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Citations for "The Persistence of Volatility and Stock Market Fluctuations"

by James M. Poterba & Lawrence H. Summers

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  1. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2010. "Spot and Forward Volatility in Foreign Exchange," CEPR Discussion Papers 7893, C.E.P.R. Discussion Papers.
  2. Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008. "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers 2008-46, Department of Economics and Business Economics, Aarhus University.
  3. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc.
  4. Nobuya Takezawa & Noriyoshi Shiraishi, 1998. "A Note on the Term Structure of Implied Volatilities for the Yen/U.S. Dollar Currency Option," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(3), pages 227-236, November.
  5. John Y. Campbell, 1990. "A Variance Decomposition for Stock Returns," NBER Working Papers 3246, National Bureau of Economic Research, Inc.
  6. Jianxin Wang, 2007. "Foreign Ownership and Volatility Dynamics of Indonesian Stocks," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(3), pages 201-210, September.
  7. Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 290-318.
  8. Hui Guo & Robert F. Whitelaw, 2003. "Uncovering the Risk-Return Relation in the Stock Market," NBER Working Papers 9927, National Bureau of Economic Research, Inc.
  9. Scott Mayfield, E., 2004. "Estimating the market risk premium," Journal of Financial Economics, Elsevier, vol. 73(3), pages 465-496, September.
  10. Robert J. Shiller, 1989. "Comovements in Stock Prices and Comovements in Dividends," Journal of Finance, American Finance Association, vol. 44(3), pages 719-730, 07.
  11. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
  12. Jiang, George J. & Tian, Yisong S., 2010. "Forecasting Volatility Using Long Memory and Comovements: An Application to Option Valuation under SFAS 123R," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(02), pages 503-533, April.
  13. Jokipii, Terhi, 2006. "Forecasting market crashes : further international evidence," Research Discussion Papers 22/2006, Bank of Finland.
  14. Kim, In Joon & Kim, Sol, 2004. "Empirical comparison of alternative stochastic volatility option pricing models: Evidence from Korean KOSPI 200 index options market," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 117-142, April.
  15. Matthew D. Shapiro, 1988. "The Stabilization of the U.S. Economy: Evidence from the Stock Market," Cowles Foundation Discussion Papers 876, Cowles Foundation for Research in Economics, Yale University.
  16. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006. "Risk, Uncertainty and Asset Prices," NBER Working Papers 12248, National Bureau of Economic Research, Inc.
  17. Stock, James H., 1987. "Measuring Business Cycle Time," Scholarly Articles 3425950, Harvard University Department of Economics.
  18. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Analysis of the Black-Scholes Option Price," Cambridge Working Papers in Economics 0102, Faculty of Economics, University of Cambridge.
  19. Alan J. Auerbach, 1992. "On the Design and Reform of Capital Gains Taxation," NBER Working Papers 3967, National Bureau of Economic Research, Inc.
  20. Mixon, Scott, 2007. "The implied volatility term structure of stock index options," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 333-354, June.
  21. Bekaert, Geert & Engstrom, Eric, 2010. "Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals," CEPR Discussion Papers 8150, C.E.P.R. Discussion Papers.
  22. James T. Moser, 1992. "Determining margin for futures contracts: the role of private interests and the relevance of excess volatility," Economic Perspectives, Federal Reserve Bank of Chicago, issue Mar, pages 2-18.
  23. Edouard Challe, 2005. "Endogenous Participation Rick in Speculative Markets," Money Macro and Finance (MMF) Research Group Conference 2005 90, Money Macro and Finance Research Group.
  24. Leachman, Lori L. & Francis, Bill, 1996. "Equity market return volatility: Dynamics and transmission among the G-7 countries," Global Finance Journal, Elsevier, vol. 7(1), pages 27-52.
  25. Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2010. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," Working Papers 10-06, Duke University, Department of Economics.
  26. Kearney, Colm, 2000. "The determination and international transmission of stock market volatility," Global Finance Journal, Elsevier, vol. 11(1-2), pages 31-52.
  27. Schwert, G William, 1990. "Stock Volatility and the Crash of '87," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102.
  28. Conlin Lizieri & Steven Satchell & Elaine Worzala & Roberto Dacco', 1998. "Real Interest Regimes and Real Estate Performance: A Comparison of UK and US Markets," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 339-356.
