Alan, S. ; Attanasio, O. ; Browning, M. Estimating Euler equations with noisy data: two exact GMM estimators. 2009 Journal of Applied Econometrics. 24 309-324
Anatolyev, S. ; Gerko, A. A trading approach to testing for predictability. 2005 Journal of Business & Economic Statistics. 23 455-461
Andersen, T.G. ; Bollerslev, T. ; Diebold, F.X. ; Ebens, H. The distribution of realized stock return volatility. 2001 Journal of Financial Economics. 61 43-76
Andersen, T.G. ; Bollerslev, T. ; Diebold, F.X. ; Labys, P. Modeling and forecasting realized volatility. 2003 Econometrica. 71 579-625
- Ang, A. ; Bekaert, G. Stock return predictability: Is it there?. 2006 The Review of Financial Studies. 20 651-707
Paper not yet in RePEc: Add citation now
Arisoy, Y.E. ; Salih, A. ; Akdeniz, L. Is volatility risk priced in the securities market? Evidence from S&P 500 index options. 2007 Journal of Futures Markets: Futures, Options, and Other Derivative Products. 27 617-642
Baker, M. ; Wurgler, J. Investor sentiment and the cross-section of stock returns. 2006 The Journal of Finance. 61 1645-1680
Baker, M. ; Wurgler, J. Investor sentiment in the stock market. 2007 Journal of Economic Perspectives. 21 129-152
Baker, S.R. ; Bloom, N. ; Davis, S.J. Measuring economic policy uncertainty. 2016 Quarterly Journal of Economics. 131 1593-1636
Bakshi, G. ; Kapadia, N. Delta-hedged gains and the negative market volatility risk premium. 2003 The Review of Financial Studies. 16 527-566
Bakshi, G. ; Madan, D. A theory of volatility spreads. 2006 Management Science. 52 1945-1956
Bali, T.G. ; Cakici, N. ; Chabi-Yo, F. A generalized measure of riskiness. 2011 Management Science. 57 1406-1423
Bali, T.G. ; Hovakimian, A. Volatility spreads and expected stock returns. 2009 Management Science. 55 1797-1812
Bandi, F.M. ; Perron, B. Long memory and the relation between implied and realized volatility. 2006 Journal of Financial Econometrics. 4 636-670
Bekaert, G. ; Engstrom, E. ; Grenadier, S.R. Stock and bond returns with moody investors. 2010 Journal of Empirical Finance. 17 867-894
Bekaert, G. ; Engstrom, E. ; Xing, Y. Risk, uncertainty, and asset prices. 2009 Journal of Financial Economics. 91 59-82
Bekaert, G. ; Engstrom, E.C. ; Xu, N.R. The time variation in risk appetite and uncertainty. 2019 National Bureau of Economic Research:
Bekaert, G. ; Hoerova, M. The VIX, the variance premium and stock market volatility. 2014 Journal of Econometrics. 183 181-192
Bekaert, G. ; Hoerova, M. What do asset prices have to say about risk appetite and uncertainty?. 2016 Journal of Banking & Finance. 67 103-118
Blanchard, O. ; Cerutti, E. ; Summers, L. Inflation and activity–two explorations and their monetary policy implications. 2015 National Bureau of Economic Research:
Bliss, R.R. ; Panigirtzoglou, N. Option-implied risk aversion estimates. 2004 The Journal of Finance. 59 407-446
Bollerslev, T. ; Gibson, M. ; Zhou, H. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. 2011 Journal of Econometrics. 160 235-245
Bollerslev, T. ; Marrone, J. ; Xu, L. ; Zhou, H. Stock return predictability and variance risk premia: Statistical inference and international evidence. 2014 Journal of Financial and Quantitative Analysis. 49 633-661
Bollerslev, T. ; Tauchen, G. ; Zhou, H. Expected stock returns and variance risk premia. 2009 The Review of Financial Studies. 22 4463-4492
Bollerslev, T. ; Zhou, H. Estimating stochastic volatility diffusion using conditional moments of integrated volatility. 2002 Journal of Econometrics. 109 33-65
