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Measuring and Testing the Impact of News on Volatility.. (1993). Engle, Robert.
In: Journal of Finance.
RePEc:bla:jfinan:v:48:y:1993:i:5:p:1749-78.

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  89. Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui.
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  90. Credit default risk in Islamic and conventional banks: Evidence from a GARCH option pricing model. (2022). Hassan, Hussein A ; Cevik, Emrah I ; Dibooglu, Sel.
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  91. Bayesian GARCH modeling for return and range. (2022). Kurose, Yuta.
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  92. Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness. (2022). Hodoshima, Jiro ; Serrano, Roberto ; Sheely, Joseph ; Awake, Toshiyuki Yam.
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  93. Is the ECB’s conventional monetary policy state?dependent? An event study approach. (2022). Perdichizzi, Salvatore ; Torluccio, Giuseppe ; Cotugno, Matteo.
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  94. Asymmetric linear double autoregression. (2022). Zhu, Qianqian ; Tan, Songhua.
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  95. A volatility index for the Spanish banking sector. (2022). Gonzalez-Perez, Maria T.
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  96. Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard.
    In: Papers.
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  97. Vulnerability-CoVaR: Investigating the Crypto-market. (2022). Okhrin, Ostap ; Singh, Abhay Kumar ; Waltz, Martin.
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  98. Japan and the United Kingdom: The Inflation Irrelevance Proposition. (2022). Azar, Samih Antoine.
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  104. The Chinese warrant bubble: A fundamental analysis. (2021). Zhou, Guofu ; Wang, Yintian ; Zhu, Yingzi.
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  105. VIX futures and its closed?form pricing through an affine GARCH model with realized variance. (2021). Wang, Zerong.
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  106. Directional news impact curve. (2021). Anatolyev, Stanislav.
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  107. The relationship between gold price and the American financial market. (2021). Bejaoui, Azza ; Regaieg, Rym ; Mgadmi, Nidhal ; Moussa, Wajdi.
    In: International Journal of Finance & Economics.
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  108. Investors trading behaviour and stock market volatility during crisis periods: A dual long?memory model for the Korean Stock Exchange. (2021). Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos ; Caporale, Guglielmo Maria.
    In: International Journal of Finance & Economics.
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  109. Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures. (2021). Perote, Javier ; Moravalencia, Andres ; Molinamuoz, Enrique.
    In: International Journal of Finance & Economics.
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  110. A study on volatility spurious almost integration effect: A threshold realized GARCH approach. (2021). Xu, Dinghai.
    In: International Journal of Finance & Economics.
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  111. The impact of Euro through time: Exchange rate dynamics under different regimes. (2021). Chatziantoniou, Ioannis ; Antonakakis, Nikolaos ; Gabauer, David.
    In: International Journal of Finance & Economics.
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  112. The concept of political instability in economic research. (2021). Ukasz, Jannils.
    In: International Journal of Management and Economics.
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  113. Nonlinear Interactions and Volatility Spillovers between Stock and Foreign Exchange Markets: The STVEC-STGARCH-DCC Approach. (2021). Cho, Po-Hung Luo ; Hung, Pi-Hsia ; Liu, Hsiang-Hsi.
    In: Journal of Applied Finance & Banking.
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  114. Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution. (2021). Bernardi, Mauro ; Petrella, Lea ; Bottone, Marco.
    In: Statistical Methods & Applications.
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  115. COVID-19 pandemic and the crude oil market risk: hedging options with non-energy financial innovations. (2021). Salisu, Afees ; Obiora, Kingsley.
    In: Financial Innovation.
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  116. Responsible investments reduce market risks. (2021). Morelli, Giacomo ; Decclesia, Rita.
    In: Decisions in Economics and Finance.
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  117. Asymmetric Effect and Dynamic Relationships Between Stock Prices and Exchange Rates Volatility. (2021). Mgadmi, Nidhal ; Bejaoui, Azza ; Moussa, Wajdi.
    In: Annals of Data Science.
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  118. Predicting Indian Stock Market Using the Psycho-Linguistic Features of Financial News. (2021). Miglani, Rishabh ; Ravi, Vadlamani ; Kumar, Shravan B.
    In: Annals of Data Science.
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  119. Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model. (2021). Hung, Ngo Thai.
    In: Global Business Review.
    RePEc:sae:globus:v:22:y:2021:i:1:p:36-56.

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  120. Relationships among US S&P500 Stock Index, its Futures and NASDAQ Index Futures with Volatility Spillover and Jump Diffusion: Modeling and Hedging Performance. (2021). Lin, Yu-Cheng ; Liu, Hsiang-Hsi.
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  121. Modeling and assessing systematic risk in stock markets in major oil exporting countries. (2021). Onour, Ibrahim.
    In: Economic Consultant.
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  122. Modelling Volatility Cycles: The (MF)2 GARCH Model. (2021). Engle, Robert F ; Conrad, Christian.
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  123. The prediction of fluctuation in the order-driven financial market. (2021). Sun, Xiao-Qian ; Shi, Fabin ; Cheng, Xue-Qi ; Shen, Hua-Wei ; Wang, Zidong ; Gao, Jinhua.
    In: PLOS ONE.
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  124. Transmisión de volatilidad en el Mercado Integrado Latinoamericano (MILA): una evidencia del grado de integración. || Transmission of volatility in the Latin American Integrated Market (MILA): evidenc. (2021). Barrera, Alejandro Pinilla ; Velez, Mariana Fuentes.
    In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration.
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  125. Noise Trader Risk-Evidence from China’s Stock Market. (2021). Tan, Yeng-May ; Ye, Liang.
    In: Capital Markets Review.
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  126. Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing. (2021). Çakmaklı, Cem ; Ozturk, Verda.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
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  127. Analyst herding and firm-level investor sentiment. (2021). Garcia, John.
    In: Financial Markets and Portfolio Management.
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  128. Exploring Option Pricing and Hedging via Volatility Asymmetry. (2021). Veiga, Helena ; Casas, Isabel.
    In: Computational Economics.
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  129. Bank default indicators with volatility clustering. (2021). Dibooglu, Selahattin ; Çevik, Emrah ; Kenc, Turalay.
    In: Annals of Finance.
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  130. The Asymmetric Impact of Funding Liquidity Risk on the Volatility of Stock Portfolios during the COVID-19 Crisis. (2021). Soytas, Ugur ; Kocaarslan, Baris.
    In: Sustainability.
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  131. A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets. (2021). Kyriazis, Nikolaos A.
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  132. Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID. (2021). Jeleskovic, Vahidin ; Demertzidis, Anastasios.
    In: JRFM.
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  133. Forecasting Stochastic Volatility Characteristics for the Financial Fossil Oil Market Densities. (2021). Solibakke, Per Bjarte.
    In: JRFM.
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  134. Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market. (2021). A. B. M. Rabiul Alam Beg, ; A. B. M. Rabiul Alam Beg, ; Aftab, Hira.
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  135. Volatility and return spillovers between stock markets and cryptocurrencies. (2021). Uzonwanne, Godfrey .
    In: The Quarterly Review of Economics and Finance.
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  136. Information bias and its spillover effect on return volatility: A study on stock markets in the Asia-Pacific region. (2021). Parad, Atul ; Nanda, Swagatika ; Panda, Pradiptarathi.
    In: Pacific-Basin Finance Journal.
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  137. The impacts of oil price shocks and jumps on Chinas nonferrous metal markets. (2021). Tang, Mengying ; Zhang, Chuanguo ; Liu, Feng.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002397.

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  138. The role of coronavirus news in the volatility forecasting of crude oil futures markets: Evidence from China. (2021). Zhang, Hongwei ; Gao, Wang ; Liu, Yuanyuan ; Niu, Zibo.
    In: Resources Policy.
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  139. Effects of variable EU import levies on corn price volatility. (2021). Brummer, Bernhard ; Dalheimer, Bernhard ; Berger, Jurij.
    In: Food Policy.
    RePEc:eee:jfpoli:v:102:y:2021:i:c:s0306919221000403.

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  140. The effect of COVID – 19 pandemic on global stock market volatility: Can economic strength help to manage the uncertainty?. (2021). Chowdhury, Anup ; Uddin, Moshfique ; Chaudhuri, Kausik ; Anderson, Keith.
    In: Journal of Business Research.
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  141. Uncertainty of M&As under asymmetric estimation. (2021). Kanungo, Rama Prasad.
    In: Journal of Business Research.
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  142. Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002077.

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  143. Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol.
    In: International Journal of Forecasting.
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  144. Political uncertainty, COVID-19 pandemic and stock market volatility transmission. (2021). Wohar, Mark ; Gkillas, Konstantinos ; Floros, Christos ; Apostolakis, George N.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001025.

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  145. Dynamic optimal portfolio choice under time-varying risk aversion. (2021). Esparcia, Carlos ; Diaz, Antonio.
    In: International Economics.
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  146. Aggregate volatility risk: International evidence. (2021). Peterburgsky, Stanley.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:47:y:2021:i:c:s1044028319301012.

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  147. Exploration of safe havens for Africas stock markets: A test case under COVID-19 crisis. (2021). Alagidede, Imhotep Paul ; Omane-Adjepong, Maurice.
    In: Finance Research Letters.
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  148. Herding and market volatility. (2021). Liu, Xiaoquan ; Fei, Tianlun.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:78:y:2021:i:c:s105752192100209x.

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  149. Skewness-based market integration: A systemic risk measure across international equity markets. (2021). Li, Xupei ; Jian, Zhihong.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000077.

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  150. Stock returns, quantile autocorrelation, and volatility forecasting. (2021). Cai, Yuzhi ; Upreti, Vineet ; Zhao, Yixiu.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302428.

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  151. Reserve currency and the volatility of clean energy stocks: The role of uncertainty. (2021). Soytas, Ugur ; Kocaarslan, Baris.
    In: Energy Economics.
    RePEc:eee:eneeco:v:104:y:2021:i:c:s014098832100503x.

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  152. The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349.

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  153. Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo. (2021). Clements, Adam ; Drovandi, Christopher ; Li, Dan.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:19:y:2021:i:c:p:22-46.

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  154. Estimating yield spreads volatility using GARCH-type models. (2021). Kim, Dong H ; Jung, Hojin.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000310.

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  155. Abnormal volatility in seasoned equity offerings during economic disruptions. (2021). Bakry, Walid ; Prasad, Mason ; Varua, Maria Estela.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000538.

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  156. Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility. (2021). Ding, Y.
    In: Cambridge Working Papers in Economics.
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  157. The South African–United States sovereign bond spread and its association with macroeconomic fundamentals. (2021). Fedderke, Johannes.
    In: South African Journal of Economics.
    RePEc:bla:sajeco:v:89:y:2021:i:4:p:499-525.

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  158. The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models. (2021). BenSaïda, Ahmed.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:83:y:2021:i:2:p:540-570.

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  159. Volatility and returns: Evidence from China†. (2021). 邓, 彬斌 ; Yan, Sibo ; Qiao, Xiao ; Chi, Yeguang ; Deng, Binbin .
    In: International Review of Finance.
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  160. Modelling Asymmetry and Leverage in Cryptocurrencies and Emerging Financial Markets. (2021). ALAGIDEDE, IMHOTEP ; Omaneadjepong, Maurice.
    In: Economic Papers.
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  161. Carbon Reduction and Sustainable Investment: A Way to Sustainable Development. (2021). Nishad, Mohamed T.
    In: Energy Economics Letters.
    RePEc:asi:eneclt:2021:p:134-144.

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  162. Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal.
    In: Papers.
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  163. Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca.
    In: Papers.
    RePEc:arx:papers:2106.06518.

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  164. Trade the Event: Corporate Events Detection for News-Based Event-Driven Trading. (2021). Liu, Han ; Ma, Liqian ; Zhou, Zhihan.
    In: Papers.
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  165. FX Market Volatility. (2021). Koshelev, Anton.
    In: Papers.
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  166. Power-Law Return-Volatility Cross Correlations of Bitcoin. (2021). Takaishi, T.
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  167. Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. (2021). Tetik, Metin.
    In: World Journal of Applied Economics.
    RePEc:ana:journl:v:7:y:2021:i:2:p:35-46.

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  168. Modelación de la Volatilidad del Tipo de Cambio del Dólar en el Perú: Aplicación de los Modelos GARCH y EGARCH.. (2021). Alva, Victor Chung.
    In: Revista de Análisis Económico y Financiero.
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  169. Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices. (2021). Roy, Subrata.
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  176. Descriptive labour market outcomes of immigrant women across Europe. (2020). Herranz, Virginia ; Alicia, Ana Ferrer.
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  177. Canadian Stock Market Volatility under COVID-19. (2020). Xu, Dinghai.
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  178. Bayesian inference of smooth transition autoregressive (STAR)(k)–GARCH(l, m) models. (2020). Nur, Darfiana ; Livingston, Glen.
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  179. An empirical examination of investor sentiment and stock market volatility: evidence from India. (2020). Rishad, Abdul.
    In: Financial Innovation.
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  180. Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation. (2020). Lapshin, Victor ; Makushkin, Mikhail.
    In: Applied Econometrics.
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  181. The South African – United States Sovereign Bond Spread and its Association with Macroeconomic Fundamentals. (2020). Fedderke, Johannes W.
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  182. Stock Market Volatility Analysis: A Case Study of TUNindex. (2020). NEIFAR, Malika.
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  183. Explaining the nature of economic volatility based on GDP and international trade: a study on China and the United States.. (2020). Saha, Mallika ; Islam, Md Shafiqul ; Dutta, Kumar Debasis.
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  184. Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations. (2020). Younas, Zahid Irshad ; Meloni, Mirko ; Jeleskovic, Vahidin .
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  185. Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market. (2020). ALAGIDEDE, IMHOTEP ; Omane-Adjepong, Maurice.
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  186. Volatility Flocking by Cucker–Smale Mechanism in Financial Markets. (2020). Lim, Hyuncheul ; Kim, Yongsik ; Ha, Seung-Yeal ; Bae, Hyeong-Ohk ; Yoo, Jane.
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  187. Modelling and Forecasting the Volatility of Cryptocurrencies: A Comparison of Nonlinear GARCH-Type Models. (2020). Alsaraireh, Ahmad ; Abuhommous, Alaa Adden ; Alqaralleh, Huthaifa.
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  188. A Characterization of CAT Bond Performance Indices. (2020). Godin, Frederic ; Lai, Van Son ; Trottier, Denis-Alexandre.
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  189. The Effect of Reporting Streaks on Ex Ante Uncertainty. (2020). Riedl, Edward J ; Papadakis, George ; Neururer, Thaddeus .
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  190. Volatility Spillovers between Equity and Green Bond Markets. (2020). Park, Ji Yeon ; Ryu, Doojin.
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  191. Realized Measures to Explain Volatility Changes over Time. (2020). Floros, Christos ; Gkillas, Konstantinos ; Tsagkanos, Athanasios ; Konstantatos, Christoforos.
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  192. GARCH Option Pricing Models and the Variance Risk Premium. (2020). Zhang, Jin E.
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  193. The Aumann–Serrano Performance Index for Multi-Period Gambles in Stock Data. (2020). Yamawake, Toshiyuki ; Hodoshima, Jiro.
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  194. Spillovers from the Slowdown in China on Financial and Energy Markets: An Application of VAR–VECH–TARCH Models. (2020). Ulusoy, Veysel ; Ozdurak, Caner.
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  195. The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility. (2020). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Daglis, Theodoros ; Papadakis, Theodoulos Eleftherios.
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  196. Valuation of Asian options with default risk under GARCH models. (2020). Wang, Xingchun.
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  197. Momentum, asymmetric volatility and idiosyncratic risk-momentum relation: Does technology-sector matter?. (2020). Alhadab, Mohammad ; Ahmed, Mohamed S.
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  198. Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies. (2020). Chaiechi, Taha ; Nguyen, Trang ; Low, David ; Eagle, Lynne.
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  199. Securitization of revolving debt and its determinants. (2020). Hunter, William ; Nourzad, Farrokh ; Szczesniak, Katherine .
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  200. Behavioral data-driven analysis with Bayesian method for risk management of financial services. (2020). Yu, Min-Teh ; Sun, Edward W.
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  201. Volatility modeling and the asymmetric effect for China’s carbon trading pilot market. (2020). Zheng, Zeyu ; Fu, Yang.
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  202. Dynamics and correlation of platinum-group metals spot prices. (2020). Bao, Dun.
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  203. Understanding the impact of investor sentiment on the price formation process: A review of the conduct of American stock markets. (2020). Ahmed, Bouteska.
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  204. Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100. (2020). Ajayi, Richard ; Aliyev, Fuzuli ; Gasim, Nijat.
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  205. Cross-border capital flows and return dynamics in emerging stock markets: Relative roles of equity and debt flows. (2020). GUPTA, RANGAN ; Demirer, Riza ; Bouras, Christos ; Bathia, Deven.
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  206. Informational role of social media: Evidence from Twitter sentiment. (2020). Kurov, Alexander ; Gu, Chen.
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  207. VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong.
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  208. Forecasting volatility with time-varying leverage and volatility of volatility effects. (2020). Proietti, Tommaso ; Catania, Leopoldo.
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  209. Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness. (2020). Gabauer, David ; Filis, George ; Antonakakis, Nikolaos ; de Gracia, Fernando Perez ; Cunado, Juncal.
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  210. On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin. (2020). Peiris, Shelton ; Chan, Jennifer ; Phillip, Andrew.
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  211. Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
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  212. Partially censored posterior for robust and efficient risk evaluation. (2020). Hoogerheide, Lennart ; Borowska, Agnieszka ; van Dijk, Herman K ; Koopman, Siem Jan.
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  213. Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study. (2020). Chen, Naiwei ; Bian, Zhicun ; Hong, Hui.
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  214. The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures. (2020). Ku, Yu-Cheng ; Chuang, Hwei-Lin ; Kao, Yu-Sheng.
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  215. Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines. (2020). Shum, Wai Yan.
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  216. Structural breaks in the correlations between Asian and US stock markets. (2020). Chou, Pei-I, ; Lee, Chia-Hao.
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  217. Consumption and exchange rate uncertainty: Evidence from selected Asian countries. (2020). Ho, Sin-Yu ; Iyke, Bernard Njindan.
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  218. Two‐Step Estimation for Time Varying Arch Models. (2020). Yang, Lijian ; Shao, Qin ; Liu, Rong ; Zhang, Yuanyuan.
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  219. Calendar Anomalies in the Banking and it Index: The Indian Experience. (2020). Das, Chandrabhanu ; Singh, Shikta.
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  220. A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger.
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  221. A first econometric analysis of the CRIX family. (2020). Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan.
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  222. A study on the leverage effect on financial series using a TAR model: a Bayesian approach. (2020). Nieto, Fabio ; Espinosa, Oscar.
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  223. The dependence and dynamic correlation between Islamic and conventional insurances and stock market: A multivariate short memory approach. (2020). el Abed, Riadh ; el Ansari, Rym Charef.
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  229. Testing for an omitted multiplicative long-term component in GARCH models. (2019). Schienle, Melanie ; Conrad, Christian.
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  230. DOES GOLD INVESTMENT OFFER PROTECTION AGAINST STOCK MARKET LOSSES? EVIDENCE FROM FIVE COUNTRIES. (2019). Lean, Hooi Hooi ; Bahari, Zakaria ; Ghazali, Mohd Fahmi.
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  231. Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets. (2019). Rodríguez, Gabriel ; Alanya, Willy.
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  232. Pricing executive stock options with averaging features under the Heston–Nandi GARCH model. (2019). Wang, Xingchun ; Su, Zhiwei.
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  233. A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach. (2019). Xu, Dinghai.
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  234. Political news and stock market reactions: evidence from Turkey over the period 2008–2017. (2019). Ozlem, Sayilir ; Sleiman, Karime.
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  235. Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank markets. (2019). Wolfe, Simon ; Urquhart, Andrew ; Eross, Andrea .
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  236. Is heightened political uncertainty priced in stock returns? Evidence from the 2014 Scottish independence referendum. (2019). Zhu, Sheng ; Lucey, Siobhan ; Gao, Jun ; Darby, Julia.
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  237. The dynamic relationship between stock index and exchange rate: Evidence for Tunis. (2019). Wajdi, Moussa.
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  238. Test for tail index constancy of GARCH innovations based on conditional volatility. (2019). Lee, Sangyeol ; Kim, Moosup.
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  239. Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects. (2019). Proietti, Tommaso ; Catania, Leopoldo.
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  240. Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows. (2019). GUPTA, RANGAN ; Demirer, Riza ; Bouras, Christos ; Bathia, Deven.
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  241. Regulating Bubbles Away?Experiment-Based Evidence of Price Limits and Trading Restrictions in Asset Markets with Deterministic and Stochastic Fundamental Values. (2019). Leibbrandt, Andreas ; Oyarzun, Carlos ; Kalayci, Kenan ; Bao, Zhengyang.
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  242. On the co-movements among gold and other financial markets: a multivariate time-varying asymmetric approach. (2019). Zardoub, Amna ; Abed, Riadh.
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  243. The impact of Brexit news on British pound exchange rates. (2019). Celebi, Kaan ; Korus, Arthur.
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  244. Mergers and Acquisitions and Multinational Companies: A Review and Research Agenda. (2019). Kyei-Mensah, Justice.
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  245. Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(p, q) processes. (2019). Kratz, Marie ; Brautigam, Marcel.
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  246. Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique.
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  247. Financial Risk Contagion in Stock Markets: Causality and Measurement Aspects. (2019). Gao, Wangfeng ; Xu, Guoxiang.
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  248. Jointly Modeling Autoregressive Conditional Mean and Variance of Non-Negative Valued Time Series. (2019). Kawakatsu, Hiroyuki.
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  249. Exchange rate volatility and exports from India: a commodity-level panel data analysis. (2019). Sharma, Chandan.
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  250. Dynamical Volatility and Correlation among US Stock and Treasury Bond Cash and Futures Markets in Presence of Financial Crisis: A Copula Approach. (2019). Li, Weny ; Wang, Teng-Kun ; Liu, Hsiang-Hsi.
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  251. Quantitative easing announcements and high-frequency stock market volatility: Evidence from the United States. (2019). Larkin, Charles ; Dunne, John James ; Corbet, Shaen.
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  252. The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks. (2019). Park, Jin Suk ; Newaz, Mohammad Khaleq.
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  253. New dynamics between volume and volatility. (2019). Qiao, Zhi ; Gui, Jun ; Zheng, Zeyu ; Li, Baowen ; Stanley, Eugene H ; Fu, Yang.
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  254. Forecasting the KOSPI200 spot volatility using various volatility measures. (2019). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon.
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  255. The impact of oil price uncertainty on GCC stock markets. (2019). Khalid, Ali ; Klein, Tony ; Alqahtani, Abdullah.
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  256. Uncovered equity “disparity” in emerging markets. (2019). Phylaktis, Kate ; Fuertes, Ana-Maria ; Yan, Cheng.
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  257. Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns. (2019). Kang, Jangkoo ; Jang, Jeewon.
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  258. Ordinal-response GARCH models for transaction data: A forecasting exercise. (2019). Tsionas, Mike ; Dimitrakopoulos, Stefanos .
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  259. Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos.
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  260. A characterization of CAT bond performance indices. (2019). Lai, Van Son ; Godin, Frederic ; Trottier, Denis-Alexandre.
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  261. Portfolio diversification with virtual currency: Evidence from bitcoin. (2019). Saadi, Samir ; Guesmi, Khaled ; Ftiti, Zied ; Abid, Ilyes.
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  262. The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations. (2019). Abdoh, Hussein ; Awartani, Basel ; Maghyereh, Aktham I.
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  263. Information content of the limit order book for crude oil futures price volatility. (2019). Duong, Huu Nhan ; Tian, Xiao ; Kalev, Petko S.
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  264. A multiple regime extension to the Heston–Nandi GARCH(1,1) model. (2019). Constantinou, Nick ; Diaz-Hernandez, Adan .
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  265. Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach. (2019). Czudaj, Robert.
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  266. Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B.
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  267. Return spillovers around the globe: A network approach. (2019). Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan.
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  268. On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo.
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  269. Effective energy commodity risk management: Econometric modeling of price volatility. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S.
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  270. Volatility Spillovers in Electricity Markets: Evidence from the United States. (2019). Kampouris, Ilias ; Armenatzoglou, Aggelos ; Polyzos, Stathis ; Pantos, Themistoclis.
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  271. Does the cryptocurrency market exhibits feedback trading?. (2019). Gomes, Leonardo Lima ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Jordo, Paulo Vitor.
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  272. Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(p, q) processes. (2019). Marie, Kratz ; Marcel, Brautigam.
    In: ESSEC Working Papers.
    RePEc:ebg:essewp:dr-19009.

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  273. Exploring option pricing and hedging via volatility asymmetry. (2019). Veiga, Helena ; Casas, Isabel ; Lopes, Maria Helena.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:28234.

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  274. Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8000.

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  275. Investors Trading Behaviour and Stock Market Volatility during Crisis Periods: A Dual Long-Memory Model for the Korean Stock Exchange. (2019). Caporale, Guglielmo Maria ; Kartsaklas, Aris ; Yfanti, Stavroula ; Karanasos, Menelaos.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7984.

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  276. Tracing the Genesis of Contagion in the Oil-Finance Nexus. (2019). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7925.

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  277. Think again: volatility asymmetry and volatility persistence. (2019). Thomas, Dimpfl ; Dirk, Baur.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:23:y:2019:i:1:p:19:n:4.

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  278. Artificial intelligence approach to momentum risk-taking. (2019). Cherednik, Ivan.
    In: Papers.
    RePEc:arx:papers:1911.08448.

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  279. Predicting Indian stock market using the psycho-linguistic features of financial news. (2019). Miglani, Rishabh ; Ravi, Vadlamani ; Kumar, Shravan B.
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  280. Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi.
    In: Papers.
    RePEc:arx:papers:1910.02144.

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  281. Unified Bayesian Conditional Autoregressive Risk Measures using the Skew Exponential Power Distribution. (2019). Petrella, Lea ; Bernardi, Mauro ; Bottone, Marco.
    In: Papers.
    RePEc:arx:papers:1902.03982.

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  282. A General Framework for Prediction in Time Series Models. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric.
    In: Papers.
    RePEc:arx:papers:1902.01622.

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  283. Dynamic tail inference with log-Laplace volatility. (2019). Chavez, Gordon V.
    In: Papers.
    RePEc:arx:papers:1901.02419.

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  284. Volatility experience of major world stock markets. (2019). Mallikarjuna, Mejari ; Rao, Prabhakara R.
    In: Theoretical and Applied Economics.
    RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:35-52.

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  285. Volatility experience of major world stock markets. (2019). Rao, Prabhakara R ; Mallikarjuna, M.
    In: Theoretical and Applied Economics.
    RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:35-52.

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  286. Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony.
    In: IRTG 1792 Discussion Papers.
    RePEc:zbw:irtgdp:2018015.

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  287. Pricing Cryptocurrency options: the case of CRIX and Bitcoin. (2018). Wang, Weining ; Hou, Ai Jun ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan.
    In: IRTG 1792 Discussion Papers.
    RePEc:zbw:irtgdp:2018004.

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  288. The impact of data frequency on market efficiency tests of commodity futures prices. (2018). Karali, Berna ; Dorfman, Jeffrey ; Wu, Xuedong.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:38:y:2018:i:6:p:696-714.

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  289. Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2018:12.

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  290. Bayesian analysis of realized matrix-exponential GARCH models. (2018). McAleer, Michael ; Asai, Manabu.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1804.

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  291. Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). McAleer, Michael ; Asai, Manabu.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20180005.

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  292. Estimating and Forecasting West Africa Stock Market Volatility Using Asymmetric GARCH Models. (2018). Grald, Djahou Mangbl.
    In: Journal of Applied Finance & Banking.
    RePEc:spt:apfiba:v:8:y:2018:i:6:f:8_6_4.

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  293. Opinion mining in management research: the state of the art and the way forward. (2018). Mukhopadhyay, Soumya.
    In: OPSEARCH.
    RePEc:spr:opsear:v:55:y:2018:i:2:d:10.1007_s12597-017-0328-3.

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  294. On the Dynamic Linkages Among International Emerging Currencies. (2018). Mighri, Zouheir.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:16:y:2018:i:2:d:10.1007_s40953-017-0088-1.

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  295. Spillover Effects of Real and Nominal Uncertainties in India. (2018). Ramachandran, M ; Sethu, Raja S ; Balaji, B.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:16:y:2018:i:1:d:10.1007_s40953-017-0108-1.

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  296. Asymmetric mean reversion and volatility in African real exchange rates. (2018). Kuttu, Saint.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:42:y:2018:i:3:d:10.1007_s12197-017-9412-z.

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  297. The microstructural foundations of leverage effect and rough volatility. (2018). Rosenbaum, Mathieu ; Fukasawa, Masaaki ; Euch, Omar.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0360-z.

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  298. Does international tourism affect international trade and economic growth? The Indian experience. (2018). Tiwari, Aviral ; Suresh, K G.
    In: Empirical Economics.
    RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1241-6.

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  299. On Chinese stock markets: How have they evolved over time?. (2018). Giménez-Gómez, José-Manuel ; Gimenez-Gomez, Jose-Manuel ; Cano-Berlanga, Sebastian.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2602-4.