  29. Chiarella, Carl, 1991. "The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy," European Journal of Political Economy, Elsevier, vol. 7(1), pages 65-78, April.
  30. Christian Conrad & Enno Mammen, 2008. "Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models," Working Papers 0473, University of Heidelberg, Department of Economics, revised Jul 2008.
  31. Menelaos Karanasos, "undated". "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/10, Department of Economics, University of York.
  32. Kenneth A. Froot & Maurice Obstfeld, 1989. "Intrinsic Bubbles: The Case of Stock Prices," NBER Working Papers 3091, National Bureau of Economic Research, Inc.
  33. Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics.
  34. Thomakos, Dimitrios D. & Wang, Tao, 2003. "Realized volatility in the futures markets," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 321-353, May.
  35. Marcelle Chauvet & Zeynep Senyuz & Emre Yoldas, 2013. "What does financial volatility tell us about macroeconomic fluctuations?," Finance and Economics Discussion Series 2013-61, Board of Governors of the Federal Reserve System (U.S.).
  36. Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, "undated". "Cross-Sectional Aggregation and Persistence in Conditional Variance," Discussion Papers 00/09, Department of Economics, University of York.
  37. Choudhry, Taufiq, 1995. "Integrated-GARCH and non-stationary variances: Evidence from European stock markets during the 1920s and 1930s," Economics Letters, Elsevier, vol. 48(1), pages 55-59, April.
  38. Assaf, Ata, 2006. "The stochastic volatility in mean model and automation: Evidence from TSE," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 241-253, May.
  39. Elena Andreou & Eric Ghysels, 2000. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results," CIRANO Working Papers 2000s-19, CIRANO.
  40. WenSho Fang & Stephen M. Miller, 2007. "The Great Moderation and the Relationship between Output Growth and Its Volatility," Working papers 2007-04, University of Connecticut, Department of Economics.
  41. Piergiorgio Alessandri, 2006. "Bubbles and fads in the stock market: another look at the experience of the US," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 195-203.
  42. Jun Ma, 2009. "A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(2), pages 97-109, June.
  43. Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
  44. Wan, Jer-Yuh & Kao, Chung-Wei, 2008. "The euro and pound volatility dynamics: An investigation from conditional jump process," Research in International Business and Finance, Elsevier, vol. 22(2), pages 193-207, June.
  45. Jin, Hyun J. & Koo, Won W., 2006. "Offshore hedging strategy of Japan-based wheat traders under multiple sources of risk and hedging costs," Journal of International Money and Finance, Elsevier, vol. 25(2), pages 220-236, March.
  46. Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance 0504009, EconWPA, revised 17 Jan 2006.
  47. Alberto Giovannini & Philippe Jorion, 1988. "The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets," NBER Working Papers 2573, National Bureau of Economic Research, Inc.
  48. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, 04.
  49. Andrew B. Abel, 1988. "Stock Prices Under Time-Varying Dividend Risk: An Exact Solution In An Infinite-Horizon General Equilibrium Model," NBER Working Papers 2621, National Bureau of Economic Research, Inc.
  50. Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.
  51. Òscar Jordà & Alan M. Taylor, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," NBER Working Papers 15518, National Bureau of Economic Research, Inc.
  52. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department.
  53. Kaplanski, Guy & Levy, Haim, 2015. "Trading breaks and asymmetric information: The option markets," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 390-404.
  54. Ioannis A. Tampakoudis & Demetres N. Subeniotis & Ioannis G. Kroustalis, 2012. "Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(3/4), pages 171-194.
  55. Alizadeh, Amir H. & Huang, Chih-Yueh & van Dellen, Stefan, 2015. "A regime switching approach for hedging tanker shipping freight rates," Energy Economics, Elsevier, vol. 49(C), pages 44-59.
  56. Seungyeon Won & Young Sup Yun & Byoung Joon Kim, 2013. "Emerging Bond Market Volatility and Country Spreads," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(1), pages 82-100, January.
  57. Ang, Andrew & Liu, Jun, 2005. "Risk, Return and Dividends," University of California at Los Angeles, Anderson Graduate School of Management qt1s25177n, Anderson Graduate School of Management, UCLA.
