create a website

The Fear Premium and Daily Comovements of the S&P 500 E/P ratio and Treasury Yields before and during the 2008 Financial Crisis. (2013). Faugere, Christophe.
In: Financial Markets, Institutions & Instruments.
RePEc:wly:finmar:v:22:y:2013:i:3:p:171-207.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 28

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. An Examination of G10 Carry Trade and Covered Interest Arbitrage Before, During, and After Financial Crises. (2025). Refalo, James ; Danso, Charles Armah.
    In: JRFM.
    RePEc:gam:jjrfmx:v:18:y:2025:i:4:p:190-:d:1626308.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Aruoba, S.B., F.X. Diebold, and C. Scotti. 2009. “Real‐Time Measurement of Business Conditions.”Journal of Business and Economic Statistics 27:4:417–427.
    Paper not yet in RePEc: Add citation now
  2. Asness, C.S. 2003. “Fight the Fed Model.” Journal of Portfolio Management 30:1:11–24.
    Paper not yet in RePEc: Add citation now
  3. Bekaert, G. and E. Engstrom. 2008, “Inflation and the Stock Market: Understanding the ‘Fed Model'.” Unpublished paper, Columbia University.
    Paper not yet in RePEc: Add citation now

  4. Bollerslev, T. 1986. “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics 31:3:307–327.

  5. D'Amico, S., D. Kim, and M. Wei. 2008. “Tips from TIPS: the informational content of Treasury Inflation‐Protected Security prices.” Unpublished paper, BIS.

  6. Darby, M.R. 1975. “The Financial and Tax Effects of Monetary Policy on Interest Rates.” Economic Inquiry 13:2:266–276.

  7. Ding, Z., C.W.J. Granger, and R.F. Engle. 1993. “A Long Memory Property of Stock Market Returns and a New Model.” Journal of Empirical Finance 1:1:83–106.

  8. Elton, E.J. 1999. “Expected Return, Realized Return, and Asset Pricing Tests.” The Journal of Finance 54:4:1199–1220.

  9. Engle, R.F. 1982. “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation.” Econometrica 50:4:987–1008.

  10. Engle, R.F. 1990 “Discussion: Stock Market Volatility and the Crash of 87.” Review of Financial Studies, 3:1:103–106.
    Paper not yet in RePEc: Add citation now
  11. Engle, R.F. and T. Bollerslev. 1986. “Modeling the persistence of conditional variances.” Econometric Reviews 5:1:1–50.
    Paper not yet in RePEc: Add citation now
  12. Engle, R.F., D.M. Lilien, and R.P. Robins. 1987. “Estimating Time Varying Risk Premia in the Term Structure: The ARCH‐M Model.” Econometrica, 55:2:391–407.
    Paper not yet in RePEc: Add citation now
  13. Fama, E. 1975. “Short‐Term Interest Rates as Predictors of Inflation.” The American Economic Review 65:3:269–282.
    Paper not yet in RePEc: Add citation now
  14. Faugère, C. 2011. “Making Sense of Asset Prices: A Guide to Required Yield Theory. Part I: The Stock Market.” Unpublished Paper, University of .
    Paper not yet in RePEc: Add citation now
  15. Faugère, C. and J. Van Erlach. 2009. “A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination.” Financial Markets, Institutions and Instruments 18:1:27–88.
    Paper not yet in RePEc: Add citation now
  16. Feldstein, M. 1976. “Inflation, Income Taxes and the Rate of Interest: A Theoretical Analysis.” American Economic Review 66:5:809–820.
    Paper not yet in RePEc: Add citation now
  17. Fisher, I. 1896. Appreciation and Interest. New York: Macmillan for the American Economic Association, as reprinted in Fisher (1997) vol. 1.
    Paper not yet in RePEc: Add citation now

  18. Glosten, L.R., R. Jagannathan, and D. Runkle. 1993. “On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks.” Journal of Finance 48:5:1779–1801.

  19. Graham, B. and D. L. Dodd. 1951. Security Analysis, 3rd edition. New York: McGraw‐Hill.
    Paper not yet in RePEc: Add citation now
  20. Hakkio, C.S. and W.R. Keeton. 2009. “Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter?” Economic Review, Second Quarter, Federal Reserve Bank of Kansas City.
    Paper not yet in RePEc: Add citation now
  21. Hein, S.E. and J.M. Mercer. 2003. “Are Treasury Inflation Protected Securities Really Tax Disadvantaged?” Unpublished paper, Texas Tech University.
    Paper not yet in RePEc: Add citation now

  22. Hordahl, P. 2008. “The Inflation Risk Premium in the Term Structure of Interest Rates.” BIS Quarterly Review (September).

  23. Lander, J., A. Orphanides, and M. Douvogiannis. 1997. “Earnings Forecasts and the Predictability of Stock Returns: Evidence from Trading the S&P.” Journal of Portfolio Management 23:4:24–35.

