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Stambaugh, Robert F.
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ECONIS (ZBW)
685
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1
"Déjà vol" : predictive regressions for aggregate stock market
volatility
using macroeconomic variables
Paye, Bradley S.
- In:
Journal of financial economics
106
(
2012
)
3
,
pp. 527-546
Persistent link: https://www.econbiz.de/10009710165
Saved in:
2
Inferring
volatility
dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris
;
Gourier, Elise
;
Leippold, Markus
- In:
Journal of financial economics
131
(
2019
)
3
,
pp. 593-618
Persistent link: https://www.econbiz.de/10012133017
Saved in:
3
Equity tail risk and currency risk premiums
Fan, Zhenzhen
;
Londono, Juan M.
;
Xiao, Xiao
- In:
Journal of financial economics
143
(
2022
)
1
,
pp. 484-503
Persistent link: https://www.econbiz.de/10013350667
Saved in:
4
Time series momentum : is it there?
Huang, Dashan
;
Li, Jiangyuan
;
Wang, Liyao
;
Zhou, Guofu
- In:
Journal of financial economics
135
(
2020
)
3
,
pp. 774-794
Persistent link: https://www.econbiz.de/10012543228
Saved in:
5
Momentum turning points
Goulding, Christian L.
;
Harvey, Campbell R.
;
Mazzoleni, …
- In:
Journal of financial economics
149
(
2023
)
3
,
pp. 378-406
Persistent link: https://www.econbiz.de/10014419608
Saved in:
6
The price of variance risk
Dew-Becker, Ian
;
Giglio, Stefano
;
Le, Anh
;
Giudice …
- In:
Journal of financial economics
123
(
2017
)
2
,
pp. 223-250
Persistent link: https://www.econbiz.de/10011748750
Saved in:
7
Quadratic variance swap models
Filipović, Damir
;
Gourier, Elise
;
Mancini, Loriano
- In:
Journal of financial economics
119
(
2016
)
1
,
pp. 44-68
Persistent link: https://www.econbiz.de/10011589703
Saved in:
8
Conditional
volatility
in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris
;
Karoui, Lotfi
- In:
Journal of financial economics
91
(
2009
)
3
,
pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
Saved in:
9
Realized semibetas : disentangling "good" and "bad" downside risks
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of financial economics
144
(
2022
)
1
,
pp. 227-246
Persistent link: https://www.econbiz.de/10013407090
Saved in:
10
Multivariate crash risk
Chabi-Yo, Fousseni
;
Huggenberger, Markus
;
Weigert, Florian
- In:
Journal of financial economics
145
(
2022
)
1
,
pp. 129-153
Persistent link: https://www.econbiz.de/10013473731
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