  58. Cornelis A. Los, 2004. "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance 0409033, EconWPA.
  59. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477.
  60. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
  61. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
  62. Young-Hye Cho & Robert F. Engle, 1999. "Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks," NBER Working Papers 7330, National Bureau of Economic Research, Inc.
  63. Malik, Farooq, 2003. "Sudden changes in variance and volatility persistence in foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 217-230, July.
  64. Antunes, João Marques & Fuinhas, José Alberto & Marques, António Cardoso, 2014. "Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros
    [Modelling the volatility of gold prices and financial stock indexes: a VAR approach]
    ," MPRA Paper 57017, University Library of Munich, Germany.
  65. Alicia Gazely & Jane Binner & Graham Kendall, 2004. "Co-evolution vs. Neural Networks; An Evaluation of UK Risky Money," Computing in Economics and Finance 2004 258, Society for Computational Economics.
  66. Chikashi Tsuji, 2006. "Overreactions in the options markets in Japan," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 115-121, March.
  67. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2004s-24, CIRANO.
  68. Robert J. Shiller & John Y. Campbell, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Cowles Foundation Discussion Papers 812, Cowles Foundation for Research in Economics, Yale University.
  69. Margaret N. Okoli, 2012. "Return-Volatility Interactions in the Nigerian Stock Market," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 2(2), pages 389-399, June.
  70. Alvarez-Ramirez, Jose & Alvarez, Jesus & Rodriguez, Eduardo & Fernandez-Anaya, Guillermo, 2008. "Time-varying Hurst exponent for US stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(24), pages 6159-6169.
  71. Culter, D.M. & Poterba, J.M. & Summers, L.H., 1990. "Speculative Dynamics," Working papers 544, Massachusetts Institute of Technology (MIT), Department of Economics.
  72. Alberto Giovannini, 1987. "Uncertainty and Liquidity," NBER Working Papers 2296, National Bureau of Economic Research, Inc.
  73. Strauss, Jack & Yigit, Taner, 2001. "Present value model, heteroscedasticity and parameter stability tests," Economics Letters, Elsevier, vol. 73(3), pages 375-378, December.
  74. Timmermann, Allan, 1995. "Cointegration Tests of Present Value Models with a Time-Varying Discount Factor," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(1), pages 17-31, Jan.-Marc.
  75. Barsky, Robert B, 1989. "Why Don't the Prices of Stocks and Bonds Move Together?," American Economic Review, American Economic Association, vol. 79(5), pages 1132-1145, December.
  76. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
  77. Frankel, David M., 2007. "Adaptive Expectations and Stock Market Crashes," Staff General Research Papers Archive 12817, Iowa State University, Department of Economics.
  78. Ole E. Barndorff-Nielsen, 2004. "Power and Bipower Variation with Stochastic Volatility and Jumps," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 1-37.
  79. Fang, Yue, 2002. "The compass rose and random walk tests," Computational Statistics & Data Analysis, Elsevier, vol. 39(3), pages 299-310, May.
  80. Li, Qi & Yang, Jian & Hsiao, Cheng & Chang, Young-Jae, 2005. "The relationship between stock returns and volatility in international stock markets," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 650-665, December.
  81. Ewing, Bradley T. & Malik, Farooq, 2013. "Volatility transmission between gold and oil futures under structural breaks," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 113-121.
  82. Bujar Huskaj & Marcus Nossman, 2013. "A Term Structure Model for VIX Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(5), pages 421-442, 05.
  83. Badshah, Ihsan & Frijns, Bart & Knif, Johan & Tourani-Rad, Alireza, 2016. "Asymmetries of the intraday return-volatility relation," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 182-192.
  84. Dimitrios D. Thomakos & Michail S. Koubouros, 2011. "The Role of Realised Volatility in the Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 87-124, March - J.
  85. Miralles Marcelo, Jose Luis & Quiros, Jose Luis Miralles & Quiros, Maria del Mar Miralles, 2008. "Asymmetric variance and spillover effects: Regime shifts in the Spanish stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 1-15, February.
  86. Kim, Jungmu & Park, Yuen Jung & Ryu, Doojin, 2017. "Stochastic volatility of the futures prices of emission allowances: A Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 714-724.
  87. Baosheng Yuan & Kan Chen, 2006. "Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 1(2), pages 189-214, November.
