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Citations for "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns"

by John Y. Campbell & Ludger Hentschel

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  1. Sean D. Campbell & Canlin Li, 2004. "Alternative estimates of the presidential premium," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2004-69, Board of Governors of the Federal Reserve System (U.S.).
  2. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 86(1), pages 178-212, October.
  3. Steven Beach & Alexei Orlov, 2007. "An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management," Financial Markets and Portfolio Management, Springer, Springer, vol. 21(2), pages 147-166, June.
  4. Liudas Giraitis & Remigijus Leipus & Peter M. Robinson & Donatas Surgailis, 2004. "LARCH, leverage, and long memory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 294, London School of Economics and Political Science, LSE Library.
  5. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar," SCAPE Policy Research Working Paper Series, National University of Singapore, Department of Economics, SCAPE 0805, National University of Singapore, Department of Economics, SCAPE.
  6. Jondeau, Eric & Rockinger, Michael, 2003. "Testing for differences in the tails of stock-market returns," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(5), pages 559-581, December.
  7. Girard, Eric & Rahman, Hamid & Zaher, Tarek, 2003. "On market price of risk in Asian capital markets around the Asian flu," International Review of Financial Analysis, Elsevier, Elsevier, vol. 12(3), pages 241-265.
  8. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
  9. Gamini Premaratne & Lakshmi Bala, 2004. "Stock Market Volatility: Examining North America, Europe and Asia," Econometric Society 2004 Far Eastern Meetings, Econometric Society 479, Econometric Society.
  10. Oliver Linton & Anisha Ghosh, 2007. "Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error," FMG Discussion Papers, Financial Markets Group dp605, Financial Markets Group.
  11. 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, Department of Economics at the University of Washington 0011, Department of Economics at the University of Washington.
  12. Carol Alexander & Emese Lazar & Silvia Stanescu, 2011. "Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2011-08, Henley Business School, Reading University.
  13. Yu, Jianfeng & Yuan, Yu, 2011. "Investor sentiment and the mean-variance relation," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(2), pages 367-381, May.
  14. Audrino, Francesco & Hu, Yujia, 2011. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series 1138, University of St. Gallen, School of Economics and Political Science.
  15. Fratzscher, Marcel, 2001. "Financial market integration in Europe: on the effects of EMU on stock markets," Working Paper Series, European Central Bank 0048, European Central Bank.
  16. repec:dgr:uvatin:2013020 is not listed on IDEAS
  17. Tao Wang, 2007. "Financial Constraints and the Risk-Return Relation," Economics Bulletin, AccessEcon, vol. 7(12), pages 1-12.
  18. Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, 2000. "A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Working Papers, National University of Ireland Galway, Department of Economics 0047, National University of Ireland Galway, Department of Economics, revised 2000.
  19. Pentti Saikkonen & Markku Lanne, 2004. "A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns," Econometric Society 2004 North American Summer Meetings, Econometric Society 469, Econometric Society.
  20. Darrat, Ali F. & Gilley, Otis W. & Li, Bin & Wu, Yanhui, 2011. "Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models," Journal of Business Research, Elsevier, Elsevier, vol. 64(2), pages 199-206, February.
  21. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2012. "The impact of financial crises on the risk-return tradeoff and the leverage effect," Working Papers, Queen's University, Department of Economics 1295, Queen's University, Department of Economics.
  22. Bali, Turan G. & Engle, Robert F., 2010. "The intertemporal capital asset pricing model with dynamic conditional correlations," Journal of Monetary Economics, Elsevier, Elsevier, vol. 57(4), pages 377-390, May.
  23. Wu, Guojun & Xiao, Zhijie, 2002. "A generalized partially linear model of asymmetric volatility," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(3), pages 287-319, August.
  24. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007. "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers 2007-10, School of Economics and Management, University of Aarhus.
  25. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Structural Break in the Equity Premium?," Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington 0024, Department of Economics at the University of Washington.
  26. GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2001-09, Universite de Montreal, Departement de sciences economiques.
  27. Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008. "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers 2008-46, School of Economics and Management, University of Aarhus.
  28. Sequeira, John M. & Lan, Dong, 2003. "Does world-level volatility matter for the average firm in a global equity market?," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 13(4-5), pages 341-357, December.
  29. Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc.
  30. Acharya, Viral V & DeMarzo, Peter & Kremer, Ilan, 2008. "Endogenous Information Flows and the Clustering of Announcements," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6985, C.E.P.R. Discussion Papers.
  31. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer, Springer, vol. 12(3), pages 199-226, September.
  32. Stefano Giglio & Kelly Shue, 2013. "No News is News: Do Markets Underreact to Nothing?," NBER Working Papers 18914, National Bureau of Economic Research, Inc.
  33. Li, George, 2008. "Aggregate stock market behavior and investors' low risk aversion," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(7), pages 2349-2369, July.
