1. Identifying volatility risk premia from fixed income Asian options. (2009). Vicente, José Valentim ; Almeida, Caio.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:33:y:2009:i:4:p:652-661.

   Full description at Econpapers || Download paper

2. Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2008). Shephard, Neil ; Hansen, Peter ; Barndorff-Nielsen, Ole ; Lunde, Asger.
   In: Economics Series Working Papers.
   RePEc:oxf:wpaper:397.

   Full description at Econpapers || Download paper

3. Liquidity and leverage. (2008). Shin, Hyun Song ; Adrian, Tobias.
   In: Staff Reports.
   RePEc:fip:fednsr:328.

   Full description at Econpapers || Download paper

4. Measuring causality between volatility and returns with high-frequency data. (2008). Taamouti, Abderrahim ; Garcia, René ; Dufour, Jean-Marie.
   In: UC3M Working papers. Economics.
   RePEc:cte:werepe:we084422.

   Full description at Econpapers || Download paper

5. The Secondary Market for Hedge Funds and the Closed-Hedge Fund Premium. (2008). Ramadorai, Tarun.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:6877.

   Full description at Econpapers || Download paper

6. How Sovereign is Sovereign Credit Risk?. (2007). Singleton, Kenneth ; Pedersen, Lasse ; pan, jun ; Longstaff, Francis.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:13658.

   Full description at Econpapers || Download paper

7. Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:13449.

   Full description at Econpapers || Download paper

8. Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg.
   In: CREATES Research Papers.
   RePEc:aah:create:2007-24.

   Full description at Econpapers || Download paper

1. Adrian, Tobias and Joshua Rosenberg (2006), Stock Returns and Volatility: Pricing the Long-Run and Short-Run Components of Market Risk, Working Paper, Federal Reserve Bank of New York.

2. AIt-Sahalia, Yacine and Andrew W. Lo (2000), Nonparametric Risk Management and Implied Risk Aversion, Jonrnal of Econometrics, vol. 94, 9-Si.

3. Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, and Heiko Ebens (2001), The Distribution of Realized Stock Return Volatility, Jonrnal of Financial Economics, vol. 61, 43-76.

4. Ang, Andrew and Geert Bekaert (2006), Stock Return Predictability: Is it There? Review of Financial Stndies, Forthcoming.

5. Ang, Andrew, Robert Hodrick, Yuhang Xing, and Xiaoyan Zhang (2006), The Cross-Section of Volatility and Expected Returns, Jonrnal of Finance, vol. 61, 259-299.

6. Bakshi, Gurdip and Dilip Madan (2006), A Theory of Volatility Spread, Working Paper, Robert H. Smith School of Business, University of Maryland.
   Paper not yet in RePEc: Add citation now
   
7. Balyeat, R. Brian (2002), Economic Significance of Risk Premiums in the S&PS00 Option Market, Jonrnal of Fntnres Markets, vol. 22, 1147-1178.
   Paper not yet in RePEc: Add citation now
   

8. Barndorff-Nielsen, Ole and Neil Shephard (2002), Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models, Jonrnal of Royal Statistical Society, vol. Series B 64.

9. Beckers, Stan and Tom Bouten (2005), Implied Volatility and Market Timing, Finance Letters, vol. 3, 12-16.
   Paper not yet in RePEc: Add citation now
   

10. Bliss, Robert R. and Nikolaos Panigirtzoglou (2004), Option-Implied Risk Aversion Estimates, Jonrnal of Finance, vol. 59, 407 - 446.

11. Bollerslev, Tim, Mike Gibson, and Hao Zhou (2006), Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities, Working Paper, Federal Reserve Board.

12. Bondarenko, Oleg (2004), Market Price of Variance Risk and Performance of Hedge Funds, Working Paper, Department of Finance, University of Illinois.
    Paper not yet in RePEc: Add citation now
    
13. Boudoukh, Jacob, Matthew Richardson, and Robert F. Whitelaw (2006), The Myth of Long-Horizon Predictability, NBER Working Paper No.11841.
    Paper not yet in RePEc: Add citation now
    

14. Brandt, Michael W. and Kevin Q. Wang (2003), Time-varying Risk Aversion and Expected Inflation, Jonrnal of Monetary Economics, vol. 50, 1457-1498.

15. Britten-Jones, Mark and Anthony Neuberger (2000), Option Prices, Implied Price Processes, and Stochastic Volatility, Jonrmal of Fimamce, vol. 55, 839-866.

