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2. Modelling and forecasting monthly Brent crude oil prices: a long memory and volatility approach. (2021). Ismail, Mohd Tahir ; Remal, Shaher Al-Gounmeein ; Tahir, Ismail Mohd.
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3. Modelling and forecasting monthly Brent crude oil prices: a long memory and volatility approach. (2021). Ismail, Mohd Tahir ; Algounmeein, Remal Shaher.
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4. Volatility in International Stock Markets: An Empirical Study during COVID-19. (2020). Chaudhary, Rashmi ; Bakhshi, Priti ; Gupta, Hemendra.
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5. Examination and Modification of Multi-Factor Model in Explaining Stock Excess Return with Hybrid Approach in Empirical Study of Chinese Stock Market. (2019). Huang, Jian ; Liu, Huazhang.
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1. Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef.
   In: Papers.
   RePEc:arx:papers:2104.04264.

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2. Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). Ahmed, Walid.
   In: Journal of Economics and Business.
   RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206.

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3. Concepts, Components and Collections of Trading Strategies and Market Color. (2020). Kashyap, Ravi.
   In: Papers.
   RePEc:arx:papers:1910.02144.

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4. Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Gkillas, Konstantinos.
   In: Working Papers.
   RePEc:pre:wpaper:201972.

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5. Moments-Based Spillovers across Gold and Oil Markets. (2019). Wang, Shixuan ; Lau, Chi Keung ; GUPTA, RANGAN ; Bonato, Matteo ; Marco, Chi Keung.
   In: Working Papers.
   RePEc:pre:wpaper:201966.

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6. Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process. (2019). Ruan, Xinfeng ; Zhu, Wenli.
   In: Computational Economics.
   RePEc:kap:compec:v:53:y:2019:i:2:d:10.1007_s10614-017-9753-x.

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7. Forecasting downside risk in China’s stock market based on high-frequency data. (2019). Wang, Zongrun ; Gong, XU ; Chen, Sicen ; Xie, Nan.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:517:y:2019:i:c:p:530-541.

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8. Currency strategies based on momentum, carry trade and skewness. (2019). Yin, Libo ; Jiang, Xue ; Han, Liyan.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:517:y:2019:i:c:p:121-131.

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9. Modeling stock market volatility using new HAR-type models. (2019). Lin, Boqiang ; Gong, XU.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:516:y:2019:i:c:p:194-211.

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10. Asset allocation and investment opportunities in emerging stock markets: Evidence from return asymmetry-based analysis. (2019). Ftiti, Zied ; Hadhri, Sinda.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:93:y:2019:i:c:p:187-200.

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11. The asymmetric effect of equity volatility on credit default swap spreads. (2019). Hyun, Jung-Soon ; Lee, Hwang Hee.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:98:y:2019:i:c:p:125-136.

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12. Moment spreads in the energy market. (2019). Ruan, Xinfeng ; Zhang, Jine.
    In: Energy Economics.
    RePEc:eee:eneeco:v:81:y:2019:i:c:p:598-609.

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13. Screening rules and portfolio performance. (2019). Navarro, Lluis ; Nieto, Belen ; Leon, Angel.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:48:y:2019:i:c:p:642-662.

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14. Can skewness predict currency excess returns?. (2019). Yin, Libo ; Jiang, Xue ; Han, Liyan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:48:y:2019:i:c:p:628-641.

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15. OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS. (2018). Faias, Jose ; Castel-Branco, Tiago.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500437.

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16. THE TIME-VARYING ASYMMETRY OF EXCHANGE RATE RETURNS: A STOCHASTIC VOLATILITY – STOCHASTIC SKEWNESS MODEL. (2018). Iseringhausen, Martin.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:18/944.

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17. Time-Varying Risk Aversion and Realized Gold Volatility. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza.
    In: Working Papers.
    RePEc:pre:wpaper:201881.

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18. Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos.
    In: Working Papers.
    RePEc:pre:wpaper:201879.

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19. Investor Sentiment and Crash Risk in Safe Havens. (2018). GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo ; Ben Nasr, Adnen.
    In: Working Papers.
    RePEc:pre:wpaper:201804.

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20. The properties of a skewness index and its relation with volatility and returns. (2018). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas.
    In: Department of Economics.
    RePEc:mod:depeco:0133.

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21. The use of option prices in order to evaluate the skewness risk premium. (2018). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas.
    In: Department of Economics.
    RePEc:mod:depeco:0132.

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22. Forecasting International Index Returns using Option-implied Variables. (2018). Power, Gabriel ; Gagnon, Marie-Helene ; Toupin, Dominique.
    In: Cahiers de recherche.
    RePEc:lvl:crrecr:1807.