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  300. Modelling credit spreads with time volatility, skewness, and kurtosis. (2018). Clark, Ephraim ; Baccar, Selima.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-1975-5.

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  301. Behaviour of Johannesburg Stock Exchange All Share Index Returns - An Asymmetric GARCH and News Impact Effects Approach. (2018). Owusu Junior, Peterson ; Korkpoe, Carl H.
    In: SPOUDAI Journal of Economics and Business.
    RePEc:spd:journl:v:68:y:2018:i:1:p:26-42.

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  302. Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence. (2018). de Paula, Fernando Henrique ; Moura, Guilherme Valle ; Caldeira, Joo Frois .
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    RePEc:sbe:breart:v:38:y:2018:i:1:a:56135.

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  303. PREVENTING NEGATIVE VALUES WHEN FORECASTING NON-NEGATIVE TIME SERIES VARIABLES. (2018). Tfaily, Ali.
    In: Business Excellence and Management.
    RePEc:rom:bemann:v:8:y:2018:i:2:p:53-65.

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  304. Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?. (2018). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe.
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  305. The Value Premium During Flights. (2018). Galvani, Valentina.
    In: Working Papers.
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  306. Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component.. (2018). Filis, George ; Degiannakis, Stavros ; Tsemperlidis, Stefanos.
    In: MPRA Paper.
    RePEc:pra:mprapa:94176.

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  307. Effective energy commodities’ risk management: Econometric modeling of price volatility. (2018). HALKOS, GEORGE ; Tzirivis, Apostolos.
    In: MPRA Paper.
    RePEc:pra:mprapa:90781.

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  308. Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles.
    In: MPRA Paper.
    RePEc:pra:mprapa:90437.

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  309. Non-parametric Estimation of GARCH (2, 2) Volatility model: A new Algorithm. (2018). Cassim, Lucius.
    In: MPRA Paper.
    RePEc:pra:mprapa:86861.

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  310. On the Inflation-Uncertainty Hypothesis in The Gambia: A Multi-Sample View on Causality Linkages. (2018). Widodo, Tri ; Mendy, David.
    In: MPRA Paper.
    RePEc:pra:mprapa:86743.

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  311. Modelling asymmetric conditional heteroskedasticity in financial asset returns: an extension of Nelson’s EGARCH model. (2018). Cassim, Lucius.
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    RePEc:pra:mprapa:86615.

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  312. A semi-parametric GARCH (1, 1) estimator under serially dependent innovations. (2018). Cassim, Lucius.
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    RePEc:pra:mprapa:86572.

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  313. Can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management. (2018). Awartani, Basel ; Maghyereh, Aktham ; Hassan, Abul.
    In: Journal of Asset Management.
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  314. GARCH Family Models vs EWMA: Which is the Best Model to Forecast Volatility of the Moroccan Stock Exchange Market? || Modelos de la familia GARCH vs EWMA: ¿cuál es el mejor modelo para pronosticar l. (2018). Hassan, University ; Of, Faculty ; El Jebari, Ouael Author-Email: eljebari. ouael@gma, .
    In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration.
    RePEc:pab:rmcpee:v:26:y:2018:i:1:p:237-249.

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  315. Structural GARCH: The Volatility-Leverage Connection. (2018). Engle, Robert ; Siriwardane, Emil N.
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    RePEc:oup:rfinst:v:31:y:2018:i:2:p:449-492..

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  316. Dynamic Dependence and Diversification in Corporate Credit*. (2018). Langlois, Hugues ; Jin, Xisong ; Jacobs, Kris ; Christoffersen, Peter.
    In: Review of Finance.
    RePEc:oup:revfin:v:22:y:2018:i:2:p:521-560..

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  317. US Inflation and Inflation Uncertainty Over 200 Years. (2018). Fountas, Stilianos ; Bredin, Don.
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    RePEc:mcd:mcddps:2018_04.

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  318. Modeling the Liquidity Gap in a Private Bank. (2018). Abounoori, Esmaiel ; Erfani, Alireza ; Yazdi, Ali Sadeghzadeh.
    In: Journal of Money and Economy.
    RePEc:mbr:jmonec:v:13:y:2018:i:2:p:153-176.

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  319. The dynamic dependence between stock markets in the greater China economic area: a study based on extreme values and copulas. (2018). Li, Steven ; Hussain, Saiful Izzuan.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:32:y:2018:i:2:d:10.1007_s11408-018-0308-5.

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  320. A Hybrid Metaheuristic for the Efficient Solution of GARCH with Trend Models. (2018). Schutze, Oliver ; Hernandez-Del, Gerardo ; Perea, Benjamin ; Uribe, Lourdes.
    In: Computational Economics.
    RePEc:kap:compec:v:52:y:2018:i:1:d:10.1007_s10614-017-9666-8.

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  321. Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models. (2018). Fabozzi, Frank ; Rachev, Svetlozar T ; Bianchi, Michele Leonardo.
    In: Computational Economics.
    RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9599-7.

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  322. The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia. (2018). Benlagha, Noureddine ; Hemrit, Wael.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:25:y:2018:i:4:d:10.1007_s10690-018-9249-2.

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  323. Testing for misspecification in the short-run component of GARCH-type models. (2018). Flachaire, Emmanuel ; Chuffart, Thomas ; Peguin-Feissolle, Anne.
    In: Post-Print.
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  324. Dependence Structures and Systemic Risk of Government Securities Markets in Central and Eastern Europe: A CoVaR-Copula Approach. (2018). Yang, Lu ; Hamori, Shigeyuki ; Ma, Jason Z.
    In: Sustainability.
    RePEc:gam:jsusta:v:10:y:2018:i:2:p:324-:d:128911.

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  325. Testing for Seasonal Affective Disorder on Selected CEE and SEE Stock Markets. (2018). Škrinjarić, Tihana.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:4:p:140-:d:188230.

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  326. Forecasting Volatility: Evidence from the Saudi Stock Market. (2018). Kao, Robert ; al Rahahleh, Naseem.
    In: JRFM.
    RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:84-:d:186076.

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  327. Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study. (2018). Sun, Yiguo ; Wu, Ximing.
    In: JRFM.
    RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:29-:d:151386.

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  328. The Impact of Behavioral and Structural Remedies on Electricity Prices: The Case of the England and Wales Electricity Market. (2018). Tashpulatov, Sherzod.
    In: Energies.
    RePEc:gam:jeners:v:11:y:2018:i:12:p:3420-:d:188488.

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  329. Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). McAleer, Michael ; Asai, Manabu.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:104259.

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  330. Evidence of time-varying conditional discrete jump dynamics in sub-Saharan African foreign exchange markets. (2018). Kuttu, Saint ; Bokpin, Godfred A.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:46:y:2018:i:c:p:211-226.

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  331. Tail risk and the return-volatility relation. (2018). Chevallier, Julien ; Aboura, Sofiane.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:46:y:2018:i:c:p:16-29.

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  332. How does news impact on the stock prices of green firms in emerging markets?. (2018). Moore, Winston ; Glean, Adrian ; Robinson, Justin.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:45:y:2018:i:c:p:446-453.

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  333. Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange. (2018). Karaa, Rabaa ; Hmaied, Dorra Mezzez ; Slim, Skander.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:44:y:2018:i:c:p:88-99.

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  334. Modelling long memory in volatility in sub-Saharan African equity markets. (2018). Kuttu, Saint.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:44:y:2018:i:c:p:176-185.

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  335. Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets. (2018). Kutan, Ali M ; Zhao, Yang ; Wei, Mingzhe ; Shi, Yukun.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:57:y:2018:i:c:p:183-197.

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  336. The dependence structure between Chinese and other major stock markets using extreme values and copulas. (2018). Hussain, Saiful Izzuan ; Li, Steven.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:56:y:2018:i:c:p:421-437.

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  337. Volatility spillovers between foreign exchange and stock markets in industrialized countries. (2018). Sosvilla-Rivero, Simon ; Morales-Zumaquero, Amalia .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:70:y:2018:i:c:p:121-136.

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  338. Long-term stock market volatility and the influence of terrorist attacks in Europe. (2018). Gurdgiev, Constantin ; Corbet, Shaen ; Meegan, Andrew.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:68:y:2018:i:c:p:118-131.

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  339. Modeling returns volatility: Realized GARCH incorporating realized risk measure. (2018). Jiang, Wei ; Li, YE ; Ruan, Qingsong.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:500:y:2018:i:c:p:249-258.

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  340. The impact of institutional volatility on financial volatility in transition economies. (2018). Hartwell, Christopher.
    In: Journal of Comparative Economics.
    RePEc:eee:jcecon:v:46:y:2018:i:2:p:598-615.

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  341. Media censorship and stock price: Evidence from the foreign share discount in China. (2018). Ding, Rong ; Zhang, John Ziyang ; Liu, Yue ; Hou, Wenxuan.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:55:y:2018:i:c:p:112-133.

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  342. Volatility of stock market returns and the naira exchange rate. (2018). Uzonwanne, Godfrey ; Dogo, Mela ; Tule, Moses.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:35:y:2018:i:c:p:97-105.

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  343. Valuing executive stock options under correlated employment shocks. (2018). Wang, Xingchun.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:27:y:2018:i:c:p:38-45.

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  344. Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:59:y:2018:i:c:p:105-116.

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  345. On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach. (2018). Balcilar, Mehmet ; Toparli, Elif Akay ; Hammoudeh, Shawkat.
    In: Energy Economics.
    RePEc:eee:eneeco:v:74:y:2018:i:c:p:813-827.

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  346. Volatility in equity markets and monetary policy rate uncertainty. (2018). Roberts-Sklar, Matt ; Kaminska, Iryna .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:45:y:2018:i:c:p:68-83.

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  347. Risk management of time varying floors for dynamic portfolio insurance. (2018). Prigent, Jean-Luc ; Prigent, J.-L., ; ben Ameur, H.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:269:y:2018:i:1:p:363-381.

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  348. Does ethics improve stock market resilience in times of instability?. (2018). Erragragui, Elias ; Faisal, Abu Nahian ; Peillex, Jonathan ; Hassan, Kabir M.
    In: Economic Systems.
    RePEc:eee:ecosys:v:42:y:2018:i:3:p:450-469.

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  349. Exchange rate volatility and Indias cross-border trade: A pooled mean group and nonlinear cointegration approach. (2018). Sharma, Chandan ; Pal, Debdatta.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:74:y:2018:i:c:p:230-246.

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  350. Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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  351. News and expected returns in East Asian equity markets: The RV-GARCHM model. (2018). Yao, Wenying ; Tang, Chrismin ; Martin, Vance L.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:57:y:2018:i:c:p:36-52.

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  352. The Impact of Oil Price Volatility to Oil and Gas Company Stock Returns and Emerging Economies. (2018). Ulusoy, Veysel ; Ozdurak, Caner .
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2018-01-18.

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  353. Semiparametric efficient adaptive estimation of the GJR-GARCH model. (2018). Nicola, Ciccarelli.
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:35:y:2018:i:3-4:p:141-160:n:3.

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  354. Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets. (2018). Ghulam, Abbas ; Shouyang, Wang ; Bhowmik, Roni.
    In: Journal of Systems Science and Information.
    RePEc:bpj:jossai:v:6:y:2018:i:2:p:97-119:n:1.

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  355. Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese.
    In: Papers.
    RePEc:arx:papers:1808.09666.

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  356. Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles.
    In: Papers.
    RePEc:arx:papers:1804.07978.

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  357. Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann.
    In: Papers.
    RePEc:arx:papers:1603.05700.

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  358. Determinants of land value volatility in the Corn Belt. (2018). Sant'Anna, Ana Claudia ; Katchova, Ani.
    In: 2018 Annual Meeting, August 5-7, Washington, D.C..
    RePEc:ags:aaea18:274115.

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  359. Volatility of Regional Sharia Compliance Returns and US News Impact. (2018). Ghafoor, Muhammad Mudasar ; Imdad, Rana Shahid ; Hamid, Kashif.
    In: Global Regional Review.
    RePEc:aaw:grrjrn:v:3:y:2018:i:1:p:294-307.

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  361. Time varying and asymmetric effect between sovereign credit market and financial market: The asymmetric DCC model. (2017). Zardoub, Amna ; el Abed, Riadh.
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:201797.

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  362. Improving Value-at-Risk Estimation from the Normal EGARCH Model. (2017). Sajjad, Rasoul ; Gorji, Mahsa.
    In: Contemporary Economics.
    RePEc:wyz:journl:id:492.

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  363. A behavioural explanation to the asymmetric volatility phenomenon: Evidence from market volatility index. (2017). Barai, Parama ; Rajib, Prabina ; Pati, Pratap Chandra.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:35:y:2017:i:1:p:66-81.

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  364. A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models. (2017). Blasques, Francisco ; Nientker, Marc.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20170072.

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  365. The shape of small sample biases in pricing kernel estimations. (2017). , Dietmar.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:6:p:943-958.

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  366. Does behavioural theory explain return-implied volatility relationship? Evidence from India. (2017). Chakrabarti, Prasenjit ; McMillan, David ; Kumar, Kiran K.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1355521.

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  367. Investigating the sources of Black’s leverage effect in oil and gas stocks. (2017). Sanusi, Muhammad Surajo ; McMillan, David.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1318812.

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  368. Specification and testing of multiplicative time-varying GARCH models with applications. (2017). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:36:y:2017:i:4:p:421-446.

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  369. Volatility spillover and multivariate volatility impulse response analysis of GFC news events. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: Applied Economics.
    RePEc:taf:applec:v:49:y:2017:i:33:p:3246-3262.

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  370. Foreign Exchange News Announcements and the Volatility of Stock Returns in Nigeria. (2017). Omokehinde, Joshua Odutola ; Migiro, Stephen Oseko ; Abata, Matthew Adeolu.
    In: SPOUDAI Journal of Economics and Business.
    RePEc:spd:journl:v:67:y:2017:i:3:p:3-17.

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  371. Modelling Crypto-Currencies Financial Time-Series. (2017). Grassi, Stefano ; Catania, Leopoldo.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:417.

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  372. Asymmetric Information and Volatility of Stock Returns in Nigeria. (2017). Somoye, Christopher ; Migiro, Stephen Oseko ; Russell, Olukayode ; Abata, Matthew Adeolu ; Omokehinde, Joshua Odutola.
    In: Journal of Economics and Behavioral Studies.
    RePEc:rnd:arjebs:v:9:y:2017:i:3:p:220-231.

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  373. Real-Time GARCH. (2017). Smetanina, Ekaterina .
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:15:y:2017:i:4:p:561-601..

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  374. Non-parameteric news impact curve: a variational approach. (2017). Goulet, Clement ; Garcin, Matthieu.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:15086rr.

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  375. Feedback Trading and Autocorrelation Patterns in Sub-Saharan African Equity Markets. (2017). Kuttu, Saint ; Bokpin, Godfred A.
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:53:y:2017:i:1:p:213-225.

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  376. Monetary policy independence reconsidered: evidence from six non-euro members of the European Union. (2017). Gabrisch, Hubert.
    In: Empirica.
    RePEc:kap:empiri:v:44:y:2017:i:3:d:10.1007_s10663-016-9337-3.

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  377. Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets. (2017). Su, EnDer.
    In: Computational Economics.
    RePEc:kap:compec:v:50:y:2017:i:2:d:10.1007_s10614-016-9587-y.

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  378. VIX Forecast Under Different Volatility Specifications. (2017). Wong, Hoi Ying ; Wang, Ying.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:24:y:2017:i:2:d:10.1007_s10690-017-9227-0.

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  379. Can Retail Sales Volatility be Curbed Through Marketing Actions?. (2017). Yildirim, Gokhan ; Vidal-Sanz, Jose M ; Esteban-Bravo, Mercedes.
    In: Marketing Science.
    RePEc:inm:ormksc:v:36:y:2017:i:2:p:232-253.

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  380. Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00973922.

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  381. GARCH Modelling of Cryptocurrencies. (2017). Nadarajah, Saralees ; Chan, Stephen ; Chu, Jeffrey ; Osterrieder, Joerg.
    In: JRFM.
    RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:17-:d:113895.

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  382. Análise do efeito tamanho na Bovespa. (2017). del Mar, Maria ; Gonalves, Luis Miguel ; Miralles-Quiros, Jose Luis.
    In: RAE - Revista de Administração de Empresas.
    RePEc:fgv:eaerae:v:57:y:2017:i:4:a:71356.

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  383. Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives. (2017). VISVIKIS, ILIAS ; Alexandridis, G ; Sahoo, S.
    In: Transportation Research Part E: Logistics and Transportation Review.
    RePEc:eee:transe:v:98:y:2017:i:c:p:82-104.

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  384. EU unification and linkages among the European currencies: new evidence from the EU and the EEA. (2017). Stoupos, Nikolaos ; Kiohos, Apostolos.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:41:y:2017:i:c:p:28-36.

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  385. Investigating the leverage effect in commodity markets with a recursive estimation approach. (2017). Ielpo, Florian ; Chevallier, Julien.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pb:p:763-778.

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  386. A behavioural explanation to the asymmetric volatility phenomenon: Evidence from market volatility index. (2017). Pati, Pratap Chandra ; Barai, Parama ; Rajib, Prabina.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:35:y:2017:i:c:p:66-81.

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  387. Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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  388. Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks. (2017). Sun, Lingxia ; Kim, Myeonghyeon.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:48:y:2017:i:c:p:309-325.

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  389. Time varying international financial integration for GCC stock markets. (2017). Mishra, Anil ; Alotaibi, Abdullah R.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:63:y:2017:i:c:p:66-78.

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  390. The dynamic conditional relationship between stock market returns and implied volatility. (2017). Park, Sung Y. ; Song, Jeongseok ; Ryu, Doojin.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:482:y:2017:i:c:p:638-648.

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  391. Rational GARCH model: An empirical test for stock returns. (2017). Takaishi, Tetsuya.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:473:y:2017:i:c:p:451-460.

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  392. U.S. SPACs with a focus on China. (2017). Vulanovic, Milos ; Shachmurove, Yochanan.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:39:y:2017:i:c:p:1-18.

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  393. Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Füss, Roland ; Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FÜSS, .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

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  394. Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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  395. Does more complex language in FOMC decisions impact financial markets?. (2017). Smales, Lee ; Apergis, Nicholas.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:51:y:2017:i:c:p:171-189.

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  396. Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

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  397. Time-varying conditional discrete jumps in emerging African equity markets. (2017). Kuttu, Saint.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:32:y:2017:i:c:p:35-54.

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  398. Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model. (2017). Elyasiani, Elyas ; Mansur, Iqbal.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:28:y:2017:i:c:p:49-65.

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  399. Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries. (2017). Tziogkidis, Panagiotis ; Awartani, Basel ; Maghyereh, Aktham I.
    In: Energy Economics.
    RePEc:eee:eneeco:v:68:y:2017:i:c:p:440-453.

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  400. How do daily changes in oil prices affect US monthly industrial output?. (2017). Valadkhani, Abbas ; Smyth, Russell.
    In: Energy Economics.
    RePEc:eee:eneeco:v:67:y:2017:i:c:p:83-90.

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  401. Forecasting the VaR of crude oil market: Do alternative distributions help?. (2017). Lyu, Yongjian ; Ke, Rui ; Wei, YU ; Wang, Peng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:66:y:2017:i:c:p:523-534.

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  402. Modelling asymmetric volatility in oil prices under structural breaks. (2017). Ewing, Bradley T ; Malik, Farooq .
    In: Energy Economics.
    RePEc:eee:eneeco:v:63:y:2017:i:c:p:227-233.

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  403. Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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  404. Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

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  405. Can asymmetric conditional volatility imply asymmetric tail dependence?. (2017). Kim, Jong-Min ; Jung, Hojin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:64:y:2017:i:c:p:409-418.

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  406. Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. (2017). Leung, Henry ; Schroeder, Florian ; Schiereck, Dirk.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:61:y:2017:i:c:p:169-180.

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  407. The relationship between Output Uncertainty and Economic Growth-Evidence from India. (2017). Ramachandran, M ; Durai, Raja Sethu ; Sethudurai, Raja ; Bathmanaban, Balaji.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-16-00543.

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  408. US stocks in the presence of oil price risk: Large cap vs. Small cap. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond.
    In: Working Papers.
    RePEc:cui:wpaper:0037.

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  409. Modeling the spillovers between stock market and money market in Nigeria. (2017). Salisu, Afees ; Isah, Kazeem.
    In: Working Papers.
    RePEc:cui:wpaper:0023.

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  410. The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation. (2017). Lalancette, Simon ; Simonato, Jeana Guy.
    In: European Financial Management.
    RePEc:bla:eufman:v:23:y:2017:i:2:p:325-354.

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  411. Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach. (2017). Gupta, Rakesh ; Jithendranathan, Thadavillil ; Yang, Junhao .
    In: Australian Economic Papers.
    RePEc:bla:ausecp:v:56:y:2017:i:2:p:134-162.

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  412. Using a functional approach to test trending volatility in the price of Mexican and international agricultural products. (2017). Guerrero, Santiago ; Torres, Miriam Jureza ; dela Valle, Gerardo Hernndeza.
    In: Agricultural Economics.
    RePEc:bla:agecon:v:48:y:2017:i:1:p:3-13.

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  413. Semiparametric GARCH via Bayesian model averaging. (2017). Gerlach, Richard H ; Ye, Wilson .
    In: Papers.
    RePEc:arx:papers:1708.07587.

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  414. U.S. MONETARY POLICY, COMMODITY PRICES AND THE FINANCIALIZATION HYPOTHESIS. (2017). HENNANI, Rachida ; Fam, Papa Gueye ; Huchet, Nicolas.
    In: Review of Economic and Business Studies.
    RePEc:aic:revebs:y:2017:j:20:famp.

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  415. SYSTEMATIC RISK FACTORS AND STOCK RETURN VOLATILITY. (2017). Ali, Syed Kamran ; Ahmed, Ishtiaq ; Hashmi, Shujahat Haider.
    In: APSTRACT: Applied Studies in Agribusiness and Commerce.
    RePEc:ags:apstra:265587.

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  416. The Information Content of ASX SPI 200 Implied Volatility. (2016). Tanha, Hassan ; Dempsey, Michael.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
    RePEc:wsi:rpbfmp:v:19:y:2016:i:01:n:s0219091516500028.

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  417. Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance. (2016). Füss, Roland ; Adams, Zeno ; Fuess, Roland.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2016:13.

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  418. On Chinese stock markets: How have they evolved along time?. (2016). Berlanga, Sebastian Cano ; Gimenez, Jose M.
    In: Working Papers.
    RePEc:urv:wpaper:2072/267085.

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  419. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1616.

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  420. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160084.

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  421. A nesting framework for Markov-switching GARCH modelling with an application to the German stock market. (2016). Wilfling, Bernd ; Reher, Gerrit .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:16:y:2016:i:3:p:411-426.

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  422. Conditional higher order moments in metal asset returns. (2016). Cochran, Steven J ; Odusami, Babatunde ; Mansur, Iqbal.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:16:y:2016:i:1:p:151-167.

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  423. Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies. (2016). Dedi, Lidija ; McMillan, David ; Yavas, Burhan F.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:4:y:2016:i:1:p:1266788.

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  424. Does the fear gauge predict downside risk more accurately than econometric models? Evidence from the US stock market. (2016). Tsuji, Chikashi ; McMillan, David.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:4:y:2016:i:1:p:1220711.

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  425. Day-of-the-week effect on the Tunisian stock market return and volatility. (2016). Derbali, Abdelkader ; McMillan, David ; Hallara, Slaheddine.
    In: Cogent Business & Management.
    RePEc:taf:oabmxx:v:3:y:2016:i:1:p:1147111.

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  426. Exponential GARCH Modeling With Realized Measures of Volatility. (2016). Huang, Zhuo ; Hansen, Peter.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:34:y:2016:i:2:p:269-287.

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  427. The dynamic interrelation between external finance and bank credit. (2016). Dia, Enzo ; Casalin, Fabrizio.
    In: Applied Economics.
    RePEc:taf:applec:v:48:y:2016:i:3:p:243-259.

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  428. Asymmetry with respect to the memory in stock market volatilities. (2016). Lonnbark, Carl .
    In: Empirical Economics.
    RePEc:spr:empeco:v:50:y:2016:i:4:d:10.1007_s00181-015-0975-2.

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  429. Comparison of Value-at-Risk models using the MCS approach. (2016). Catania, Leopoldo ; Bernardi, Mauro.
    In: Computational Statistics.
    RePEc:spr:compst:v:31:y:2016:i:2:d:10.1007_s00180-016-0646-6.

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  430. Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models. (2016). Zeitlberger, Alexander ; Brauneis, Alexander.
    In: Central European Journal of Operations Research.
    RePEc:spr:cejnor:v:24:y:2016:i:1:p:149-176.

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  431. Investigating Impact of Volatility Persistence and Information Inflow on Volatility of Stock Indices Using Bivarite GJR-GARCH. (2016). Sinha, Pankaj.
    In: Global Business Review.
    RePEc:sae:globus:v:17:y:2016:i:5:p:1145-1161.

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  432. Transmission of News in Eurozone Bank Holdings and European Bank Markets in the Light of the Greek Debt Crisis. (2016). .
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:15:y:2016:i:1:p:1-48.

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  433. Does U.S. Macroeconomic News Make the South African Stock Market Riskier?. (2016). GUPTA, RANGAN ; Cakan, Esin.
    In: Working Papers.
    RePEc:pre:wpaper:201646.

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  434. Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test. (2016). GUPTA, RANGAN ; Cakan, Esin ; Balcilar, Mehmet.
    In: Working Papers.
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  435. Nonparametric Dynamic Conditional Beta. (2016). Shamsi, Azam ; Maheu, John.
    In: MPRA Paper.
    RePEc:pra:mprapa:73764.

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  436. Particularitǎţi ale evoluţiei variabilelor financiare. (2016). Stefanescu, Razvan ; Dumitriu, Ramona.
    In: MPRA Paper.
    RePEc:pra:mprapa:73481.

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  437. Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices. (2016). Ghassan, Hassan ; Alhajhoj, Hassan R.
    In: MPRA Paper.
    RePEc:pra:mprapa:69962.

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  438. Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y c. (2016). Rodríguez, Gabriel.
    In: Documentos de Trabajo / Working Papers.
    RePEc:pcp:pucwps:wp00416.

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  439. An Empirical Application of a Random Level Shifts Model with Time-Varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns [Una aplicación empírica de un mod. (2016). Rodríguez, Gabriel ; Gonzales, Jose Carlos .
    In: Documentos de Trabajo / Working Papers.
    RePEc:pcp:pucwps:wp00415.

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  440. Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Market [Asimetrías en volatilidad: Un estudio empírico para los mercados bursátil y cambiario del Perú]. (2016). Rodríguez, Gabriel ; Alanya, Willy .
    In: Documentos de Trabajo / Working Papers.
    RePEc:pcp:pucwps:wp00413.

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  441. THE INFLUENCE OF MACROECONOMIC ANNOUNCEMENTS INTO VIETNAMESE STOCK MARKET VOLATILITY. (2016). Mai, Nhat Chi.
    In: OSF Preprints.
    RePEc:osf:osfxxx:ydmhx.

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  442. Non-parameteric news impact curve: a variational approach. (2016). Garcin, Matthieu ; Goulet, Clement .
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:15086r.

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  443. Networks of volatility spillovers among stock markets. (2016). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:941.

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  444. Environmentally Responsible and Conventional Market Indices’ Reaction to Natural and Anthropogenic Adversity: A Comparative Analysis. (2016). Papadamou, Stephanos ; Kollias, Christos.
    In: Journal of Business Ethics.
    RePEc:kap:jbuset:v:138:y:2016:i:3:d:10.1007_s10551-015-2608-2.

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  445. Examining Volatility Persistence and News Asymmetry in Soybeans Futures Returns. (2016). Musunuru, Naveen .
    In: Atlantic Economic Journal.
    RePEc:kap:atlecj:v:44:y:2016:i:4:d:10.1007_s11293-016-9517-3.

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  446. Financial stability of islamic banks in the MENA countries during financial crisis and political uncertainty: an empirical investigation. (2016). Ghenimi, Ameni ; Omri, Mohamed Ali ; Oweis, Khaled.
    In: Journal of Academic Finance.
    RePEc:jaf:journl:v:7:y:2016:i:1:n:35.

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  447. Financial stability of islamic banks in the MENA countries during financial crisis and political uncertainty: an empirical investigation. (2016). Omri, Mohamed Ali ; Oweis, Khaled ; Ghenimi, Ameni.
    In: Journal of Academic Finance.
    RePEc:jaf:journl:v:7:y:2016:i:1:n:31.

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  448. Volatility spillovers between exchange rates and Indian stock markets in the post-recession period: an APARCH approach. (2016). Bagchi, Bhaskar .
    In: International Journal of Monetary Economics and Finance.
    RePEc:ids:ijmefi:v:9:y:2016:i:3:p:225-244.

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  449. A first econometric analysis of the CRIX family. (2016). Härdle, Wolfgang ; Ong, Bobby ; Lee, TM ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2016-031.

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  450. THE IMPACT OF A CENTRAL BANK’S VERBAL INTERVENTIONS ON STOCK EXCHANGE INDICES IN A RESOURCE BASED ECONOMY: THE EVIDENCE FROM RUSSIA. (2016). Kuznetsova, Olga ; Ulyanova, Sofiya R.
    In: HSE Working papers.
    RePEc:hig:wpaper:155/ec/2016.