16. Burnside, Craig (2006), Robust Estimation and Inference for Stochastic Discount Factor Models: Avoiding Nocuous Normalizations and Spurious Risk Factors, Worlcimg Paper, Department of Economics, Duke University.
    Paper not yet in RePEc: Add citation now
    

17. Campbell, John Y. (1987), Stock Returns and the Term Structure, Jonrmal of Fimamcial Ecomomics, vol. 18, 373-399.

18. Campbell, John Y. (1991), A Variance Decomposition for Stock Returns, Ecomomic Jonrmal, vol. 101, 157-179.

19. Campbell, John Y. and John H. Cochrane (1999), By Force of Habit: A Consumption Based Explanation of Aggregate Stock Market Behavior, Jonrmal of Political Ecomomy, vol. 107, 205-251.

20. Campbell, John Y. and Motohiro Yogo (2006), Efficient Tests of Stock Return Predictability, Jonrmal of Fimamcial Ecomomics, vol. 81, 27-60.

21. Campbell, John Y. and Robert J. Shiller (1988), Stock Prices, Earnings, and Expected Dividends, Jonrmal of Fimamce, vol. 43, 661-676.

22. Carr, Peter and Liuren Wu (2005), Variance Risk Premia, Working Paper, NYU and Baruch College at CUNY.

23. Daniel, Kent and Sheridan Titman (2005), Testing Factor-Model Explanations of Market Anomalies, Worlcimg Paper, Northwestern University.
    Paper not yet in RePEc: Add citation now
    
24. Demeterfi, Kresimir, Emanuel Derman, Michael Kamal, and Joseph Zou (1999), A Guide to Volatility and Variance Swaps, Jonrmal of Derivatives, vol. 6, 9-32.
    Paper not yet in RePEc: Add citation now
    

25. Fama, Eugene and Kenneth French (1992), The Cross-Section of Expected Stock Returns, Jonrmal of Fimamce, vol. 47, 427-465.

26. Fama, Eugene and Kenneth French (1993), Common Risk Factors in the Returns on Stocks and Bonds, Jonrmal of Fimamcial Ecomomics, vol. 33, 3-56.

27. Fama, Eugene F. and G. William Schwert (1977), Asset Returns and Inflation, Jonrmal of Fimamcial Ecomomics, vol. 5, 115-146.

28. Fama, Eugene F. and Kenneth R. French (1988a), Dividend Yields and Expected Stock Returns, Jonrmal of Fimamcial Ecomomics, vol. 22, 3-25.

29. Fama, Eugene F. and Kenneth R. French (1988b), Permanent and Temporary Componensts of Stock Prices, Jonrmal of Political Ecomomy, vol. 96, 246-273.

30. Fama, Eugene F. and Kenneth R. French (1989), Business Conditions and Expected Returns on Stocks and Bonds, Jonrmal of Fimamcial Ecomomics, vol. 25, 23-49.

31. Ferson, Wayne E., Sergei Sarkissian, and Timothy T. Simm (2003), Spurious Regressions in Financial Economics? Jonrmal of Fimamce, pages 1393-1414.

32. Gangahar, Anuj (2005), Volatility Becomes an Asset Class, Fimamcial Times, May 23rd Issue.
    Paper not yet in RePEc: Add citation now
    
33. Garcia, René, Marc-André Lewis, Sergio Pastorello, and Eric Renault (2006), Estimation of Objective and Risk-Neutral Distributions Based on Moments of Integrated Volatility, Working Paper, CRDE, Université de Montréal.
    Paper not yet in RePEc: Add citation now
    

34. Gordon, Stephen and Pascal St-Amour (2004), Asset Returns and State-Dependent Risk Preferences, Jonrmal of Bnsimess amd Ecomomic Statistics, vol. 22, 241-252.

35. Goyal, Amit and Ivo Welch (2003), Predicting the Equity Premium with Dividend Ratios, Mamagememt Sciemce, vol. 49, 639-654.

36. Goyal, Amit and Ivo Welch (2005), A Comprehensive Look at the Empirical Performance of Equity Premium Prediction, NBER Working Paper No.10483.

37. Guo, Hui and Robert F. Whitelaw (2006), Uncovering the Risk-Return Relation in the Stock Market, Jonrmal of Fimamce, vol. 61, 1433-1463.

38. Jackwerth, Jens Carsten (2000), Recovering Risk Aversion from Option Prices and Realized Returns, Review of Fimamcial Stndies, vol. 13, 433-451.

39. Jiang, George and Yisong Tian (2005), Model-Free Implied Volatility and Its Information Content, Review of Fimamcial Stndies, vol. 18, 1305-1342.

40. Keim, Donald B. and Robert F. Stambaugh (1986), Predicting Returns in the Stock and Bond Markets, Jonrmal of Fimamcial Ecomomics, vol. 17, 357-390.