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23. “Scaling Down Downside Risk with Inter-Quantile Semivariances”. (2018). Uribe, Jorge.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201826.

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24. The skewness of commodity futures returns. (2018). Fuertes, Ana-Maria ; Frijns, Bart ; Fernandez-Perez, Adrian ; Miffre, Joelle.
    In: Post-Print.
    RePEc:hal:journl:hal-01678744.

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25. Investigation of the Financial Stability of S&P 500 Using Realized Volatility and Stock Returns Distribution. (2018). Akter, Nahida ; Nobi, Ashadun.
    In: JRFM.
    RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:22-:d:143724.

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26. Gold futures returns and realized moments: A forecasting experiment using a quantile-boosting approach. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:57:y:2018:i:c:p:196-212.

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27. Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market. (2018). Yang, Xuewei ; Li, Xindan ; Subrahmanyam, Avanidhar.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:128:y:2018:i:1:p:38-65.

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28. The skewness of commodity futures returns. (2018). Fuertes, Ana-Maria ; Frijns, Bart ; Miffre, Joelle ; Fernandez-Perez, Adrian.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:86:y:2018:i:c:p:143-158.

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29. To trust or not to trust? A comparative study of conventional and clean energy exchange-traded funds. (2018). Alexopoulos, Thomas.
    In: Energy Economics.
    RePEc:eee:eneeco:v:72:y:2018:i:c:p:97-107.

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30. Testing for jumps and jump intensity path dependence. (2018). Swanson, Norman ; Corradi, Valentina ; Silvapulle, Mervyn J.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

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31. Asymptotic inference about predictive accuracy using high frequency data. (2018). Patton, Andrew ; Li, Jia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:203:y:2018:i:2:p:223-240.

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32. Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia. (2018). ORNELAS, JOSE ; Finta, Marinela Adriana.
    In: Working Papers Series.
    RePEc:bcb:wpaper:479.

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33. The Memory of Stock Return Volatility: Asset Pricing Implications. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-613.

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34. On the gains of using high frequency data and higher moments in Portfolio Selection. (2017). Sebastião, Helder ; Godinho, Pedro ; Brito, Rui ; Sebastio, Helder.
    In: CeBER Working Papers.
    RePEc:gmf:papers:2017-02.

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35. Forecasting stock market volatility: Do realized skewness and kurtosis help?. (2017). Chen, Wang ; Liu, Jing ; Ma, Feng ; Mei, Dexiang.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:481:y:2017:i:c:p:153-159.

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36. Risk Control: Who Cares?. (2017). Taylor, Nick.
    In: European Financial Management.
    RePEc:bla:eufman:v:23:y:2017:i:1:p:153-179.

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37. Low risk anomalies?. (2016). Zechner, Josef ; Wagner, Christian ; Schneider, Paul.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:550.

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38. On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:03-2016.

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39. Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil. (2016). Almeida, Caio ; Tessari, Cristina ; Ricca, Bernardo.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:36:y:2016:i:2:a:18544.

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40. Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach. (2016). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo.
    In: Working Papers.
    RePEc:pre:wpaper:201645.

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41. Fear or greed? What does a skewness index measure?. (2016). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas.
    In: Department of Economics.
    RePEc:mod:depeco:0102.

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42. Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect. (2016). Sebastião, Helder ; Godinho, Pedro ; Brito, Rui ; Sebastio, Helder.
    In: GEMF Working Papers.
    RePEc:gmf:wpaper:2016-13..

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43. Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns. (2016). Bollerslev, Tim ; Todorov, Viktor ; Li, Sophia Zhengzi.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:120:y:2016:i:3:p:464-490.

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44. The MAX effect: An exploration of risk and mispricing explanations. (2016). Gray, Philip ; Zhong, Angel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:65:y:2016:i:c:p:76-90.

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45. On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:193:y:2016:i:2:p:367-389.

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46. On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11307.

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47. Towards a skewness index for the Italian stock market. (2015). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas.
    In: Department of Economics.
    RePEc:mod:depeco:0064.

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48. Downside Risk Neutral Probabilities. (2015). EECKHOUDT, LOUIS ; Chaigneau, Pierre.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:1521.

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49. Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis. (2015). Do, Hung ; Brooks, Robert ; Treepongkaruna, Sirimon.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:28:y:2015:i:c:p:24-37.

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50. Downside Variance Risk Premium. (2015). Jahan-Parvar, Mohammad ; Feunou, Bruno ; Okou, Cedric.
    In: Staff Working Papers.
    RePEc:bca:bocawp:15-36.

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