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  451. Day of the week effect on the Tunisian stock market return and volatility. (2016). Derbali, Abdelkader ; Hallara, Slaheddine.
    In: Post-Print.
    RePEc:hal:journl:hal-01696003.

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  452. Volatility Spillovers Across User-Generated Content and Stock Market Performance. (2016). Franses, Philip Hans ; van Dieijen, M ; Tellis, G J ; Borah, A.
    In: ERIM Report Series Research in Management.
    RePEc:ems:eureri:93366.

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  453. Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events. (2016). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, A K.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:98037.

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  454. Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries. (2016). Chkili, Walid.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:38:y:2016:i:c:p:22-34.

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  455. Global financial crisis and emerging stock market contagion: A volatility impulse response function approach. (2016). Jin, Xiaoye ; An, Ximeng .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:36:y:2016:i:c:p:179-195.

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  456. Systematic risk and volatility skew. (2016). Yu, Min-Teh ; Wang, Chou-Wen.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:43:y:2016:i:c:p:72-87.

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  457. Forecasting Tehran stock exchange volatility; Markov switching GARCH approach. (2016). Nademi, Younes ; Abounoori, Esmaiel ; Elmi, Zahra.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:445:y:2016:i:c:p:264-282.

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  458. Aggregate volatility risk and the cross-section of stock returns: Australian evidence. (2016). Mai, Van Anh ; Fang, Victor ; Chewie, Tze Chuan .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:36:y:2016:i:c:p:134-149.

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  459. Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis. (2016). YAYA, OLAOLUWA ; Udomboso, Christopher G ; Tumala, Mohammed M.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:49:y:2016:i:c:p:273-281.

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  460. Model identification using the Efficient Determination Criterion. (2016). Alves, Paulo Angelo ; Yu, Chang Chung .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:150:y:2016:i:c:p:229-244.

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  461. Common trends in global volatility. (2016). Hurn, Stan ; Clements, Adam ; Volkov, V V.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:67:y:2016:i:c:p:194-214.

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  462. Momentum crashes. (2016). Daniel, Kent ; Moskowitz, Tobias J.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:122:y:2016:i:2:p:221-247.

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  463. The volatility of a firms assets and the leverage effect. (2016). Choi, Jae Won ; Richardson, Matthew.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:121:y:2016:i:2:p:254-277.

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  464. Shari’ah screening, market risk and contagion: A multi-country analysis. (2016). Masih, Abul ; EL Alaoui, AbdelKader ; Bacha, Obiyathulla ; Asutay, Mehmet.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:132:y:2016:i:s:p:93-112.

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  465. Institutional herding and risk–return relationship. (2016). Huang, Teng-Ching ; Lin, Bing-Huei ; Wu, Ching-Chih.
    In: Journal of Business Research.
    RePEc:eee:jbrese:v:69:y:2016:i:6:p:2073-2080.

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  466. When does the stock market listen to economic news? New evidence from copulas and news wires. (2016). Medovikov, Ivan .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:65:y:2016:i:c:p:27-40.

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  467. Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange. (2016). BABALOS, VASSILIOS ; Koulakiotis, Athanasios ; Papasyriopoulos, Nicholas .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:40:y:2016:i:c:p:46-62.

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  468. Taming the Basel leverage cycle. (2016). Farmer, J. ; Aymanns, Christoph ; Vincent, ; Caccioli, Fabio.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:27:y:2016:i:c:p:263-277.

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  469. Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models. (2016). Ardia, David ; Trottier, Denis-Alexandre.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:18:y:2016:i:c:p:311-316.

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  470. Turn-of-the-month effect: New evidence from an emerging stock market. (2016). Kayacetin, Volkan ; Lekpek, Senad.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:18:y:2016:i:c:p:142-157.

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  471. Does investor sentiment really matter?. (2016). Koutmos, Dimitrios ; Deesomsak, Rataporn ; Chau, Frankie .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:48:y:2016:i:c:p:221-232.

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  472. Influences from the European Parliament on EU emissions prices. (2016). Deeney, Peter ; Smeaton, Alan F ; Dowling, Michael ; Cummins, Mark.
    In: Energy Policy.
    RePEc:eee:enepol:v:88:y:2016:i:c:p:561-572.

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  473. Oil price volatility forecast with mixture memory GARCH. (2016). Walther, Thomas ; Klein, Tony.
    In: Energy Economics.
    RePEc:eee:eneeco:v:58:y:2016:i:c:p:46-58.

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  474. Commodity price volatility under regulatory changes and disaster. (2016). Marvasti, Akbar ; Lamberte, Antonio .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:38:y:2016:i:pa:p:355-361.

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  475. Effects of financial turmoil on financial integration and risk premia in emerging markets. (2016). COUHARDE, Cécile ; Boubakri, Salem ; Raymond, Helene.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:38:y:2016:i:pa:p:120-138.

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  476. Public news arrival and the idiosyncratic volatility puzzle. (2016). Shi, Yanlin ; Ho, Kin-Yip ; Liu, Wai-Man.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:37:y:2016:i:c:p:159-172.

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  477. The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility. (2016). Byun, Sung Je ; Je, Sung.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:36:y:2016:i:c:p:162-180.

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  478. Measuring volatility persistence for conventional and Islamic banks: An FI-EGARCH approach. (2016). JAWADI, Fredj ; Selmi, Nadhem ; Hachicha, Nejib ; Fakhfekh, Mohamed ; Cheffou, Abdoulkarim Idi.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:27:y:2016:i:c:p:84-99.

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  479. A nonparametric test of a strong leverage hypothesis. (2016). Whang, Yoon-Jae ; LINTON, OLIVER ; Yen, Yu-Min .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:1:p:153-186.

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  480. Volatility risk premium implications of GARCH option pricing models. (2016). Papantonis, Ioannis .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:58:y:2016:i:c:p:104-115.

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  481. A high-frequency analysis of the interactions between REIT return and volatility. (2016). Zhou, Jian.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:56:y:2016:i:c:p:102-108.

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  482. Further application of Narayan and Liu (2015) unit root model for trending time series. (2016). Salisu, Afees ; ADELEKE, Adegoke.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:55:y:2016:i:c:p:305-314.

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  483. Jumps in equilibrium prices and asymmetric news in foreign exchange markets. (2016). Uctum, Remzi ; El Ouadghiri, Imane.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:54:y:2016:i:c:p:218-234.

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  484. Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach. (2016). Hou, Yang ; Li, Steven.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:52:y:2016:i:pb:p:884-897.

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  485. Matrix exponential stochastic volatility with cross leverage. (2016). Omori, Yasuhiro ; Asai, Manabu ; Ishihara, Tsunehiro .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:100:y:2016:i:c:p:331-350.

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  486. Forecasting volatility of wind power production. (2016). Shen, Zhiwei ; Ritter, Matthias.
    In: Applied Energy.
    RePEc:eee:appene:v:176:y:2016:i:c:p:295-308.

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  487. Long run dynamic volatilities between OPEC and non-OPEC crude oil prices. (2016). Ghassan, Hassan ; Alhajhoj, Hassan Rafdan .
    In: Applied Energy.
    RePEc:eee:appene:v:169:y:2016:i:c:p:384-394.

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  488. Trend and fractality assessment of Mexico’s stock exchange. (2016). Morales, Javier ; Almaguer, F-Javier ; F-Javier Almaguer, ; Lopez, Luis E ; Cordero, Alvaro E ; Camacho-Vallejo, Jose-Fernando ; Tercero, Victor.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:285:y:2016:i:c:p:103-113.

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  489. The Impact of Gold, Bond, Currency, Metals and Oil Markets on the USA Stock Market. (2016). Partalidou, Xanthi ; Sariannidis, Nikolaos ; Giannarakis, Grigoris ; Kiohos, Apostolos.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2016-01-11.

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  490. Impact of the NYSE Shocks on the European Developed Capital Markets. (2016). Stefanescu, Razvan ; Dumitriu, Ramona.
    In: Risk in Contemporary Economy.
    RePEc:ddj:fserec:y:2016:p:327-334.

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  491. Monetary policy and volatility in the sterling money market. (2016). Osborne, Matthew.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0588.

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  492. THE IMPACT OF EXCHANGE RATES AND INTEREST RATES ON BANK STOCK RETURNS: EVIDENCE FROM U.S. BANKS. (2016). Verma, Priti .
    In: Studies in Business and Economics.
    RePEc:blg:journl:v:11:y:2016:i:1:p:124-139.

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  493. A Functional Approach to Test Trending Volatility. (2016). Juarez, Miriam ; del Valle, Hernandez ; Santiago, Guerrero ; Miriam, Juarez-Torres .
    In: Working Papers.
    RePEc:bdm:wpaper:2016-04.

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  494. The US Monetary Base and Major World Equity Markets: An Empirical Investigation. (2016). Adrangi, Bahram ; Raffiee, Kambiz ; Macri, Joseph ; Chatrath, Arjun .
    In: Review of Economics & Finance.
    RePEc:bap:journl:160304.

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  495. The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa .
    In: Papers.
    RePEc:arx:papers:1609.05177.

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  496. Value-at-Risk: The Effect of Autoregression in a Quantile Process. (2016). Qureshi, Khizar .
    In: Papers.
    RePEc:arx:papers:1605.04940.

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  497. Inverted-U relationship between innovation and survival: Evidence from firm-level UK data. (2015). Ugur, Mehmet ; Guidi, Francesco ; Trushin, Eshref ; Solomon, Edna .
    In: EconStor Preprints.
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  498. A Study on the Asymmetry of the News Aspect of the Stock Market: Evidence from Three Institutional Investors in the Taiwan Stock Market. (2015). Yang, Tzu-Yi .
    In: Panoeconomicus.
    RePEc:voj:journl:v:62:y:2015:i:3:p:361-383.

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  499. Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market. (2015). Sohn, Pando ; Seo, Ji-Yong.
    In: Estudios de Economia.
    RePEc:udc:esteco:v:42:y:2015:i:1:p:21-51.

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  500. Multivariate Volatility Impulse Response Analysis of GFC News Events. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1510.

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  501. Multivariate Volatility Impulse Response Analysis of GFC News Events. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150089.

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  502. News, volatility and jumps: the case of natural gas futures. (2015). Borovkova, Svetlana ; Mahakena, Diego .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:7:p:1217-1242.

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  503. How news affects the trading behaviour of different categories of investors in a financial market. (2015). Mantegna, Rosario ; Lillo, Fabrizio ; Piilo, Jyrki ; Tumminello, Michele ; Micciche, Salvatore .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:2:p:213-229.

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  504. Co-movement of the Chinese and U.S. aggregate stock returns. (2015). Wang, Qian ; Choi, .
    In: Applied Economics.
    RePEc:taf:applec:v:47:y:2015:i:50:p:5337-5353.

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  505. Stock Market Volatility and Equity Trading Volume: Empirical Examination from Brazil, Russia, India and China (BRIC). (2015). Naik, Pramod.
    In: Global Business Review.
    RePEc:sae:globus:v:16:y:2015:i:5_suppl:p:28s-45s.

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  506. Bootstrap for Value at Risk Prediction. (2015). Rjiba, Meriem ; Mhalla, Hedi ; Tsagris, Michail.
    In: International Journal of Empirical Finance.
    RePEc:rss:jnljef:v4i6p4.

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  507. Do call auctions curtail price volatility? Evidence from the National Stock Exchange of India. (2015). Camilleri, Silvio John.
    In: MPRA Paper.
    RePEc:pra:mprapa:95301.

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  508. Time Varying Volatility Modeling of Pakistani and leading foreign stock markets. (2015). Ghouse, Ghulam ; Arshad, Muhammad ; Khan, Saud Ahmed.
    In: MPRA Paper.
    RePEc:pra:mprapa:70117.

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  509. Time Varying Volatility Modeling of Pakistani and leading foreign stock markets. (2015). Ghouse, Ghulam ; Arshad, Muhammad ; Khan, Saud Ahmed.
    In: MPRA Paper.
    RePEc:pra:mprapa:70080.

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  510. Bootstrap for Value at Risk Prediction. (2015). Tsagris, Michail ; Rjiba, Meriem Meriem ; Mhalla, Hedi .
    In: MPRA Paper.
    RePEc:pra:mprapa:68842.

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  511. Inverted-U relationship between innovation and survival: Evidence from firm-level UK data. (2015). Ugur, Mehmet ; Solomon, Edna ; Trushin, Eshref.
    In: MPRA Paper.
    RePEc:pra:mprapa:68010.

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  512. Asymmetric volatility of the Thai stock market: evidence from high-frequency data. (2015). Sethapramote, Yuthana ; Jiranyakul, Komain ; Thakolsri, Supachok .
    In: MPRA Paper.
    RePEc:pra:mprapa:67181.

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  513. The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension. (2015). Camilleri, Silvio.
    In: MPRA Paper.
    RePEc:pra:mprapa:63240.

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  514. A good news or bad news has greater impact on the Vietnamese stock market?. (2015). Nguyen Van, Phuong.
    In: MPRA Paper.
    RePEc:pra:mprapa:61194.

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  515. FloGARCH : Realizing long memory and asymmetries in returns volatility. (2015). Vander Elst, Harry.
    In: Working Paper Research.
    RePEc:nbb:reswpp:201504-280.

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  516. Measuring Risk in Fixed Income Portfolios using Yield Curve Models. (2015). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo .
    In: Computational Economics.
    RePEc:kap:compec:v:46:y:2015:i:1:p:65-82.

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  517. The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension. (2015). Camilleri, Silvio.
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:6:y:2015:i:2:p:44-53.

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  518. Return and volatility spillover among the PIIGS economies and India. (2015). Kumar, Dilip ; Maheswaran, Srinivasan .
    In: American Journal of Finance and Accounting.
    RePEc:ids:amerfa:v:4:y:2015:i:1:p:28-49.

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  519. Factorisable Sparse Tail Event Curves. (2015). Härdle, Wolfgang ; Chao, Shih-Kang ; Yuan, Ming ; Hardle, Wolfgang K.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2015-034.

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  520. European Natural Gas Seasonal Effects on Futures Hedging. (2015). Torro, Hipolit ; Martinez, Beatriz.
    In: Working Papers.
    RePEc:fem:femwpa:2015.10.

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  521. The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis. (2015). Drachal, Krzysztof.
    In: Expert Journal of Economics.
    RePEc:exp:econcs:v:3:y:2015:i:2:p:136-142.

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  522. Evaluation Approaches of Value at Risk for Tehran Stock Exchange. (2015). Mohammadi, Shapour ; Mehrara, Mohsen ; Adabi, Bagher.
    In: Iranian Economic Review.
    RePEc:eut:journl:v:19:y:2015:i:1:p:41.

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  523. Multivariate Volatility Impulse Response Analysis of GFC News Events. (2015). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, A K.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:78711.

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  524. Taming the Basel leverage cycle. (2015). Farmer, J. ; Aymanns, Christoph ; Vincent, ; Caccioli, Fabio.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:65089.

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  525. Taming the Basel leverage cycle. (2015). Tan, Vincent ; Farmer, J ; Caccioli, Fabio ; Aymanns, Christoph.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:118989.

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  526. Do DOW returns really influence the intraday Spanish stock market behavior?. (2015). Miralles Quirós, Jose ; Miralles-Quiros, Jose Luis ; Daza-Izquierdo, Julio.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:33:y:2015:i:c:p:99-126.

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  527. Model-free volatility indexes in the financial literature: A review. (2015). Gonzalez-Perez, Maria T.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:40:y:2015:i:c:p:141-159.

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  528. The extreme-value dependence between the crude oil price and Chinese stock markets. (2015). Chen, Qian ; Lv, Xin ; Xin Lv, .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:121-132.

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  529. Asymmetry in return and volatility spillover between Chinas interbank and exchange T-bond markets. (2015). Jin, Xiaoye.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:37:y:2015:i:c:p:340-353.

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  530. Granger causality stock market networks: Temporal proximity and preferential attachment. (2015). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:427:y:2015:i:c:p:262-276.

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  531. Asymmetric risk and return: Evidence from the Australian Stock Exchange. (2015). Cohen, Michael ; Boulter, Terry ; Vo, Minh .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:35:y:2015:i:pb:p:558-573.

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  532. Price discovery and regime shift behavior in the relationship between sharia stocks and sukuk: A two-state Markov switching analysis. (2015). Aloui, Chaker ; ben Hamida, Hela ; Hammoudeh, Shawkat.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:34:y:2015:i:c:p:121-135.

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  533. Forecasting copper futures volatility under model uncertainty. (2015). Li, Yong.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:46:y:2015:i:p2:p:167-176.

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  534. Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH. (2015). Dark, Jonathan .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s269-s285.

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  535. Modeling interest rate volatility: A Realized GARCH approach. (2015). Hamori, Shigeyuki ; Tian, Shuairu .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:c:p:158-171.

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  536. Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse. (2015). Dionne, Georges ; Zhou, Xiaozhou ; Pacurar, Maria .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:59:y:2015:i:c:p:202-219.

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  537. Trading breaks and asymmetric information: The option markets. (2015). Kaplanski, Guy ; Levy, Haim.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:58:y:2015:i:c:p:390-404.

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  538. Mixture pair-copula-constructions. (2015). Scheffer, Marcus ; Weiß, Gregor N. F., .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:54:y:2015:i:c:p:175-191.

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  539. Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates. (2015). Siburg, Karl Friedrich ; Weiß, Gregor N. F., ; Stoimenov, Pavel .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:54:y:2015:i:c:p:129-140.

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  540. Option pricing with asymmetric heteroskedastic normal mixture models. (2015). Stentoft, Lars.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:3:p:635-650.

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  541. Arbitrage opportunities and feedback trading in emissions and energy markets. (2015). Chau, Frankie ; Shi, Yukun ; Kuo, Jing-Ming .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:36:y:2015:i:c:p:130-147.

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  542. Business cycle variation in positive feedback trading: Evidence from the G-7 economies. (2015). Deesomsak, Rataporn ; Chau, Frankie .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:35:y:2015:i:c:p:147-159.

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  543. The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China. (2015). Wu, Eliza ; Kim, Suk-Joong ; Salem, Leith .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:18:y:2015:i:c:p:208-224.

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  544. Stochastic volatility and leverage: Application to a panel of S&P500 stocks. (2015). Richard, Jean-Francois ; Ozturk, Serda.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:12:y:2015:i:c:p:67-76.

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  545. Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis. (2015). Syriopoulos, Theodore ; Boubaker, Adel ; Makram, Beljid .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:39:y:2015:i:c:p:7-18.

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  546. The elusive nature of motives to trade: Evidence from international stock markets. (2015). Serwa, Dobromił ; Gebka, Bartosz ; Gbka, Bartosz .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:39:y:2015:i:c:p:147-157.

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  547. An empirical model comparison for valuing crack spread options. (2015). Prokopczuk, Marcel ; Mahringer, Steffen .
    In: Energy Economics.
    RePEc:eee:eneeco:v:51:y:2015:i:c:p:177-187.

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  548. European natural gas seasonal effects on futures hedging. (2015). Torro, Hipolit ; Martinez, Beatriz.
    In: Energy Economics.
    RePEc:eee:eneeco:v:50:y:2015:i:c:p:154-168.

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  549. Causality between inflation and inflation uncertainty in South Africa: Evidence from a Markov-switching vector autoregressive model. (2015). GUPTA, RANGAN ; van Eyden, Renee ; Ben Nasr, Adnen ; Balcilar, Mehmet ; Ajmi, Ahdi Noomen ; Aye, Goodness C.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:24:y:2015:i:c:p:46-68.

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  550. Similarity of emerging market returns under changing market conditions: Markets in the ASEAN-4, Latin America, Middle East, and BRICs. (2015). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan.
    In: Economic Systems.
    RePEc:eee:ecosys:v:39:y:2015:i:2:p:253-268.

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  551. Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance. (2015). McAleer, Michael ; Asai, Manabu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:189:y:2015:i:2:p:251-262.

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  552. Sieve semiparametric two-step GMM under weak dependence. (2015). Liao, Zhipeng ; Chen, Xiaohong.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:189:y:2015:i:1:p:163-186.

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  553. Model-based pricing for financial derivatives. (2015). Zhu, Ke ; Ling, Shiqing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:447-457.

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  554. Bad environments, good environments: A non-Gaussian asymmetric volatility model. (2015). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:1:p:258-275.

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  555. Residual-based rank specification tests for AR–GARCH type models. (2015). Andreou, Elena ; Werker, Bas J. M., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:185:y:2015:i:2:p:305-331.

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  556. Robust score and portmanteau tests of volatility spillover. (2015). Hill, Jonathan ; Aguilar, Mike.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:184:y:2015:i:1:p:37-61.

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  557. Liquidity matters after all: Asymmetric news and stock market volatility before and after the global financial crisis. (2015). BABALOS, VASSILIOS ; Koulakiotis, Athanasios ; Papasyriopoulos, Nicholas .
    In: Economics Letters.
    RePEc:eee:ecolet:v:127:y:2015:i:c:p:58-60.

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  558. Aggregate volatility expectations and threshold CAPM. (2015). ARISOY, Yakup ; Akdeniz, Levent ; Altay-Salih, Aslihan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:34:y:2015:i:c:p:231-253.

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  559. Option pricing under truncated Gram–Charlier expansion. (2015). Huang, Hung-Hsi ; Lin, Shin-Hung .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:32:y:2015:i:c:p:77-97.

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  560. The impact of financial crises on the risk–return tradeoff and the leverage effect. (2015). Nielsen, Morten ; Christensen, Bent Jesper ; Zhu, Jie.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:49:y:2015:i:c:p:407-418.

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  561. Industry co-movements of American depository receipts: Evidences from the copula approaches. (2015). Lee, Chien-Chiang ; Chang, Chi-Hung ; Chen, Mei-Ping.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:46:y:2015:i:c:p:301-314.

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  562. Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market. (2015). Su, Jung-Bin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:46:y:2015:i:c:p:204-224.

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  563. The Effect of Financial and Macroeconomic Factors on the Oil Market. (2015). Drimbetas, Evangelos ; Sariannidis, Nikolaos.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2015-04-21.

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  564. Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis. (2015). Huang, Han-Ching ; Su, Yong-Chern ; Tsui, Jen-Tien .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2015-02-08.

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  565. All share price and inflation volatility in Nigeria. An application of the EGARCH model. (2015). Adedoyin, Lawal Isola ; Oloye, Martins I ; Awonusi, Frank .
    In: EuroEconomica.
    RePEc:dug:journl:y:2015:i:1:p:75-82.

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  566. Forecasting the Jordanian stock index: modelling asymmetric volatility and distribution effects within a GARCH framework. (2015). Al-Hajieh, Heitham ; Niklewski, Jacek ; Rodgers, Timothy ; Alnemer, Hashem .
    In: Copernican Journal of Finance & Accounting.
    RePEc:cpn:umkcjf:v:4:y:2015:i:2:p:9-26.

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  567. Predicción de la volatilidad en el mercado del petróleo mexicano ante la presencia de efectos asimétricos. (2015). Miguel A. Diaz Carreño, ; Gonzalez, Reyna Vergara ; Raul De Jesus Gutierrez, .
    In: REVISTA CUADERNOS DE ECONOMÍA.
    RePEc:col:000093:012721.

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  568. Is there a Positive Risk†Return Tradeoff? A Forward†Looking Approach to Measuring the Equity Premium. (2015). Koutmos, Dimitrios.
    In: European Financial Management.
    RePEc:bla:eufman:v:21:y:2015:i:5:p:974-1013.

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  569. Dependence of Real Estate and Equity Markets in China with the Application of Copula. (2015). Wang, Iou-Ming ; Chang, Chiu-Lan ; Fang, Ming.
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:2015:p:1258-1266.

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  570. Return spillovers around the globe: A network approach. (2015). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Stefan .
    In: Papers.
    RePEc:arx:papers:1507.06242.

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  571. Taming the Basel Leverage Cycle. (2015). Farmer, J. ; Aymanns, Christoph ; Vincent, ; Caccioli, Fabio.
    In: Papers.
    RePEc:arx:papers:1507.04136.

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  572. Agent-based model with multi-level herding for complex financial systems. (2015). Zheng, BO ; Tan, Lei ; Chen, Jun-Jie .
    In: Papers.
    RePEc:arx:papers:1504.01811.

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  573. Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk. (2015). Christoffersen, Peter ; Karoui, Mehdi ; Jacobs, Kris ; Fournier, Mathieu .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-54.

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  574. Output Growth and its Volatility: The Gold Standard through the Great Moderation. (2014). Miller, Stephen ; Fang, WenShwo .
    In: Southern Economic Journal.
    RePEc:wly:soecon:v:80:y:2014:i:3:p:728-751.

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  575. Foreign exchange rate exposure: Evidence from Canada. (2014). Anwar, Sajid ; Al-Shboul, Mohammad ; Alshboul, Mohammad.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:23:y:2014:i:1:p:18-29.

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  576. The Return‐Implied Volatility Relation for Commodity ETFs. (2014). Padungsaksawasdi, Chaiyuth ; Daigler, Robert T..
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:34:y:2014:i:3:p:261-281.

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  577. Residual-based Rank Specification Tests for AR-GARCH type models. (2014). Bas J. M. Werker, ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:02-2014.

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  578. Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. (2014). McAleer, Michael ; Asai, Manabu.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1405.

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  579. Matrix Exponential Stochastic Volatility with Cross Leverage. (2014). Omori, Yasuhiro ; Asai, Manabu ; Ishihara, Tsunehiro .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2014cf932.

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  580. Processes for stocks capturing their statistical properties from one day to one year. (2014). Weber, Caroline ; Fernandez, Luis ; Zumbach, Gilles .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:14:y:2014:i:5:p:849-861.

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  581. Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks. (2014). Arize, Augustine C. ; Nam, Kiseok.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:14:y:2014:i:12:p:2193-2203.

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  582. Modeling international stock market contagion using multivariate fractionally integrated APARCH approach. (2014). Mighri, Zouheir Ahmed ; Mansouri, Faysal.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:doi:10.1080/23322039.2014.963632.

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  583. Market Volatility Transmission and Central Banking: What Happened during the Subprime Crisis?. (2014). bensafta, kamel malik ; SEMEDO, Gervasio .
    In: International Economic Journal.
    RePEc:taf:intecj:v:28:y:2014:i:4:p:559-588.

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  584. Volatility transmission across currencies and stock markets: GIIPS in crisis. (2014). Andrikopoulos, Andreas ; Kougepsakis, Konstantinos ; Samitas, Aristeidis.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:24:y:2014:i:19:p:1261-1283.

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  585. The direct and indirect effects of oil shocks on energy related stocks. (2014). Zhang, Dayong ; Broadstock, David ; Wang, Rui.
    In: Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS).
    RePEc:sur:seedps:146.

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  586. Hedging with mini gold futures: evidence from Korea. (2014). Yun, Youngjun ; Park, Cheolho .
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:4:y:2014:i:2:p:163-176.

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  587. Conditional correlation in asset return and GARCH intensity model. (2014). Lee, Kyungsub ; Choe, Geon .
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:98:y:2014:i:3:p:197-224.

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  588. Volatility characteristics of stocks underlying Exchange Traded Funds in South Africa. (2014). Matarutse, Justice.
    In: Journal of Economics and Behavioral Studies.
    RePEc:rnd:arjebs:v:6:y:2014:i:10:p:829-839.

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  589. Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market. (2014). Huptas, Roman .
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:6:y:2014:i:4:p:237-273.

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  590. Determinanty integrácie akciových trhov krajín V4. (2014). Baumohl, Eduard.
    In: Politická ekonomie.
    RePEc:prg:jnlpol:v:2014:y:2014:i:3:id:955:p:347-365.

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  591. Causality between Inflation and Inflation Uncertainty in South Africa: Evidence from a Markov-Switching Vector Autoregressive Model. (2014). GUPTA, RANGAN ; van Eyden, Renee ; Ben Nasr, Adnen ; Balcilar, Mehmet ; Ajmi, Ahdi Noomen ; Aye, Goodness C..
    In: Working Papers.
    RePEc:pre:wpaper:201453.

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  592. Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche. (2014). Drago, Carlo ; De Santis, Paola .
    In: MPRA Paper.
    RePEc:pra:mprapa:59381.

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  593. Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH. (2014). Sinha, Pankaj ; Agnihotri, Shalini .
    In: MPRA Paper.
    RePEc:pra:mprapa:58303.

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  594. Measuring Contagion Risk in High Volatility State between Major Banks in Taiwan by Threshold Copula GARCH Model. (2014). Su, Ender .
    In: MPRA Paper.
    RePEc:pra:mprapa:58161.

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  595. Model-based pricing for financial derivatives. (2014). Zhu, Ke ; Ling, Shiqing.
    In: MPRA Paper.
    RePEc:pra:mprapa:56623.

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  596. The Time-Varying Risk and Return Trade Off in Indian Stock Markets. (2014). P, Srinivasan ; Mohanty, Roshni ; Vasan, Srini .
    In: MPRA Paper.
    RePEc:pra:mprapa:55660.