41. Lewellen, Jonathan (2004), Predicting Returns with Financial Ratios, Jonrmal of Fimamcial Ecomomics, vol. 74.

42. Lewellen, Jonathan and Stefan Nagel (2006), The Conditional CAPM Does Not Explain Asset-Pricing Anomalies, Jonrmal of Fimamcial Ecomomics, Forthcoming.

43. Lewellen, Jonathan, Stefan Nagel, and Jay Shanken (2006), A Skeptical Appraisal of AssetPricing Tests, Worlcimg Paper, Dartmouth College.

44. Lo, Andrew W. and A. Craig MacKinlay (1988), Stock Market Prices do Not Follow Random Walks: Evidence from a Simple Specification Test, Review of Fimamcial Stndies, vol. 1, 41-66.

45. Meddahi, Nour (2002), Theoretical Comparison Between Integrated and Realized Volatility, Jonrmal of Applied Ecomometrics, vol. 17, 479-508.

46. Merton, Robert C. (1980), On Estimating the Expected Return on the Market, Jonrmal of Fimamcial Ecomomics, vol. 8, 323-361.
    Paper not yet in RePEc: Add citation now
    

47. Newey, Whitney K. and Kenneth D. West (1987), A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Ecomometrica, vol. 55, 703-708.

48. Rosenberg, Joshua V. and Robert F. Engle (2002), Empirical Pricing Kernels, Jonrmal of Fimamcial Ecomomics, vol. 64, 341-372.

49. Shanken, Jay (1992), On the Estimation of Beta-Pricing Models, Review of Fimamcial Stndies, vol. 5, 1-33.

50. Shiller, Robert J. (1984), Stock Prices and Social Dynamics, Broolcimgs Papers om Ecomomic Activity, vol. 2, 457-498.

51. Stambaugh, Robert F. (1999), Predictive Regressions, Jonrmal of Fimamcial Ecomomics, vol. 54, 375-421.

52. Todorov, Viktor (2006), Pricing Diffusive and Jump Risk: What Can We Learn from the Variance Risk Premium, Working Paper, Departemnt of Economics, Duke University.
    Paper not yet in RePEc: Add citation now
    

53. Valkanov, Rossen (2003), Long-Horizon Regressions: Theoretical Results and Applications, Jonrmal of Fimamcial Ecomomics, vol. 68, 201-232.

54. Wu, Liuren (2005), Variance Dynamics: Joint Evidence from Options and High-Frequency Returns, Working Paper, Baruch College at CUNY.

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

   Full description at Econpapers || Download paper

2. Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI.
   In: CREATES Research Papers.
   RePEc:aah:create:2017-34.

   Full description at Econpapers || Download paper

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

   Full description at Econpapers || Download paper

4. . . . and the Cross-Section of Expected Returns. (2014). Harvey, Campbell ; Zhu, Heqing ; Liu, Yan.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:20592.

   Full description at Econpapers || Download paper

5. Smile from the Past: A general option pricing framework with multiple volatility and leverage components. (2014). Corsi, Fulvio ; Majewski, Adam Aleksander ; Bormetti, Giacomo.
   In: Papers.
   RePEc:arx:papers:1404.3555.

   Full description at Econpapers || Download paper

6. Amplitude-Duration-Persistence Trade-off Relationship for Long Term Bear Stock Markets. (2013). Sun, Jiajing ; Li, Ziran ; Wang, Shouyang.
   In: MPRA Paper.
   RePEc:pra:mprapa:54177.

   Full description at Econpapers || Download paper

7. Entrepreneurial tail risk: implications for employment dynamics. (2013). Drautzburg, Thorsten.
   In: Working Papers.
   RePEc:fip:fedpwp:13-45.

   Full description at Econpapers || Download paper

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.

   Full description at Econpapers || Download paper

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.

   Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

11. Smile from the Past: A general option pricing framework with multiple volatility and leverage components. (2013). Corsi, Fulvio ; Majewski, A. A. ; Bormetti, G..
    In: Working Papers.
    RePEc:cty:dpaper:13/11.

    Full description at Econpapers || Download paper

12. CAPM, Components of Beta and the Cross Section of Expected Returns. (2013). Reeves, Jonathan J. ; Cenesizoglu, Tolga.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2013s-09.

    Full description at Econpapers || Download paper

13. Dodging the Steamroller: Fundamentals versus the Carry Trade. (2013). Lu, Wenna ; Copeland, Laurence.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2013/11.

    Full description at Econpapers || Download paper

14. Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information. (2012). Klinkowska, Olga ; Gonzalez, Angelica ; Abhyankar, Abhay .
    In: 2012 Meeting Papers.
    RePEc:red:sed012:56.

