1. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April. [Downloadable!] (restricted)
2. Plosser, Charles I. & Schwert*, G. William, 1978. "Money, income, and sunspots: Measuring economic relationships and the effects of differencing," Journal of Monetary Economics, Elsevier, vol. 4(4), pages 637-660, November. [Downloadable!] (restricted)
3. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October. [Downloadable!] (restricted)
4. Gorton, Gary, 1985. "Bank suspension of convertibility," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 177-193, March. [Downloadable!] (restricted)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

1. Simon van Norden & Huntley Schaller & ), 1995. "Fads or Bubbles?," Econometrics 9502004, EconWPA, revised 06 Jun 1995. [Downloadable!]
   Other versions:
   • Huntley Schaller & Simon van Norden, 1997. "Fads or Bubbles?," Working Papers 97-2, Bank of Canada. [Downloadable!]
   • Simon van Norden & Huntley Schaller, 2002. "Fads or bubbles?," Empirical Economics, Springer, vol. 27(2), pages 335-362. [Downloadable!] (restricted)
2. Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • West, Kenneth D. & Cho, Dongchul, 1995. "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, Elsevier, vol. 69(2), pages 367-391, October. [Downloadable!] (restricted)
3. Tobias Adrian & Joshua Rosenberg, 2006. "Stock returns and volatility: pricing the short-run and long-run components of market risk," Staff Reports 254, Federal Reserve Bank of New York. [Downloadable!]
   Other versions:
   • Tobias Adrian & Joshua Rosenberg, 2008. "Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2997-3030, December. [Downloadable!] (restricted)
4. Amigo Dobaño, Lucy, 2000. "Cointegration Analysis: Exchange Rate Markets Of The European Monetary System," ERSA conference papers ersa00p270, European Regional Science Association. [Downloadable!]
5. Simon van Norden & Huntley Schaller & ), 1995. "Regime Switching in Stock Market Returns," Econometrics 9502002, EconWPA. [Downloadable!]
   Other versions:
   • Schaller, Huntley & van Norden, Simon, 1997. "Regime Switching in Stock Market Returns," Applied Financial Economics, Taylor and Francis Journals, vol. 7(2), pages 177-91, April. [Downloadable!] (restricted)
6. Voth, Hans-Joachim, 2002. "Why was Stock Market Volatility so High During the Great Depression? Evidence from 10 Countries During the Interwar Period," CEPR Discussion Papers 3254, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
7. Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2008. "Can a Lender of Last Resort Stabilize Financial Markets? Lessons from the Founding of the Fed," NBER Working Papers 14422, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
8. Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
   • Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290. [Downloadable!] (restricted)
9. Don U.A. Galagedera & Roland Shami, 2003. "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial serurities," Monash Econometrics and Business Statistics Working Papers 20/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
   Other versions:
   • Don U.A. Galagedera & Roland Shami, 2004. "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Finance 0406011, EconWPA. [Downloadable!]
10. William O. Brown & Richard C. K. Burdekin & Marc D. Weidenmier, 2005. "Volatility in an Era of Reduced Uncertainty: Lessons from Pax Britannica," NBER Working Papers 11319, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Brown, William Jr. & Burdekin, Richard C.K. & Weidenmier, Marc D., 2006. "Volatility in an era of reduced uncertainty: Lessons from Pax Britannica," Journal of Financial Economics, Elsevier, vol. 79(3), pages 693-707, March. [Downloadable!] (restricted)
11. Peter C.B. Phillips & Mico Loretan, 1990. "Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns," Cowles Foundation Discussion Papers 947, Cowles Foundation, Yale University. [Downloadable!]
12. Kenneth D. West & Hali J. Edison & Dongchul Cho, 1993. "A utility based comparison of some models of exchange rate volatility," International Finance Discussion Papers 441, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
    • Kenneth D. West & Hali J. Edison & Dongchul Cho, 1992. "A Utility Based Comparison of Some Models of Exchange Rate Volatility," NBER Technical Working Papers 0128, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • West, Kenneth D. & Edison, Hali J. & Cho, Dongchul, 1993. "A utility-based comparison of some models of exchange rate volatility," Journal of International Economics, Elsevier, vol. 35(1-2), pages 23-45, August. [Downloadable!] (restricted)
13. Christian Dunis & Jason Laws & Stéphane Chauvin, 2003. "FX volatility forecasts and the informational content of market data for volatility," European Journal of Finance, Taylor and Francis Journals, vol. 9(3), pages 242-272, June. [Downloadable!] (restricted)
14. Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," NBER Working Papers 6312, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Geert Bekaert & Campbell R. Harvey, 1997. "Foreign Speculators and Emerging Equity Markets," William Davidson Institute Working Papers Series 79, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
    • Geert Bekaert & Campbell R. Harvey, 2000. "Foreign Speculators and Emerging Equity Markets," Journal of Finance, American Finance Association, vol. 55(2), pages 565-613, 04. [Downloadable!] (restricted)
15. Hui Guo, 2002. "Stock market returns, volatility, and future output," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 75-86. [Downloadable!]
16. Simon van Norden & Huntley Schaller & ), 1995. "Speculative Behaviour, Regime-Switching, and Stock Market Crashes," Econometrics 9502003, EconWPA. [Downloadable!]
    Other versions:
    • Van Norden, S. & Schaller, H., 1996. "Speculative Behaviour, Regime-Switching and Stock Market Crashes," Working Papers 96-13, Bank of Canada. [Downloadable!]
17. G. William Schwert, 1990. "Stock Volatility and the Crash of '87," NBER Working Papers 2954, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Schwert, G.W., 1989. "Stock Volatility And The Crash Of '87," Papers 89-01, Rochester, Business - General.
    • Schwert, G William, 1990. "Stock Volatility and the Crash of '87," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(1), pages 77-102. [Downloadable!] (restricted)
18. Rumi Masih & A. Mansur Masih, 2004. "Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras," European Journal of Finance, Taylor and Francis Journals, vol. 10(1), pages 81-104, February. [Downloadable!] (restricted)
19. Andrea Beltratti & Claudio Morana, 2004. "Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility," Working Papers 20, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont. [Downloadable!]
20. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington. [Downloadable!]
    Other versions:
    • Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0028, Department of Economics at the University of Washington. [Downloadable!]
    • Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001. "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September. [Downloadable!] (restricted)
21. James Morley, 2000. "Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?," Econometric Society World Congress 2000 Contributed Papers 0915, Econometric Society. [Downloadable!]
22. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics. [Downloadable!]