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  597. Análisis de la volatilidad del índice principal del mercado bursátil mexicano, del índice de riesgo país y de la mezcla mexicana de exportación mediante un modelo GARCH trivariado asimétrico ||. (2014). Flores-Ortega, Miguel ; Villalba Padilla, Fatima Irina, .
    In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration.
    RePEc:pab:rmcpee:v:17:y:2014:i:1:p:3-22.

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  598. Momentum Crashes. (2014). Daniel, Kent ; Moskowitz, Tobias J..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20439.

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  599. Testing for Leverage Effect in Financial Returns. (2014). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:14022.

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  600. Cross-Market Spillovers with Volatility Surprise. (2014). Chevallier, Julien ; Aboura, Sofiane.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-469.

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  601. Forward-Looking Market Risk Premium. (2014). Zhang, Weiqi ; Duan, Jin-Chuan.
    In: Management Science.
    RePEc:inm:ormnsc:v:60:y:2014:i:2:p:521-538.

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  602. Cross-Market Spillovers with Volatility Surprise. (2014). Chevallier, Julien ; Aboura, Sofiane.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01052488.

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  603. Transmission de la volatilité et Central-Banking. (2014). bensafta, kamel malik ; SEMEDO, Gervasio .
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01012058.

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  604. Cross-Market Spillovers with ‘Volatility Surprise’. (2014). Chevallier, Julien ; Aboura, Sofiane.
    In: Working Papers.
    RePEc:hal:wpaper:hal-04141310.

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  605. Financial integration, financial turmoil and risk premia in emerging markets. (2014). Raymond, Helene ; Couharde, Cecile ; Boubakri, Salem.
    In: Working Papers.
    RePEc:hal:wpaper:hal-04141291.

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  606. Testing for Leverage Effect in Financial Returns. (2014). Lalaharison, Hanjarivo ; Guegan, Dominique ; Chorro, Christophe ; Ielpo, Florian.
    In: Post-Print.
    RePEc:hal:journl:halshs-00973922.

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  607. Index Future Trading, Spot Volatility And Market Efficiency.. (2014). Chen, Zonghao .
    In: Journal of Management Sciences.
    RePEc:gei:journl:v:1:y:2014:i:2:p:73-101.

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  608. A Fast, Accurate Method for Value-at-Risk and Expected Shortfall. (2014). Paolella, Marc S. ; Krause, Jochen.
    In: Econometrics.
    RePEc:gam:jecnmx:v:2:y:2014:i:2:p:98-122:d:37459.

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  609. Foreign exchange rate exposure: Evidence from Canada. (2014). Anwar, Sajid ; Al-Shboul, Mohammad.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:23:y:2014:i:1:p:18-29.

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  610. A new approach to model and forecast volatility based on extreme value of asset prices. (2014). Kumar, Dilip ; Maheswaran, S..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:33:y:2014:i:c:p:128-140.

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  611. Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns. (2014). Zhu, Hui-Ming ; Li, Sufang .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:29:y:2014:i:c:p:208-223.

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  612. Does faith move stock markets? Evidence from Saudi Arabia. (2014). Canepa, Alessandra ; Ibnrubbian, Abdullah .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:54:y:2014:i:4:p:538-550.

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  613. Predicting future price volatility: Empirical evidence from an emerging limit order market. (2014). Jain, Pawan ; Jiang, Christine.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:27:y:2014:i:c:p:72-93.

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  614. Characterizing information flows among spot, deliverable forward and non-deliverable forward exchange rate markets: A cross-country comparison. (2014). Fawson, Chris ; Wu, An-Chi ; Chen, Mei-Ling ; Wang, Kai-Li.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:27:y:2014:i:c:p:115-137.

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  615. Asymmetric Information and Volatility Forecasting in Commodity Futures Markets. (2014). Wong, Ieokhou ; An, Yunbi ; Liu, Qingfu ; Zhang, Jinqing .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:26:y:2014:i:c:p:79-97.

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  616. Transmission of pricing information between level III ADRs and their underlying domestic stocks: Empirical evidence from India. (2014). Bhattacharjee, Kaushik ; Mamidanna, Sravya ; Bang, Nupur Pavan .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:24:y:2014:i:c:p:43-59.

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  617. Dynamics and risk factors in hedge funds returns: Implications for portfolio construction and performance evaluation. (2014). Syriopoulos, Theodore ; Roumpis, Efthymios.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:11:y:2014:i:c:p:58-77.

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  618. Lévy jump risk: Evidence from options and returns. (2014). ORNTHANALAI, CHAYAWAT .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:112:y:2014:i:1:p:69-90.

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  619. Interest rate risk and the creation of the Monetary Policy Committee: Evidence from banks’ and life insurance companies’ stocks in the UK. (2014). Papadamou, Stephanos ; SIRIOPOULOS, COSTAS.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:71:y:2014:i:c:p:45-67.

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  620. Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong ; Chiarella, Carl ; Zwinkels, Remco C. J., .
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:105:y:2014:i:c:p:1-16.

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  621. Estimating and using GARCH models with VIX data for option valuation. (2014). Lin, Binghuan ; Yang, Hanxue ; Kanniainen, Juho.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:43:y:2014:i:c:p:200-211.

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  622. Bank systemic risk and macroeconomic shocks: Canadian and U.S. evidence. (2014). Calmès, Christian ; Calmes, Christian ; Theoret, Raymond .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:388-402.

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  623. The dynamic contagion of the global financial crisis into Japanese markets. (2014). Takahashi, Toyoharu ; Shimada, Junji ; Tsukuda, Yoshihiko ; Miyakoshi, Tatsuyoshi.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:31:y:2014:i:c:p:47-53.

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  624. Correlation dynamics and international diversification benefits. (2014). Christoffersen, Peter ; Jacobs, Kris ; Jin, Xisong ; Errunza, Vihang.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:3:p:807-824.

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  625. Forecasting return volatility: Level shifts with varying jump probability and mean reversion. (2014). Perron, Pierre ; Xu, Jiawen.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:3:p:449-463.

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  626. The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options. (2014). Violante, Francesco ; Stentoft, Lars ; Rombouts, Jeroen.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:1:p:78-98.

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  627. Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries. (2014). Deesomsak, Rataporn ; Chau, Frankie ; Wang, Jun.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:28:y:2014:i:c:p:1-19.

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  628. Is cognitive bias really present in analyst forecasts? The role of investor sentiment. (2014). Ferrer, Elena ; Santamaria, Rafael ; Corredor, Pilar .
    In: International Business Review.
    RePEc:eee:iburev:v:23:y:2014:i:4:p:824-837.

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  629. News sentiment and the investor fear gauge. (2014). Smales, Lee.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:11:y:2014:i:2:p:122-130.

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  630. Returns and volatility spillover in the European banking industry during global financial crisis: Flight to perceived quality or contagion?. (2014). Jayasekera, Ranadeva ; Choudhry, Taufiq.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:36:y:2014:i:c:p:36-45.

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  631. On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010. (2014). Menla Ali, Faek ; Hunter, John ; Caporale, Guglielmo Maria.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:33:y:2014:i:c:p:87-103.

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  632. How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China. (2014). Huang, Dengshi ; Wei, YU ; Guo, Yanfeng ; Wen, Xiaoqian.
    In: Energy Economics.
    RePEc:eee:eneeco:v:41:y:2014:i:c:p:63-75.

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  633. High-order moments and extreme value approach for value-at-risk. (2014). Chien, Chang-Cheng Chang ; Kao, Wei-Shun ; Lin, Chu-Hsiung ; Changchien, Chang-Cheng .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:421-434.

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  634. Risk–return trade-off in the pacific basin equity markets. (2014). Jahan-Parvar, Mohammad ; Cheng, Ai-Ru .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:18:y:2014:i:c:p:123-140.

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  635. Portfolio insurance: Gap risk under conditional multiples. (2014). Prigent, Jean-Luc ; ben ameur, hachmi.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:236:y:2014:i:1:p:238-253.

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  636. Direct and indirect oil shocks and their impacts upon energy related stocks. (2014). Zhang, Dayong ; Broadstock, David ; Wang, Rui.
    In: Economic Systems.
    RePEc:eee:ecosys:v:38:y:2014:i:3:p:451-467.

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  637. The VIX, the variance premium and stock market volatility. (2014). Hoerova, Marie ; Bekaert, Geert.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:183:y:2014:i:2:p:181-192.

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  638. An algorithm for constructing high dimensional distributions from distributions of lower dimension. (2014). Prokhorov, Artem ; Anatolyev, Stanislav ; Khabibullin, Renat .
    In: Economics Letters.
    RePEc:eee:ecolet:v:123:y:2014:i:3:p:257-261.

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  639. Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios. (2014). Chuang, Chung-Chu ; Wang, Yi-Hsien ; Yeh, Tsai-Jung .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:42:y:2014:i:c:p:15-19.

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  640. Are Dow Jones Islamic equity indices exposed to interest rate risk?. (2014). Shamsuddin, Abul.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:39:y:2014:i:c:p:273-281.

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  641. Volatility and dynamic conditional correlations of worldwide emerging and frontier markets. (2014). Lyócsa, Štefan ; Baumohl, Eduard.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:175-183.

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  642. The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?. (2014). Tse, Chin-Bun ; Rodgers, Timothy ; Niklewski, Jacek .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:37:y:2014:i:c:p:518-530.

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  643. Volatility spillovers between the oil market and the European Union carbon emission market. (2014). Reboredo, Juan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:36:y:2014:i:c:p:229-234.

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  644. Dynamic factor multivariate GARCH model. (2014). Santos, Andre ; Moura, Guilherme ; Santos, Andre A. P., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:606-617.

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  645. Bayesian option pricing using mixed normal heteroskedasticity models. (2014). Stentoft, Lars ; Rombouts, Jeroen V. K., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:588-605.

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  646. Hedging Strategy Using Copula and Nonparametric Methods: Evidence from China Securities Index Futures. (2014). Sun, Xianchao ; Pan, Zhiyuan.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2014-01-11.

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  647. The VIX, the variance premium and stock market volatility. (2014). Hoerova, Marie ; Bekaert, Geert.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141675.

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  648. Financial integration, financial turmoil and risk premia in emerging markets. (2014). RAYMOND, Helene ; COUHARDE, Cécile ; Boubakri, Salem.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2014-52.

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  649. Cross-Market Spillovers with ‘Volatility Surprise’. (2014). Chevallier, Julien ; Aboura, Sofiane.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2014-46.

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  650. Time Series Models for Business and Economic Forecasting. (2014). Franses, Philip Hans ; Opschoor, Anne ; van Dijk, Dick.
    In: Cambridge Books.
    RePEc:cup:cbooks:9780521520911.

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  651. Score driven asymmetric stochastic volatility models. (2014). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws142618.

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  652. Determinantes de la tasa de cambio en Colombia: un enfoque de microestructura de mercados. (2014). Murcia, Andrés ; Rojas, Diego.
    In: Revista ESPE - ENSAYOS SOBRE POLÍTICA ECONÓMICA.
    RePEc:col:000107:012398.

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  653. Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. (2014). McAleer, Michael ; Asai, Manabu.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:14/10.

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  654. The impact of institutional volatility on financial volatility in transition economies : a GARCH family approach. (2014). Hartwell, Christopher.
    In: BOFIT Discussion Papers.
    RePEc:bof:bofitp:2014_006.

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  655. Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect. (2014). Yang, KE ; Chen, Langnan.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:14:y:2014:i:3:p:345-392.

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  656. Calibrating the Italian smile with time-varying volatility and heavy-tailed models. (2014). Fabozzi, Frank ; Rachev, Svetlozar T. ; Bianchi, Michele Leonardo.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_944_14.

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  657. Trend and Fractality Assessment of Mexicos Stock Exchange. (2014). Cordero, Eduardo ; Tercero, V'ictor ; L'opez, Luis ; Morales, Javier ; Camacho, Fernando ; Almaguer, F-Javier ; F-Javier Almaguer, .
    In: Papers.
    RePEc:arx:papers:1411.3399.

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  658. Analysis of Spin Financial Market by GARCH Model. (2014). Takaishi, Tetsuya.
    In: Papers.
    RePEc:arx:papers:1409.0118.

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  659. Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment. (2014). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; v{S}tefan Ly'ocsa, ; Tom'av{s} V'yrost, .
    In: Papers.
    RePEc:arx:papers:1408.2985.

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  660. The influence of behavior factors in setting the agricultural futures market prices. (2014). Serrao, Amilcar .
    In: 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota.
    RePEc:ags:aaea14:170326.

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  661. Discriminating between fractional integration and spurious long memory. (2014). Kruse, Robinson ; Haldrup, Niels.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-19.

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  662. .

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  663. The Return-Volatility Relation in Commodity Futures Markets. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl.
    In: Research Paper Series.
    RePEc:uts:rpaper:336.

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  664. Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis. (2013). Lopez, Carmen ; Benito, Sonia ; Miguel Angel Sanchez Granero, .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1340.

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  665. Matrix Exponential Stochastic Volatility with Cross Leverage. (2013). Omori, Yasuhiro ; Asai, Manabu ; Ishihara, Tsunehiro .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2013cf904.

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  666. International portfolio diversification: an ICAPM approach with currency risk. (2013). Simos, Theodore ; Dimitriou, Dimitrios.
    In: Macroeconomics and Finance in Emerging Market Economies.
    RePEc:taf:macfem:v:6:y:2013:i:2:p:177-189.

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  667. Evaluating and improving GARCH-based volatility forecasts with range-based estimators. (2013). Hung, Jui-Cheng ; Wang, Yi-Hsien ; Lou, Tien-Wei ; Lee, Jun-De .
    In: Applied Economics.
    RePEc:taf:applec:v:45:y:2013:i:28:p:4041-4049.

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  668. Inflation uncertainty, growth uncertainty, oil prices, and output growth in the UK. (2013). Mallik, Girijasankar ; Bhar, Ramprasad .
    In: Empirical Economics.
    RePEc:spr:empeco:v:45:y:2013:i:3:p:1333-1350.

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  669. Return, Volatility and Risk Spillover from Oil Prices and the US Dollar Exchange Rate to the Indian Industrial Sectors. (2013). Kumar, Dilip.
    In: Margin: The Journal of Applied Economic Research.
    RePEc:sae:mareco:v:7:y:2013:i:1:p:61-91.

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  670. Sustainability of convergence in the context of macro-prudential policies in the European Union. (2013). Morar Triandafil, Cristina.
    In: Working Papers of National Institute of Economic Research.
    RePEc:ror:wpince:130618.

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  671. Volatility and dynamic conditional correlations of European emerging stock markets. (2013). Lyócsa, Štefan ; Baumohl, Eduard.
    In: MPRA Paper.
    RePEc:pra:mprapa:49898.

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  672. Measuring and Testing Tail Dependence and Contagion Risk between Major Stock Markets. (2013). Su, Ender .
    In: MPRA Paper.
    RePEc:pra:mprapa:48444.

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  673. Day-of-the-Week Effects in the Indian stock market. (2013). P, Srinivasan ; M., Kalaivani, ; P., Srinivasan, .
    In: MPRA Paper.
    RePEc:pra:mprapa:46805.

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  674. Stock market integration between the CEE-4 and the G7 markets: Asymmetric DCC and smooth transition approach.. (2013). Baumohl, Eduard ; Baumhl, Eduard .
    In: MPRA Paper.
    RePEc:pra:mprapa:43834.

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  675. Being on the Field When the Game Is Still Under Way. The Financial Press and Stock Markets in Times of Crisis. (2013). Casarin, Roberto ; Squazzoni, Flaminio.
    In: PLOS ONE.
    RePEc:plo:pone00:0067721.

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  676. Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index. (2013). Shachmurove, Yochanan ; Borkowski, Boleslaw ; Krawiec, Monika.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:13-015.

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  677. Volatility Threshold Dynamic Conditional Correlations: An International Analysis. (2013). Caporin, Massimiliano ; Kasch, Maria .
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:11:y:2013:i:4:p:706-742.

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  678. The VIX, the Variance Premium and Stock Market Volatility. (2013). Hoerova, Marie ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18995.

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  679. Exchange Rate Uncertainty and Bilateral Trade Flows: Insights from Uganda. (2013). Lubinga, Moses H. ; Kiiza, Barnabas .
    In: Business and Economic Research.
    RePEc:mth:ber888:v:3:y:2013:i:1:p:227-239.

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  680. An Investigation of the Flight-to-Quality Effect: Evidence from Asia-Pacific Countries. (2013). Chang, Chiu-Lan ; Hsueh, Paul L..
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:49:y:2013:i:s4:p:53-69.

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  681. Macroeconomic determinants of European stock and government bond relations: a tale of two regions. (2013). Vermeulen, Wessel ; Perego, Erica.
    In: CREA Discussion Paper Series.
    RePEc:luc:wpaper:13-08.

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  682. Commodities Inventory Effect. (2013). Dufays, Arnaud ; Carpantier, Jean-François.
    In: CREA Discussion Paper Series.
    RePEc:luc:wpaper:13-07.

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  683. Does Equity Derivatives Trading Affect the Systematic Risk of the Underlying Stocks in an Emerging Market: Evidence from Pakistan’s Futures Market. (2013). Khan, Safi Ullah ; Abbas, Zaheer.
    In: Lahore Journal of Economics.
    RePEc:lje:journl:v:18:y:2013:i:1:p:63-80.

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  684. Transmission de la volatilité et central banking : quelles réactions durant la crise des subprimes ?. (2013). bensafta, kamel malik ; SEMEDO, Gervasio .
    In: LEO Working Papers / DR LEO.
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  685. Oil and stock market activity when prices go up and down: the case of the oil and gas industry. (2013). Bugshan, Turki ; Al-Khyal, Tawfeek ; Mohanty, Sunil ; Akhigbe, Aigbe.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:41:y:2013:i:2:p:253-272.

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  686. A lattice model for option pricing under GARCH-jump processes. (2013). Wu, Ping-Da ; Hung, Mao-Wei ; Wang, Jr-Yan ; Lin, Bing-Huei.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:16:y:2013:i:3:p:295-329.

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  687. Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets. (2013). Hoesli, Martin ; Reka, Kustrim .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:47:y:2013:i:1:p:1-35.

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  688. A Generalized Autoregressive Conditional Heteroskedasticity Model of the Impact of Macroeconomic Factors on Stock Returns: Empirical Evidence from the Nigerian Stock Market. (2013). KelvinUko, Aham ; Nkoro, Emeka .
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:4:y:2013:i:4:p:38-51.

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  689. Asset-Pricing Implications of Dividend Volatility. (2013). Li, Yan ; Yang, Liyan.
    In: Management Science.
    RePEc:inm:ormnsc:v:59:y:2013:i:9:p:2036-2055.

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  690. A nonparametric test of a strong leverage hypothesis. (2013). Whang, Yoon-Jae ; LINTON, OLIVER ; Yen, Yu-Min .
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:28/13.

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  691. Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets. (2013). Deisting, Florent ; Sehgal, Sanjay ; Rajput, Namita .
    In: The International Journal of Business and Finance Research.
    RePEc:ibf:ijbfre:v:7:y:2013:i:3:p:57-75.

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  692. Risk Analysis Using Regression Quantiles: Evidence from International Equity Markets. (2013). Xiao, Zhijie ; Wu, Guojun ; Lam, Miranda S. ; Guo, Hongtao .
    In: The International Journal of Business and Finance Research.
    RePEc:ibf:ijbfre:v:7:y:2013:i:2:p:1-15.

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  693. Testing for Contagion of the Subprime Financial Crisis under Asymmetric Dynamics. (2013). Bazin, Damien ; Boujelbene, Younes ; Hachicha, Nejib ; Selmi, Nadhem ; Chihi-Bouaziz, Meriam .
    In: Post-Print.
    RePEc:hal:journl:halshs-01070751.

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  694. Price Discovery and Volatility Spillover: Evidence from Indian Commodity Markets. (2013). Deisting, Florent ; Rajput, Namita ; Sehgal, Sanjay.
    In: Post-Print.
    RePEc:hal:journl:hal-01881910.

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  695. Seleção de carteiras utilizando o modelo Fama-French-Carhart. (2013). Santos, Andre ; Moura, Guilherme ; Santos, Andre Alves Portela, ; Caldeira, Joo F.
    In: Revista Brasileira de Economia - RBE.
    RePEc:fgv:epgrbe:v:67:y:2013:i:1:a:3755.

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  696. Seleção de carteiras utilizando o modelo Fama-French-Carhart. (2013). Andre Alves Portela Santos, ; Caldeira, Joo F ; Moura, Guilherme Valle .
    In: Revista Brasileira de Economia - RBE.
    RePEc:fgv:epgrbe:v:67:n:1:a:3.

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  697. Putting a Price on Carbon – Econometric Essays on the European Union Emissions Trading Scheme and its Impacts. (2013). Remes, Piia.
    In: Research Reports.
    RePEc:fer:resrep:p62.

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  698. Putting a Price on Carbon – Econometric Essays on the European Union Emissions Trading Scheme and its Impacts. (2013). Remes, Piia.
    In: Research Reports.
    RePEc:fer:resrep:62.

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  699. The Economic Valuation of Variance Forecasts: An Artificial Option Market Approach. (2013). Parrak, Radovan .
    In: Working Papers IES.
    RePEc:fau:wpaper:wp2013_09.

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  700. Stock Returns Under Alternative Volatility and Distributional Assumptions: The Case for India. (2013). Sarkar, Nityananda.
    In: International Econometric Review (IER).
    RePEc:erh:journl:v:5:y:2013:i:1:p:1-19.

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  701. Estimation of flexible fuzzy GARCH models for conditional density estimation. (2013). Kaymak, Uzay ; Baştürk, Nalan ; Almeida, Rui Jorge ; Costa Sousa, J. M., ; Basturk, N..
    In: ERIM Report Series Research in Management.
    RePEc:ems:eureri:40785.

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  702. Effectiveness of volatility models in option pricing: evidence from recent financial upheavals. (2013). Singh, Vipul Kumar.
    In: Journal of Advances in Management Research.
    RePEc:eme:jamrpp:v:10:y:2013:i:3:p:352-375.

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  703. American option pricing using simulation with an application to the GARCH model. (2013). Stentoft, Lars .
    In: Chapters.
    RePEc:elg:eechap:14545_5.

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  704. Quantifying time variation and asymmetry in measures of covariance risk: a simulation approach. (2013). Shields, Kalvinder K. ; Olekalns, Nilss ; Henry, lan T..
    In: Chapters.
    RePEc:elg:eechap:14545_18.

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  705. Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk. (2013). Tu, Anthony H. ; Chen, Yi-Hsuan .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:27:y:2013:i:c:p:514-528.

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  706. Risk and return in the Tehran stock exchange. (2013). Mohammadi, Hassan ; Jahan-Parvar, Mohammad.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:53:y:2013:i:3:p:238-256.

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  707. A detailed comparison of value at risk estimates. (2013). Abad, Pilar ; Benito, Sonia .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:258-276.

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  708. Iron ore spot price volatility and change in forward pricing mechanism. (2013). Ma, Yiqun .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:38:y:2013:i:4:p:621-627.

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  709. The leverage effect puzzle: Disentangling sources of bias at high frequency. (2013). Fan, Jianqing ; Ait-Sahalia, Yacine.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:1:p:224-249.

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  710. The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium. (2013). Ederington, Louis H. ; Guan, Wei.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:9:p:3388-3400.

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  711. Dynamics of credit spread moments of European corporate bond indexes. (2013). Gabrielsen, Alexandros ; Alizadeh, Amir H..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:8:p:3125-3144.

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  712. Impact of macro-economic surprises on carry trade activity. (2013). Sushko, Vladyslav ; Hutchison, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:4:p:1133-1147.

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  713. The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010. (2013). Nilsson, Birger ; Hansson, Bjorn ; Hagstromer, Bjorn .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4476-4487.

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  714. Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach. (2013). Hou, Aijun .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:23:y:2013:i:c:p:12-32.

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  715. Impact of volatility estimation method on theoretical option values. (2013). Shachmurove, Yochanan ; Borkowski, Bolesaw ; Krawiec, Monika.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:24:y:2013:i:2:p:119-128.

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  716. Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets. (2013). Farag, Hisham.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:24:y:2013:i:1:p:85-97.

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  717. Assessing the impact of macroeconomic news on the U.S. forest products industry portfolio across business cycles: 1963–2010. (2013). Mei, Bin ; Wan, Yang ; Clutter, Michael L. ; Siry, Jacek P..
    In: Forest Policy and Economics.
    RePEc:eee:forpol:v:28:y:2013:i:c:p:15-22.

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  718. Rational expectations equilibrium with uncertain proportion of informed traders. (2013). Gao, Feng ; Wang, Jun ; Song, Fengming .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:3:p:387-413.

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  719. Financial Risk Measurement for Financial Risk Management. (2013). Andersen, Torben G ; Diebold, Francis X ; Christoffersen, Peter F ; Bollerslev, Tim.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1127-1220.

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  720. Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market. (2013). Pierdzioch, Christian ; Floros, Christos ; Kizys, Renatas.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:28:y:2013:i:c:p:166-173.

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  721. Smooth transition regime shifts and oil price dynamics. (2013). Cifarelli, Giulio.
    In: Energy Economics.
    RePEc:eee:eneeco:v:38:y:2013:i:c:p:160-167.

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  722. Applying ARMA–GARCH approaches to forecasting short-term electricity prices. (2013). Liu, Heping ; Shi, Jing.
    In: Energy Economics.
    RePEc:eee:eneeco:v:37:y:2013:i:c:p:152-166.

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  723. Modelling volatility by variance decomposition. (2013). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:175:y:2013:i:2:p:142-153.

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  724. News impact curve for stochastic volatility models. (2013). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki .
    In: Economics Letters.
    RePEc:eee:ecolet:v:120:y:2013:i:1:p:130-134.

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  725. Time-varying mixture GARCH models and asymmetric volatility. (2013). Haas, Markus ; Krause, Jochen ; Steude, Sven C. ; Paolella, Marc S..
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:602-623.

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  726. Stock market comovements in Central Europe: Evidence from the asymmetric DCC model. (2013). Horvath, Roman ; Gjika, Dritan .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:55-64.

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  727. An empirical analysis of the downside risk-return trade-off at daily frequency. (2013). Sévi, Benoît ; Sevi, Benoit.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:189-197.

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  728. The Development of Stock Markets: In Search of a Theory. (2013). El-Wassal, Kamal A..
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2013-03-6.

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  729. Dynamic Models for Volatility and Heavy Tails. (2013). Harvey, Andrew C.
    In: Cambridge Books.
    RePEc:cup:cbooks:9781107034723.

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  730. One for all : nesting asymmetric stochastic volatility models. (2013). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws131110.

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  731. Residual-based Rank Specification Tests for AR-GARCH type models. (2013). Andreou, Elena ; Werker, Bas J M, .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9583.

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  732. Reconstructing high dimensional dynamic distributions from distributions of lower dimension. (2013). Prokhorov, Artem ; Anatolyev, Stanislav ; Khabibullin, Renat .
    In: Working Papers.
    RePEc:cfr:cefirw:w0167.

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  733. On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010. (2013). Menla Ali, Faek ; Hunter, John ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4189.

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  734. Forecasting Return Volatility: Level Shifts with Varying Jump Probability and Mean Reversion. (2013). Perron, Pierre ; Xu, Jiawen.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2013-021.

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  735. A new look at variance estimation based on low, high and closing prices taking into account the drift. (2013). Fiszeder, Piotr ; Perczak, Grzegorz .
    In: Statistica Neerlandica.
    RePEc:bla:stanee:v:67:y:2013:i:4:p:456-481.

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  736. Asymmetric and Time-Varying Causality between Inflation and Inflation Uncertainty in G-7 Countries. (2013). Ozdemir, Zeynel ; Balcilar, Mehmet.
    In: Scottish Journal of Political Economy.
    RePEc:bla:scotjp:v:60:y:2013:i:1:p:1-42.

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  737. RECONSIDERING PRICE LIMIT EFFECTIVENESS. (2013). Kim, Kenneth ; Liu, Haixiao ; Yang, Jimmy J..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:36:y:2013:i:4:p:493-518.

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  738. Simultaneity, Forecasting and Profits in London Copper Futures. (2013). Goss, Barry A. ; Avsar, Gulay S..
    In: Australian Economic Papers.
    RePEc:bla:ausecp:v:52:y:2013:i:2:p:79-96.

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  739. An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange. (2013). Bucevska, Vesna.
    In: Business Systems Research.
    RePEc:bit:bsrysr:v:4:y:2013:i:1:p:49-64.

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  740. Which Parametric Model for Conditional Skewness?. (2013). Jahan-Parvar, Mohammad ; Feunou, Bruno ; Tedongap, Romeo.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-32.

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  741. Volatility Spillovers and Nonlinear Dynamics between Jet Fuel Prices and Air Carrier Revenue Passenger Miles in the US. (2013). Adrangi, Bahram ; Gritta, Richard D. ; Raffiee, Kambiz .
    In: Review of Economics & Finance.
    RePEc:bap:journl:130301.

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  742. Conditional correlation in asset return and GARCH intensity model. (2013). Choe, Geon Ho ; Lee, Kyungsub.
    In: Papers.
    RePEc:arx:papers:1311.4977.

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  743. Reconstructing high dimensional dynamic distributions from distributions of lower dimension. (2013). Anatolyev, Stanislav ; Prokhorov, Artem ; Khabibullin, Renat .
    In: Working Papers.
    RePEc:abo:neswpt:w0167.