    Full description at Econpapers || Download paper

15. An Intertemporal CAPM with Stochastic Volatility. (2012). Polk, Christopher ; Giglio, Stefano ; Campbell, John ; Turley, Robert .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18411.

    Full description at Econpapers || Download paper

16. Dynamic Stock Market Covariances in the Eurozone. (2012). Suurlaht, Anita ; Connor, Gregory.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n222-12.pdf.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

19. Anticipating Long-Term Stock Market Volatility. (2012). Conrad, Christian ; Loch, Karin .
    In: Working Papers.
    RePEc:awi:wpaper:0535.

    Full description at Econpapers || Download paper

20. Broker-Dealer Leverage and the Cross-Section of Stock Returns. (2011). Etula, Erkko ; Adrian, Tobias ; Muir, Tyler.
    In: 2011 Meeting Papers.
    RePEc:red:sed011:1448.

    Full description at Econpapers || Download paper

21. What does financial volatility tell us about macroeconomic fluctuations?. (2011). Yoldas, Emre ; Senyuz, Zeynep ; Chauvet, Marcelle.
    In: MPRA Paper.
    RePEc:pra:mprapa:34104.

    Full description at Econpapers || Download paper

22. Volatility components, leverage effects, and the return-volatility relations. (2011). Li, Junye .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:6:p:1530-1540.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

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.
    RePEc:cpr:ceprdp:8341.

    Full description at Econpapers || Download paper

26. Pricing Central Tendency in Volatility. (2011). Khrapov, Stanislav.
    In: Working Papers.
    RePEc:cfr:cefirw:w0168.

    Full description at Econpapers || Download paper

27. The Joint Dynamics of Equity Market Factors. (2011). Christoffersen, Peter ; Langlois, Hugues.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-45.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

29. Funding liquidity risk and the cross-section of stock returns. (2010). Etula, Erkko ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:464.

    Full description at Econpapers || Download paper

30. Liquidity and leverage. (2010). Shin, Hyun Song ; Adrian, Tobias.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:19:y:2010:i:3:p:418-437.

    Full description at Econpapers || Download paper

31. Uncertainty and Valuations. (2009). Yan, Hongjun ; Cremers, Martijn.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2383.

    Full description at Econpapers || Download paper

32. Carry Trades and Global FX Volatility. (2009). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
    In: MPRA Paper.
    RePEc:pra:mprapa:14728.

    Full description at Econpapers || Download paper

33. Pricing volatility of stock returns with volatile and persistent components. (2009). Zhu, Jie.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:23:y:2009:i:3:p:243-269.

    Full description at Econpapers || Download paper

34. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. (2008). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13739.

    Full description at Econpapers || Download paper

35. Liquidity and leverage. (2008). Shin, Hyun Song ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:328.

    Full description at Econpapers || Download paper

36. Option valuation with long-run and short-run volatility components. (2008). Christoffersen, Peter ; ORNTHANALAI, CHAYAWAT ; Wang, Yintian ; Jacobs, Kris.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:90:y:2008:i:3:p:272-297.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

38. Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models. (2008). Conrad, Christian ; Mammen, Enno.
    In: Working Papers.
    RePEc:awi:wpaper:0473.

    Full description at Econpapers || Download paper

39. Pricing Volatility of Stock Returns with Volatile and Persistent Components. (2008). Zhu, Jie.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-14.

    Full description at Econpapers || Download paper

40. Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Wang, Yintian ; Jacobs, Kris ; ORNTHANALAI, CHAYAWAT .
    In: CREATES Research Papers.
    RePEc:aah:create:2008-11.

    Full description at Econpapers || Download paper

41. Volatility Components, Affine Restrictions and Non-Normal Innovations. (2008). Christoffersen, Peter ; Wang, Yintian ; Dorion, Kris.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-10.

    Full description at Econpapers || Download paper

42. Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK. (2007). Spencer, Peter ; Kizys, Renatas.
    In: Discussion Papers.
    RePEc:yor:yorken:07/13.

    Full description at Econpapers || Download paper

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.
    RePEc:mmf:mmfc06:140.

    Full description at Econpapers || Download paper

44. Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-17.

    Full description at Econpapers || Download paper

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.
    RePEc:aah:create:2007-16.

    Full description at Econpapers || Download paper

46. Visible and hidden risk factors for banks. (2006). Stiroh, Kevin ; Schuermann, Til.
    In: Staff Reports.
    RePEc:fip:fednsr:252.

    Full description at Econpapers || Download paper

47. Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model. (2006). Neely, Christopher ; Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-006.

    Full description at Econpapers || Download paper

48. Expected stock returns and variance risk premia. (2006). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2007-11.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

Report date: 2025-02-15 16:59:26 || Missing content? Let us know