[1]
|
W. F. Sharpe, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Market Risk,” Journal of Finance, Vol. 19, No. 3, September 1964, pp. 425-442.
doi:10.2307/2977928
|
[2]
|
J. Linter, “The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets,” Review of Eco-nomics and Statistics, Vol. 47, No. 1, February 1965, pp. 13-37.
doi:10.2307/1924119
|
[3]
|
J. Mossin, “Equilibrium in a Capital Asset Market,” Eco- nometrica, Vol. 34, No. 4, October 1966, pp. 768-783.
doi:10.2307/1910098
|
[4]
|
R. C. Merton, “An Intertem-poral Capital Asset Pricing Model,” Econometrica, Vol. 41, No. 5, September 1973, pp. 867-887. doi:10.2307/1913811
|
[5]
|
R. C. Merton, “On Estimating the Expected Return on the Market: An Exploratory In-vestigation,” Journal of Financial Economics, Vol. 8, No. 4, 1980, pp. 323-361.
doi:10.1016/0304-405X(80)90007-0
|
[6]
|
R. T. Baillie and R. P. DeGennaro, “Stock Returns and Volatility,” Journa1 of Financia1 and Quantitative Ana- 1ysis, Vol. 5, No. 2, June 1990, pp. 203-214.
|
[7]
|
F. B1ack, “Studies of Stock Price Volatility Changes,” Proceedings of the 1976 Meeting of Business and Economics Statistics Sec-tion of the American Statistical Association, Vol. 27, 1976, pp. 399-418.
|
[8]
|
J. Cox and S. Ross, “The Valuation of Options for Alternative Stochastic Process,” Journa1 of Financia1 Economics, Vol. 3, No.1-2, 1976, pp. 145-166.
|
[9]
|
G. Bakaert and G. Wu, “Asymmetric Volatility and Risk In Equity Markets,” Review of Finan-cial Studies, Vol. 13, No. 1, 2000, pp. 1-42. doi:10.1093/rfs/13.1.1
|
[10]
|
R. Whitelaw, “Stock Market Risk and Return: An Empirical Equilibrium Approach,” Review of Financial Studies, Vol. 13, No. 3, 2000, pp. 521-547.
doi:10.1093/rfs/13.3.521
|
[11]
|
R. Pindyck, “Risk, Infla-tion and the Stock Market,” American Economic Review, Vol. 74, 1984, pp. 335-351.
|
[12]
|
R.J. Shiller, “Do Prices Move too Much to be Justified by Subsequent Changes in Dividends,” American Economic Review, Vol. 71, No. 3, June 1981, pp. 421-436.
|
[13]
|
J. Poterba and L. Summers, “The Persistence of Volatility and Stock Market Fluctua-tions,” American Economic Review, Vol. 76, No. 5, 1986, pp. 1142-1151.
|
[14]
|
K. R. French, G. W. Schwert and R. F. Stambaugh, “Expected Stock Returns and Volatility,” Journal of Financial Economics, Vol. 19, No. 1, 1987, pp. 3-30.
doi:10.1016/0304-405X(87)90026-2
|
[15]
|
H. A. Shawky and A. Marathe, “Expected Stock Returns and Volatility in a Two Regime Market,” The Journal of Economics and Business, Vol. 47, No. 5, December 1995, pp. 409-422. doi:10.1016/0148-6195(95)00035-6
|
[16]
|
J. Y. Campbell and L. Hentschel, “No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns,” Journal of Financial Economics, Vol. 31, No. 3, 1992, pp. 281-318.
doi:10.1016/0304-405X(92)90037-X
|
[17]
|
E. F. Fama and W. G. Schwert, “Asset Returns and Inflation,” Jour-nal of Financial Economics, Vol. 5, No. 2, 19- 77, pp. 115-146.