Bollerslev, T. ; Zhou, H. Volatility puzzles: A simple framework for gauging return-volatility regressions. 2006 Journal of Econometrics. 131 123-150
Bouri, E. ; Gupta, R. ; Majumdar, A. ; Subramaniam, S. Time-varying risk aversion and forecastability of the US term structure of interest rates. 2021 Finance Research Letters. 42 -
Brandt, M.W. ; Wang, K.Q. Time-varying risk aversion and unexpected inflation. 2003 Journal of Monetary Economics. 50 1457-1498
Britten-Jones, M. ; Neuberger, A. Option prices, implied price processes, and stochastic volatility. 2000 The Journal of Finance. 55 839-866
Brogaard, J. ; Detzel, A. The asset-pricing implications of government economic policy uncertainty. 2015 Management Science. 61 3-18
Brunnermeier, M.K. ; Nagel, S. Do wealth fluctuations generate time-varying risk aversion? Micro-evidence on individuals. 2008 American Economic Review. 98 713-736
Çakmaklı, C. ; van Dijk, D. Getting the most out of macroeconomic information for predicting excess stock returns. 2016 International Journal of Forecasting. 32 650-668
Campbell, J.Y. ; Cochrane, J.H. By force of habit: A consumption-based explanation of aggregate stock market behavior. 1999 Journal of Political Economy. 107 205-251
- Campbell, J.Y. ; Thompson, S.B. Predicting excess stock returns out of sample: Can anything beat the historical average?. 2007 The Review of Financial Studies. 21 1509-1531
Paper not yet in RePEc: Add citation now
Campbell, J.Y. ; Yogo, M. Efficient tests of stock return predictability. 2006 Journal of Financial Economics. 81 27-60
Carr, P. ; Wu, L. Variance risk premiums. 2009 The Review of Financial Studies. 22 1311-1341
Cenesizoglu, T. ; Timmermann, A. Do return prediction models add economic value?. 2012 Journal of Banking & Finance. 36 2974-2987
Çepni, O. ; Demirer, R. ; Gupta, R. ; Pierdzioch, C. Time-varying risk aversion and the predictability of bond premia. 2020 Finance Research Letters. 34 -
Chiang, T.C. Spillovers of US market volatility and monetary policy uncertainty to global stock markets. 2021 The North American Journal of Economics and Finance. 58 -
Clark, T.E. ; McCracken, M.W. Tests of equal forecast accuracy and encompassing for nested models. 2001 Journal of Econometrics. 105 85-110
- Cochrane, J.H. Asset pricing: Revised edition. 2009 Princeton University Press:
Paper not yet in RePEc: Add citation now
Cohn, A. ; Engelmann, J. ; Fehr, E. ; Maréchal, M.A. Evidence for countercyclical risk aversion: an experiment with financial professionals. 2015 American Economic Review. 105 860-885
Coudert, V. ; Gex, M. Does risk aversion drive financial crises? Testing the predictive power of empirical indicators. 2008 Journal of Empirical Finance. 15 167-184
Cuesdeanu, H. ; Jackwerth, J.C. The pricing kernel puzzle: Survey and outlook. 2018 Annals of Finance. 14 289-329
- Da, Z. ; Engelberg, J. ; Gao, P. The sum of all FEARS investor sentiment and asset prices. 2014 The Review of Financial Studies. 28 1-32
Paper not yet in RePEc: Add citation now
- Dal Pra, G. ; Guidolin, M. ; Pedio, M. ; Vasile, F. Regime shifts in excess stock return predictability: an out-of-sample portfolio analysis. 2018 Journal of Portfolio Management. 44 10-24
Paper not yet in RePEc: Add citation now
Demirer, R. ; Yuksel, A. ; Yuksel, A. Time-varying risk aversion and currency excess returns. 2022 Research in International Business and Finance. 59 -
