1. The correlation structure in the international stock markets during global financial crisis. (2019). Gao, Hai-Ling ; Mei, Dong-Cheng.
   In: Physica A: Statistical Mechanics and its Applications.
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1. [1] E.J. Elton and M.J. Gruber, Modern Portfolio Theory and Investment Analysis, Wiley, (1995).
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8. [2] see e.g.: J.C. Hull Futures, Options and Other Derivatives, Prentice Hall (2000).
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13. [9] This has also been argued recently by S. Drozdz, F. Grummer, F. Ruf and J. Speth, Dynamics of competition between collectivity and noise in the stock market, e-print cond-mat/9911168.

1. Pricing currency risk in the stock market: Empirical evidence from Finland and Sweden 1970-2009. (2011). Vaihekoski, Mika ; Antell, Jan.
   In: Discussion Papers.
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2. Does knowing the volatility states affect the market risk premium?. (2011). .
   In: Annals of Finance.
   RePEc:kap:annfin:v:7:y:2011:i:1:p:83-94.

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3. Firm Level Volatility-Return Analysis using Dynamic Panels. (2008). Yamagata, Takashi ; Smith, L. Vanessa.
   In: Discussion Papers.
   RePEc:yor:yorken:08/09.

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4. Hedging Effectiveness under Conditions of Asymmetry. (2007). Hanly, Jim ; cotter, john.
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   RePEc:pra:mprapa:3501.

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5. Realized Volatility and Asymmetries in the A.S.E. Returns. (2006). Thomakos, Dimitrios ; Koubouros, Michail.
   In: Finance.
   RePEc:wpa:wuwpfi:0507012.

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6. A systematic modelling strategy for futures markets volatility. (2006). da Costa, Jose Sa ; Lopes, Jose Assis ; Carvalho, Ana Filipa .
   In: Applied Financial Economics.
   RePEc:taf:apfiec:v:16:y:2006:i:11:p:819-833.

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7. Multifrequency Jump-Diffusions: An Equilibrium Approach. (2006). Fisher, Adlai ; Calvet, Laurent.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12797.

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8. Risk, Uncertainty and Asset Prices. (2006). Xing, Yuhang ; Engstrom, Eric ; Bekaert, Geert.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12248.

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9. Estimating and predicting multivariate volatility thresholds in global stock markets. (2006). Trojani, Fabio ; Audrino, Francesco.
   In: Journal of Applied Econometrics.
   RePEc:jae:japmet:v:21:y:2006:i:3:p:345-369.

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10. Risk, Uncertainty and Asset Prices. (2006). Xing, Yuhang ; Engstrom, Eric ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5947.

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11. Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network. (2006). Georgoutsos, Dimitris ; Bekiros, Stelios.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:06-16.

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12. Asymmetric Risk and International Portfolio Choice. (2005). Thorp, Susan ; Milunovich, George.
    In: Research Paper Series.
    RePEc:uts:rpaper:160.

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13. The negative news threshold—An explanation for negative skewness in stock returns. (2005). Ekholm, Anders ; Pasternack, Daniel.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:11:y:2005:i:6:p:511-529.

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14. The leverage effect in the UK stock market. (2005). Steeley, James ; Chelley-Steeley, Patricia.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:6:p:409-423.

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15. Free trade agreements and equity market integration: the case of the US and Jordan. (2005). Maghyereh, Aktham ; Al-Zoubi, Haitham ; Al-Zuobi, Hiatham.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:14:p:995-1005.

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16. Asymmetric stochastic volatility in emerging stock markets. (2005). .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:12:p:867-874.

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17. Ambiguity, Information Quality and Asset Pricing. (2005). Schneider, Martin ; Epstein, Larry.
    In: RCER Working Papers.
    RePEc:roc:rocher:519.

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18. CAPM Over the Long Run: 1926-2001. (2005). Ang, Andrew ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11903.

