - JOUR TI - Option Prices, Implied Price Processes, and Stochastic Volatility AU - Mark Britten‐Jones AU - Anthony John Neuberger JO - The Journal of Finance PY - 2000 VL - 55 IS - 2 DO - 10.1111/0022-1082.00228 UR - https://doi.org/10.1111/0022-1082.00228 ER - TY - JOUR TI - Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? AU - Nicolas P. B. Bollen AU - Robert E. Whaley JO - The Journal of Finance PY - 2004 VL - 59 IS - 2 DO - 10.1111/j.1540-6261.2004.00647.x UR - https://doi.org/10.1111/j.1540-6261.2004.00647.x ER -