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  744. Correlation Dynamics and International Diversification Benefits. (2013). Jin, Xisong ; Christoffersen, Peter ; Errunza, Vihang R. ; Jacobs, Kris.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-49.

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  745. Dynamic Diversification in Corporate Credit. (2013). Jin, Xisong ; Christoffersen, Peter ; Jacobs, Kris ; Langlois, Hugues.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-46.

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  746. Federal Reserve Communications and Emerging Equity Markets. (2012). Neuenkirch, Matthias ; Kutan, Ali ; Hayo, Bernd.
    In: Southern Economic Journal.
    RePEc:wly:soecon:v:78:y:2012:i:3:p:1041-1056.

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  747. Non‐stationary non‐parametric volatility model. (2012). Han, Heejoon ; Zhang, Shen.
    In: Econometrics Journal.
    RePEc:wly:emjrnl:v:15:y:2012:i:2:p:204-225.

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  748. Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model. (2012). Horvath, Roman ; Gjika, Dritan .
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2012-1035.

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  749. Financial press and stock markets in times of crisis. (2012). Casarin, Roberto ; Squazzoni, Flaminio.
    In: Working Papers.
    RePEc:ven:wpaper:2012_04.

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  750. Spillover effects of the sub-prime mortgage crisis to the Asian stock markets. (2012). Lestari, Esta.
    In: Economic Journal of Emerging Markets.
    RePEc:uii:journl:v:4:y:2012:i:2:p:181-194.

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  751. Does inflation have an impact on stock returns and volatility? Evidence from Nigeria and Ghana. (2012). ALIYU, Shehu ; Shehu Usman Rano Aliyu, ; Shehu Usman Rano Aliyu, .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:22:y:2012:i:6:p:427-435.

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  752. A study on the volatility forecast of the US housing market in the 2008 crisis. (2012). Li, Kui-Wai.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:22:y:2012:i:22:p:1869-1880.

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  753. Does weather impact the stock market? Empirical evidence in Taiwan. (2012). Wang, Yi-Hsien ; Lin, Jung .
    In: Quality & Quantity: International Journal of Methodology.
    RePEc:spr:qualqt:v:46:y:2012:i:2:p:695-703.

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  754. Asymmetry, realised volatility and stock return risk estimates. (2012). Veiga, Helena ; Grane, Aurea.
    In: Portuguese Economic Journal.
    RePEc:spr:portec:v:11:y:2012:i:2:p:147-164.

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  755. Strategic Allocation, Asset Pricing and Prior Return Patterns: Evidence from Indian Commodity Market. (2012). .
    In: Vision.
    RePEc:sae:vision:v:16:y:2012:i:4:p:273-281.

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  756. Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model. (2012). Ceylan, Ozcan.
    In: GIAM Working Papers.
    RePEc:ris:giamwp:2012_004.

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  757. أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي. (2012). Ghassan, Hassan ; Alhajhoj, Hassan R..
    In: MPRA Paper.
    RePEc:pra:mprapa:54470.

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  758. Constructing weekly returns based on daily stock market data: A puzzle for empirical research?. (2012). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan.
    In: MPRA Paper.
    RePEc:pra:mprapa:43431.

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  759. The nature of volatility in temporal profit with in Ethiopian commodity exchange: The case of washed export coffee modelled using ARFIMA-M-HYGARCH model. (2012). Mezgebo, Taddese.
    In: MPRA Paper.
    RePEc:pra:mprapa:43345.

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  760. Stock returns and real activity: the dynamic conditional lagged correlation approach. (2012). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan.
    In: MPRA Paper.
    RePEc:pra:mprapa:43307.

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  761. International portfolio diversification: An ICAPM approach with currency risk. (2012). Simos, Theodore ; Dimitriou, Dimitrios.
    In: MPRA Paper.
    RePEc:pra:mprapa:42825.

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  762. Conditionally heteroskedastic factor models with skewness and leverage effects. (2012). Dovonon, Prosper.
    In: MPRA Paper.
    RePEc:pra:mprapa:40206.

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  763. Bank systemic risk and the business cycle: Canadian and U.S. evidence. (2012). Calmès, Christian ; Calmes, Christian ; Theoret, Raymond .
    In: RePAd Working Paper Series.
    RePEc:pqs:wpaper:022012.

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  764. Industry effects and volatility transmission in portfolio diversification. (2012). Malhotra, Davinder Kumar ; Dania, Akash ; Bhargava, Vivek.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:13:y:2012:i:1:d:10.1057_jam.2011.17.

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  765. Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities. (2012). Ruiz, Esther ; Rodriguez, Maria Jose .
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:10:y:2012:i:4:p:637-668.

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  766. Stock Market Comovements in Central Europe: Evidence from Asymmetric DCC Model. (2012). Horvath, Roman ; Gjika, Dritan .
    In: Working Papers.
    RePEc:ost:wpaper:322.

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  767. Liquidity needs, private information, feedback trading: verifying motives to trade. (2012). Serwa, Dobromił ; Gebka, Bartosz ; Gbka, Bartosz .
    In: NBP Working Papers.
    RePEc:nbp:nbpmis:119.

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  768. IS INDONESIA MORE FINANCIALLY LINKED TO THE WORLD SINCE THE ASIAN FINANCIAL CRISES?. (2012). Lestari, Esta.
    In: RIEBS.
    RePEc:lip:journl:v:3:y:2012:i:2:p:1-14.

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  769. Capacidad de predicción de los modelos GARCH simétricos aplicados a variables financieras de México 2001-2011. (2012). Flores-Ortega, Miguel ; Villalba-Padilla, Fatima Irina .
    In: eseconomía.
    RePEc:ipn:esecon:v:vii:y:2012:i:34:p:81-124.

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  770. Does Chatter Really Matter? Dynamics of User-Generated Content and Stock Performance. (2012). Tellis, Gerard J. ; Tirunillai, Seshadri .
    In: Marketing Science.
    RePEc:inm:ormksc:v:31:y:2012:i:2:p:198-215.

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  771. A nonparametric test of the leverage hypothesis. (2012). Whang, Yoon-Jae ; LINTON, OLIVER ; Yen, Yu-Min .
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:24/12.

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  772. Additive Models: Extensions and Related Models.. (2012). Schienle, Melanie ; Park, Byeong U. ; Mammen, Enno.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2012-045.

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  773. Informational Efficiency of the EU ETS market – a study of price predictability and profitable trading. (2012). Remes (née Aatola), Piia ; Ollikka, Kimmo ; Ollikainen, Markku.
    In: Working Papers.
    RePEc:fer:wpaper:28.

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  774. Time dependent behavior of the Asian and the US REITs around the subprime crisis. (2012). Chang, Chien-Yun .
    In: Journal of Property Investment & Finance.
    RePEc:eme:jpifpp:v:30:y:2012:i:3:p:282-303.

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  775. Asymmetric GARCH processes featuring both threshold effect and bilinear structure. (2012). Park, J. A. ; Hwang, S. Y. ; Choi, M. S..
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:82:y:2012:i:3:p:419-426.

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  776. Asymmetric and threshold effects on comovements among Germanic cross-listed equities. (2012). ΚΑΡΤΑΛΗΣ, ΝΙΚΟΛΑΟΣ ; Koulakiotis, Athanasios ; Kartalis, Nikos ; Papasyriopoulos, Nicholas ; Lyroudi, Katerina .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:24:y:2012:i:c:p:327-342.

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  777. Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical study. (2012). Lee, Cheng-Few ; Wu, Po-Cheng ; Kao, Lie-Jane .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:21:y:2012:i:1:p:115-129.

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  778. Shock-dependent conditional skewness in international aggregate stock markets. (2012). Lai, Jing-Yi .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:52:y:2012:i:1:p:72-83.

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  779. The Performance Of Nonlinearity Tests On Asymmetric Nonlinear Time Series. (2012). Ahn, Eun S ; Lee, Jin Man.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:9:y:2012:i:2:p:11-44.

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  780. Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options. (2012). Christoffersen, Peter ; ORNTHANALAI, CHAYAWAT ; Jacobs, Kris.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:106:y:2012:i:3:p:447-472.

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  781. Investor attention, psychological anchors, and stock return predictability. (2012). Yu, Jianfeng ; Li, Jun.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:104:y:2012:i:2:p:401-419.

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  782. The information content of the Banking Regulatory Agencies and the Depository Credit Intermediation Institutions. (2012). Elshahat, A. ; Hong, Liang ; Parhizgari, Ali .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:64:y:2012:i:1:p:90-104.

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  783. Information demand and stock market volatility. (2012). Vlastakis, Nikolaos ; Markellos, Raphael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:6:p:1808-1821.

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  784. Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective. (2012). Hyde, Stuart ; Guidolin, Massimo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:3:p:695-716.

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  785. Will tighter futures price limits decrease hedge effectiveness?. (2012). Dark, Jonathan .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:10:p:2717-2728.

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  786. Are freight futures markets efficient? Evidence from IMAREX. (2012). Skiadopoulos, George ; Goulas, Lambros .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:28:y:2012:i:3:p:644-659.

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  787. GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case. (2012). Simonato, Jean-Guy.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:9:y:2012:i:4:p:213-219.

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  788. Financing renewable energy infrastructure: Formulation, pricing and impact of a carbon revenue bond. (2012). Tang, Amy ; Chiara, Nicola ; Taylor, John E..
    In: Energy Policy.
    RePEc:eee:enepol:v:45:y:2012:i:c:p:691-703.

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  789. Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model. (2012). Serletis, Apostolos ; Rahman, Sajjadur .
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:2:p:603-610.

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  790. Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market. (2012). Chang, Kuang-Liang.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:1:p:294-306.

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  791. Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts. (2012). Capistrán, Carlos ; Capistran, Carlos ; Benavides, Guillermo .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:5:p:627-639.

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  792. Time-varying leverage effects. (2012). Renò, Roberto ; Bandi, Federico M..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:169:y:2012:i:1:p:94-113.

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  793. A semiparametric stochastic volatility model. (2012). Yu, Jun ; JunYu, .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:167:y:2012:i:2:p:473-482.

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  794. Sources of volatility persistence: A case study of the U.K. pound/U.S. dollar exchange rate returns. (2012). Anwar, Sajid ; Beg, A. B. M. Rabiul Alam, .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:23:y:2012:i:2:p:165-184.

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  795. Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market. (2012). Santos, Andre ; Moura, Guilherme ; André A. P. Santos, ; Caldeira, Joo .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-12-00293.

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  796. Commodities volatility and the theory of storage. (2012). Dufays, Arnaud ; Carpantier, Jean-François.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2012037.

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  797. Modeling and Forecasting Value-at-Risk in the UAE Stock Markets: The Role of Long Memory, Fat Tails and Asymmetries in Return Innovations. (2012). Awartani, Basel ; Maghyereh, Aktham Issa .
    In: Review of Middle East Economics and Finance.
    RePEc:bpj:rmeecf:v:8:y:2012:i:1:n:4.

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  798. Co‐movements and Correlations Across Asian Securitized Real Estate and Stock Markets. (2012). Liow, Kim.
    In: Real Estate Economics.
    RePEc:bla:reesec:v:40:y:2012:i:1:p:97-129.

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  799. How news affect the trading behavior of different categories of investors in a financial market. (2012). Mantegna, Rosario ; Lillo, Fabrizio ; Micciche, Salvatore ; Tumminello, Michele ; Piilo, Jyrki .
    In: Papers.
    RePEc:arx:papers:1207.3300.

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  800. GARCH Option Valuation: Theory and Evidence. (2012). Christoffersen, Peter ; Jacobs, Kris ; ORNTHANALAI, CHAYAWAT .
    In: CREATES Research Papers.
    RePEc:aah:create:2012-50.

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  801. Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-48.

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  802. Hedging Effectiveness under Conditions of Asymmetry. (2011). Hanly, Jim ; cotter, john.
    In: Working Papers.
    RePEc:ucd:wpaper:200843.

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  803. The Relationship between Currency Carry Trades and U.S. Stocks The article examines the relationship between daily returns of currency carry trades and U.S. stocks from January 1995 through September . (2011). Zhao, Lin ; Tse, Yiuman.
    In: Working Papers.
    RePEc:tsa:wpaper:0020fin.

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  804. Johnson binomial trees. (2011). Simonato, Jean-Guy.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:8:p:1165-1176.

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  805. Trading asymmetric trend and volatility by leverage trend GARCH in Taiwan stock index. (2011). Su, EnDer ; Bilson, John.
    In: Applied Economics.
    RePEc:taf:applec:v:43:y:2011:i:26:p:3891-3905.

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  806. GJR-GARCH model in value-at-risk of financial holdings. (2011). Huang, H. C. ; Lin, Y. J. ; Su, Y. C..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:21:y:2011:i:24:p:1819-1829.

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  807. Dynamic correlation between stock prices and exchange rates. (2011). Lee, Chia-Hao ; Doong, Shuh-Chyi ; Chou, Pei-I ; Pei-I Chou, ; Pei-I Chou, .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:21:y:2011:i:11:p:789-800.

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  808. Stylized facts of return series, robust estimates and three popular models of volatility. (2011). Teräsvirta, Timo ; Terasvirta, Timo ; Zhao, Zhenfang.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:67-94.

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  809. Issues and Models in Applied Econometrics: A partial survey. (2011). Andrikopoulos, Andreas A. ; Gkountanis, Dimitrios C..
    In: South-Eastern Europe Journal of Economics.
    RePEc:seb:journl:v:9:y:2011:i:2:p:107-165.

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  810. Non Linearity and Heteroskedasticity Effect on Stock Returns Volatility. (2011). .
    In: Global Business Review.
    RePEc:sae:globus:v:12:y:2011:i:2:p:319-329.

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  811. Comparing the Leverage Effect of Different Frequencies of Stock Returns in an Emerging Market: A Case Study of Pakistan. (2011). Rafique, Amir.
    In: Information Management and Business Review.
    RePEc:rnd:arimbr:v:3:y:2011:i:6:p:283-288.

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  812. Comparison of VaR estimation methods for different forecasting samples for Russian stocks. (2011). Shcherba, Alexandr.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0102.

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  813. Analytic Moments for GARCH Processes. (2011). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2011-07.

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  814. Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market. (2011). P, Srinivasan ; P., Srinivasan, .
    In: MPRA Paper.
    RePEc:pra:mprapa:47412.

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  815. A study on the volatility forecast of the US housing market in the 2008 crisis. (2011). Li, Kui-Wai.
    In: MPRA Paper.
    RePEc:pra:mprapa:41033.

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  816. Monetary Union effects on European stock market integration: An international CAPM approach with currency risk. (2011). Simos, Theodore ; Dimitriou, Dimitrios.
    In: MPRA Paper.
    RePEc:pra:mprapa:37477.

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  817. Are realized volatility models good candidates for alternative Value at Risk prediction strategies?. (2011). Louzis, Dimitrios ; Refenes, Apostolos P. ; Xanthopoulos-Sisinis, Spyros .
    In: MPRA Paper.
    RePEc:pra:mprapa:30364.

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  818. Does inflation has an Impact on Stock Returns and Volatility? Evidence from Nigeria and Ghana. (2011). ALIYU, Shehu ; Shehu Usman Rano, Aliyu, .
    In: MPRA Paper.
    RePEc:pra:mprapa:30091.

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  819. Bank systemic risk and the business cycle: An empirical investigation using Canadian data. (2011). Calmès, Christian ; Calmes, Christian ; Theoret, Raymond .
    In: RePAd Working Paper Series.
    RePEc:pqs:wpaper:322011.

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  820. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:11-037.

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  821. News--Good or Bad--and Its Impact on Volatility Predictions over Multiple Horizons. (2011). Ghysels, Eric ; Chen, Xilong .
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:24:y:2011:i:1:p:46-81.

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  822. The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency. (2011). Fan, Jianqing ; Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17592.

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  823. The Role of Realised Volatility in the Athens Stock Exchange. (2011). Thomakos, Dimitrios D. ; Koubouros, Michail S..
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:16:y:2011:i:1-2:p:87-124.

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  824. The Role of Realised Volatility in the Athens Stock Exchange. (2011). Thomakos, Dimitrios ; Koubouros, Michail S.
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:15:y:2011:i:1-2:p:87-124.

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  825. On the Nonparametric Tests of Univariate GARCH Regression Models. (2011). Shadat, Wasel.
    In: The School of Economics Discussion Paper Series.
    RePEc:man:sespap:1115.

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  826. An investigation of parametric tests of CCC assumption. (2011). Shadat, Wasel ; Orme, Chris.
    In: The School of Economics Discussion Paper Series.
    RePEc:man:sespap:1109.

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  827. Stock, Energy and Currency Effects on the Asymmetric Wheat Market. (2011). Sariannidis, Nikolaos.
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:17:y:2011:i:2:p:181-192:10.1007/s11294-011-9298-z.

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  828. Stock, Energy and Currency Effects on the Asymmetric Wheat Market. (2011). Sariannidis, Nikolaos.
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:17:y:2011:i:2:p:181-192.

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  829. Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact. (2011). .
    In: Computational Economics.
    RePEc:kap:compec:v:37:y:2011:i:3:p:301-330.

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  830. Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis. (2011). Hayes, Dermot ; Yu, Cindy L ; Du, Xiaodong.
    In: ISU General Staff Papers.
    RePEc:isu:genstf:201105010700001512.

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  831. Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective. (2011). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:igi:igierp:414.

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  832. THE IMPACT OF SHORT SALE RESTRICTIONS ON STOCK VOLATILITY: EVIDENCE FROM TAIWAN. (2011). Wei, Shih Yung ; Jack J. W. Yang, ; Jack J. W. Yang, .
    In: The International Journal of Business and Finance Research.
    RePEc:ibf:ijbfre:v:5:y:2011:i:4:p:89-98.

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  833. EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland. (2011). Hayo, Bernd ; Buettner, David .
    In: Post-Print.
    RePEc:hal:journl:hal-00716632.

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  834. Does Online Chatter Really Matter? Dynamics of User-Generated Content and Stock Performance. (2011). Tellis, G. J. ; Tirunillai, S..
    In: ERIM Report Series Research in Management.
    RePEc:ems:eureri:25817.

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  835. Volatility transmission and asymmetric linkages between the stock and foreign exchange markets: A sectoral analysis. (2011). Holmes, Mark ; Daniel F. S. Choi, ; Fu, Tian Yong .
    In: Studies in Economics and Finance.
    RePEc:eme:sefpps:v:28:y:2011:i:1:p:36-50.

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  836. Do regulatory policies affect the flow of information in emerging markets?. (2011). Cressy, Robert ; Farag, Hisham.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:25:y:2011:i:3:p:238-254.

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  837. The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach. (2011). Wang, Kehluh ; Chen, Yi-Hsuan ; Huang, Szu-Wei .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:20:y:2011:i:4:p:654-664.

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  838. Terrorism and capital markets: The effects of the Madrid and London bomb attacks. (2011). STAGIANNIS, APOSTOLOS ; Papadamou, Stephanos ; Kollias, Christos.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:20:y:2011:i:4:p:532-541.

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  839. Stock markets and terrorist attacks: Comparative evidence from a large and a small capitalization market. (2011). Papadamou, Stephanos ; Kollias, Christos ; Stagiannis, Apostolos ; Manou, Efthalia .
    In: European Journal of Political Economy.
    RePEc:eee:poleco:v:27:y:2011:i:s1:p:s64-s77.

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  840. Explanatory mining for gold: Contrasting evidence from simple and multiple regressions. (2011). Baur, Dirk.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:36:y:2011:i:3:p:265-275.

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  841. What drives international equity correlations? Volatility or market direction?. (2011). Taamouti, Abderrahim ; Amira, Khaled ; Tsafack, Georges .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:30:y:2011:i:6:p:1234-1263.

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  842. Food scare crises and price volatility: The case of the BSE in Spain. (2011). serra, teresa.
    In: Food Policy.
    RePEc:eee:jfpoli:v:36:y:2011:i:2:p:179-185.

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  843. How do exchange rates co-move? A study on the currencies of five inflation-targeting countries. (2011). Li, Xiao-Ming.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:2:p:418-429.

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  844. Asymmetric herding as a source of asymmetric return volatility. (2011). Park, Beum Jo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2657-2665.

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  845. Financial crises and stock market contagion in a multivariate time-varying asymmetric framework. (2011). Kenourgios, Dimitris ; Samitas, Aristeidis ; Paltalidis, Nikos.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:21:y:2011:i:1:p:92-106.

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  846. Asymmetric volatility and trading volume: The G5 evidence. (2011). Sabbaghi, Omid .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:22:y:2011:i:2:p:169-181.

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  847. Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets. (2011). Deesomsak, Rataporn ; Chau, Frankie ; Lau, Marco C. K., .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:20:y:2011:i:5:p:292-305.

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  848. Nonparametric modeling of carbon prices. (2011). Chevallier, Julien.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:6:p:1267-1282.

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  849. Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis. (2011). Hayes, Dermot ; Du, Xiaodong ; Yu, Cindy L..
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:3:p:497-503.

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  850. American option pricing with discrete and continuous time models: An empirical comparison. (2011). Stentoft, Lars.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:5:p:880-902.

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  851. Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions. (2011). Galbraith, John ; Zhu, Dongming .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:4:p:765-778.

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  852. Testing weak form efficiency on the Toronto Stock Exchange. (2011). Tapon, Francis ; Alexeev, Vitali.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:4:p:661-691.

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  853. Is unlevered firm volatility asymmetric?. (2011). Ng, David ; Daouk, Hazem .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:4:p:634-651.

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  854. Stock market momentum, business conditions, and GARCH option pricing models. (2011). Huang, Hsin-Yi ; Chiang, Min-Hsien .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:488-505.

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  855. Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model. (2011). Kili, Rehim .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:368-378.

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  856. Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach. (2011). Fry, John ; Chkili, Walid ; Aloui, Chaker ; Chaker, Aloui ; Masood, Omar ; Walid, Chkili .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:12:y:2011:i:3:p:272-292.

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  857. Forecasting multivariate realized stock market volatility. (2011). Bauer, Gregory ; Vorkink, Keith.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:93-101.

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  858. Semiparametric EGARCH model with the case study of China stock market. (2011). Yang, HU ; Wu, Xingcui .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:3:p:761-766.

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  859. The effectiveness of the sunshine effect in Taiwans stock market before and after the 1997 financial crisis. (2011). wang, kuan min ; Lee, Yuan-Ming .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:1:p:710-727.

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  860. Comprehensive evaluation of ARMA-GARCH(-M) approaches for modeling the mean and volatility of wind speed. (2011). Erdem, Ergin ; Shi, Jing ; Liu, Heping .
    In: Applied Energy.
    RePEc:eee:appene:v:88:y:2011:i:3:p:724-732.

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  861. Contemporaneous-Threshold Smooth Transition GARCH Models. (2011). Spagnolo, Fabio ; Sola, Martin ; Psaradakis, Zacharias ; Dueker, Michael J..
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:15:y:2011:i:2:n:1.

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  862. HYBRID GARCH Models and Intra-Daily Return Periodicity. (2011). Ghysels, Eric ; Chen, Xilong ; Wang, Fangfang.
    In: Journal of Time Series Econometrics.
    RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:11.

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  863. The Effects of Currency Futures Trading on Turkish Currency Market. (2011). Oduncu, Arif.
    In: Journal of BRSA Banking and Financial Markets.
    RePEc:bdd:journl:v:5:y:2011:i:1:p:97-109.

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  864. Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets. (2011). Hoesli, Martin ; Reka, Kustrim .
    In: ERES.
    RePEc:arz:wpaper:eres2011_63.

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  865. Hedging Effectiveness under Conditions of Asymmetry. (2011). Hanly, Jim ; cotter, john.
    In: Papers.
    RePEc:arx:papers:1103.5411.

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

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  867. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-37.

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  868. Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models. (2010). Chen, Cathy W. S. ; Gerlach, Richard H.
    In: Applied Stochastic Models in Business and Industry.
    RePEc:wly:apsmbi:v:26:y:2010:i:1:p:28-49.

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  869. Supply response and price volatility in the Greek broiler market. (2010). Stavropoulos, Konstantinos ; Rezitis, Anthony.
    In: Agribusiness.
    RePEc:wly:agribz:v:26:y:2010:i:1:p:25-48.

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  870. Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH. (2010). McAleer, Michael ; Caporin, Massimiliano.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2010cf740.

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  871. Pricing-to-market and the volatility of UK export prices. (2010). Lai, Baoying ; Joseph, Nathan Lael .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:20:y:2010:i:18:p:1441-1460.

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  872. An application of closed-form GARCH option-pricing model on FTSE 100 option and volatility. (2010). Huang, HanChing ; Su, Yong Chern ; Chen, MingDa .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:20:y:2010:i:11:p:899-910.

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  873. Open interest, volume, and volatility: evidence from Taiwan futures markets. (2010). Yen, Stephane ; Chen, Ming-Hsiang.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:34:y:2010:i:2:p:113-141.

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  874. Empirical Analysis of Conditional Heteroskedasticity in Time Series of Stock Returns and Asymmetric Effect on Volatility. (2010). .
    In: Global Business Review.
    RePEc:sae:globus:v:11:y:2010:i:1:p:21-33.

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  875. Volatility in Indian Stock Markets. (2010). mukherjee, conan.
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:9:y:2010:i:1:p:71-93.

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  876. Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes. (2010). Matei, Marius.
    In: Working Papers of Institute for Economic Forecasting.
    RePEc:rjr:wpiecf:100201.

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  877. Portfolio Risk Analysis. (2010). Connor, Gregory ; Korajczyk, Robert A ; Goldberg, Lisa R.
    In: Economics Books.
    RePEc:pup:pbooks:9224.

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  878. Transmisión de Shocks y Acoplamiento con Mercados Accionarios Externos: Efectos Asimétricos y Quiebre Estructural. (2010). Morales, Marco ; Yaez, Guillermo ; Melendez, Maria Jose .
    In: Working Papers.
    RePEc:ptl:wpaper:11.

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  879. Does the entry of foreign investors influence the volatility of Doha Securities Market?. (2010). Abdullah, Abdelgader ; GHASSAN, Hassan.
    In: MPRA Paper.
    RePEc:pra:mprapa:95620.

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  880. Oil and portfolio risk diversification. (2010). Paladino, Giovanna ; Cifarelli, Giulio.
    In: MPRA Paper.
    RePEc:pra:mprapa:28293.

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  881. A jump diffusion model for VIX volatility options and futures. (2010). Markellos, Raphael ; Dotsis, George ; Psychoyios, Dimitris.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:35:y:2010:i:3:p:245-269.

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  882. Spill over effects of futures contracts initiation on the cash market: a regime shift approach. (2010). Sogiakas, Vasilios ; Karathanassis, George .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:34:y:2010:i:1:p:95-143.

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  883. Volatilities and Momentum Returns in Real Estate Investment Trusts. (2010). Glascock, John ; Hung, Szu-Yin .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:41:y:2010:i:2:p:126-149.

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  884. Market efficiency and the Euro: the case of the Athens stock exchange. (2010). Panagiotidis, Theodore.
    In: Empirica.
    RePEc:kap:empiri:v:37:y:2010:i:3:p:237-251.

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  885. Partially Adaptive Econometric Methods For Regression and Classification. (2010). Theodossiou, Panayiotis ; McDonald, James ; Larsen, Bradley.
    In: Computational Economics.
    RePEc:kap:compec:v:36:y:2010:i:2:p:153-169.

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  886. Three Essays in Environmental and Agricultural Issues. (2010). Sengupta, Sanchita.
    In: ISU General Staff Papers.
    RePEc:isu:genstf:201001010800002848.

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  887. Option Pricing Under GARCH Processes Using PDE Methods. (2010). BRETON, Michel E ; de Frutos, Javier.
    In: Operations Research.
    RePEc:inm:oropre:v:58:y:2010:i:4-part-2:p:1148-1157.

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  888. Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model. (2010). Kouretas, Georgios ; Drakos, Anastassios A. ; Zarangas, Leonidas P..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:15:y:2010:i:4:p:331-350.

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  889. Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes. (2010). Chorro, Christophe ; Ielpo, Florian ; Guegan, Dominique.
    In: Post-Print.
    RePEc:hal:journl:halshs-00523371.

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  890. The day-of-the week effects on the volatility: The role of the asymmetry. (2010). CHARLES, Amelie.
    In: Post-Print.
    RePEc:hal:journl:hal-00771136.

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  891. Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH. (2010). McAleer, Michael ; Caporin, Massimiliano.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:19452.

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  892. Impact of capital control measures on the Malaysian stock market: A multiresolution analysis. (2010). Raghavan, Mala ; Maharaj, Elizabeth ; Dark, Jonathan .
    In: International Journal of Managerial Finance.
    RePEc:eme:ijmfpp:v:6:y:2010:i:2:p:116-127.

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  893. Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations. (2010). Park, J. A. ; Hwang, S. Y. ; Choi, M. S. ; Baek, J. S..
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:80:y:2010:i:1:p:26-33.

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  894. The business cycle and the equity risk premium in real time. (2010). Pierdzioch, Christian ; Kizys, Renatas.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:19:y:2010:i:4:p:711-722.