  34. Demosthenes Tambakis, 2009. "Feedback trading and intermittent market turbulence," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(4), pages 477-489.
  35. Paul D. McNelis & Carrie K.C. Chan, 2004. "Deflationary Dynamics in Hong Kong: Evidence from Linear and Neural Network Regime Switching Models," Working Papers, Hong Kong Institute for Monetary Research 212004, Hong Kong Institute for Monetary Research.
  36. Kiymaz, Halil & Berument, Hakan, 2003. "The day of the week effect on stock market volatility and volume: International evidence," Review of Financial Economics, Elsevier, Elsevier, vol. 12(4), pages 363-380.
  37. Monique C. Ebell, 2000. "Why Are Asset Returns more Volatile During Recessions? A Theoretical Examination," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1554, Econometric Society.
  38. Jullavut Kittiakarasakun & Yiuman Tse & George H.K. Wang, 2012. "The impact of trades by traders on asymmetric volatility for Nasdaq-100 index futures," Managerial Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 38(8), pages 752-767, August.
  39. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers 0279, National Bureau of Economic Research, Inc.
  40. Olan T. Henry & Nilss Olekalns & Sandy Suardi, 2005. "Equity Return and Short-Term Interest Rate Volatility : Level Effects and Asymmetric Dynamics," Department of Economics - Working Papers Series, The University of Melbourne 941, The University of Melbourne.
  41. Doan, Phuong & Lin, Chien-Ting & Zurbruegg, Ralf, 2010. "Pricing assets with higher moments: Evidence from the Australian and us stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 20(1), pages 51-67, February.
  42. Kim, Chang-Jin & Piger, Jeremy & Startz, Richard, 2008. "Estimation of Markov regime-switching regression models with endogenous switching," Journal of Econometrics, Elsevier, Elsevier, vol. 143(2), pages 263-273, April.
  43. George Chacko & Sanjiv Ranjan Das, 1997. "Average Interest," NBER Working Papers 6045, National Bureau of Economic Research, Inc.
  44. Lee, Shih-Cheng & Lin, Chien-Ting & Yang, Chih-Kai, 2011. "The asymmetric behavior and procyclical impact of asset correlations," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(10), pages 2559-2568, October.
  45. Khan, Mozaffar & Watts, Ross L., 2009. "Estimation and empirical properties of a firm-year measure of accounting conservatism," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 48(2-3), pages 132-150, December.
  46. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006. "Risk, Uncertainty and Asset Prices," NBER Working Papers 12248, National Bureau of Economic Research, Inc.
  47. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-059, New York University, Leonard N. Stern School of Business-.
  48. Jensen, Mark J. & Maheu, John M., 2014. "Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture," Journal of Econometrics, Elsevier, Elsevier, vol. 178(P3), pages 523-538.
  49. Boucher, Christophe & Maillet, Bertrand & Michel, Thierry, 2008. "Do misalignments predict aggregated stock-market volatility?," Economics Letters, Elsevier, Elsevier, vol. 100(2), pages 317-320, August.
  50. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers, Singapore Management University, School of Economics 24-2004, Singapore Management University, School of Economics.
  51. Lee, Wayne Y. & Jiang, Christine X. & Indro, Daniel C., 2002. "Stock market volatility, excess returns, and the role of investor sentiment," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(12), pages 2277-2299.
  52. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
  53. Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(5), pages 1176-1187.
  54. Gouriéroux, Christian & Le Fol, Gaëlle, 1997. "Volatilités et mesures du risque," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/12731, Paris Dauphine University.
  55. Ricardo Alverola, 2007. "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, Universidad de Antioquia, Departamento de Economía, issue 66, pages 251-276, Enero-Jun.
  56. McInish, Thomas H. & Ding, David K. & Pyun, Chong Soo & Wongchoti, Udomsak, 2008. "Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis," International Review of Financial Analysis, Elsevier, Elsevier, vol. 17(2), pages 312-329.
  57. David O. Lucca & Emanuel Moench, 2011. "The pre-FOMC announcement drift," Staff Reports, Federal Reserve Bank of New York 512, Federal Reserve Bank of New York.
  58. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(1), pages 120-130, January.
  59. Juho Kanniainen & Robert Pich\'e, 2012. "Stock Price Dynamics and Option Valuations under Volatility Feedback Effect," Papers 1209.4718, arXiv.org.
  60. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Working Paper Research, National Bank of Belgium 119, National Bank of Belgium.
  61. Cecilia Maya & Karoll Gómez, 2008. "What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 161-183.
  62. Sydney Ludvigson & Serena Ng, 2006. "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers, Society for Economic Dynamics 236, Society for Economic Dynamics.
  63. Morales-Arias, Leonardo & Moura, Guilherme V., 2013. "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(3), pages 493-509.