|
[18]
|
D. Nelson, “Conditional Heteroscedastic-ity in Asset Returns: A New Approach,” Econometrica, Vol. 59, No. 2, March 1991, pp. 347-370. doi:10.2307/2938260
|
[19]
|
K. C. Chan, A. Karolyi and R. Stulz, “Global Financial Markets and the Risk Premium on US Equity,” Journal of Financial Economics, Vol. 32, No. 2, 1992, pp. 137-167.
doi:10.1016/0304-405X(92)90016-Q
|
[20]
|
C. R. Harvey, “Time-Varying Conditional Covariances in Tests of As-set Pricing Models,” Journal of Financial Economics, Vol. 24, No. 2, 1989, pp. 289-317.
doi:10.1016/0304-405X(89)90049-4
|
[21]
|
Τ. Bollers1ev, R. Y. Chou and K. F. Kroner, “ARCH Modeling in Fi-nance: A Review of the Theory and Empirical Evidence,” Journal of Econometrics, Vol. 52, No. 1-2, 1992, pp. 5-59.
|
[22]
|
T. Bollerslev, R. F. Engle and D. B. Nelson, “ARCH Models,” In: R. F. Engle and D. McFadden, Eds., Handbook of Econometrics, North-Holland, Vol. 4, 1994, pp. 2959-3038.
|
[23]
|
H. Ludger, “All in the Family Nest-ing Symmetric and Asymmetric GARCH Models,” Journal of Financial Economics, Vol. 39, No. 1, Sep-tember 1995, pp. 71-104.
doi:10.1016/0304-405X(94)00821-H
|
[24]
|
Τ. Bollerslev, “Generalized Autoregressive Conditional Heteroscedas-ticity,” Journa1 of Econometrics, Vol. 31, No. 3, 1986, pp. 307-327.
|
[25]
|
R. F. Eng1e and V. K. Ng, “Measuring and Testing the Impact of News on Volatility,” Journa1 of Finance, Vol. 48, No. 5, 1993, pp. 1749-1778.
|
[26]
|
L. Yang, “Direct Estimation in an Additive Model When the Components are Proportional,” Statistica Sinica, Vol. 12, No. 3, 2002, pp. 801 -821.
|
[27]
|
W. Newey, “Conver-gence Rates and Asymptotic Normality for Series Esti-mators,” Journal of Econometrics, Vol. 79, No. 1, July 1997, pp. 147-168.
doi:10.1016/S0304-4076(97)00011-0
|
[28]
|
R. De Jong, “Convergence Rates and Asymptotic Norma1ity for Se-ries Estimators: Uniform Convergence Rates,” Jouma1 of Econometrics, Vol. 111, No 1, 2002, pp. 1-9.
|
[29]
|
Τ. Choudhry, “Stock Market Volatility and the Crash of 1987: Evidence from Six Emerging Markets,” Journa1 of Intemationa1 Money and Finance, Vol. 15, No. 6, 1996, pp. 969-981.
|
[30]
|
C. F. Lee, G. Chen and O. Rui, “Stock Returns and Volatility on China’s Stock Markets,” Jour-nal of Financial Research, Vol. 24, No. 4, 2001, pp. 523-543.
|
[31]
|
L. R. Glosten, R. Jagannathan and D. E. Runkle, “On the Relation between the Expected Value and Volatility of Nominal Excess Return on Stocks,” Journal of Finance, Vol. 48, No. 5, 1993, pp. 1629-1658.
doi:10.2307/2329067
|
[32]
|
L. L. Schumaker, “Spline Functions: Basic Theory,” Wil- ey, New York, 1981.
|
[33]
|
Q. Li, J. Yang, C. Hsiao and Y. –J. Chang, “The Relationship between Stock Returns and Volatility in International Stock Markets,” Journal of Empirical Finance, Vol. 12, No. 5, December 2005, pp. 650-665.
doi:10.1016/j.jempfin.2005.03.001
|
[34]
|
P. Theodossiou and D. Lee, “Relationship between Volatility and Ex-pected Returns Across International Stock Markets,” Journal of Business Finance and Accounting, Vol. 22, No. 2, March 1995, pp. 289-300.
doi:10.1111/j.1468-5957.1995.tb00685.x
|