  88. Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 117-136.
  89. Froot, Kenneth A. & Rogoff, Kenneth, 1995. "Perspectives on PPP and long-run real exchange rates," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 32, pages 1647-1688 Elsevier.
  90. Äijö, Janne, 2008. "Implied volatility term structure linkages between VDAX, VSMI and VSTOXX volatility indices," Global Finance Journal, Elsevier, vol. 18(3), pages 290-302.
  91. Pamela Bombarda, 2011. "Intra-firm and arm's length trade: how distance matters?," Working Papers hal-00877199, HAL.
  92. Priestley, Richard, 2001. "Time-varying persistence in expected returns," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1271-1286, July.
  93. Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
  94. Kenneth A. Froot, 1987. "Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets," NBER Working Papers 2362, National Bureau of Economic Research, Inc.
  95. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
  96. Robert S. Pindyck, 1986. "Risk Aversion and Determinants of Stock Market Behavior," NBER Working Papers 1921, National Bureau of Economic Research, Inc.
  97. Majd, Saman & Pindyck, Robert S., 1987. "Time to build, option value, and investment decisions," Journal of Financial Economics, Elsevier, vol. 18(1), pages 7-27, March.
  98. Andrew W. Lo & A. Craig MacKinlay, 1988. "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," NBER Technical Working Papers 0066, National Bureau of Economic Research, Inc.
  99. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
  100. Hodrick, Robert J., 1989. "Risk, uncertainty, and exchange rates," Journal of Monetary Economics, Elsevier, vol. 23(3), pages 433-459, May.
  101. Tung Liu & Gary Santoni & Courtenay Cliff Stone, 2005. "Federal Securities Regulations and Stock Market Returns," Working Papers 200501, Ball State University, Department of Economics, revised Jan 2005.
  102. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier.
  103. 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.
  104. Manzan, S., 2003. "Nonlinear Mean Reversion in Stock Prices," CeNDEF Working Papers 03-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  105. Baosheng Yuan & Kan Chen, 2005. "Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations," Papers physics/0506224, arXiv.org.
  106. Huang, Teng-Ching & Wu, Ching-Chih & Lin, Bing-Huei, 2016. "Institutional herding and risk–return relationship," Journal of Business Research, Elsevier, vol. 69(6), pages 2073-2080.
  107. Ramona Dumitriu & Razvan Stefanescu, 2016. "Impact of the NYSE Shocks on the European Developed Capital Markets," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 327-334.
  108. Aggarwal, Raj & Schirm, David C., 1998. "Asymmetric impact of trade balance news on asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 83-100, January.
  109. Chaiyuth Padungsaksawasdi & Robert T. Daigler, 2014. "The Return‐Implied Volatility Relation for Commodity ETFs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(3), pages 261-281, 03.
  110. Liu, Xiaochun & Jacobsen, Brian, 2011. "The Dynamic International Optimal Hedge Ratio," MPRA Paper 35260, University Library of Munich, Germany.
  111. Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi, 2002. "Measuring and forecasting financial variability using realised variance with and without a model," Economics Papers 2002-W21, Economics Group, Nuffield College, University of Oxford.
  112. Mougoue, Mbodja & Whyte, Ann Marie, 1996. "Stock returns and volatility: An empirical investigation of the German and French equity markets," Global Finance Journal, Elsevier, vol. 7(2), pages 253-263.
  113. Ole E. Barndorff-Nielsen & Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280.
  114. Taufiq Choudhry & Ranadeva Jayasekera, 2015. "Level of efficiency in the UK equity market: empirical study of the effects of the global financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 213-242, February.
  115. Nick Bloom, 2006. "The impact of uncertainty shocks: firm level estimation and a 9/11 simulation," LSE Research Online Documents on Economics 19867, London School of Economics and Political Science, LSE Library.
  116. Pilar Corredor Casado & Rafael SantamarÌa, "undated". "La estructura temporal de las volatilidades implÌcitas en la opciÛn sobre el Ibex-35," Studies on the Spanish Economy 04, FEDEA.
  117. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 684-700, November.
  118. Maurice Peat & Max Stevenson, 1995. "Testing for Nonlinearities in Economic and Financial Time Series," Working Paper Series 48, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  119. Mazin A. M. Al Janabi & Abdulnasser Hatemi-J & Manuchehr Irandoust, 2010. "Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(5), pages 39-47, September.