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  895. Value at risk models for volatile emerging markets equity portfolios. (2010). Spyrou, Spyros ; Kavussanos, Manolis ; Dimitrakopoulos, Dimitris.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:50:y:2010:i:4:p:515-526.

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  896. Information transmission between small and large stocks in the National Stock Exchange in India: An empirical study. (2010). Karmakar, Madhusudan .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:50:y:2010:i:1:p:110-120.

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  897. Inflation, inflation uncertainty and output growth in the USA. (2010). Mallik, Girijasankar ; Bhar, Ramprasad .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:23:p:5503-5510.

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  898. Asymmetry in return and volatility spillover between equity and bond markets in Australia. (2010). faff, robert ; Loudon, Geoffrey F. ; Dean, Warren G..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:18:y:2010:i:3:p:272-289.

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  899. Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching. (2010). Yin, G. ; Xi, Fubao, .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:101:y:2010:i:6:p:1378-1389.

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  900. Sign and phase asymmetry: News, economic activity and the stock market. (2010). Shields, K ; Henry, Ólan ; Olekalns, Nilss.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:32:y:2010:i:4:p:1083-1100.

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  901. Time-varying integration, interdependence and contagion. (2010). Inghelbrecht, Koen ; Baele, Lieven.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:5:p:791-818.

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  902. Modeling beef supply response and price volatility under CAP reforms: The case of Greece. (2010). Stavropoulos, Konstantinos ; Rezitis, Anthony.
    In: Food Policy.
    RePEc:eee:jfpoli:v:35:y:2010:i:2:p:163-174.

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  903. Unobservable shocks as carriers of contagion. (2010). Thorp, Susan ; Milunovich, George ; Dungey, Mardi.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:5:p:1008-1021.

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  904. Inflation risk and international asset returns. (2010). van Dijk, Mathijs ; Moerman, Gerard A..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:4:p:840-855.

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  905. How asymmetric is U.S. stock market volatility?. (2010). Guan, Wei ; Ederington, Louis H..
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:13:y:2010:i:2:p:225-248.

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  906. Performance and conservatism of monthly FHS VaR: An international investigation. (2010). Coggins, Frank ; Chretien, Stephane .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:19:y:2010:i:5:p:323-333.

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  907. The substitutive effect of biofuels on fossil fuels in the lower and higher crude oil price periods. (2010). Su, Hsin-Mei ; Chang, Ting-Huan .
    In: Energy.
    RePEc:eee:energy:v:35:y:2010:i:7:p:2807-2813.

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  908. Symmetric and asymmetric US sector return volatilities in presence of oil, financial and economic risks. (2010). Hammoudeh, Shawkat ; Chiang, Thomas ; Nandha, Mohan ; Yuan, Yuan.
    In: Energy Policy.
    RePEc:eee:enepol:v:38:y:2010:i:8:p:3922-3932.

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  909. Oil price dynamics and speculation: A multivariate financial approach. (2010). Paladino, Giovanna ; Cifarelli, Giulio.
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:2:p:363-372.

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  910. Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model. (2010). Nielsen, Morten ; Christensen, Bent Jesper ; Zhu, Jie.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:3:p:460-470.

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  911. The day-of-the-week effects on the volatility: The role of the asymmetry. (2010). CHARLES, Amelie.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:202:y:2010:i:1:p:143-152.

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  912. Stock return seasonalities and investor structure: Evidence from Chinas B-share markets. (2010). Siklos, Pierre ; Bohl, Martin T. ; Schuppli, Michael .
    In: China Economic Review.
    RePEc:eee:chieco:v:21:y:2010:i:1:p:190-201.

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  913. The size of the underground economy in Japan. (2010). Hamori, Shigeyuki ; KANAO, Koji .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-10-00199.

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  914. A reassessment of the European SRI Funds underperformance: does the intensity of extra-financial negative screening matter?. (2010). Maveyraud, Samuel ; Jégourel, Yves ; Jegourel, Yves.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-09-00563.

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  915. Volatility transmission and volatility impulse response functions in European electricity forward markets. (2010). Sevi, Benoit ; le Pen, Yannick.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/5450.

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  916. Expected and Unexpected Impulses of Monetary Policy on the Interest Pass-Through Mechanism in Asian Countries. (2010). wang, kuan min.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2010:v:11:i:1:p:95-137.

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  917. Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH. (2010). McAleer, Michael ; Caporin, Massimiliano.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf217.

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  918. Realized Volatility Risk. (2010). Scharth, Marcel ; McAleer, Michael ; Allen, David.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf197.

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  919. Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets. (2010). Wdowinski, Piotr ; Malecka, Marta .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2974.

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  920. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form. (2010). Peel, David ; Pavlidis, Efthymios ; Paya, Ivan.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:14:y:2010:i:3:n:3.

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  921. GLOBAL OIL PRICES, OIL INDUSTRY AND EQUITY RETURNS: RUSSIAN EXPERIENCE. (2010). Nikolova, Biljana ; Bhar, Ramaprasad.
    In: Scottish Journal of Political Economy.
    RePEc:bla:scotjp:v:57:y:2010:i:2:p:169-186.

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  922. A High†Frequency Investigation of the Interaction between Volatility and DAX Returns. (2010). Masset, Philippe ; Wallmeier, Martin .
    In: European Financial Management.
    RePEc:bla:eufman:v:16:y:2010:i:3:p:327-344.

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  923. Volatility and Volume Effects in European Electricity Spot Markets. (2010). Gianfreda, Angelica.
    In: Economic Notes.
    RePEc:bla:ecnote:v:39:y:2010:i:1-2:p:47-63.

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  924. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models. (2010). Stentoft, Lars ; Rombouts, Jeroen ; Jeroen V. K. Rombouts, .
    In: CREATES Research Papers.
    RePEc:aah:create:2010-44.

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  925. Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Huang, Zhuo ; Hansen, Peter ; Shek, Howard Howan .
    In: CREATES Research Papers.
    RePEc:aah:create:2010-13.

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  926. Modelling Stochastic Volatility with Leverage and Jumps : A Simulated Maximum Likelihood Approach via Particle Filtering. (2009). Pitt, Michael K ; Malik, Sheheryar.
    In: The Warwick Economics Research Paper Series (TWERPS).
    RePEc:wrk:warwec:897.

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  927. Repo Auctions and the Market for Liquidity. (2009). Strebulaev, Ilya A ; Nyborg, Kjell G ; Bindseil, Ulrich.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:41:y:2009:i:7:p:1391-1421.

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  928. Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH. (2009). McAleer, Michael ; Caporin, Massimiliano.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0911.

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  929. Realized Volatility Risk. (2009). Scharth, Marcel ; McAleer, Michael ; Allen, David.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf693.

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  930. Stock and bond market interactions with level and asymmetry dynamics : An out-of-sample application. (2009). de Goeij, P. C. ; Marquering, W..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:fa1d33b9-7e68-4e15-b211-ed01c91a9c3a.

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  931. Macroeconomic effects on D.J.S.I.-World Returns. (2009). ΚΑΡΤΑΛΗΣ, ΝΙΚΟΛΑΟΣ ; KONTEOS, George ; Kartalis, Nikos ; Sariannidis, Nikolaos ; Koskosas, Ioannis .
    In: International Journal of Business and Economic Sciences Applied Research (IJBESAR).
    RePEc:tei:journl:v:2:y:2009:i:2:p:95-110.

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  932. An analysis of dynamic risk in the Greater China equity markets. (2009). Johansson, Anders.
    In: Journal of Chinese Economic and Business Studies.
    RePEc:taf:jocebs:v:7:y:2009:i:3:p:299-320.

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  933. Forecasting the weekly time-varying beta of UK firms: GARCH models vs. Kalman filter method. (2009). Wu, Hao ; Choudhry, Taufiq.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:15:y:2009:i:4:p:437-444.

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  934. Crude oil shocks and stock market returns. (2009). Odusami, Babatunde Olatunji .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:19:y:2009:i:4:p:291-303.

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  935. The relative contribution of conditional mean and volatility in bivariate returns to international stock market indices. (2009). Okada, Katsushi ; Butler, Kirt.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:19:y:2009:i:1:p:1-15.

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  936. Spillovers and correlations between US and major European stock markets: the role of the euro. (2009). Savva, Christos ; Osborn, Denise ; Gill, Len .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:19:y:2009:i:19:p:1595-1604.

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  937. Are the Basel II requirements justified in the presence of structural breaks?. (2009). Sjolander, Par.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:19:y:2009:i:12:p:985-998.

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  938. Modelling stock returns in Africas emerging equity markets. (2009). Panagiotidis, Theodore ; ALAGIDEDE, PAUL.
    In: Stirling Economics Discussion Papers.
    RePEc:stl:stledp:2009-04.

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  939. Selecting the portfolio investment strategy under political structure change in United States. (2009). Wang, Yi-Hsien ; Chuang, Chung-Chu.
    In: Quality & Quantity: International Journal of Methodology.
    RePEc:spr:qualqt:v:43:y:2009:i:5:p:845-854.

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  940. A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH). (2009). Curto, Jose Dias ; Pinto, Jose Castro ; Tomaz, Joo .
    In: Portuguese Economic Journal.
    RePEc:spr:portec:v:8:y:2009:i:1:p:23-36.

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  941. Smoothly truncated stable distributions, GARCH-models, and option pricing. (2009). Rachev, Svetlozar ; Menn, Christian.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:69:y:2009:i:3:p:411-438.

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  942. Calendar Anomalies in the Ghana Stock Exchange. (2009). Panagiotidis, Theodore ; ALAGIDEDE, IMHOTEP.
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:8:y:2009:i:1:p:1-23.

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  943. Asymmetric GARCH and the financial crisis: a preliminary study. (2009). Výrost, Tomᚠ; Baumohl, Eduard ; Vrost, Toma.
    In: MPRA Paper.
    RePEc:pra:mprapa:27939.

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  944. Asymmetric GARCH and the financial crisis: a preliminary study. (2009). Výrost, Tomᚠ; Baumohl, Eduard ; Vrost, Toma.
    In: MPRA Paper.
    RePEc:pra:mprapa:27909.

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  945. The Month-of-the-year Effect: Evidence from GARCH models in Fifty Five Stock Markets. (2009). Giovanis, Eleftherios.
    In: MPRA Paper.
    RePEc:pra:mprapa:22328.

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  946. Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB. (2009). Giovanis, Eleftherios.
    In: MPRA Paper.
    RePEc:pra:mprapa:22326.

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  947. Identifying common dynamic features in stock returns. (2009). Crato, Nuno ; Caiado, Jorge.
    In: MPRA Paper.
    RePEc:pra:mprapa:15241.

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  948. Concepts and tools for nonlinear time series modelling. (2009). Francq, Christian ; Amendola, Alessandra.
    In: MPRA Paper.
    RePEc:pra:mprapa:15140.

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  949. Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience. (2009). Miller, Stephen ; Canarella, Giorgio ; Pollard, Stephen K..
    In: Working Papers.
    RePEc:nlv:wpaper:0905.

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  950. The Determinants of Stock and Bond Return Comovements. (2009). Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15260.

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  951. FORECASTING EXPECTED SHORTFALL WITH A GENERALIZED ASYMMETRIC STUDENT-T DISTRIBUTION. (2009). Galbraith, John ; Zhu, Dongming .
    In: Departmental Working Papers.
    RePEc:mcl:mclwop:2009-01.

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  952. Modelling stock returns in Africa’s emerging equity markets.. (2009). Panagiotidis, Theodore ; ALAGIDEDE, PAUL.
    In: Discussion Paper Series.
    RePEc:mcd:mcddps:2009_01.

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  953. Federal Reserve Communications and Emerging Equity Markets. (2009). Neuenkirch, Matthias ; Kutan, Ali ; Hayo, Bernd.
    In: MAGKS Papers on Economics.
    RePEc:mar:magkse:200923.

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  954. Domestic or U.S. News: What Drives Canadian Financial Markets?. (2009). Neuenkirch, Matthias ; Hayo, Bernd.
    In: MAGKS Papers on Economics.
    RePEc:mar:magkse:200908.

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  955. The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland. (2009). Neuenkirch, Matthias ; Hayo, Bernd ; Buttner, David .
    In: MAGKS Papers on Economics.
    RePEc:mar:magkse:200903.

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  956. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen ; Jeroen V. K. Rombouts, .
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:0926.

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  957. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form. (2009). Peel, David ; Paya, Ivan ; Pavlidis, E.
    In: Working Papers.
    RePEc:lan:wpaper:2596.

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  958. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form. (2009). Pavlidis, E ; Paya, Ivan.
    In: Working Papers.
    RePEc:lan:wpaper:2454.

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  959. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form. (2009). Peel, D ; Paya, Ivan ; Pavlidis, E.
    In: Working Papers.
    RePEc:lan:wpaper:2375.

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  960. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form. (2009). Peel, D ; Zhang, S ; Paya, Ivan.
    In: Working Papers.
    RePEc:lan:wpaper:2373.

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  961. Intraday volatility responses to monetary policy events. (2009). Lunde, Asger ; Zebedee, Allan .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:23:y:2009:i:4:p:383-399.

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  962. 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.

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  963. A threshold factor multivariate stochastic volatility model. (2009). Choi, C. Y. ; Mike K. P. So, ; Mike K. P. So, .
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:28:y:2009:i:8:p:712-735.

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  964. Volatility forecasting with double Markov switching GARCH models. (2009). Lin, Edward ; Chen, Cathy W. S. ; Cathy W. S. Chen, ; Mike K. P. So, ; Mike K. P. So, ; Edward M. H. Lin, ; Cathy W. S. Chen, .
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:28:y:2009:i:8:p:681-697.

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  965. Optimal sampling frequency for volatility forecast models for the Indian stock markets. (2009). Bhattacharyya, Malay ; Kumar, Dileep.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:28:y:2009:i:1:p:38-54.

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  966. Dynamic Programming Approach for Valuing Options in the GARCH Model. (2009). Ben-Ameur, Hatem ; Breton, Michele ; Martinez, Juan-Manuel .
    In: Management Science.
    RePEc:inm:ormnsc:v:55:y:2009:i:2:p:252-266.

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  967. AN ANALYSIS OF DYNAMIC RISK IN THE GREATER CHINA EQUITY MARKETS. (2009). Johansson, Anders.
    In: Working Paper Series.
    RePEc:hhs:hacerc:2009-005.

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  968. Is Oil A Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years. (2009). Paladino, Giovanna ; Cifarelli, Giulio.
    In: Working Papers - Economics.
    RePEc:frz:wpaper:wp2009_12.rdf.

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  969. Housing price volatility and its determinants. (2009). Lee, Chyi Lin.
    In: International Journal of Housing Markets and Analysis.
    RePEc:eme:ijhmap:v:2:y:2009:i:3:p:293-308.

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  970. Spillover Effects Among the Greater China Stock Markets. (2009). Johansson, Anders ; Ljungwall, Christer .
    In: World Development.
    RePEc:eee:wdevel:v:37:y:2009:i:4:p:839-851.

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  971. Expiration hour effect of futures and options markets on stock market -- A case study on NSE (National Stock Exchange of India). (2009). Maniyar, Dharmesh M. ; Bhatt, Rajesh ; Maniar, Hiren M..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:18:y:2009:i:3:p:381-391.

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  972. A study about the existence of the leverage effect in stochastic volatility models. (2009). Psric, Cristian Gabriel ; Florescu, Ionu .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:388:y:2009:i:4:p:419-432.

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  973. U.S. and Japanese macroeconomic news and stock market volatility in Asia-Pacific. (2009). Vrugt, Evert.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:17:y:2009:i:5:p:611-627.

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  974. Stock index reaction to large price changes: Evidence from major Asian stock indexes. (2009). Palliere, Clement ; Joseph, Nathan Lael ; Mazouz, Khelifa.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:17:y:2009:i:4:p:444-459.

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  975. Stock market liberalization and return volatility: Evidence from the emerging market of Sri Lanka. (2009). Jaleel, Fazeel M. ; Samarakoon, Lalith P..
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:19:y:2009:i:5:p:409-423.

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  976. Domestic monetary transfers and the inland bill of exchange markets in Spain (1775-1885). (2009). Maixé-Altés, J. Carles ; Iglesias, Emma ; Maix-Alts, Carles J..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:28:y:2009:i:3:p:496-521.

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  977. Does exchange rate risk affect exports asymmetrically? Asian evidence. (2009). Miller, Stephen ; Fang, Wen Shwo ; Lai, YiHao .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:28:y:2009:i:2:p:215-239.

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  978. Modeling the time-varying volatility of the paper-bill spread. (2009). Ewing, Bradley ; Kruse, Jamie B. ; Lynch, Gerald J. ; Malik, Farooq .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:61:y::i:5:p:404-414.

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  979. Stock price reaction following large one-day price changes: UK evidence. (2009). Joulmer, Joulmer ; Joseph, Nathan L. ; Mazouz, Khelifa.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:8:p:1481-1493.

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  980. From boom til bust: How loss aversion affects asset prices. (2009). Kouwenberg, Roy ; Berkelaar, Arjan .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:6:p:1005-1013.

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  981. Regime switching in the relationship between equity returns and short-term interest rates in the UK. (2009). Henry, Ólan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:2:p:405-414.

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  982. Output volatility of five crisis-affected East Asia economies. (2009). Li, Kui-Wai ; Kwok, Ming-Lok .
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:21:y:2009:i:2:p:172-182.

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  983. Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements. (2009). van Dijk, Dick ; De Pooter, Michiel ; Martens, Martin .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:2:p:282-303.

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  984. Trading location and equity returns: Evidence from US trading of British cross-listed firms. (2009). Chen, Jun ; Tse, Yiuman ; Williams, Michael.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:5:p:729-741.

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  985. International stock markets interactions and conditional correlations. (2009). Savva, Christos.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:4:p:645-661.

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  986. Asymmetric volatility in the foreign exchange markets. (2009). Yang, Minxian ; Wang, Jianxin.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:4:p:597-615.

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  987. Dynamic correlations and volatility effects in the Balkan equity markets. (2009). Syriopoulos, Theodore ; Roumpis, Efthimios .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:4:p:565-587.

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  988. Flight-to-quality and asymmetric volatility responses in US Treasuries. (2009). TAMBAKIS, DEMOSTHENES ; Dungey, Mardi ; McKenzie, Michael .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:19:y:2009:i:3:p:252-267.

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  989. Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework. (2009). Nikolova, Biljana ; Bhar, Ramaprasad.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:19:y:2009:i:3:p:203-218.

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  990. Modelling stock returns in Africas emerging equity markets. (2009). Panagiotidis, Theodore ; ALAGIDEDE, PAUL.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:1-2:p:1-11.

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  991. Information transmission and market interactions across the Atlantic -- an empirical study on the natural gas market. (2009). Kao, Chung-Wei ; Wan, Jer-Yuh .
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:1:p:152-161.

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  992. Dual long-memory, structural breaks and the link between turnover and the range-based volatility. (2009). Kartsaklas, A. ; Karanasos, M..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:5:p:838-851.

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  993. Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application. (2009). de Goeij, Peter ; Marquering, Wessel .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:2:p:318-329.

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  994. Assessing value at risk with CARE, the Conditional Autoregressive Expectile models. (2009). Kuan, Chung-Ming ; Hsu, Yu-Chin ; Yeh, Jin-Huei .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:2:p:261-270.

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  995. A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects. (2009). Tauchen, George ; Bollerslev, Tim ; Pigorsch, Christian ; Kretschmer, Uta .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:2:p:151-166.

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  996. Properties and estimation of asymmetric exponential power distribution. (2009). Zinde-Walsh, Victoria ; Zhu, Dongming .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:148:y:2009:i:1:p:86-99.

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  997. Market volatility and retail interest rate pass-through. (2009). wang, kuan min ; Lee, Yuan-Ming .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:6:p:1270-1282.

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  998. Nonlinear adjustment in US bond yields: An empirical model with conditional heteroskedasticity. (2009). Palomba, Giulio ; Lucchetti, Riccardo (Jack).
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:3:p:659-667.

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  999. The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500. (2009). Hung, Jui-Cheng ; Ni, Ren-Xi ; Chang, Matthew C..
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-09-00548.

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  1000. An Empirical Analysis of the Taiwan Institutional Trading Volume Volatility Spillover on Stock Market Index Return. (2009). Wei, Ching-Chun.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08c30093.

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  1001. News and correlations: an impulse response analysis. (2009). Sevi, Benoit ; le Pen, Yannick.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/6804.

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  1002. What Drives International Equity Correlations? Volatility or Market Direction?. (2009). Taamouti, Abderrahim ; Amira, Khaled ; Tsafack, Georges .
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we094122.

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  1003. Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options. (2009). Christoffersen, Peter ; ORNTHANALAI, CHAYAWAT ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-34.

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  1004. Forecasting Expected Shortfall with a Generalized Asymmetric Student-t Distribution. (2009). Galbraith, John ; Zhu, Dongming .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-24.

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  1005. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2009s-19.

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  1006. Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches. (2009). Anatolyev, Stanislav ; Kryzhanovskaya, Natalia .
    In: Working Papers.
    RePEc:cfr:cefirw:w0136.

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  1007. Global and Regional Spillovers in Emerging Stock Markets: A Multivariate GARCH-in-mean Analysis. (2009). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Beirne, John ; Schulze-Ghattas, Marianne .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2794.

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  1008. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets. (2009). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Beirne, John ; Schulze-Ghattas, Marianne .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2545.

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  1009. Mixed Exponential Power Asymmetric Conditional Heteroskedasticity. (2009). Rombouts, Jeroen ; Jeroen V. K. Rombouts, ; Bouaddi, Mohammed .
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:13:y:2009:i:3:n:3.

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  1010. Asymmetry in Stochastic Volatility Models: Threshold or Correlation?. (2009). Smith, Daniel.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:13:y:2009:i:3:n:1.

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  1011. Macroeconomic Instability and Corporate Failure: The Role of the Legal System. (2009). Holly, Sean ; Bhattacharjee, Arnab ; Kattuman, Paul ; Higson, Christopher .
    In: Review of Law & Economics.
    RePEc:bpj:rlecon:v:5:y:2009:i:1:n:1.

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  1012. Asymptotics of the QMLE for Non-Linear ARCH Models. (2009). Rahbek, Anders ; Kristensen, Dennis.
    In: Journal of Time Series Econometrics.
    RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:2.

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  1013. Stock return seasonalities and investor structure : Evidence from Chinas B-share markets. (2009). Siklos, Pierre ; Bohl, Martin T ; Schuppli, Michael .
    In: BOFIT Discussion Papers.
    RePEc:bof:bofitp:2009_020.

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  1014. Oil Prices and Equity Returns in the BRIC Countries. (2009). Nikolova, Biljana ; Bhar, Ramaprasad.
    In: The World Economy.
    RePEc:bla:worlde:v:32:y:2009:i:7:p:1036-1054.

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  1015. Modelling Regime-Specific Stock Price Volatility. (2009). Alexander, Carol ; Lazar, Emese.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:71:y:2009:i:6:p:761-797.

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  1016. On stationarity and ergodicity of the bilinear model with applications to GARCH models. (2009). Kristensen, Dennis.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:30:y:2009:i:1:p:125-144.

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  1017. MUTUAL FUND DAILY CONDITIONAL PERFORMANCE. (2009). Coggins, Frank ; Gendron, Michel ; Beaulieu, Marie-Claude .
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:32:y:2009:i:2:p:95-122.

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  1018. Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets. (2009). Lin, Tsaiyin ; Chiang, Minhsien ; Yu, Chihhsien Jerry.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:36:y:2009:i:7-8:p:1007-1038.

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  1019. Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets. (2009). YU, CHIH-HSIEN JERRY ; Lin, Tsai-Yin ; Chiang, Min-Hsien .
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:36:y:2009-09:i:7-8:p:1007-1038.

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  1020. Macroeconomic Instability and Business Exit: Determinants of Failures and Acquisitions of UK Firms. (2009). Holly, Sean ; Bhattacharjee, Arnab ; Higson, C. ; KATTUMAN, P..
    In: Economica.
    RePEc:bla:econom:v:76:y:2009:i:301:p:108-131.

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  1021. Fractional integration in agricultural futures price volatilities revisited. (2009). Sephton, Peter.
    In: Agricultural Economics.
    RePEc:bla:agecon:v:40:y:2009:i:1:p:103-111.

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  1022. Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts. (2009). Capistrán, Carlos ; Benavides, Guillermo .
    In: Working Papers.
    RePEc:bdm:wpaper:2009-01.

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  1023. Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme. (2009). Takaishi, Tetsuya.
    In: Papers.
    RePEc:arx:papers:0909.1478.

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  1024. Modelling Stochastic Volatility with Leverage and Jumps: A Simulated Maximum Likelihood Approach via Particle Filtering.. (2009). Pitt, Michael K ; Malik, Sheheryar.
    In: Economic Research Papers.
    RePEc:ags:uwarer:271302.

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  1025. Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches. (2009). Anatolyev, Stanislav ; Kryzhanovskaya, Natalia .
    In: Working Papers.
    RePEc:abo:neswpt:w0136.

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  1026. Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Christoffersen, Peter ; Elkamhi, Redouane ; Jacobs, Kris.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-33.

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  1027. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-07.

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  1028. Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience. (2008). Miller, Stephen ; Canarella, Giorgio ; Pollard, Stephen K..
    In: Working papers.
    RePEc:uct:uconnp:2008-49.

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  1029. Modelling the term structure of interest rates in a small emerging market economy. (2008). Sánchez-Fung, José.
    In: Macroeconomics and Finance in Emerging Market Economies.
    RePEc:taf:macfem:v:1:y:2008:i:1:p:93-103.

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  1030. Does trade regionalism increase stock market segmentation within a trading bloc?. (2008). Hooy, Chee-Wooi.
    In: International Economic Journal.
    RePEc:taf:intecj:v:22:y:2008:i:1:p:113-126.

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  1031. Hedging effectiveness of the Athens stock index futures contracts. (2008). VISVIKIS, ILIAS ; Kavussanos, Manolis.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:14:y:2008:i:3:p:243-270.

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  1032. The mean/volatility asymmetry in Asian stock markets. (2008). Yang, Jack ; Liau, Yung-Shi .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:18:y:2008:i:5:p:411-419.

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  1033. Testing for structural breaks in GARCH models. (2008). Smith, Daniel.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:18:y:2008:i:10:p:845-862.

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  1034. Empirical analysis of political uncertainty on TAIEX stock market. (2008). Lin, Chin-Tsai ; Wang, Yi-Hsien.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:15:y:2008:i:7:p:545-550.

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  1035. Noise trading and autocorrelation interactions in the foreign exchange market: Evidence from developed and emerging economies. (2008). Laopodis, Nikiforos.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:32:y:2008:i:3:p:271-293.

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  1036. The day-to-day interbank market, volatility, and central bank intervention in a developing economy. (2008). Sánchez-Fung, José ; Sanchez-Fung, Jose R..
    In: Economics Discussion Papers.
    RePEc:ris:kngedp:2008_002.

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  1037. The day-to-day interbank market, volatility, and central bank intervention in a developing economy. (2008). Sánchez-Fung, José ; Sanchez-Fung, Jose R..
    In: MPRA Paper.
    RePEc:pra:mprapa:15648.

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  1038. Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity. (2008). Palomba, Giulio ; Lucchetti, Riccardo (Jack).
    In: MPRA Paper.
    RePEc:pra:mprapa:11571.

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  1039. Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure. (2008). Visser, Marcel.
    In: MPRA Paper.
    RePEc:pra:mprapa:11100.

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  1040. Volatility Threshold Dynamic Conditional Correlations: An International Analysis. (2008). Caporin, Massimiliano ; Kasch, Maria .
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0065.

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  1041. Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH. (2008). McAleer, Michael ; Caporin, Massimiliano.
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0064.

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  1042. Measuring downside risk - realised semivariance. (2008). Kinnebrock, Silja .
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:382.

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  1043. Measuring downside risk-realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja .
    In: Economics Papers.
    RePEc:nuf:econwp:0802.

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  1044. Macroeconomics and ARCH. (2008). Hamilton, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14151.

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  1045. Volatility transmission and volatility impulse response functions in European electricity forward markets. (2008). Sévi, Benoît ; LE PEN, Yannick.
    In: Cahiers du CREDEN (CREDEN Working Papers).
    RePEc:mop:credwp:08.09.77.

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  1046. The Microstructure of the Irish Stock Market. (2008). Chelleysteeley, Patricia ; Lucey, Brian.
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:12:y:2008:i:3-4:p:279-311.

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  1047. Value-at-Risk for Greek Stocks. (2008). Angelidis, Timotheos ; Benos, Alexandros .
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:12:y:2008:i:1-2:p:67-104.

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  1048. Higher-Order Terms in Bivariate Returns to International Stock Market Indices. (2008). Okada, Katsushi ; Butler, Kirt C..
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:12:y:2008:i:1-2:p:127-155.

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  1049. Market Efficiency and the Euro: The case of the Athens Stock exchange.. (2008). Panagiotidis, Theodore.
    In: Discussion Paper Series.
    RePEc:mcd:mcddps:2008_14.

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  1050. EMU-related News and Financial Markets in the Czech Republic, Hungary and Poland. (2008). Hayo, Bernd ; Buttner, David .
    In: MAGKS Papers on Economics.
    RePEc:mar:magkse:200815.

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  1051. Macroeconomic News, Business Cycles and Australian Financial Markets. (2008). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:15:y:2008:i:3:p:185-207.

