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Measuring Risk Aversion From Excess Returns on a Stock Index. (1991). Kane, Alex ; Engle, Robert ; Chou, Ray.
In: NBER Working Papers.
RePEc:nbr:nberwo:3643.

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  4. Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren? / Can Time-varying Parameter Specification Based on Consumption Variables Rehabilitate CAPM, . (2012). Auer, Benjamin R..
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  10. Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework. (2010). Kwiatkowski, Lukasz.
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    In: Working Paper series.
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  24. The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper.
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    In: 2004 Meeting Papers.
    RePEc:red:sed004:334.

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    In: Nobel Prize in Economics documents.
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  36. LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES. (2003). Shephard, Neil ; Sentana, Enrique ; Fiorentini, Gabriele.
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  37. On the pervasive effects of Federal Reserve settlement regulations. (2003). Winters, Drew B. ; Griffiths, Mark D. ; Cyree, Ken B..
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  39. An experiment on Nash implementation. (2003). Corchon, Luis ; Charness, Gary ; Cabrales, Antonio.
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    In: University of California at Santa Barbara, Economics Working Paper Series.
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  48. Regularities in volatility and the price of risk following large stock market movements in the US and Japan. (2000). Kane, Alex ; Trippi, Robert R. ; Lehmann, Bruce N..
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  51. Variances and covariances of international stock returns: the international capital asset pricing model revisited. (1998). Ramchand, Latha ; Susmel, Raul .
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  54. By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior. (1995). Cochrane, John ; Campbell, John.
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