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Working Paper
The stock market and monetary policy: the role of macroeconomic states
Zhang, Huan; Chang, Chih-Ping
(1995)
Working Papers
, Paper 9516
Journal Article
Coordinating circuit breakers in stock and futures markets
Morris, Charles S.
(1990-03)
Economic Review
, Volume 75
, Issue Mar
, Pages 35-48
Report
Sunspots, asset bubbles, and the store of value motive in overlapping generations models
Boldin, Michael D.
(1990)
Research Paper
, Paper 9031
Working Paper
Evaluating \"correlation breakdowns\" during periods of market volatility
Loretan, Mico; English, William B.
(2000)
Financial market observers have noted that during periods of high market volatility, correlations between asset prices can differ substantially from those seen in quieter markets. For example, correlations among yield spreads were substantially higher during the fall of 1998 than in earlier or later periods. Such differences in correlations have been attributed either to structural breaks in the underlying distribution of returns or to "contagion" across markets that occurs only during periods of market turbulence. However, we argue that the differences may reflect nothing more than ...
International Finance Discussion Papers
, Paper 658
Report
Global stock markets and links in real activity
Remolona, Eli M.
(1991)
Research Paper
, Paper 9109
Conference Paper
The fact and the fiction of October 19
Grundfest, Joseph A.
(1988)
Proceedings
, Paper 190
Working Paper
Discrete option replication with transactions costs: an analysis of hedging errors
Abken, Peter A.
(1988)
FRB Atlanta Working Paper
, Paper 88-10
Journal Article
Has programmed trading made stock prices more volatile?
Santoni, G. J.
(1987-05)
Review
, Issue May
, Pages 18-29
Working Paper
Idiosyncratic volatility, stock market volatility, and expected stock returns
Savickas, Robert; Guo, Hui
(2005)
We find that the value-weighted idiosyncratic stock volatility and aggregate stock market volatility jointly exhibit strong predictive power for excess stock market returns. The stock market risk-return relation is found to be positive, as stipulated by the CAPM; however, idiosyncratic volatility is negatively related to future stock market returns. Also, idiosyncratic volatility appears to be a pervasive macrovariable, and its forecasting abilities are very similar to those of the consumption-wealth ratio proposed by Lettau and Ludvigson (2001).
Working Papers
, Paper 2003-028
Journal Article
Evaluating the stock market
Trehan, Bharat
(2000)
FRBSF Economic Letter
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