  120. Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003. "Power variation & stochastic volatility: a review and some new results," Economics Papers 2003-W19, Economics Group, Nuffield College, University of Oxford.
  121. Výrost, Tomáš & Baumöhl, Eduard & Lyócsa, Štefan, 2011. "On the relationship of persistence and number of breaks in volatility: new evidence for three CEE countries," MPRA Paper 27927, University Library of Munich, Germany.
  122. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Realised power variation and stochastic volatility models," Economics Papers 2001-W18, Economics Group, Nuffield College, University of Oxford.
  123. Behfar, Stefan Kambiz, 2016. "Long memory behavior of returns after intraday financial jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 716-725.
  124. Bentes, Sónia R., 2014. "Measuring persistence in stock market volatility using the FIGARCH approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 408(C), pages 190-197.
  125. Pagan, Adrian & Ullah, Aman, 1988. "The Econometric Analysis of Models with Risk Terms," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 87-105, April.
  126. Thorsten Lehnert & Yuehao Lin, 2014. "Skewness Term Structure Tests," LSF Research Working Paper Series 14-08, Luxembourg School of Finance, University of Luxembourg.
  127. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.
  128. E.Panopoulou & T. Pantelidis, 2005. "Integration at a cost: Evidence from volatility impulse response functions," Economics, Finance and Accounting Department Working Paper Series n1540305, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  129. Laura Daniela Castillo Paredes & Josefa Ramoni-Perazzi, 2017. "La volatilidad del tipo de cambio paralelo en Venezuela 2005-2015," REVISTA APUNTES DEL CENES, UNIVERSIDAD PEDAGOGICA Y TECNOLOGICA DE COLOMBIA, vol. 36(63), pages 95-135, January.
  130. Vortelinos, Dimitrios I. & Thomakos, Dimitrios D., 2013. "Nonparametric realized volatility estimation in the international equity markets," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 34-45.
  131. Sener, Tulin, 1998. "Objectives of hedging and optimal hedge ratios: US vs Japanese investors," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 137-153, September.
  132. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Estimating quadratic variation using realised volatility," Economics Papers 2001-W20, Economics Group, Nuffield College, University of Oxford, revised 01 Nov 2001.
  133. Berger, Dave & Pukthuanthong, Kuntara, 2016. "Fragility, stress, and market returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 152-163.
  134. Ericsson, Jan & Huang, Xiao & Mazzotta, Stefano, 2016. "Leverage and asymmetric volatility: The firm-level evidence," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 1-21.
  135. Whitelaw, Robert F, 1994. " Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns," Journal of Finance, American Finance Association, vol. 49(2), pages 515-541, June.
  136. Fleming, Jeff & Ostdiek, Barbara, 1999. "The impact of energy derivatives on the crude oil market," Energy Economics, Elsevier, vol. 21(2), pages 135-167, April.
  137. Shawky, Hany A. & Marathe, Achla, 1995. "Expected stock returns and volatility in a two-regime market," Journal of Economics and Business, Elsevier, vol. 47(5), pages 409-421, December.
  138. Hibbert, Ann Marie & Daigler, Robert T. & Dupoyet, Brice, 2008. "A behavioral explanation for the negative asymmetric return-volatility relation," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2254-2266, October.
  139. Cuthbertson, Keith & Hyde, Stuart, 2002. "Excess volatility and efficiency in French and German stock markets," Economic Modelling, Elsevier, vol. 19(3), pages 399-418, May.
  140. Drees, Burkhard & Eckwert, Bernhard, 2000. "Price volatility and risk with non-separability of preferences," Mathematical Social Sciences, Elsevier, vol. 39(1), pages 21-34, January.
  141. Binner, Jane & Elger, Thomas & de Peretti, Philipe, 2002. "Is UK Risky Money Weakly Separable? A Stochastic Approach," Working Papers 2002:13, Lund University, Department of Economics.
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  143. Choudhry, Taufiq & Jayasekera, Ranadeva, 2012. "Comparison of efficiency characteristics between the banking sectors of US and UK during the global financial crisis of 2007–2011," International Review of Financial Analysis, Elsevier, vol. 25(C), pages 106-116.
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