Stochastic Volatility in General Equilibrium

This publication has 40 references indexed in Scilit:

• Parametric and Nonparametric Volatility Measurement
  Published by Elsevier ,2010
• Rational Pessimism, Rational Exuberance, and Asset Pricing Models
  Published by National Bureau of Economic Research ,2007
• Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk
  SSRN Electronic Journal, 2006
• Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
  The Journal of Finance, 2004
• Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
  SSRN Electronic Journal, 2003
• Delta-Hedged Gains and the Negative Market Volatility Risk Premium
  The Review of Financial Studies, 2003
• An Empirical Investigation of Continuous‐Time Equity Return Models
  The Journal of Finance, 2002
• Range‐Based Estimation of Stochastic Volatility Models
  The Journal of Finance, 2002
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
  Journal of the Royal Statistical Society Series B: Statistical Methodology, 2001
• Stock Return Predictability: Is it There?
  Published by National Bureau of Economic Research ,2001