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Keyword

conditional variance

Description: A measure of the variability of a random variable after conditioning on information about one or more other variables.
Wikidata ID: wiki/Q5159279
OpenAlex ID: keywords/conditional-volatility
Generalized autoregressive conditional heteroskedasticity
1986 · Tim Bollerslev · Journal of Econometrics · 22,278
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On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
1993 · LAWRENCE R. GLOSTEN, RAVI JAGANNATHAN, et al. · The Journal of Finance · 9,023
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Using daily stock returns
1985 · Stephen J. Brown, Jerold B. Warner · Journal of Financial Economics · 6,497
Measuring and Testing the Impact of News on Volatility
1993 · ROBERT F. ENGLE, VICTOR K. NG · The Journal of Finance · 3,690
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
1987 · Robert F. Engle, David M. Lilien, et al. · Econometrica · 2,469
Stock Returns and the Term Structure
1985 · John Y. Campbell · Journal of Financial Economics · 2,260
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Emerging equity market volatility
1997 · Geert Bekaert, Campbell R. Harvey · Journal of Financial Economics · 1,701
Asymmetric Volatility and Risk in Equity Markets
2000 · Geert Bekaert, Guojun Wu · Review of Financial Studies · 1,470
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Stock Prices and Volume
1992 · A. Ronald Gallant, Peter E. Rossi, et al. · Review of Financial Studies · 1,295
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Modeling and pricing long memory in stock market volatility
1996 · Tim Bollerslev, Hans Ole Mikkelsen · Journal of Econometrics · 1,208
On the Behaviour of Commodity Prices
1992 · Angus Deaton, Guy Laroque · The Review of Economic Studies · 1,153
The Garch Option Pricing Model
1995 · Jin‐Chuan Duan · Mathematical Finance · 1,131
Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects
1990 · CHRISTOPHER G. LAMOUREUX, WILLIAM D. LASTRAPES · The Journal of Finance · 1,113
Stationarity and Persistence in the GARCH(1,1) Model
1990 · Daniel B. Nelson · Econometric Theory · 1,093
Idiosyncratic risk and the cross-section of expected stock returns
2008 · Fangjian Fu · Journal of Financial Economics · 1,066
There is a risk-return trade-off after all
2005 · Eric Ghysels, Pedro Santa-Clara, et al. · Journal of Financial Economics · 1,017
Assessing the Accuracy of the Maximum Likelihood Estimator: Observed Versus Expected Fisher Information
1978 · BRADLEY EFRON, DAVID V. HINKLEY · Biometrika · 952
ARCH models as diffusion approximations
1990 · Daniel B. Nelson · Journal of Econometrics · 943
Oil Shocks and the Macroeconomy: The Role of Price Variability*
1995 · Kiseok Lee, Shawn Ni, et al. · The Energy Journal · 914
Macroeconomic Factors Do Influence Aggregate Stock Returns
2002 · Mark J. Flannery, Aris A. Protopapadakis · Review of Financial Studies · 825
The VIX, the variance premium and stock market volatility
2014 · Geert Bekaert, Marie Hoerova · Journal of Econometrics · 811
Vulnerable Growth
2019 · Tobias Adrian, Nina Boyarchenko, et al. · American Economic Review · 777
On the use of fractional Brownian motion in the theory of connectionless networks
1995 · I. Norros · IEEE Journal on Selected Areas in Communications · 772
All in the family Nesting symmetric and asymmetric GARCH models
1995 · Ludger Hentschel · Journal of Financial Economics · 723
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Stock Returns and Volatility
1990 · Richard T. Baillie, Ramon P. DeGennaro · Journal of Financial and Quantitative Analysis · 722
Works count: 4,919
Citation count: 137,200
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