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  1052. Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta. (2008). Wu, Hao ; Choudhry, Taufiq.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:27:y:2008:i:8:p:670-689.

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  1053. Power transformation models and volatility forecasting. (2008). McKenzie, Michael D. ; Sadorsky, Perry.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:27:y:2008:i:7:p:587-606.

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  1054. Forecasting volatility with outliers in GARCH models. (2008). CHARLES, Amelie.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:27:y:2008:i:7:p:551-565.

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  1055. A unified approach to standardized-residuals-based correlation tests for GARCH-type models. (2008). Chen, Yi-Ting .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:23:y:2008:i:1:p:111-133.

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  1056. Volatility Spillovers and Contagion from Mature to Emerging Stock Markets. (2008). Caporale, Guglielmo Maria ; Beirne, John ; Spagnolo, Nicola ; Schulze-Ghattas, Marianne .
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2008/286.

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  1057. Oil price Dynamics and Speculation. A Multivariate Financial Approach. (2008). Paladino, Giovanna ; Cifarelli, Giulio.
    In: Working Papers - Economics.
    RePEc:frz:wpaper:wp2008_15.rdf.

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  1058. Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations. (2008). Ardia, David.
    In: DQE Working Papers.
    RePEc:fri:dqewps:wp0006.

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  1059. Impact of international volatility and the introduction of Individual Stock Futures on the volatility of a small market. (2008). Drimbetas, Evangelos ; Sariannidis, Nikolaos.
    In: European Research Studies Journal.
    RePEc:ers:journl:v:xi:y:2008:i:3:p:119-.

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  1060. Random coefficient volatility models. (2008). Thavaneswaran, A. ; Peiris, S. ; Appadoo, S..
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:78:y:2008:i:6:p:582-593.

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  1061. The euro and pound volatility dynamics: An investigation from conditional jump process. (2008). Kao, Chung-Wei ; Wan, Jer-Yuh .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:22:y:2008:i:2:p:193-207.

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  1062. Relative performance of trading halts and price limits: Evidence from the Spanish Stock Exchange. (2008). Yang, Jimmy J. ; Kim, Yong H. ; Yague, Jose.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:17:y:2008:i:2:p:197-215.

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  1063. Heavy-tailed value-at-risk analysis for Malaysian stock exchange. (2008). cheong, chin.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:16:p:4285-4298.

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  1064. Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices. (2008). Tseng, Chih-Hsiung ; Wang, Yi-Hsien ; Cheng, Sheng-Tzong ; Peng, Jin-Tang .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:13:p:3192-3200.

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  1065. The impact of futures trading on volatility of the underlying asset in the Turkish stock market. (2008). Kasman, Adnan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:12:p:2837-2845.

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  1066. Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model. (2008). Li, Ming-Yuan Leon .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2008:i:3:p:511-520.

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  1067. Testing for nonlinearity in mean and volatility for heteroskedastic models. (2008). Chen, Cathy W. S. ; Chen, Cathy W. S., ; Tai, Amanda P. J., ; Gerlach, Richard H..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2008:i:3:p:489-499.

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  1068. 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.

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  1069. How important is asymmetric covariance for the risk premium of international assets?. (2008). Mazzotta, Stefano.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:8:p:1636-1647.

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  1070. The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR. (2008). Mo, Hengyong ; Tang, YI ; Bali, Turan G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:2:p:269-282.

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  1071. Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets. (2008). Yang, Li ; Lien, Donald.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:2:p:187-198.

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  1072. A behavioral explanation for the negative asymmetric return-volatility relation. (2008). Hibbert, Ann Marie ; Daigler, Robert T. ; DuPoyet, Brice.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:10:p:2254-2266.

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  1073. A Portfolio Index GARCH model. (2008). McAleer, Michael ; Asai, Manabu.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:24:y:2008:i:3:p:449-461.

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  1074. Metal volatility in presence of oil and interest rate shocks. (2008). Hammoudeh, Shawkat ; Yuan, Yuan.
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:2:p:606-620.

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  1075. Is long memory necessary? An empirical investigation of nonnegative interest rate processes. (2008). Duan, Jin-Chuan ; Jacobs, Kris.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:3:p:567-581.

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  1076. Box-Cox stochastic volatility models with heavy-tails and correlated errors. (2008). Zhang, Xibin ; King, Maxwell.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:3:p:549-566.

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  1077. The effects of advertising, prices and distribution on market share volatility. (2008). Vakratsas, Demetrios.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:187:y:2008:i:1:p:283-293.

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  1078. Prediction of index futures returns and the analysis of financial spillovers--A comparison between GARCH and the grey theorem. (2008). Kung, Ling-Ming ; Yu, Shang-Wu.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:186:y:2008:i:3:p:1184-1200.

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  1079. Improving density forecast by modeling asymmetric features: An application to S&P500 returns. (2008). Zhang, Bin ; Hua, Zhongsheng.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:185:y:2008:i:2:p:716-725.

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  1080. Volatility of exchange rates in selected new EU members: Evidence from daily data. (2008). Horvath, Roman ; Fidrmuc, Jarko ; Horvth, Roman .
    In: Economic Systems.
    RePEc:eee:ecosys:v:32:y:2008:i:1:p:103-118.

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  1081. A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries. (2008). Medeiros, Marcelo ; McAleer, Michael.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:104-119.

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  1082. Are levels effects important in out-of-sample performance of short rate models?. (2008). Suardi, Sandy.
    In: Economics Letters.
    RePEc:eee:ecolet:v:99:y:2008:i:1:p:181-184.

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  1083. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model. (2008). Hautsch, Nikolaus.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:12:p:3978-4015.

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  1084. Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?. (2008). Liu, Jingyi.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:20.

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  1085. Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?. (2008). Liu, Jingyi.
    In: ESE Discussion Papers.
    RePEc:edn:esedps:181.

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  1086. Stock Return Dynamics under Earnings Management. (2008). zou, heng-fu ; Wang, Xiaotong .
    In: CEMA Working Papers.
    RePEc:cuf:wpaper:331.

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  1087. Is Volatility Priced?. (2008). Hung, Ken ; Lin, Yueh-Neng .
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2008:v:9:i:1:p:39-75.

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  1088. 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.

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  1089. Asymmetric Volatility Spillovers Î’etween Stock Market and Real Activity: Evidence from UK and US. (2008). Papadopoulos, Athanasios ; Kanas, Angelos ; Giannellis, Nikolaos.
    In: Working Papers.
    RePEc:crt:wpaper:0807.

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  1090. Optimal Test for Markov Switching GARCH Models. (2008). shin, yongcheol ; Juvenal, Luciana ; Hu, Liang.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:12:y:2008:i:3:n:3.

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  1091. Option Valuation with Normal Mixture GARCH Models. (2008). Badescu, Alex ; KULPERGER, REG ; Lazar, Emese.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:12:y:2008:i:2:n:5.

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  1092. CROSS-COUNTRY EVIDENCE ON OUTPUT GROWTH VOLATILITY: NONSTATIONARY VARIANCE AND GARCH MODELS. (2008). Miller, Stephen ; Lee, ChunShen ; Fang, WenShwo .
    In: Scottish Journal of Political Economy.
    RePEc:bla:scotjp:v:55:y:2008:i:4:p:509-541.

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  1093. Modeling Long Memory in REITs. (2008). cotter, john ; Stevenson, Simon.
    In: Real Estate Economics.
    RePEc:bla:reesec:v:36:y:2008:i:3:p:533-554.

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  1094. AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE. (2008). Pacurar, Maria .
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:22:y:2008:i:4:p:711-751.

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  1095. The Impact of Universal Stock Futures on Feedback Trading and Volatility Dynamics. (2008). Paudyal, Krishna ; Chau, Frankie ; Holmes, Phil.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:35:y:2008:i:1-2:p:227-249.

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  1096. The Lead-Lag Relationship Between Cash and Stock Index Futures in a New Market. (2008). VISVIKIS, ILIAS ; Kavussanos, Manolis ; Alexakis, Panayotis D..
    In: European Financial Management.
    RePEc:bla:eufman:v:14:y:2008:i:5:p:1007-1025.

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  1097. STOCK RETURNS, ASYMMETRIC VOLATILITY, RISK AVERSION, AND BUSINESS CYCLE: SOME NEW EVIDENCE. (2008). Lee, Bong-Soo ; Kim, Sei-Wan.
    In: Economic Inquiry.
    RePEc:bla:ecinqu:v:46:y:2008:i:2:p:131-148.

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  1098. Is Real Estate Really an Inflation Hedge? Evidence from Taiwan. (2008). wang, kuan min ; Fang, Wen-Shwo ; Nguyen, Thanh-Binh T..
    In: Asian Economic Journal.
    RePEc:bla:asiaec:v:22:y:2008:i:2:p:209-224.

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  1099. A Long Memory Conditional Variance Model for International Grain Markets. (2008). Jin, Hyun.
    In: Journal of Rural Development/Nongchon-Gyeongje.
    RePEc:ags:jordng:45654.

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  1100. Glossary to ARCH (GARCH). (2008). Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-49.

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  1101. Measuring downside risk — realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja .
    In: CREATES Research Papers.
    RePEc:aah:create:2008-42.

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  1102. American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-41.

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  1103. The limiting properties of the QMLE in a general class of asymmetric volatility models. (2008). Iglesias, Emma ; Dahl, Christian.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-38.

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  1104. FIEGARCH-M and and International Crises: A Cross-Country Analysis. (2008). Zhu, Jie.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-16.

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  1105. Pricing Volatility of Stock Returns with Volatile and Persistent Components. (2008). Zhu, Jie.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-14.

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  1106. 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.

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  1107. Volatility Components, Affine Restrictions and Non-Normal Innovations. (2008). Christoffersen, Peter ; Wang, Yintian ; Dorion, Kris.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-10.

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  1108. Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; He, Changli.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-07.

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  1109. Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-06.

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  1110. GARCH modeling of robust market returns. (2007). Moreno, Manuel ; Cuadro Sáez, Lucía ; Cuadro-Saez, Lucia .
    In: Kiel Advanced Studies Working Papers.
    RePEc:zbw:ifwasw:440.

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  1111. Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model. (2007). Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200725.

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  1112. 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.

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  1113. Robust Value at Risk Prediction. (2007). Trojani, Fabio ; Mancini, Loriano.
    In: University of St. Gallen Department of Economics working paper series 2007.
    RePEc:usg:dp2007:2007-36.

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  1114. The Role of Central Bank in the Recession in the Case of Japans Recession. (2007). Miyagawa, Shigeyoshi ; Sawada, Yoshitaka ; Morita, Yoji .
    In: Discussion Papers.
    RePEc:tkk:dpaper:dp17.

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  1115. Asymmetric Mean Reversion in European Interest Rates: A Two-factor Model. (2007). Philippatos, George ; Koutmos, Gregory .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:13:y:2007:i:8:p:741-750.

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  1116. A Better Asymmetric Model of Changing Volatility in Stock and Exchange Rate Returns: Trend-GARCH. (2007). Bauer, Christian.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:13:y:2007:i:1:p:65-87.

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  1117. Variance (Non) Causality in Multivariate GARCH. (2007). Caporin, Massimiliano.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:26:y:2007:i:1:p:1-24.

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  1118. The impact of party alternative on the stock market: the case of Japan. (2007). Lin, Chin-Tsai ; Wang, Yi-Hsien.
    In: Applied Economics.
    RePEc:taf:applec:v:39:y:2007:i:1:p:79-85.

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  1119. Evaluating density forecasts of the model with a conditional skewed-t distribution for Chinas stock markets. (2007). Li, Xiao-Ming ; Xu, Qing.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:18:y:2007:i:3:p:213-227.

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  1120. Bivariate and higher-order terms in models of international equity returns. (2007). Okada, Katsushi ; Butler, Kirt.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:9:p:725-737.

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  1121. Significance of risk modelling in the term structure of interest rates. (2007). Papadamou, Stephanos ; HALKOS, GEORGE.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:3:p:237-247.

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  1122. The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market. (2007). Drimbetas, Evangelos ; Sariannidis, Nikolaos ; Porfiris, Nicos.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:2:p:139-148.

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  1123. Security transaction taxes and financial volatility: Athens stock exchange. (2007). Phylaktis, Kate ; Aristidou, Antonis.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:18:p:1455-1467.

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  1124. Using volume to forecast stock market volatility around the time of the 1929 crash. (2007). Ewing, Bradley ; Thompson, Mark ; Yanochik, Mark .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:14:p:1123-1128.

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  1125. Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities. (2007). Yang, Sheng-Yung.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:10:p:837-853.

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  1126. Stock return dynamics and stock market interdependencies. (2007). Tsouma, Ekaterini.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:10:p:805-825.

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  1127. A conditional-SGT-VaR approach with alternative GARCH models. (2007). Theodossiou, Panayiotis ; Bali, Turan .
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:151:y:2007:i:1:p:241-267:10.1007/s10479-006-0118-4.

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  1128. Macroeconomic Conditions and Business Exit: Determinants of Failures and Acquisitions of UK Firms. (2007). Holly, Sean ; Bhattacharjee, Arnab ; Higson, Chris ; Kattuman, Paul.
    In: CDMA Working Paper Series.
    RePEc:san:cdmawp:0713.

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  1129. A Theoretically Defensible Measure of Risk: Using Financial Market Data from a Middle Income Context. (2007). Fedderke, Johannes ; Pillay, Neryvia .
    In: Working Papers.
    RePEc:rza:wpaper:64.

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  1130. A Guide to Modern Econometrics. (2007). Verbeek, Marno.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0132.

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  1131. A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries. (2007). Medeiros, Marcelo ; McAller, Michael.
    In: Textos para discussão.
    RePEc:rio:texdis:544.

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  1132. Identifying common spectral and asymmetric features in stock returns. (2007). Crato, Nuno ; Caiado, Jorge.
    In: MPRA Paper.
    RePEc:pra:mprapa:6607.

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  1133. Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Comparative Analysis. (2007). Sogiakas, Vasilios ; Karathanassis, George .
    In: MPRA Paper.
    RePEc:pra:mprapa:5958.

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  1134. Forecasting volatility: Evidence from the Macedonian stock exchange. (2007). Kovačić, Zlatko ; Kovai, Zlatko.
    In: MPRA Paper.
    RePEc:pra:mprapa:5319.

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  1135. Hedging Effectiveness under Conditions of Asymmetry. (2007). Hanly, Jim ; cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3501.

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  1136. Modeling Long Memory in REITs. (2007). cotter, john ; Stevenson, Simon.
    In: MPRA Paper.
    RePEc:pra:mprapa:3500.

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  1137. 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.

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  1138. Asymmetric Return and Volatility Responses to Composite News from Stock Markets. (2007). Chen, Cathy W. S. ; Chiang, Thomas C. ; Mike K. P. So, ; Mike K. P. So, ; Cathy W. S. Chen, ; Cathy W. S. Chen, .
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:11:y:2007:i:3-4:p:179-210.

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  1139. First order asymptotic theory for parametric misspecification tests of GARCH models. (2007). Orme, Chris ; Halunga, Andreea.
    In: The School of Economics Discussion Paper Series.
    RePEc:man:sespap:0721.

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  1140. Mixed Exponential Power Asymmetric Conditional Heteroskedasticity. (2007). Rombouts, Jeroen ; Bouaddi, Mohammed .
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:0749.

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  1141. The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework. (2007). Chen, Mei-Ling ; Wang, Kai-Li.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:29:y:2007:i:4:p:371-394.

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  1142. On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity. (2007). Siu, Tak Kuen.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:14:y:2007:i:3:p:255-275.

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  1143. Determinants of Exchange-Rate Volatility: The Case of the New EU Members. (2007). Stanik, Juraj .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:57:y:2007:i:9-10:p:414-432.

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  1144. Market integration and currency risk in Asian emerging markets. (2007). Tai, Chu-Sheng .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:21:y:2007:i:1:p:98-117.

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  1145. Asymmetric volatility of stock returns during the Asian crisis: Evidence from Indonesia. (2007). Leeves, Gareth.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:16:y:2007:i:2:p:272-286.

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  1146. Empirical properties of currency risk in country index portfolios. (2007). Bhar, Ramaprasad ; Alaganar, V. T..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:47:y:2007:i:1:p:159-174.

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  1147. Testing for contagion under asymmetric dynamics: Evidence from the stock markets between US and Taiwan. (2007). wang, kuan min ; Thi, Thanh-Binh Nguyen .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:376:y:2007:i:c:p:422-432.

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  1148. Asymmetry and long-memory volatility: Some empirical evidence using GARCH. (2007). cheong, chin ; Hassan Shaari Mohd Nor, Abu, ; Isa, Zaidi .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:373:y:2007:i:c:p:651-664.

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  1149. Influence of structural changes in transmission of information between stock markets: A European empirical study. (2007). Fernandez-Izquierdo, Maria Angeles ; Arago-Manzana, Vicent.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:17:y:2007:i:2:p:112-124.

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  1150. Modeling time variation and asymmetry in foreign exchange exposure. (2007). Martin, Anna D. ; Koutmos, Gregory .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:17:y:2007:i:1:p:61-74.

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  1151. International asset pricing under segmentation and PPP deviations. (2007). Chaieb, Ines ; Errunza, Vihang.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:86:y:2007:i:2:p:543-578.

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  1152. The risk return tradeoff in the long run: 1836-2003. (2007). Lundblad, Christian.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:85:y:2007:i:1:p:123-150.

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  1153. An empirical examination of intraday volatility in on-the-run U.S. Treasury bills. (2007). Winters, Drew B. ; Smith, Stanley D. ; Hughes, Michael P..
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:59:y:2007:i:6:p:487-499.

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  1154. Does implied volatility provide any information beyond that captured in model-based volatility forecasts?. (2007). Clements, Adam ; Becker, Ralf ; White, Scott I..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:8:p:2535-2549.

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  1155. Closed-form transformations from risk-neutral to real-world distributions. (2007). xu, xinzhong ; Shackleton, Mark ; Taylor, Stephen J. ; Liu, Xiaoquan .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:5:p:1501-1520.

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  1156. The Euro and European financial market dependence. (2007). Bartram, Söhnke ; Taylor, Stephen J. ; Wang, Yaw-Huei.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:5:p:1461-1481.

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  1157. High frequency perspective on jump process, long memory property and temporal aggregation: Case of $-AUD exchange rates. (2007). Han, YoungWook .
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:19:y:2007:i:2:p:248-262.

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  1158. Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets. (2007). Tai, Chu-Sheng .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:8:y:2007:i:4:p:264-283.

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  1159. Common volatility and correlation clustering in asset returns. (2007). Christodoulakis, George.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:182:y:2007:i:3:p:1263-1284.

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  1160. Aggregation and memory of models of changing volatility. (2007). Zaffaroni, Paolo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:136:y:2007:i:1:p:237-249.

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  1161. Can capital markets respond to environmental policy of firms? Evidence from Greece. (2007). HALKOS, GEORGE ; Sepetis, Anastasios.
    In: Ecological Economics.
    RePEc:eee:ecolec:v:63:y:2007:i:2-3:p:578-587.

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  1162. A conditional extreme value volatility estimator based on high-frequency returns. (2007). Weinbaum, David ; Bali, Turan G..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:2:p:361-397.

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  1163. Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts. (2007). Yu, Jun ; JunYu, ; Huang, Shirley J. ; Liu, Qianqiu .
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2007:v:8:i:1:p:33-56.

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  1164. The effect of realised volatility on stock returns risk estimates. (2007). Veiga, Helena ; Grane, Aurea .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws076316.

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  1165. Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data. (2007). Horvath, Roman ; Fidrmuc, Jarko.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2107.

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  1166. Trading with Asymmetric Volatility Spillovers. (2007). Torro, Hipolit ; Pardo, Angel.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:34:y:2007:i:9-10:p:1548-1568.

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  1167. Value-at-Risk in Emerging Equity Markets: Comparative Evidence for Symmetric, Asymmetric, and Long-Memory GARCH Models. (2007). Alan E. H. Speight, ; McMillan, David G..
    In: International Review of Finance.
    RePEc:bla:irvfin:v:7:y:2007:i:1-2:p:1-19.

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  1168. Asian Currency Crises: Do Fundamentals still Matter? A Markov-Switching Approach to Causes and Timing. (2007). Santoso, Bagus ; Horsewood, N J ; Ford, J L.
    In: Discussion Papers.
    RePEc:bir:birmec:07-07.

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  1169. Multivariate Realized Stock Market Volatility. (2007). Bauer, Gregory ; Vorkink, Keith.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-20.

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  1170. A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects. (2007). Tauchen, George ; Bollerslev, Tim ; Kretschmer, Uta ; Pigorsch, Christian .
    In: CREATES Research Papers.
    RePEc:aah:create:2007-22.

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  1171. Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model. (2007). Zhu, Jie ; Nielsen, Morten ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-10.

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  1172. The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-03.

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  1173. Multivariate normal mixture GARCH. (2006). Mittnik, Stefan ; Haas, Markus ; Paolella, Marc S..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200609.

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  1174. Stock Return Dynamics Under Earnings Management. (2006). Wang, Xiaotong .
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2633.

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  1175. 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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  1176. Political uncertainty and stock market returns: evidence from the 1995 Quebec referendum. (2006). Beaulieu, MarieClaude ; Essaddam, Naceur ; Cosset, Jeanclaude.
    In: Canadian Journal of Economics/Revue canadienne d'économique.
    RePEc:wly:canjec:v:39:y:2006:i:2:p:621-642.

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  1177. Investor preferences and portfolio selection: is diversification an appropriate strategy?. (2006). Hueng, C. ; Yau, Ruey .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:6:y:2006:i:3:p:255-271.

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  1178. The Dynamics of Return Volatilty and Systematic Risk in International Real Estate Security Markets. (2006). Liow, Kim.
    In: Journal of Property Research.
    RePEc:taf:jpropr:v:24:y:2006:i:1:p:1-29.

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  1179. Short-term Dynamics in the Cyprus Stock Exchange. (2006). Pericli, Andreas ; Trigeorgis, Lenos ; Koutmos, Gregory .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:12:y:2006:i:3:p:205-216.

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  1180. Multivariate Stochastic Volatility Models with Correlated Errors. (2006). Kohn, Robert ; Kirby, Chris ; Chan, David .
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:245-274.

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  1181. Exchange rate volatility and volatility asymmetries: an application to finding a natural dollar currency. (2006). Kwek, Kian Teng ; Koay, Kuan Nee.
    In: Applied Economics.
    RePEc:taf:applec:v:38:y:2006:i:3:p:307-323.

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  1182. Behavioural and fundamental explanations of discounts on closed end funds: an empirical analysis. (2006). HALKOS, GEORGE ; Krintas, Theodore N..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:16:y:2006:i:5:p:395-404.

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  1183. A systematic modelling strategy for futures markets volatility. (2006). Carvalho, Ana Filipa ; da Costa, Jose Sa ; Lopes, Jose Assis.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:16:y:2006:i:11:p:819-833.

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  1184. Volatility relationship between stock performance and real output. (2006). Lee, Jin Man ; Ahn, Eun S..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:16:y:2006:i:11:p:777-784.

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  1185. Short-sales constraints and stock return asymmetry: evidence from the Chinese stock markets. (2006). Hueng, C..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:16:y:2006:i:10:p:707-716.

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  1186. Persistence and Asymmetry Volatility in Indian Stock Market. (2006). Padhi, Puja.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:4:y:2006:i:2:d:10.1007_bf03546451.

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  1187. Structural versus Temporary Drivers of Country and Industry Risk. (2006). Inghelbrecht, Koen ; Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:06/413.

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  1188. An Analysis of Stock Index Distributions of Selected Emerging Markets. (2006). Camilleri, Silvio.
    In: MPRA Paper.
    RePEc:pra:mprapa:62490.

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  1189. Calendar anomalies in the Malaysian stock market. (2006). Liew, Venus ; Chia, Ricky ; Syed Khalid Wafa, Syed Azizi Wafa, .
    In: MPRA Paper.
    RePEc:pra:mprapa:516.

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  1190. An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model. (2006). Vargas, Gregorio.
    In: MPRA Paper.
    RePEc:pra:mprapa:189.

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  1191. Volatility Spillover between the Stock Market and the Foreign Market in Pakistan. (2006). Qayyum, Abdul ; Kemal, Abdul Razzaq.
    In: PIDE-Working Papers.
    RePEc:pid:wpaper:2006:7.

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  1192. The Effects of Uncertainty on Currency Substitution and Inflation: Evidence from Emerging Economies. (2006). Savva, Christos ; Neanidis, Kyriakos.
    In: The School of Economics Discussion Paper Series.
    RePEc:man:sespap:0609.

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  1193. The Effects of Uncertainty on Currency Substitution and Inflation: Evidence from Emerging Economies. (2006). Savva, Christos ; Neanidis, K C.
    In: Centre for Growth and Business Cycle Research Discussion Paper Series.
    RePEc:man:cgbcrp:71.

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  1194. Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange.. (2006). Panagiotidis, Theodore ; ALAGIDEDE, PAUL.
    In: Discussion Paper Series.
    RePEc:lbo:lbowps:2006_13.

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  1195. Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices. (2006). Alvarez, Susana ; Baixauli, J..
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:27:y:2006:i:1:p:27-46.

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  1196. Exploring Metropolitan Housing Price Volatility. (2006). Peng, Liang ; Miller, Norman .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:33:y:2006:i:1:p:5-18.

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  1197. Does Oil Price Uncertainty Transmit to Stock Markets?. (2006). Ågren, Martin.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2006_023.

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  1198. An introduction to univariate GARCH models. (2006). Teräsvirta, Timo ; Terasvirta, Timo.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0646.

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  1199. What Color is Alan Greenspans Tie? How Central Bank Policy Announcements Have Changed Financial Markets. (2006). Murdzhev, Aleksandar ; Tomljanovich, Marc.
    In: Eastern Economic Journal.
    RePEc:eej:eeconj:v:32:y:2006:i:4:p:571-593.

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  1200. Correlation dynamics in European equity markets. (2006). Potì, Valerio ; Kearney, Colm ; Poti, Valerio.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:20:y:2006:i:3:p:305-321.

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  1201. An investigation of bond term premia in international government bond indices. (2006). Papadamou, Stephanos ; HALKOS, GEORGE.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:20:y:2006:i:1:p:45-61.

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  1202. Testing the stabilization hypothesis in the UK short-term interest rates: Evidence from a GARCH-X model. (2006). Staikouras, Sotiris K..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:46:y:2006:i:2:p:169-189.

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  1203. The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model. (2006). Chen, Cathy W. S. ; Chen, Cathy W. S., ; Gerlach, Richard ; Yang, Ming Jing ; Lo, Jim H..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:366:y:2006:i:c:p:401-418.

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  1204. Are stock market returns related to the weather effects? Empirical evidence from Taiwan. (2006). Chang, Tsangyao ; Nieh, Chien-Chung ; Yang, Tse-Yu .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:364:y:2006:i:c:p:343-354.

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  1205. Estimating time-varying conditional correlations between stock and foreign exchange markets. (2006). Tastan, Huseyin.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:360:y:2006:i:2:p:445-458.

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  1206. On the upsurge of foreign exchange reserves in India. (2006). Ramachandran, M.
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:28:y:2006:i:7:p:797-809.

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  1207. Volatility impulse responses for multivariate GARCH models: An exchange rate illustration. (2006). Hafner, Christian ; Herwartz, Helmut.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:25:y:2006:i:5:p:719-740.

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  1208. An empirical evaluation of the overconfidence hypothesis. (2006). Lee, Bong-Soo ; Chuang, Wen-I, .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:9:p:2489-2515.

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  1209. 25 years of time series forecasting. (2006). Hyndman, Rob ; Gooijer, Jan G..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:22:y:2006:i:3:p:443-473.

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  1210. Is foreign exchange intervention by central banks bad news for debt markets?: A case of Reserve Bank of Australias interventions 1986-2003. (2006). Kim, Suk-Joong ; Pham, Cyril Minh Dao, .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:16:y:2006:i:5:p:446-467.

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  1211. Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange. (2006). Syriopoulos, Theodore ; Kollias, Christos ; Athanassiou, Emmanuel.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:16:y:2006:i:5:p:411-424.

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  1212. Risk and return implications from investing in emerging European stock markets. (2006). Syriopoulos, Theodore.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:16:y:2006:i:3:p:283-299.

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  1213. Volatility transmission between stock and bond markets. (2006). Steeley, James.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:16:y:2006:i:1:p:71-86.

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  1214. Volatility spillovers and dynamic correlation in European bond markets. (2006). Skintzi, Vasiliki ; Refenes, Apostolos N..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:16:y:2006:i:1:p:23-40.

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  1215. Business-cycle fluctuations and international equity correlations. (2006). Pierdzioch, Christian ; Kizys, Renatas.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:17:y:2006:i:2:p:252-270.

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  1216. Asymmetric risk premium in value and growth stocks. (2006). Black, Angela ; McMillan, David G..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:15:y:2006:i:3:p:237-246.

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  1217. The volatility effect of futures trading: Evidence from LSE traded stocks listed as individual equity futures contracts on LIFFE. (2006). Mazouz, Khelifa ; Bowe, Michael .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:15:y:2006:i:1:p:1-20.