  64. Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance, EconWPA 0504009, EconWPA, revised 17 Jan 2006.
  65. X. Henry Wang & Carmen F. Menezes, 2004. "Increasing Outer Risk," Working Papers, Department of Economics, University of Missouri 0413, Department of Economics, University of Missouri, revised 23 Dec 2004.
  66. repec:wyi:journl:002159 is not listed on IDEAS
  67. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with 'Volatility Surprise'," Working Papers, HAL halshs-01052488, HAL.
  68. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, Elsevier, vol. 71(1), pages 113-141, January.
  69. Dimitriou, Dimitrios & Simos, Theodore, 2011. "The relationship between stock returns and volatility in the seventeen largest international stock markets: A semi-parametric approach," MPRA Paper 37528, University Library of Munich, Germany.
  70. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, Elsevier, vol. 76(3), pages 509-548, June.
  71. Pollet, Joshua M. & Wilson, Mungo, 2010. "Average correlation and stock market returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 96(3), pages 364-380, June.
  72. Jingzhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes," Finance, EconWPA 0401002, EconWPA.
  73. Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(4), pages 722-740.
  74. Donaldson, R. Glen & Kamstra, Mark, 1997. "An artificial neural network-GARCH model for international stock return volatility," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(1), pages 17-46, January.
  75. Nam, Kiseok & Pyun, Chong Soo & Avard, Stephen L., 2001. "Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction," Journal of Banking & Finance, Elsevier, Elsevier, vol. 25(4), pages 807-824, April.
  76. Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute.
  77. Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," Cahiers de recherche, CIRPEE 0927, CIRPEE.
  78. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers, University of Connecticut, Department of Economics 2008-49, University of Connecticut, Department of Economics.
  79. Wang, Jianxin & Yang, Minxian, 2013. "On the risk return relationship," Journal of Empirical Finance, Elsevier, Elsevier, vol. 21(C), pages 132-141.
  80. John R. Graham & Campbell R. Harvey, 2001. "Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective," NBER Working Papers 8678, National Bureau of Economic Research, Inc.
  81. Aurea Grané & Helena Veiga, 2012. "Asymmetry, realised volatility and stock return risk estimates," Portuguese Economic Journal, Springer, Springer, vol. 11(2), pages 147-164, August.
  82. Truong, Cameron & Corrado, Charles & Chen, Yangyang, 2012. "The options market response to accounting earnings announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(3), pages 423-450.
  83. Sofiane Aboura, 2014. "When the U.S. Stock Market Becomes Extreme?," Risks, MDPI, Open Access Journal, MDPI, Open Access Journal, vol. 2(2), pages 211-225, May.
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  85. Thomakos, Dimitrios D. & Wang, Tao, 2010. "'Optimal' probabilistic and directional predictions of financial returns," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(1), pages 102-119, January.
  86. Marcelle Chauvet & Simon Potter, 1999. "Nonlinear risk," Staff Reports, Federal Reserve Bank of New York 61, Federal Reserve Bank of New York.
  87. Mani Motameni & Esmaiel Abounoori, 2009. "Crisis Effect on the Relationship between Stock Returns and Volatility in Iran," Iranian Economic Review, Economics faculty of Tehran university, Economics faculty of Tehran university, vol. 14(2), pages 41-49, fall.
  88. Jose Gonzalo Rangel & Robert F. Engle, 2009. "The Factor-Spline-GARCH Model for High and Low Frequency Correlations," Working Papers, Banco de México 2009-03, Banco de México.
  89. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, School of Economics and Management, University of Aarhus.
  90. Francesco Guidi, 2009. "Volatility and Long-Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK," The IUP Journal of Financial Economics, IUP Publications, IUP Publications, vol. 0(2), pages 7-39, June.
  91. Yu, Jun, 2012. "A semiparametric stochastic volatility model," Journal of Econometrics, Elsevier, Elsevier, vol. 167(2), pages 473-482.
  92. Dimitri Vayanos, 2004. "Flight to quality, flight to liquidity, and the pricing of risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 456, London School of Economics and Political Science, LSE Library.
  93. Jonathan B. Hill, 2005. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Strochastic Processes with an Application," Working Papers, Florida International University, Department of Economics 0513, Florida International University, Department of Economics.
  94. Brée, David S. & Joseph, Nathan Lael, 2013. "Testing for financial crashes using the Log Periodic Power Law model," International Review of Financial Analysis, Elsevier, Elsevier, vol. 30(C), pages 287-297.
  95. Paul Harrison & Harold H. Zhang, . "Cyclical Variation in the Risk and Return Relation," Computing in Economics and Finance 1997, Society for Computational Economics 175, Society for Computational Economics.
  96. Ehrmann, Michael & Fratzscher, Marcel, 2004. "Exchange rates and fundamentals: new evidence from real-time data," Working Paper Series, European Central Bank 0365, European Central Bank.
