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There are 75126 results for: content related to: ANALYZING STOCK MARKET VOLATILITY USING EXTREME-DAY MEASURES

  1. Empirical Comparison of Alternative Implied Volatility Measures of the Forecasting Performance of Future Volatility

    Asia-Pacific Journal of Financial Studies

    Volume 41, Issue 1, February 2012, Pages: 103–124, Dong Woo Rhee, Suk Joon Byun and Sol Kim

    Version of Record online : 9 FEB 2012, DOI: 10.1111/j.2041-6156.2011.01066.x

  2. Range-Based Estimation of Stochastic Volatility Models

    The Journal of Finance

    Volume 57, Issue 3, June 2002, Pages: 1047–1091, Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold

    Version of Record online : 17 DEC 2002, DOI: 10.1111/1540-6261.00454

  3. Earnings Volatility, Post–Earnings Announcement Drift, and Trading Frictions

    Journal of Accounting Research

    Volume 50, Issue 1, March 2012, Pages: 41–74, SEAN SHUN CAO and GANAPATHI S. NARAYANAMOORTHY

    Version of Record online : 15 NOV 2011, DOI: 10.1111/j.1475-679X.2011.00425.x

  4. Low-Frequency Volatility of Yen Interest Rate Swap Market in Relation to Macroeconomic Risk

    International Review of Finance

    Volume 11, Issue 3, September 2011, Pages: 353–390, A.S.M. SOHEL AZAD, VICTOR FANG and J. WICKRAMANAYAKE

    Version of Record online : 20 APR 2011, DOI: 10.1111/j.1468-2443.2011.01129.x

  5. Expected Idiosyncratic Volatility Measures and Expected Returns

    Financial Management

    Volume 41, Issue 3, Fall 2012, Pages: 519–553, Jason D. Fink, Kristin E. Fink and Hui He

    Version of Record online : 24 JUL 2012, DOI: 10.1111/j.1755-053X.2012.01209.x

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    The Cross-Section of Volatility and Expected Returns

    The Journal of Finance

    Volume 61, Issue 1, February 2006, Pages: 259–299, ANDREW ANG, ROBERT J. HODRICK, YUHANG XING and XIAOYAN ZHANG

    Version of Record online : 20 JAN 2006, DOI: 10.1111/j.1540-6261.2006.00836.x

  7. VOLATILITY AND IRISH EXPORTS

    Economic Inquiry

    Volume 46, Issue 4, October 2008, Pages: 540–560, DON BREDIN and JOHN COTTER

    Version of Record online : 20 NOV 2007, DOI: 10.1111/j.1465-7295.2007.00101.x

  8. Real Options, Volatility, and Stock Returns

    The Journal of Finance

    Volume 67, Issue 4, August 2012, Pages: 1499–1537, GUSTAVO GRULLON, EVGENY LYANDRES and ALEXEI ZHDANOV

    Version of Record online : 19 JUL 2012, DOI: 10.1111/j.1540-6261.2012.01754.x

  9. Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk

    The Journal of Finance

    Volume 63, Issue 6, December 2008, Pages: 2997–3030, TOBIAS ADRIAN and JOSHUA ROSENBERG

    Version of Record online : 11 NOV 2008, DOI: 10.1111/j.1540-6261.2008.01419.x

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    Does the option market produce superior forecasts of noise-corrected volatility measures?

    Journal of Applied Econometrics

    Volume 24, Issue 1, January/February 2009, Pages: 77–104, Gael M. Martin, Andrew Reidy and Jill Wright

    Version of Record online : 4 DEC 2008, DOI: 10.1002/jae.1033

  11. What Makes a Stock Risky? Evidence from Sell-Side Analysts' Risk Ratings

    Journal of Accounting Research

    Volume 45, Issue 3, June 2007, Pages: 629–665, DAPHNE LUI, STANIMIR MARKOV and ANE TAMAYO

    Version of Record online : 16 MAR 2007, DOI: 10.1111/j.1475-679X.2007.00242.x

  12. The Information Content of OTC Individual Put Option Implied Volatility for Credit Default Swap Spreads

    Asia-Pacific Journal of Financial Studies

    Volume 41, Issue 4, August 2012, Pages: 491–516, Yuen Jung Park and Tong Suk Kim

    Version of Record online : 20 AUG 2012, DOI: 10.1111/j.2041-6156.2012.01080.x

  13. Can Internet Search Queries Help to Predict Stock Market Volatility?

    European Financial Management

    Volume 22, Issue 2, March 2016, Pages: 171–192, Thomas Dimpfl and Stephan Jank

    Version of Record online : 4 FEB 2015, DOI: 10.1111/eufm.12058

  14. ON THE ROBUSTNESS OF RANGE-BASED VOLATILITY ESTIMATORS

    Journal of Financial Research

    Volume 33, Issue 2, Summer 2010, Pages: 179–199, Ozgur (Ozzy) Akay, Mark D. Griffiths and Drew B. Winters

    Version of Record online : 14 JUN 2010, DOI: 10.1111/j.1475-6803.2010.01267.x

  15. FORECASTING STOCK INDEX VOLATILITY: COMPARING IMPLIED VOLATILITY AND THE INTRADAY HIGH–LOW PRICE RANGE

    Journal of Financial Research

    Volume 30, Issue 2, Summer 2007, Pages: 201–215, Charles Corrado and Cameron Truong

    Version of Record online : 22 JUN 2007, DOI: 10.1111/j.1475-6803.2007.00210.x

  16. MACROECONOMIC NEWS, STOCK TURNOVER, AND VOLATILITY CLUSTERING IN DAILY STOCK RETURNS

    Journal of Financial Research

    Volume 28, Issue 2, June 2005, Pages: 235–259, Robert Connolly and Chris Stivers

    Version of Record online : 25 APR 2005, DOI: 10.1111/j.1475-6803.2005.00123.x

  17. Idiosyncratic Volatility and Firm-Specific News: Beyond Limited Arbitrage

    Financial Management

    R. Jared DeLisle, Nathan Mauck and Adam R. Smedema

    Version of Record online : 1 AUG 2016, DOI: 10.1111/fima.12135

  18. Foreign Exchange Volatility Is Priced in Equities

    Financial Management

    Volume 37, Issue 4, Winter 2008, Pages: 769–790, Hui Guo, Christopher J. Neely and Jason Higbee

    Version of Record online : 3 DEC 2008, DOI: 10.1111/j.1755-053X.2008.00034.x

  19. Fair Value Accounting and Managers' Hedging Decisions

    Journal of Accounting Research

    Volume 51, Issue 1, March 2013, Pages: 67–103, WEI CHEN, HUN-TONG TAN and ELAINE YING WANG

    Version of Record online : 13 SEP 2012, DOI: 10.1111/j.1475-679X.2012.00468.x

  20. Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies

    South African Journal of Economics

    Volume 82, Issue 2, June 2014, Pages: 209–238, Haakon Kavli and Kevin Kotzé

    Version of Record online : 4 SEP 2013, DOI: 10.1111/saje.12023