  24. Lee, J., T. Marsh, R. Maxim, and P. Pfleiderer. 2006. “The Relation between Fixed Income and Equity Return Factors.” Journal of Investment Management 4:4:52–72.
    Paper not yet in RePEc: Add citation now
  25. Shen, P. and J. Corning. 2001. “Can TIPS Help Identify Long‐Term Inflation Expectations?” Economic Review, Fourth Quarter, Federal Reserve Bank of Kansas City.
    Paper not yet in RePEc: Add citation now

  26. Shiller, R. and A. Beltratti. 1992. “Stock Prices and Bond Yields; Can Their Comovements Be Explained in Terms of Present Value Models?” Journal of Monetary Economics 30:1:25–46.

  27. Taylor, J.B. 1993. “Discretion versus Policy Rules in Practice.” Carnegie‐Rochester Conference Series on Public Policy 39:1:195–214.
    Paper not yet in RePEc: Add citation now
  28. Thomas, J. 2005. “Price Equals Forward Earnings Scaled by the Risk‐Free Rate: The Implications of This Remarkable Empirical Regularity.” Unpublished Paper, Yale University School of Management.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Value-at-Risk forecasts by a spatiotemporal model in Chinese stock market. (2016). Weng, Yingliang ; Gong, PU.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:441:y:2016:i:c:p:173-191.

    Full description at Econpapers || Download paper

  2. Volatility and dynamic conditional correlations of worldwide emerging and frontier markets. (2014). Lyócsa, Štefan ; Baumohl, Eduard.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:175-183.

    Full description at Econpapers || Download paper

  3. Time reversal invariance in finance. (2007). Zumbach, Gilles.
    In: Papers.
    RePEc:arx:papers:0708.4022.

    Full description at Econpapers || Download paper

  4. Simulation-Based Pricing of Convertible Bonds. (2005). Wilde, Christian ; Ammann, Manuel ; Kind, Axel.
    In: Finance.
    RePEc:wpa:wuwpfi:0507015.

    Full description at Econpapers || Download paper

  5. Measurement of Financial Risk Persistence. (2005). Los, Cornelis.
    In: Finance.
    RePEc:wpa:wuwpfi:0502013.

    Full description at Econpapers || Download paper

  6. Regime Switches in Swedish Interest Rates. (2003). Erlandsson, Ulf.
    In: Working Papers.
    RePEc:hhs:lunewp:2002_005.

    Full description at Econpapers || Download paper

  7. GARCH-based Volatility Forecasts for Market Volatility Indices. (2002). Lombardi, Marco ; Gallo, Giampiero ; Cecconi, Massimiliano.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2002_06.

    Full description at Econpapers || Download paper

  8. Analytic Hessian Matrices and the Computation of FIGARCH Estimates. (2002). Lombardi, Marco ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2002_03.

    Full description at Econpapers || Download paper

  9. Volatility bias in the GARCH model: a simulation study. (2002). Pérez-Rodríguez, Jorge ; Rodriguez, Jorge Perez ; Gonzalez, Eduardo Acosta.
    In: Documentos de trabajo conjunto ULL-ULPGC.
    RePEc:can:series:2002-02.

    Full description at Econpapers || Download paper

  10. A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchang. (2002). Ventosa-Santaulària, Daniel.
    In: UFAE and IAE Working Papers.
    RePEc:aub:autbar:513.02.

    Full description at Econpapers || Download paper

  11. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

    Full description at Econpapers || Download paper

  12. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

    Full description at Econpapers || Download paper

  13. Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns. (2001). Hong, Yongmiao ; Gallo, Giampiero ; Lee, Tae-Why.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2001_03.

    Full description at Econpapers || Download paper

  14. The hidden dangers of historical simulation. (2001). Pritsker, Matthew.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-27.

    Full description at Econpapers || Download paper

  15. GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA. (2001). Depken, Craig.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:4:y:2001:n:2:p:313-327.

    Full description at Econpapers || Download paper

  16. A NON LINEAR TIME SERIES APPROACH TO MODELLING ASYMMETRY IN STOCK MARKET INDEXES. (2000). Storti, Giuseppe ; Amendola, Alessandra.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:97.

    Full description at Econpapers || Download paper

  17. VALUE AT RISK INCORPORATING DYNAMIC PORTFOLIO MANAGEMENT. (2000). Lawrence, Stephen.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:147.

    Full description at Econpapers || Download paper

  18. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-014.

    Full description at Econpapers || Download paper

  19. Pre-announcement effects, news, and volatility: monetary policy and the stock market. (2000). Bomfim, Antulio.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2000-50.

    Full description at Econpapers || Download paper

  20. Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations. (2000). Zinde-Walsh, Victoria ; Galbraith, John.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1800.

    Full description at Econpapers || Download paper

  21. Evaluating Asset Pricing Implications of DSGE Models. (2000). Schorfheide, Frank ; Reffett, Kevin.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1630.

    Full description at Econpapers || Download paper

  22. One-Sided Testing for ARCH Effect Using Wavelets. (2000). Lee, Jin.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1214.