  97. Marc Joëts, 2013. "Energy price transmissions during extreme movements," Working Papers, Department of Research, Ipag Business School 2013-028, Department of Research, Ipag Business School.
  98. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers, Galatasaray University Economic Research Center 12-4, Galatasaray University Economic Research Center.
  99. John H. Boyd & Ravi Jagannathan & Jian Hu, 2001. "The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks," NBER Working Papers 8092, National Bureau of Economic Research, Inc.
  100. Charles M. Jones & Owen Lamont & Robin Lumsdaine, 1996. "Public Information and the Persistence of Bond Market Volatility," NBER Working Papers 5446, National Bureau of Economic Research, Inc.
  101. Assaf, Ata, 2006. "The stochastic volatility in mean model and automation: Evidence from TSE," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 46(2), pages 241-253, May.
  102. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers, Faculty of Economic Sciences, University of Warsaw 2009-13, Faculty of Economic Sciences, University of Warsaw.
  103. Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen 2007-36, Department of Economics, University of St. Gallen.
  104. Qingwei Wang, 2010. "Sentiment, Convergence of Opinion, and Market Crash," Working Papers 10012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  105. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance, EconWPA 0409015, EconWPA.
  106. Rogers, Jonathan L. & Skinner, Douglas J. & Van Buskirk, Andrew, 2009. "Earnings guidance and market uncertainty," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 48(1), pages 90-109, October.
  107. ERIC HILLEBRAND & MArcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão, Department of Economics PUC-Rio (Brazil) 578, Department of Economics PUC-Rio (Brazil).
  108. Tim Bollerslev & Natalia Sizova & George Tauchen, 2009. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," CREATES Research Papers 2009-05, School of Economics and Management, University of Aarhus.
  109. Sbuelz, Alessandro & Trojani, Fabio, 2008. "Asset prices with locally constrained-entropy recursive multiple-priors utility," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(11), pages 3695-3717, November.
  110. Talpsepp, Tõnn & Rieger, Marc Oliver, 2010. "Explaining asymmetric volatility around the world," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(5), pages 938-956, December.
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  112. Li, George, 2007. "Time-varying risk aversion and asset prices," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(1), pages 243-257, January.
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  121. Vesna Bucevska, 2013. "An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange," Business Systems Research, Society for Promotion of Business Information Technology (BIT), vol. 4(1), pages 49-64.
  122. Aboura, Sofiane & Chevallier, Julien, 2013. "Leverage vs. feedback: Which Effect drives the oil market?," Finance Research Letters, Elsevier, Elsevier, vol. 10(3), pages 131-141.
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  124. Glenn Boyle & Andrew Hagan & R. Seini O'Connor & Nick Whitwell, 2004. "Emotion, fear and superstition in the New Zealand stockmarket," New Zealand Economic Papers, Taylor & Francis Journals, Taylor & Francis Journals, vol. 38(1), pages 65-85.
  125. Yacine Ait-Sahalia & Jianqing Fan & Yingying Li, 2011. "The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency," NBER Working Papers 17592, National Bureau of Economic Research, Inc.
  126. Jennifer Huang & Jiang Wang, 2008. "Liquidity and Market Crashes," NBER Working Papers 14013, National Bureau of Economic Research, Inc.
  127. Frankel, David M., 2007. "Adaptive Expectations and Stock Market Crashes," Staff General Research Papers, Iowa State University, Department of Economics 12817, Iowa State University, Department of Economics.
  128. Devaney, Michael, 2012. "Financial crisis, REIT short-sell restrictions and event induced volatility," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 52(2), pages 219-226.
  129. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
  130. Petri Kyröläinen, 2008. "Day trading and stock price volatility," Journal of Economics and Finance, Springer, Springer, vol. 32(1), pages 75-89, January.
  131. Ana Fostel & John Geanakoplos, 2010. "Why Does Bad News Increase Volatility and Decrease Leverage?," IMF Working Papers 10/206, International Monetary Fund.
  132. Lahrech, Abdelmounaim & Sylwester, Kevin, 2013. "The impact of NAFTA on North American stock market linkages," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 25(C), pages 94-108.
  133. Peter Carr & Vadim Linetsky, 2006. "A jump to default extended CEV model: an application of Bessel processes," Finance and Stochastics, Springer, Springer, vol. 10(3), pages 303-330, September.
  134. Joseph Chen & Harrison Hong & Jeremy C. Stein, 2000. "Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices," NBER Working Papers 7687, National Bureau of Economic Research, Inc.
  135. Lewellen, Jonathan & Nagel, Stefan, 2006. "The conditional CAPM does not explain asset-pricing anomalies," Journal of Financial Economics, Elsevier, Elsevier, vol. 82(2), pages 289-314, November.
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