Drechsler, I. Uncertainty, time-varying fear, and asset prices. 2013 The Journal of Finance. 68 1843-1889
- Drechsler, I. ; Yaron, A. What’s vol got to do with it. 2010 The Review of Financial Studies. 24 1-45
Paper not yet in RePEc: Add citation now
Faccini, R. ; Konstantinidi, E. ; Skiadopoulos, G. ; Sarantopoulou-Chiourea, S. A new predictor of US real economic activity: The S&P 500 option implied risk aversion. 2018 Management Science. -
Fleming, J. ; Kirby, C. ; Ostdiek, B. The economic value of volatility timing. 2001 The Journal of Finance. 56 329-352
Gai, P. ; Vause, N. Measuring investors risk appetite. 2006 International Journal of Central Banking. -
Garcia, R. ; Lewis, M.-A. ; Pastorello, S. ; Renault, É. Estimation of objective and risk-neutral distributions based on moments of integrated volatility. 2011 Journal of Econometrics. 160 22-32
Gordon, S. ; St-Amour, P. A preference regime model of bull and bear markets. 2000 American Economic Review. 90 1019-1033
Guiso, L. ; Sapienza, P. ; Zingales, L. Time varying risk aversion. 2018 Journal of Financial Economics. 128 403-421
Hafner, R. ; Wallmeier, M. Volatility as an asset class: European evidence. 2007 The European Journal of Finance. 13 621-644
- Hansen, P.R. ; Tong, C. Option pricing with time-varying volatility risk aversion. 2022 :
Paper not yet in RePEc: Add citation now
Heston, S.L. A closed-form solution for options with stochastic volatility with applications to bond and currency options. 1993 The Review of Financial Studies. 6 327-343
Hjalmarsson, E. Predicting global stock returns. 2010 Journal of Financial and Quantitative Analysis. 45 49-80
Huang, D. ; Jiang, F. ; Tu, J. ; Zhou, G. Investor sentiment aligned: A powerful predictor of stock returns. 2015 The Review of Financial Studies. 28 791-837
Jackwerth, J.C. Recovering risk aversion from option prices and realized returns. 2000 The Review of Financial Studies. 13 433-451
- Jiang, F. ; Lee, J. ; Martin, X. ; Zhou, G. Manager sentiment and stock returns. 2018 Journal of Financial Economics. -
Paper not yet in RePEc: Add citation now
Jones, C.S. The dynamics of stochastic volatility: Evidence from underlying and options markets. 2003 Journal of Econometrics. 116 181-224
Kandel, S. ; Stambaugh, R.F. On the predictability of stock returns: An asset-allocation perspective. 1996 The Journal of Finance. 51 385-424
Kim, K.H. Counter-cyclical risk aversion. 2014 Journal of Empirical Finance. 29 384-401
Kosolapova, M. ; Hanke, M. ; Weissensteiner, A. Estimating time-varying risk aversion from option prices and realized returns. 2023 Quantitative Finance. 23 1-17
Kostakis, A. ; Panigirtzoglou, N. ; Skiadopoulos, G. Market timing with option-implied distributions: A forward-looking approach. 2011 Management Science. 57 1231-1249
Kourtis, A. ; Markellos, R.N. ; Symeonidis, L. An international comparison of implied, realized, and GARCH volatility forecasts. 2016 Journal of Futures Markets. 36 1164-1193
Lemmon, M. ; Portniaguina, E. Consumer confidence and asset prices: Some empirical evidence. 2006 The Review of Financial Studies. 19 1499-1529
Li, J. ; Zinna, G. The variance risk premium: Components, term structures, and stock return predictability. 2018 Journal of Business & Economic Statistics. 36 411-425
Liao, W.J. ; Sung, H.-C. Implied risk aversion and pricing kernel in the FTSE 100 index. 2020 The North American Journal of Economics and Finance. 54 -
- Londono, J.M. The variance risk premium around the world. 2015 :
