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The ‘Short-Run’ Impact of Expectations’ Past Volatility on the Current Predictions of Investors. The Case of VIX

https://doi.org/10.2139/ssrn.4657119
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Stochastic Volatility Models
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Stock market tail risk, tail risk premia, and return predictability
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Equity Premium Puzzle or Faulty Economic Modelling?
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A tutorial on adaptive MCMC
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Moment risk premia and the cross-section of stock returns in the European stock market
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The VIX, the variance premium and stock market volatility
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Achieving shrinkage in a time-varying parameter model framework
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Forecasting earnings and returns: A review of recent advancements
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Average correlation and stock market returns
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Should Long-Term Investors Time Volatility?
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Do macro variables, asset markets, or surveys forecast inflation better?
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Deciding between GARCH and stochastic volatility via strong decision rules
inferredcites →https://doi.org/10.1016/j.ribaf.2018.06.003openalex-extracted
Variance risk premium and equity returns
inferredcites →https://doi.org/10.1016/j.sigpro.2016.08.025openalex-extracted
Effective sample size for importance sampling based on discrepancy measures
inferredcites →https://doi.org/10.1080/07350015.1992.10509904openalex-extracted
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
inferredcites →https://doi.org/10.1080/07350015.1994.10524553openalex-extracted
Bayesian Analysis of Stochastic Volatility Models
inferredcites →https://doi.org/10.1093/jjfinec/nbn008openalex-extracted
A Simple Test for GARCH Against a Stochastic Volatility Model
inferredcites →https://doi.org/10.1093/oso/9780198523567.003.0038openalex-extracted
Efficient Metropolis Jumping Rules
inferredcites →https://doi.org/10.1093/rfs/hhaa019openalex-extracted
New Methods for the Cross-Section of Returns
inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-extracted
Expected Stock Returns and Variance Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hht082openalex-extracted
Expectations of Returns and Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhz013openalex-extracted
Financial Markets with Trade on Risk and Return
inferredcites →https://doi.org/10.1111/1467-937x.00050openalex-extracted
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
inferredcites →https://doi.org/10.1111/1467-9965.00068openalex-extracted
Coherent Measures of Risk
inferredcites →https://doi.org/10.1111/irfi.12320openalex-extracted
Connectedness among stocks and tail risk: Evidence from China
inferredcites →https://doi.org/10.1111/j.1467-9868.2009.00736.xopenalex-extracted
Particle Markov Chain Monte Carlo Methods
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01419.xopenalex-extracted
Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk
inferredcites →https://doi.org/10.1111/jtsa.12561openalex-extracted
A Note on Efficient Fitting of Stochastic Volatility Models
inferredcites →https://doi.org/10.1111/sjos.12136openalex-extracted
Uniform Ergodicity of the Particle Gibbs Sampler
inferredcites →https://doi.org/10.1198/073500102753410372openalex-extracted
Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis
inferredcites →https://doi.org/10.1198/073500102753410408openalex-extracted
Bayesian Analysis of Stochastic Volatility Models
inferredcites →https://doi.org/10.18637/jss.v091.i04openalex-extracted
Markov-Switching GARCH Models in R : The MSGARCH Package
inferredcites →https://doi.org/10.18637/jss.v100.i13openalex-extracted
Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP
inferredcites →https://doi.org/10.2139/ssrn.1609530openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2252209openalex-extracted
The VIX, the Variance Premium and Stock Market Volatility
inferredcites →https://doi.org/10.2139/ssrn.2646037openalex-extracted
The Equity Risk Premium: A Review of Models
inferredcites →https://doi.org/10.2139/ssrn.3519985openalex-extracted
Short-run Risk, Business Cycle, and the Value Premium
inferredcites →https://doi.org/10.2139/ssrn.918479openalex-extracted
inferredcites →https://doi.org/10.22201/fca.24488410e.2021.2642openalex-extracted
Comparison of the GARCH and stochastic models: An application to the Mexican peso-us dollar exchange rate
inferredcites →https://doi.org/10.32614/cran.package.astsaopenalex-extracted
astsa: Applied Statistical Time Series Analysis
inferredcites →https://doi.org/10.32614/cran.package.urcaopenalex-extracted
urca: Unit Root and Cointegration Tests for Time Series Data
inferredcites →https://doi.org/10.3390/econometrics8020020openalex-extracted
Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models
inferredcites →https://doi.org/10.3982/ecta6248openalex-extracted
The Impact of Uncertainty Shocks
inferredcites →https://doi.org/10.48550/arxiv.1401.0604openalex-extracted
Particle Gibbs with Ancestor Sampling
inferredcites →https://doi.org/10.48550/arxiv.1907.07065openalex-extracted
Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP
inferredcites →https://doi.org/10.1093/oxfordhb/9780195398649.013.0013openalex-snapshot
Forecast Combinations
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