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2. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
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1. The skewness of commodity futures returns. (2018). Fuertes, Ana-Maria ; Frijns, Bart ; Fernandez-Perez, Adrian ; Miffre, Joelle.
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2. Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Wang, Weining ; Christiansen, Charlotte ; Asgharian, Hossein ; Jun, AI.
   In: CREATES Research Papers.
   RePEc:aah:create:2017-34.

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3. Term Structure of Interest Rates with Short-run and Long-run Risks. (2015). Zhou, Hao ; SONG, ZHAOGANG ; Grishchenko, Olesya.
   In: Finance and Economics Discussion Series.
   RePEc:fip:fedgfe:2015-95.

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4. . . . and the Cross-Section of Expected Returns. (2014). Harvey, Campbell ; Liu, Yan ; Zhu, Heqing .
   In: NBER Working Papers.
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5. Smile from the Past: A general option pricing framework with multiple volatility and leverage components. (2014). Corsi, Fulvio ; Bormetti, Giacomo ; Majewski, Adam Aleksander .
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6. Amplitude-Duration-Persistence Trade-off Relationship for Long Term Bear Stock Markets. (2013). Li, Ziran ; Wang, Shouyang ; Sun, Jiajing.
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7. Entrepreneurial tail risk: implications for employment dynamics. (2013). Drautzburg, Thorsten.
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8. What does financial volatility tell us about macroeconomic fluctuations?. (2013). Yoldas, Emre ; Senyuz, Zeynep ; Chauvet, Marcelle.
   In: Finance and Economics Discussion Series.
   RePEc:fip:fedgfe:2013-61.

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9. Dynamic stock market covariances in the Eurozone. (2013). Suurlaht, Anita ; Connor, Gregory.
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:37:y:2013:i:c:p:353-370.

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10. The explanatory power of signed jumps for the risk-return tradeoff. (2013). Sévi, Benoît ; Baena, Cesar ; Sevi, Benoit.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-12-00600.

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11. Smile from the Past: A general option pricing framework with multiple volatility and leverage components. (2013). Bormetti, G. ; Corsi, F. ; Majewski, A. A..
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12. CAPM, Components of Beta and the Cross Section of Expected Returns. (2013). Cenesizoglu, Tolga ; Reeves, Jonathan J..
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13. Dodging the Steamroller: Fundamentals versus the Carry Trade. (2013). Lu, Wenna ; Copeland, Laurence.
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14. Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information. (2012). Klinkowska, Olga ; Gonzalez, Angelica ; Abhyankar, Abhay.
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15. An Intertemporal CAPM with Stochastic Volatility. (2012). Polk, Christopher ; Giglio, Stefano ; Campbell, John ; Turley, Robert.
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16. Dynamic Stock Market Covariances in the Eurozone. (2012). Suurlaht, Anita ; Connor, Gregory.
    In: Economics Department Working Paper Series.
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17. What does financial volatility tell us about macroeconomic fluctuations?. (2012). Yoldas, Emre ; Senyuz, Zeynep ; Chauvet, Marcelle.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2012-09.

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18. A reassessment of the risk-return tradeoff at the daily horizon. (2012). Sévi, Benoît ; Baena, Csar ; Svi, Benot.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00845.

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19. Anticipating Long-Term Stock Market Volatility. (2012). Conrad, Christian ; Loch, Karin .
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20. Broker-Dealer Leverage and the Cross-Section of Stock Returns. (2011). Etula, Erkko ; Adrian, Tobias ; Muir, Tyler.
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21. What does financial volatility tell us about macroeconomic fluctuations?. (2011). Yoldas, Emre ; Senyuz, Zeynep ; Chauvet, Marcelle.
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    RePEc:pra:mprapa:34104.

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22. Volatility components, leverage effects, and the return-volatility relations. (2011). Li, Junye.
    In: Journal of Banking & Finance.
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23. A component model for dynamic correlations. (2011). Engle, Robert ; Colacito, Riccardo ; Ghysels, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:164:y:2011:i:1:p:45-59.

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24. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2011). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:235-245.

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25. The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR. (2011). Marcellino, Massimiliano ; Lemke, Wolfgang ; Eickmeier, Sandra.
    In: CEPR Discussion Papers.
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26. Pricing Central Tendency in Volatility. (2011). Khrapov, Stanislav.
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27. The Joint Dynamics of Equity Market Factors. (2011). Christoffersen, Peter ; Langlois, Hugues.
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28. Volatility Decomposition and Correlation in International Securitized Real Estate Markets. (2010). Liow, Kim ; Ibrahim, Muhammad.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:40:y:2010:i:2:p:221-243.

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29. Funding liquidity risk and the cross-section of stock returns. (2010). Etula, Erkko ; Adrian, Tobias.
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30. Liquidity and leverage. (2010). Shin, Hyun Song ; Adrian, Tobias.
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    RePEc:eee:jfinin:v:19:y:2010:i:3:p:418-437.

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31. Uncertainty and Valuations. (2009). Cremers, Martijn ; Yan, Hongjun.
    In: Yale School of Management Working Papers.
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32. Carry Trades and Global FX Volatility. (2009). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
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33. Pricing volatility of stock returns with volatile and persistent components. (2009). Zhu, Jie.
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34. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. (2008). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
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35. Liquidity and leverage. (2008). Shin, Hyun Song ; Adrian, Tobias.
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36. Option valuation with long-run and short-run volatility components. (2008). Wang, Yintian ; Jacobs, Kris ; Ornthanalai, Chayawat.
    In: Journal of Financial Economics.
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37. Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model. (2008). Neely, Christopher ; Guo, Hui.
    In: Economics Letters.
    RePEc:eee:ecolet:v:99:y:2008:i:2:p:371-374.

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38. Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models. (2008). Conrad, Christian ; Mammen, Enno.
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39. Pricing Volatility of Stock Returns with Volatile and Persistent Components. (2008). Zhu, Jie.
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40. Option Valuation with Long-run and Short-run Volatility Components. (2008). Wang, Yintian ; Jacobs, Kris ; Ornthanalai, Chayawat.
    In: CREATES Research Papers.
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41. Volatility Components, Affine Restrictions and Non-Normal Innovations. (2008). Wang, Yintian ; Dorion, Kris.
    In: CREATES Research Papers.
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42. Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK. (2007). Spencer, Peter ; Kizys, Renatas.
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43. Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities. (2007). Spencer, Peter ; Kizys, Renatas.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
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44. Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim.
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45. Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities. (2007). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael.
    In: CREATES Research Papers.
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46. Visible and hidden risk factors for banks. (2006). Stiroh, Kevin ; Schuermann, Til.
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47. Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model. (2006). Neely, Christopher ; Guo, Hui.
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48. Expected stock returns and variance risk premia. (2006). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
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49. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-35.

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