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19. Duality and Derivative Pricing with Time-Changed Lévy Processes. (2005). Fajardo, José ; Mordecki, Ernesto.
    In: IBMEC RJ Economics Discussion Papers.
    RePEc:ibr:dpaper:2005-12.

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20. Do Institutional Investors Destabilize Stock Prices? Evidence from an Emerging Market. (2005). Brzeszczynski, Janusz ; Bohl, Martin T..
    In: CERT Discussion Papers.
    RePEc:hwe:certdp:0501.

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21. Risk, uncertainty, and asset prices. (2005). Xing, Yuhang ; Engstrom, Eric ; Bekaert, Geert.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-40.

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22. Measuring market and inflation risk premia in France and in Germany. (2005). Guene, Stephane ; Cappiello, Lorenzo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005436.

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23. Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation. (2004). Gatfaoui, Hayette ; Hayette, Gatfaoui.
    In: Finance.
    RePEc:wpa:wuwpfi:0404004.

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24. Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes. (2004). Wu, Liuren ; Huang, Jingzhi.
    In: Finance.
    RePEc:wpa:wuwpfi:0401002.

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25. Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Mertons Credit Risk Valuation. (2004). Gatfaoui, Hayette.
    In: Research Paper Series.
    RePEc:uts:rpaper:123.

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26. Ambiguity, Information Quality and Asset Pricing. (2004). Schneider, Martin ; Epstein, Larry.
    In: RCER Working Papers.
    RePEc:roc:rocher:507.

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27. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10913.

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28. Estimation of Markov regime-switching regression models with endogenous switching. (2004). Startz, Richard ; Piger, Jeremy ; Kim, Chang-Jin.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-015.

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29. Stock Market Volatility: Examining North America, Europe and Asia. (2004). Premaratne, Gamini ; Balasubramanyan, Lakshmi.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:479.

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30. Determinants of euro term structure of credit spreads. (2004). van Landschoot, Astrid .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004397.

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31. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-24.

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32. Volatility Spillover Effects in European Equity Markets. (2003). Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:03/189.

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33. Contagion: an empirical test. (2003). Wongswan, Jon.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:775.

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34. Volatility puzzles: a unified framework for gauging return-volatility regressions. (2003). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-40.

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35. Asymmetric dynamics in the correlations of global equity and bond returns. (2003). Engle, Robert ; Cappiello, Lorenzo ; Sheppard, Kevin.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2003204.

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36. There is a Risk-Return Tradeoff After All. (2003). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-26.

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37. Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?. (2002). Wu, Liuren ; Heidari, Massoud.
    In: Finance.
    RePEc:wpa:wuwpfi:0207013.

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38. Time-Changed Levy Processes and Option Pricing. (2002). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0207011.

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39. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

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40. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Kang, Qiang ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9056.

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41. The stochastic volatility in mean model: empirical evidence from international stock markets. (2002). Koopman, Siem Jan ; Uspensky, Eugenie Hol.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:6:p:667-689.

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42. The Distribution of Stock Return Volatility. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Ebens, Heiko.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-27.

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43. Is There a Structural Break in the Equity Premium?. (2000). Nelson, Charles ; Morley, James ; Kim, Chang-Jin.
    In: Working Papers.
    RePEc:udb:wpaper:0024.

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44. Correlation structure of extreme stock returns. (2000). Potters, Marc ; Cizeau, Pierre ; Bouchaud, Jean-Philippe.
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:0006034.

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45. The Distribution of Stock Return Volatility. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Ebens, Heiko.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7933.

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46. Firm Value, Risk, and Growth Opportunities. (2000). Stulz, René ; Shin, Hyun-Han.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7808.

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47. Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices. (2000). Stein, Jeremy ; Hong, Harrison ; Chen, Joseph.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7687.

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48. Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?. (2000). Morley, James.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0915.

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49. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:99-08.

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50. Asymmetric covariance in sport-future markets. (). Torro, Hipolit ; Meneu, Vicente.
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:135.

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