Paper not yet in RePEc: Add citation now
Londono, J.M. ; Xu, N.R. Variance risk premium components and international stock return predictability. 2019 :
Low, B.S. ; Zhang, S. The volatility risk premium embedded in currency options. 2005 Journal of Financial and Quantitative Analysis. 40 803-832
McCracken, M.W. Asymptotics for out of sample tests of granger causality. 2007 Journal of Econometrics. 140 719-752
Menzly, L. ; Santos, T. ; Veronesi, P. Understanding predictability. 2004 Journal of Political Economy. 112 1-47
Miranda-Agrippino, S. ; Rey, H. World asset markets and the global financial cycle. 2015 :
Neely, C.J. ; Rapach, D.E. ; Tu, J. ; Zhou, G. Forecasting the equity risk premium: The role of technical indicators. 2014 Management Science. 60 1772-1791
- Paravisini, D. ; Rappoport, V. ; Ravina, E. Risk aversion and wealth: Evidence from person-to-person lending portfolios. 2016 Management Science. 63 279-297
Paper not yet in RePEc: Add citation now
Pastor, L. ; Veronesi, P. Uncertainty about government policy and stock prices. 2012 The Journal of Finance. 67 1219-1264
Pesaran, M.H. ; Timmermann, A. A simple nonparametric test of predictive performance. 1992 Journal of Business & Economic Statistics. 10 461-465
Pflueger, C. ; Rinaldi, G. Why does the fed move markets so much? A model of monetary policy and time-varying risk aversion. 2022 Journal of Financial Economics. 146 71-89
Pyun, S. Variance risk in aggregate stock returns and time-varying return predictability. 2019 Journal of Financial Economics. 132 150-174
Rapach, D. ; Zhou, G. Forecasting stock returns. 2013 En : Handbook of economic forecasting. Elsevier:
Rapach, D.E. ; Ringgenberg, M.C. ; Zhou, G. Short interest and aggregate stock returns. 2016 Journal of Financial Economics. 121 46-65
Rapach, D.E. ; Strauss, J.K. ; Zhou, G. International stock return predictability: What is the role of the United States?. 2013 The Journal of Finance. 68 1633-1662
Rehman, M.U. ; Sensoy, A. ; Eraslan, V. ; Shahzad, S.J.H. ; Vo, X.V. Sensitivity of US equity returns to economic policy uncertainty and investor sentiments. 2021 The North American Journal of Economics and Finance. 57 -
Rosenberg, J.V. ; Engle, R.F. Empirical pricing kernels. 2002 Journal of Financial Economics. 64 341-372
Schmeling, M. Investor sentiment and stock returns: Some international evidence. 2009 Journal of empirical finance. 16 394-408
Shimer, R. Wage rigidities and jobless recoveries. 2012 Journal of Monetary Economics. 59 S65-S77
Stambaugh, R.F. Predictive regressions. 1999 Journal of Financial Economics. 54 375-421
Timmermann, A. Forecasting methods in finance. 2018 Annual Review of Financial Economics. 10 449-479
Wachter, J.A. ; Warusawitharana, M. Predictable returns and asset allocation: Should a skeptical investor time the market?. 2009 Journal of Econometrics. 148 162-178
- Welch, I. ; Goyal, A. A comprehensive look at the empirical performance of equity premium prediction. 2007 The Review of Financial Studies. 21 1455-1508
Paper not yet in RePEc: Add citation now
West, K.D. ; Edison, H.J. ; Cho, D. A utility-based comparison of some models of exchange rate volatility. 1993 Journal of International Economics. 35 23-45
Xu, Y. ; Wang, J. ; Chen, Z. ; Liang, C. Economic policy uncertainty and stock market returns: New evidence. 2021 The North American journal of economics and finance. 58 -
Zhou, G. Measuring investor sentiment. 2018 Annual Review of Financial Economics. 10 239-259