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Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?

Kim, Yunmi; Nelson, Charles R. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 307-328

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The intertemporal risk-return relationship : evidence from international markets

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Hazard stocks and expected returns

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Beta and size equity premia following a high-VIX threshold

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The Time-Varying Liquidity Risk of Value and Growth Stocks

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small value stocks in best times. Combined with the fact that growth stocks have lower market risk than value stocks in bad … aggressively than growth stocks. This increase in selling pressure could make value stocks more sensitive to liquidity risk than … risk, combined with the liquidity price of risk, is able to capture 35% of the small-stock value premium and 100% of the …

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Empirical analysis of stock indices under a regime-switching model with dependent jump size risks

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On equity risk prediction and tail spillovers

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Idiosyncratic risk and spillover effect in REIT returns

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Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis

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