A unified framework jointly explaining business conditions, stock returns, volatility and ``volatility feedback news effects

DOI10.1515/snde-2016-0151OpenAlexW2886242594MaRDI QIDQ2697029

Chang-Jin Kim, Yunmi Kim

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0151

zbMATH Keywords

market volatilityregime-switchingmacroeconomic factorsexpected returns``volatility feedback news effects

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• On leverage in a stochastic volatility model
• Volatility puzzles: a simple framework for gauging return-volatility regressions
• When can changes in expectations cause business cycle fluctuations in neo-classical settings?
• Duration dependence in US expansions: a re-examination of the evidence
• Common risk factors in the returns on stocks and bonds