    Full description at Econpapers || Download paper

  23. Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility. (2000). Pilgram, Berndt ; Mees, Alistair .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1162.

    Full description at Econpapers || Download paper

  24. Higher-order dependence in the general Power ARCH process and a special case. (1999). Teräsvirta, Timo ; He, Changli.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0315.

    Full description at Econpapers || Download paper

  25. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Staff Reports.
    RePEc:fip:fednsr:82.

    Full description at Econpapers || Download paper

  26. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Working Papers in Applied Economic Theory.
    RePEc:fip:fedfap:99-09.

    Full description at Econpapers || Download paper

  27. The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations. (1999). LECOURT, Christelle ; Beine, Michel ; Benassy-Quere, Agnès ; Christine Lecourt Keywords : Exchange rates; offic, .
    In: Working Papers.
    RePEc:cii:cepidt:1999-14.

    Full description at Econpapers || Download paper

  28. Fiscal Policy and the Term Premium in Real Interest Rate Differentials. (1998). Flavin, Thomas ; Limosani, Michele G..
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n830498.

    Full description at Econpapers || Download paper

  29. An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming. (1998). Chidambaran, N. K. ; Trigueros, Joaguin R. ; Lee, Chi-Wen Jevons .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-086.

    Full description at Econpapers || Download paper

  30. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-031.

    Full description at Econpapers || Download paper

  31. Quadratic M-Estimators for ARCH-Type Processes. (1998). Renault, Eric ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-29.

    Full description at Econpapers || Download paper

  32. Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches. (1997). Garcia, Philip ; Bera, Anil ; Roh, Jae-Sun .
    In: Finance.
    RePEc:wpa:wuwpfi:9712007.

    Full description at Econpapers || Download paper

  33. Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think. (1997). Schuermann, Til ; Inoue, Atsushi ; Diebold, Francis ; Hickman, Andrew.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:97-34.

    Full description at Econpapers || Download paper

  34. Identifying the Common Component in International Economic Fluctuations. (1997). Prasad, Eswar ; Lumsdaine, Robin L..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5984.

    Full description at Econpapers || Download paper

  35. What determines the exchange rate: economic factors or market sentiment?. (1997). Hopper, Gregory P..
    In: Business Review.
    RePEc:fip:fedpbr:y:1997:i:sep:p:17-29.

    Full description at Econpapers || Download paper

  36. Model error. (1997). Simons, Katerina.
    In: New England Economic Review.
    RePEc:fip:fedbne:y:1997:i:nov:p:17-28.

    Full description at Econpapers || Download paper

  37. A closed-form GARCH option pricing model. (1997). Heston, Steven L. ; Nandi, Saikat.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:97-9.

    Full description at Econpapers || Download paper

  38. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Fisher, Adlai ; Calvet, Laurent ; Mandelbrot, Benoit.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1166.

    Full description at Econpapers || Download paper

  39. A Multifractal Model of Asset Returns. (1997). Fisher, Adlai ; Calvet, Laurent ; Mandelbrot, Benoit.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1164.

    Full description at Econpapers || Download paper

  40. Seasonal Adjustment and Volatility Dynamics. (1997). Siklos, Pierre ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:97s-39.

    Full description at Econpapers || Download paper

  41. Calculating Value-at-Risk. (1996). Fallon, William.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:96-49.

    Full description at Econpapers || Download paper

  42. ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test. (1996). Nakatsuma, Teruo ; Tsurumi, Hiroki.
    In: Departmental Working Papers.
    RePEc:rut:rutres:199619.

    Full description at Econpapers || Download paper

  43. Risk, Return and Regulation in Chinese Stock Markets. (1996). Su, Dongwei ; Fleisher, Belton.
    In: Working Papers.
    RePEc:osu:osuewp:005.

    Full description at Econpapers || Download paper

  44. Technical Trading Rule Profitability and Foreign Exchange Intervention. (1996). Lebaron, Blake.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5505.

    Full description at Econpapers || Download paper

  45. Public Information and the Persistence of Bond Market Volatility. (1996). Lamont, Owen ; Lumsdaine, Robin ; Jones, Charles M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5446.

    Full description at Econpapers || Download paper

  46. Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate. (1996). Barkoulas, John ; Baum, Christopher ; Onochie, Joseph.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:320.

    Full description at Econpapers || Download paper

  47. Monetary Instability, the Predictability of Prices and the Allocation of Investment: An Empirical Investigation Using UK Panel Data. (1996). Schiantarelli, Fabio ; Caglayan, Mustafa ; Beaudry, Paul.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:312.

    Full description at Econpapers || Download paper

  48. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5128.

    Full description at Econpapers || Download paper

  49. Stochastic Volatility. (1995). Renault, Eric ; Harvey, Andrew ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-49.

    Full description at Econpapers || Download paper

  50. On Periodic Autogressive Conditional Heteroskedasticity. (1994). Ghysels, Eric ; Bollerslev, Tim.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:94s-03.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 18:44:56 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.