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Volatility (finance)

About: Volatility (finance) is a(n) research topic. Over the lifetime, 38272 publication(s) have been published within this topic receiving 979187 citation(s).
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Journal ArticleDOI
01 Mar 1991-Econometrica
Abstract: This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility changes), (2) eliminates the need for inequality constraints on parameters, and (3) allows for a straightforward interpretation of the "persistence" of shocks to volatility. In the above respects, it is an improvement over the widely-used GARCH model. The model is applied to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987. Copyright 1991 by The Econometric Society.

9,393 citations


Journal ArticleDOI
01 Dec 1993-Journal of Finance
Abstract: We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH-M model modified by allowing (1) seasonal patterns in volatility, (2) positive and negative innovations to returns having different impacts on conditional volatility, and (3) nominal interest rates to predict conditional variance. Using the modified GARCH-M model, we also show that monthly conditional volatility may not be as persistent as was thought. Positive unanticipated returns appear to result in a downward revision of the conditional volatility whereas negative unanticipated returns result in an upward revision of conditional volatility. THE TRADEOFF BETWEEN RISK and return has long been an important topic in asset valuation research. Most of this research has examined the tradeoff between risk and return among different securities within a given time period. The intertemporal relation between risk and return has been examined by several authors-Fama and Schwert (1977), French, Schwert, and Stambaugh (1987), Harvey (1989), Campbell and Hentschel (1992), Nelson (1991), and Chan, Karolyi, and Stulz (1992), to name a few. This paper extends that research.

7,201 citations


Journal ArticleDOI
Abstract: This paper examines the relation between stock returns and stock market volatility We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns There is also evidence that unexpected stock market returns are negatively related to the unexpected change in the volatility of stock returns This negative relation provides indirect evidence of a positive relation between expected risk premiums and volatility

4,175 citations


Journal ArticleDOI
01 Dec 1998-Journal of Finance
Abstract: We propose a theory of securities market under- and overreactions based on two well-known psychological biases: investor overconfidence about the precision of private information; and biased self-attribution, which causes asymmetric shifts in investors’ confidence as a function of their investment outcomes. We show that overconfidence implies negative long-lag autocorrelations, excess volatility, and, when managerial actions are correlated with stock mispricing, public-event-based return predictability. Biased self-attribution adds positive short-lag autocorrelations ~“momentum”!, short-run earnings “drift,” but negative correlation between future returns and long-term past stock market and accounting performance. The theory also offers several untested implications and implications for corporate financial policy. IN RECENT YEARS A BODY OF evidence on security returns has presented a sharp challenge to the traditional view that securities are rationally priced to ref lect all publicly available information. Some of the more pervasive anomalies can be classified as follows ~Appendix A cites the relevant literature!: 1. Event-based return predictability ~public-event-date average stock returns of the same sign as average subsequent long-run abnormal performance! 2. Short-term momentum ~positive short-term autocorrelation of stock returns, for individual stocks and the market as a whole!

3,725 citations


01 Jan 2011-
Abstract: This report highlights the differential impacts that the world food crisis of 2006-2008 had on different countries, with the poorest being most affected. This year’s report focuses on the costs of food price volatility, as well as the dangers and opportunities presented by high food prices. Climate change and an increased frequency of weather shocks, increased linkages between energy and agricultural markets due to growing demand for biofuels, and increased financialization of food and agricultural commodities all suggest that price volatility is here to stay. The report describes the effects of price volatility on food security and presents policy options to reduce volatility in a cost-effective manner and to manage it when it cannot be avoided.

3,370 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
202228
20211,990
20202,026
20191,932
20181,883
20172,145

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Topic's top 5 most impactful authors

Rangan Gupta

172 papers, 3.3K citations

Michael McAleer

171 papers, 3.3K citations

Torben G. Andersen

75 papers, 19K citations

Robert F. Engle

69 papers, 12.2K citations

Tim Bollerslev

66 papers, 17.5K citations