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  1218. Modeling and forecasting petroleum futures volatility. (2006). Sadorsky, Perry.
    In: Energy Economics.
    RePEc:eee:eneeco:v:28:y:2006:i:4:p:467-488.

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  1219. Information content and other characteristics of the daily cross-sectional dispersion in stock returns. (2006). Connolly, Robert ; Stivers, Chris .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:13:y:2006:i:1:p:79-112.

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  1220. Semiparametric efficient adaptive estimation of asymmetric GARCH models. (2006). Sun, Yiguo ; Stengos, Thanasis.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:133:y:2006:i:1:p:373-386.

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  1221. A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones. (2006). Marcucci, Juri ; Engle, Robert.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:132:y:2006:i:1:p:7-42.

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  1222. Volatility puzzles: a simple framework for gauging return-volatility regressions. (2006). Zhou, Hao ; Bollerslev, Tim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:131:y:2006:i:1-2:p:123-150.

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  1223. A semiparametric GARCH model for foreign exchange volatility. (2006). Yang, Lijian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:130:y:2006:i:2:p:365-384.

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  1224. A Lagrange multiplier test for causality in variance. (2006). Hafner, Christian ; Herwartz, Helmut.
    In: Economics Letters.
    RePEc:eee:ecolet:v:93:y:2006:i:1:p:137-141.

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  1225. Volatility and Correlation Forecasting. (2006). Diebold, Francis X. ; Andersen, Torben G. ; Bollerslev, Tim ; Christoffersen, Peter F..
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:1-15.

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  1226. Large shocks and the September 11th terrorist attacks on international stock markets. (2006). Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:23:y:2006:i:4:p:683-698.

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  1227. On the real effects of inflation and inflation uncertainty in Mexico. (2006). Grier, Robin.
    In: Journal of Development Economics.
    RePEc:eee:deveco:v:80:y:2006:i:2:p:478-500.

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  1228. Comparison of nonnested asymmetric heteroskedastic models. (2006). Chen, Cathy W. S. ; Gerlach, Richard ; So, Mike K. P., .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2006:i:4:p:2164-2178.

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  1229. Spillover Effects among the Greater China Region Stock Markets. (2006). Johansson, Anders ; Ljungwall, Christer .
    In: Microeconomics Working Papers.
    RePEc:eab:microe:22046.

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  1230. Volatility Spillover between the Stock Market and the Foreign Market in Pakistan. (2006). Qayyum, Abdul ; Kemal, Abdul Razzaq.
    In: Finance Working Papers.
    RePEc:eab:financ:22216.

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  1231. Modelling Financial High Frequency Data Using Point Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc ; Luc, Bauwens ; Nikolaus, HAUTSCH.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2006039.

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  1232. Modelling financial high frequency data using point processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2006080.

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  1233. Return and Volatility Spillovers Between Large and Small Stocks in the UK. (2006). Harris, Richard ; Pisedtasalasai, Anirut.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:33:y:2006:i:9-10:p:1556-1571.

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  1234. Multivariate GARCH models and Black-Litterman approach for tracking error constrained portfolios: an empirical analysis. (2006). Palomba, Giulio.
    In: Working Papers.
    RePEc:anc:wpaper:267.

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  1235. Forecasting US bond yields at weekly frequency. (2006). Palomba, Giulio ; Lucchetti, Riccardo (Jack).
    In: Working Papers.
    RePEc:anc:wpaper:261.

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  1236. ARCH-Prozesse und ihre Erweiterungen - Eine empirische Untersuchung für Finanzmarktzeitreihen -. (2005). Jacobi, Frank .
    In: Arbeitspapiere des Instituts für Statistik und Ökonometrie.
    RePEc:zbw:maista:31.

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  1237. Underpricing and Index Excess Returns. (2005). Schertler, Andrea ; Pierdzioch, Christian ; Nippel, Peter.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1259.

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  1238. Structural versus Temporary Drivers of Country and Industry Risk. (2005). Inghelbrecht, Koen ; Baele, Lieven.
    In: International Finance.
    RePEc:wpa:wuwpif:0511005.

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  1239. The Dynamics of the Short-Term Interest Rate in the UK. (2005). Bernales, Alejandro ; Beuermann, Diether ; Antoniou, Antonios .
    In: Finance.
    RePEc:wpa:wuwpfi:0512029.

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  1240. APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES. (2005). Matringe, Olivier ; Guida, Tony.
    In: Finance.
    RePEc:wpa:wuwpfi:0512021.

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  1241. On Risk Premia and Volatility Transmission Across the Stock and Bond Markets. (2005). Vitek, Francis.
    In: Finance.
    RePEc:wpa:wuwpfi:0508014.

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  1242. Market Efficiency and the Euro: The case of the Athens Stock Exchange. (2005). Panagiotidis, Theodore.
    In: Finance.
    RePEc:wpa:wuwpfi:0507022.

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  1243. Correlation Dynamics in European Equity Markets. (2005). Potì, Valerio ; Kearney, Colm ; Poti, Valerio.
    In: Finance.
    RePEc:wpa:wuwpfi:0507008.

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  1244. Fear of disruption: a model of Markov-switching regimes for the Brazilian country risk conditional volatility. (2005). Une, Maurício ; Portugal, Marcelo Savino.
    In: Econometrics.
    RePEc:wpa:wuwpem:0509005.

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  1245. Implications of ERM2 for Poland???s Monetary Policy. (2005). Orlowski, Lucjan ; Rybinski, Krzyzstof.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2005-802.

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  1246. Parameterizing Unconditional Skewness in Models for Financial Time Series. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina ; He, Changli.
    In: Research Paper Series.
    RePEc:uts:rpaper:169.

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  1247. 25 Years of IIF Time Series Forecasting: A Selective Review. (2005). Hyndman, Rob ; De Gooijer, Jan G..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20050068.

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  1248. Stochastic volatility and the goodness-of-fit of the Heston model. (2005). Bree, David ; Joseph, Nathan ; Daniel, Gilles .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:5:y:2005:i:2:p:199-211.

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  1249. On accurate and provably efficient GARCH option pricing algorithms. (2005). Wu, Chi-Ning ; Lyuu, Yuh-Dauh .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:5:y:2005:i:2:p:181-198.

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  1250. 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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  1251. 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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  1252. The adjustments of stock prices to information about inflation: evidence from MENA countries. (2005). AL-RJOUB, SAMER.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:12:y:2005:i:14:p:871-879.

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  1253. Innovation and Idiosyncratic Risk. (2005). Tancioni, Massimiliano ; Mazzucato, Mariana.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:81.

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  1254. Intégration financière et diversification internationale des portefeuilles. (2005). Mohamed El Hedi Arouri, ; Mohamed El Hedi Arouri, .
    In: Économie et Prévision.
    RePEc:prs:ecoprv:ecop_0249-4744_2005_num_168_2_7423.

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  1255. Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market. (2005). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80468.

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  1256. Determining empirically behavioral and fundamental factors of discounts on closed end funds. (2005). HALKOS, GEORGE.
    In: MPRA Paper.
    RePEc:pra:mprapa:49280.

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  1257. Uncovering Volatility Dynamics in Daily REIT Returns. (2005). cotter, john ; Stevenson, Simon.
    In: MPRA Paper.
    RePEc:pra:mprapa:3533.

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  1258. Volatility Forecasting. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:05-011.

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  1259. Volatility, spillover Effects and Correlations in US and Major European Markets. (2005). Savva, Christos ; Osborn, Denise ; Gill, Len .
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:23.

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  1260. TESTING FOR ASYMMETRY IN INTEREST RATE VOLATILITY IN THE PRESENCE OF A NEGLECTED LEVEL EFFECT. (2005). Suardi, Sandy ; Henry, Ólan.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:945.

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  1261. Equity Return and Short-Term Interest Rate Volatility : Level Effects and Asymmetric Dynamics. (2005). Suardi, Sandy ; Olekalns, Nilss ; Henry, Ólan.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:941.

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  1262. Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro. (2005). Savva, Christos ; Osborn, Denise ; Gill, Len .
    In: The School of Economics Discussion Paper Series.
    RePEc:man:sespap:0541.

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  1263. Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro. (2005). Savva, Christos ; Osborn, Denise ; Gill, L.
    In: The School of Economics Discussion Paper Series.
    RePEc:man:sespap:0515.

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  1264. Spillovers and Correlations between US and Major European Stock Markets: The Role of the Euro. (2005). Savva, Christos ; Osborn, Denise ; Gill, L.
    In: Centre for Growth and Business Cycle Research Discussion Paper Series.
    RePEc:man:cgbcrp:64.

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  1265. Holding Period Return-Risk Modeling :The Importance of Dividends. (2005). Hallerbach, Winfried.
    In: Estudios de Economía Aplicada.
    RePEc:lrk:eeaart:23_1_3.

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  1266. The Informational Role of Option Trading Volume in Equity Index Options Markets. (2005). Sarwar, Ghulam ; GhulamSarwar, .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:24:y:2005:i:2:p:159-176.

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  1267. An empirical comparison of GARCH option pricing models. (2005). Ritchken, P. ; Hsieh, K..
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:8:y:2005:i:3:p:129-150.

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  1268. A Modified GARCH Model with Spells of Shocks. (2005). LIU, QINGFENG.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:12:y:2005:i:1:p:29-44.

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  1269. A forecast comparison of volatility models: does anything beat a GARCH(1,1)?. (2005). Lunde, Asger ; Hansen, Peter.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:20:y:2005:i:7:p:873-889.

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  1270. Generating Volatility Forecasts from Value at Risk Estimates. (2005). Taylor, James W..
    In: Management Science.
    RePEc:inm:ormnsc:v:51:y:2005:i:5:p:712-725.

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  1271. Forecasting interest rates: A Comparative assessment of some second generation non-linear model. (2005). Clavel, Jose ; Nachane, Dilip M..
    In: Indira Gandhi Institute of Development Research, Mumbai Working Papers.
    RePEc:ind:igiwpp:2005-009.

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  1272. Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations. (2005). Strebulaev, Ilya ; Nyborg, Kjell ; Bindseil, Ulrich .
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2005_013.

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  1273. Predictable dynamics in the S&P 500 index options implied volatility surface. (2005). Guidolin, Massimo ; Goncalves, Silvia.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-010.

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  1274. Modeling Unemployment Rates by Race and Gender: A Nonlinear Time Series Approach. (2005). Ewing, Bradley ; Malik, Farooq ; Levernier, William .
    In: Eastern Economic Journal.
    RePEc:eej:eeconj:v:31:y:2005:i:3:p:333-347.

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  1275. Price limits on a call auction market: Evidence from the Warsaw Stock Exchange. (2005). Henke, Harald ; Voronkova, Svitlana .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:14:y:2005:i:4:p:439-453.

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  1276. Effects of electronic trading on the Hang Seng Index futures market. (2005). Tse, Y. K. ; Lien, Donald ; Fung, Joseph K. W., .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:14:y:2005:i:4:p:415-425.

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  1277. Autoregresive conditional volatility, skewness and kurtosis. (2005). Leon, Angel ; Serna, Gregorio ; Rubio, Gonzalo.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:45:y:2005:i:4-5:p:599-618.

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  1278. Information leadership in the advanced Asia-Pacific stock markets: Return, volatility and volume information spillovers from the US and Japan. (2005). Kim, Suk-Joong.
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:19:y:2005:i:3:p:338-365.

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  1279. Forecasting the comovements of spot interest rates. (2005). Ferreira, Miguel.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:24:y:2005:i:5:p:766-792.

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  1280. There is a risk-return trade-off after all. (2005). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:76:y:2005:i:3:p:509-548.

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  1281. Multivariate term structure models with level and heteroskedasticity effects. (2005). Christiansen, Charlotte.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:5:p:1037-1057.

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  1282. Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries. (2005). Corradi, Valentina ; Awartani, Basel ; Awartani, Basel M. A., .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:21:y:2005:i:1:p:167-183.

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  1283. The generalized asymmetric dynamic covariance model. (2005). de Goeij, Peter ; Marquering, Wessel .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:2:y:2005:i:2:p:67-74.

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  1284. An analytical approximation to the option formula for the GARCH model. (2005). Choi, Youngsoo.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:14:y:2005:i:2:p:149-164.

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  1285. Forecasting asymmetries in aggregate stock market returns: Evidence from conditional skewness. (2005). McDonald, James ; Hueng, C..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:5:p:666-685.

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  1286. The relationship between stock returns and volatility in international stock markets. (2005). Yang, Jian ; Li, Qi ; hsiao, cheng ; Chang, Young-Jae.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:5:p:650-665.

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  1287. Pricing American options when the underlying asset follows GARCH processes. (2005). Stentoft, Lars.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:4:p:576-611.

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  1288. On leverage in a stochastic volatility model. (2005). Yu, Jun.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:127:y:2005:i:2:p:165-178.

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  1289. Forecasting inflation with thick models and neural networks. (2005). McAdam, Peter ; McNelis, Paul.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:22:y:2005:i:5:p:848-867.

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  1290. Non-linearity in stock index returns: the volatility and serial correlation relationship. (2005). Venetis, Ioannis ; Peel, David.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:22:y:2005:i:1:p:1-19.

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  1291. Evaluating volatility forecasts in option pricing in the context of a simulated options market. (2005). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:49:y:2005:i:2:p:611-629.

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  1292. FORECASTING INTEREST RATES - A COMPARATIVE ASSESSMENT OF SOME SECOND GENERATION NON-LINEAR MODELS. (2005). Clavel, Jose ; Nachane, Dilip M..
    In: Finance Working Papers.
    RePEc:eab:financ:22359.

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  1293. GARCH option pricing under skew. (2005). Aboura, Sofiane.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/2138.

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  1294. An Analysis of Political Changes on Nikkei 225 Stock Returns and Volatilities. (2005). Lin, Chin-Tsai ; Wang, Yi-Hsien.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2005:v:6:i:1:p:169-183.

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  1295. Comparing the Impact of News: A Tale of Three Health Care Sectors. (2005). Ewing, Bradley ; Kruse, Jamie B ; Thompson, Mark A.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:32:y:2005:i:7-8:p:1587-1611.

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  1296. The impact of news, oil prices, and global market developments on Russian financial markets. (2005). Kutan, Ali ; Hayo, Bernd.
    In: The Economics of Transition.
    RePEc:bla:etrans:v:13:y:2005:i:2:p:373-393.

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  1297. The rise and fall of US dollar interest rate volatility: evidence from swaptions. (2005). Fornari, Fabio.
    In: BIS Quarterly Review.
    RePEc:bis:bisqtr:0509g.

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  1298. Medidas de Riesgo, Características y Técnicas de Medición: Una Aplicación del VAR y el ES a la Tasa Interbancaria de Colombia. (2005). Melo-Velandia, Luis ; Becerra, Oscar ; Oscar Reinaldo Becerra Camargo, .
    In: Borradores de Economia.
    RePEc:bdr:borrec:343.

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  1299. Is the volatility of the EONIA transmitted to longer-term euro money market interest rates?. (2005). Alonso, Francisco ; Blanco, Roberto .
    In: Working Papers.
    RePEc:bde:wpaper:0541.

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  1300. Modeling Asset Returns: A Comparison of Theoretical and Empirical Models. (2004). Schröder, Michael ; Luders, Erik ; Schroder, Michael .
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:1849.

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  1301. The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets. (2004). Kutan, Ali ; Hayo, Bernd.
    In: Finance.
    RePEc:wpa:wuwpfi:0403002.

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  1302. Gaussian Tests of Extremal White Noise for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application. (2004). Hill, Jonathan.
    In: Econometrics.
    RePEc:wpa:wuwpem:0411014.

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  1303. Do Chinese stock markets share common information arrival processes?. (2004). Wu, Ziping ; McErlean, Seamus ; Kostov, Philip.
    In: Econometrics.
    RePEc:wpa:wuwpem:0410001.

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  1304. On the estimation of stock?market reaction to corporate layoff announcements. (2004). Reyes, Mario G ; Hahn, TeWhan .
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:13:y:2004:i:4:p:357-370.

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  1305. The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets. (2004). Kutan, Ali ; Hayo, Bernd.
    In: William Davidson Institute Working Papers Series.
    RePEc:wdi:papers:2004-656.

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  1306. Is there room for foreign exchange interventions under an inflation targeting framework ? Evidence from Mexico and Turkey. (2004). Mendoza-Velázquez, Alfonso ; Domac, Ilker.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:3288.

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  1307. Modeling the conditional covariance between stock and bond returns : A multivariate GARCH approach. (2004). de Goeij, P. C. ; Marquering, W..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:94fe5ada-715a-4339-b94c-feb18db5578a.

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  1308. Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity. (2004). van Dijk, Dick ; De Pooter, Michiel ; Martens, Martin .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20040067.

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  1309. Technical trading and the volatility of exchange rates. (2004). Herz, Bernhard ; Bauer, Christian.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:4:y:2004:i:4:p:399-415.

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  1310. The empirical evidence of the leverage effect on volatility in international bulk shipping market. (2004). Wang, Shiu-Tung ; Chen, Yung-Shun .
    In: Maritime Policy & Management.
    RePEc:taf:marpmg:v:31:y:2004:i:2:p:109-124.

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  1311. The New Market effect on return and volatility of Spanish stock indexes. (2004). ruiz, jesus ; Lafuente, Juan Angel ; Jesús Ruiz, .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:18:p:1343-1350.

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  1312. The informational role of option trading volume in the S&P 500 futures options markets. (2004). GhulamSarwar, .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:16:p:1197-1210.

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  1313. Volatility transmission across the term structure of swap markets: international evidence. (2004). Novales, Alfonso ; Abad, Pilar.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:14:p:1045-1058.

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  1314. Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility. (2004). Yu, Jun.
    In: Working Papers.
    RePEc:siu:wpaper:24-2004.

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  1315. On Leverage in a Stochastic Volatility Model. (2004). Yu, Jun.
    In: Working Papers.
    RePEc:siu:wpaper:13-2004.

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  1316. Modelling Returns on Stock Indices for Western and Central European Stock Exchanges - a Markov Switching Approach. (2004). Bialkowski, Jedrzej.
    In: South-Eastern Europe Journal of Economics.
    RePEc:seb:journl:v:2:y:2004:i:2:p:81-100.

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  1317. Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model. (2004). Medeiros, Marcelo ; Veiga, Alvaro.
    In: Textos para discussão.
    RePEc:rio:texdis:486.

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  1318. Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review. (2004). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80487.

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  1319. The Nobel Memorial Prize for Robert F. Engle. (2004). Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:04-010.

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  1320. LARCH, Leverage, and Long Memory. (2004). Giraitis, Liudas.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:2:y:2004:i:2:p:177-210.

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  1321. 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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  1322. Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions. (2004). Galagedera, Don ; faff, robert.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-8.

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  1323. Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures. (2004). Dark, Jonathan .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-4.

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  1324. Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors. (2004). Zhang, Xibin ; King, Maxwell.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-26.

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  1325. Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach. (2004). Tsui, Albert ; Ka Cheng Tsui, ; Ho, Kin-Yip.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:12.

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  1326. Testing for a Level Effect in Short-Term Interest Rates. (2004). Suardi, Sandy ; Henry, Ólan.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:924.

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  1327. TIME VARIATION AND ASYMMETRY IN THE WORLD PRICE OF COVARIANCE RISK: THE IMPLICATIONS FOR INTERNATIONAL DIVERSIFICATION. (2004). Shields, K ; Olekalns, Nilss ; Henry, Ólan.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:907.

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  1328. 20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family. (2004). de Arce, Rafael.
    In: Estudios de Economía Aplicada.
    RePEc:lrk:eeaart:22_1_10.

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  1329. The asymmetric effects of uncertainty on inflation and output growth. (2004). Shields, K ; Olekalns, Nilss ; Henry, Ólan ; Grier, Kevin.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:19:y:2004:i:5:p:551-565.

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  1330. AUTOREGRESSIVE CONDITIONAL VOLATILITY, SKEWNESS AND KURTOSIS. (2004). Rubio, Gonzalo ; Leon, ngel ; Serna, Gregorio.
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2004-13.

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  1331. Which GARCH Model for Option Valuation?. (2004). Christoffersen, Peter ; Jacobs, Kris.
    In: Management Science.
    RePEc:inm:ormnsc:v:50:y:2004:i:9:p:1204-1221.

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  1332. Industry Risk and Market Integration. (2004). Sarkissian, Sergei ; Carrieri, Francesca ; Errunza, Vihang.
    In: Management Science.
    RePEc:inm:ormnsc:v:50:y:2004:i:2:p:207-221.

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  1333. Deflationary Dynamics in Hong Kong: Evidence from Linear and Neural Network Regime Switching Models. (2004). McNelis, Paul ; Carrie K. C. Chan, .
    In: Working Papers.
    RePEc:hkm:wpaper:212004.

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  1334. The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong. (2004). Henry, Ólan ; McKenzie, Michael .
    In: Working Papers.
    RePEc:hkm:wpaper:032004.

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  1335. Evaluating exponential GARCH models. (2004). Malmsten, Hans.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0564.

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  1336. Stylized Facts of Financial Time Series and Three Popular Models of Volatility. (2004). Teräsvirta, Timo ; Malmsten, Hans.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0563.

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  1337. Decomposing Densities of Stock Indexes Returns. (2004). Sun, Yiguo.
    In: Working Papers.
    RePEc:gue:guelph:2004-6.

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  1338. Evaluating interest rate covariance models within a value-at-risk framework. (2004). Lopez, Jose ; Ferreira, Miguel.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2004-03.

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  1339. Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off. (2004). Kamstra, Mark ; Donaldson, Glen.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2004-6.

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  1340. LARCH, leverage, and long memory. (2004). Surgailis, Donatas ; Leipus, Remigijus ; Robinson, Peter M. ; Giraitis, Liudas.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:294.

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  1341. Estimating semiparametric ARCH (?) models by kernel smoothing methods. (2004). Mammen, Enno ; Linton, Oliver.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24762.

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  1342. On the estimation of stock-market reaction to corporate layoff announcements. (2004). Reyes, Mario G. ; Hahn, TeWhan .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:13:y:2004:i:4:p:357-370.

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  1343. Bank stock volatility, news and asymmetric information in banking: an empirical investigation. (2004). TARAZI, Amine ; Meslier Crouzille, Celine ; Lepetit, Laetitia.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:14:y:2004:i:4-5:p:443-461.

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  1344. Contagion: evidence from international banking industry. (2004). Tai, Chu-Sheng .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:14:y:2004:i:4-5:p:353-368.

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  1345. Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets. (2004). Kim, Suk-Joong ; faff, robert ; McKenzie, Michael D..
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:14:y:2004:i:3:p:217-232.

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  1346. Fat tails and asymmetry in financial volatility models. (2004). McAleer, Michael ; Verhoeven, Peter .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:64:y:2004:i:3:p:351-361.

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  1347. Bayesian estimation of smooth transition GARCH model using Gibbs sampling. (2004). Wago, Hajime .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:64:y:2004:i:1:p:63-78.

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  1348. Expected returns, risk and the integration of international bond markets. (2004). priestley, richard ; Barr, David.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:23:y:2004:i:1:p:71-97.

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  1349. Market interactions in returns and volatilities between spot and forward shipping freight markets. (2004). VISVIKIS, ILIAS ; Kavussanos, Manolis.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:8:p:2015-2049.

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  1350. Structural changes in volatility and stock market development: Evidence for Spain. (2004). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Cuñado, Juncal ; Hidalgo, Fernando Perez de Gracia, ; Eizaguirre, Juncal Cunado.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:7:p:1745-1773.

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  1351. Information transmission between the NASDAQ and Asian second board markets. (2004). Rui, Oliver ; Lee, Bong-Soo ; Wang, Steven Shuye.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:7:p:1637-1670.

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  1352. Location of trade, ownership restrictions, and market illiquidity: Examining Chinese A- and H-shares. (2004). Jiang, LI ; Wang, Steven Shuye.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:6:p:1273-1297.

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  1353. Can bank be a source of contagion during the 1997 Asian crisis?. (2004). Tai, Chu-Sheng .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:2:p:399-421.

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  1354. Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico. (2004). Darrat, Ali F. ; Otero, Rafael ; Zhong, Maosen.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:12:p:3037-3054.

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  1355. Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood. (2004). Lee, Tae Hwy ; Gonzalez-Rivera, Gloria ; Mishra, Santosh .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:20:y:2004:i:4:p:629-645.

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  1356. Volatility forecasting with smooth transition exponential smoothing. (2004). Taylor, James W..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:20:y:2004:i:2:p:273-286.

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  1357. Alternative settlement methods and Australian individual share futures contracts. (2004). Yang, Li ; Lien, Donald.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:14:y:2004:i:5:p:473-490.

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  1358. Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world. (2004). Firth, Michael ; Wang, Steven Shuye.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:14:y:2004:i:3:p:235-254.

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  1359. A note on the time-series relationship between market industry concentration and market volatility. (2004). Xing, Xuejing.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:14:y:2004:i:2:p:105-115.

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  1360. Looking for risk premium and contagion in Asia-Pacific foreign exchange markets. (2004). Tai, Chu-Sheng .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:13:y:2004:i:4:p:381-409.

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  1361. Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. (2004). Kilian, Lutz ; Goncalves, Silvia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:123:y:2004:i:1:p:89-120.

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  1362. Temporal aggregation of volatility models. (2004). Renault, Eric ; Meddahi, Nour.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:119:y:2004:i:2:p:355-379.

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  1363. Dynamic factor models. (2004). Werker, Bas ; Renault, Eric ; Croux, Christophe.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:119:y:2004:i:2:p:223-230.

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  1364. Option valuation with co-integrated asset prices. (2004). Duan, Jin-Chuan ; Pliska, Stanley R..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:28:y:2004:i:4:p:727-754.

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  1365. A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns. (2004). Saikkonen, Pentti ; Lanne, Markku.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:469.

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  1366. 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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  1367. A power comparison among tests for time reversibility. (2004). Belaire-Franch, Jorge ; Contreras, Dulce .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-04c40003.

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  1368. Applied Time Series Econometrics. (2004). Lütkepohl, Helmut ; Krätzig, Markus.
    In: Cambridge Books.
    RePEc:cup:cbooks:9780521547871.

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  1369. Modeling Volatility for the Chinese Equity Markets. (2004). Fabozzi, Frank ; Wu, Tony ; Tunaru, Radu.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2004:v:5:i:1:p:79-92.

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  1370. Option Valuation with Long-run and Short-run Volatility Components. (2004). Christoffersen, Peter ; Jacobs, Kris ; Wang, Yintian.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-56.

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  1371. 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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  1372. Emerging Market Economies: The Aftermath of Volatility Contagion in a Selection of Three Financial Crises. (2004). Jaque, Felipe .
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:305.

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  1373. Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets. (2004). Robles Fernandez, M. Dolores ; Nieto, Luisa ; Robles-Fernandez, Dolores M..
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:8:y:2004:i:4:n:3.

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  1374. Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models. (2004). Demos, Antonis ; Arvanitis, Stelios.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:25:y:2004:i:1:p:1-25.

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  1375. Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility. (2003). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200335.

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  1376. Return predictability in African stock markets. (2003). Menyah, Kojo ; Appiahkusi, Joe.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:12:y:2003:i:3:p:247-270.

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  1377. Alteraciones en el comportamiento bursátil de las acciones de empresas tecnológicas inducidas por el vencimiento de derivados. (2003). de Prado, Francisco Rodriguez ; Dobao, Lucy Amigo .
    In: Working Papers.
    RePEc:vig:wpaper:0308.

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  1378. Fat Tails and Asymmetry in Financial Volatility Models. (2003). McAleer, Michael ; Verhoeven, Peter .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2003cf211.

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  1379. Volatility Spillover Effects in European Equity Markets. (2003). Baele, L.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:dae0be49-4f32-433e-822b-1c1eb900773f.

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  1380. Volatility Spillover Effects in European Equity Markets. (2003). Baele, Lieven.
    In: Discussion Paper.
    RePEc:tiu:tiucen:dae0be49-4f32-433e-822b-1c1eb900773f.

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  1381. Validity of discrete-time stochastic volatility models in non-synchronous equity markets. (2003). Solibakke, Per Bjarte.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:9:y:2003:i:5:p:420-448.

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  1382. Using monthly returns to model conditional heteroscedasticity. (2003). Joseph, Nathan Lael .
    In: Applied Economics.
    RePEc:taf:applec:v:35:y:2003:i:7:p:791-801.

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  1383. Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures. (2003). McMillan, David G ; Speight, Alan E H, .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:8:p:599-607.

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  1384. The link between monetary policy and stock and bond markets: evidence from the federal funds futures contract. (2003). Gulley, O ; Sultan, Jahangir .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:3:p:199-209.

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  1385. Non-linear modelling of daily exchange rate returns, volatility, and news in a small developing economy. (2003). Sánchez-Fung, José ; Sanchez-Fung, Jose R..
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:4:p:247-250.

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  1386. BL-GARCH models and asymmetries in volatility. (2003). Storti, Giuseppe ; Vitale, Cosimo.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:12:y:2003:i:1:d:10.1007_bf02511581.

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  1387. Time-series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity. (2003). Committee, Nobel Prize.
    In: Nobel Prize in Economics documents.
    RePEc:ris:nobelp:2003_001.

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  1388. Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility. (2003). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:03-025.

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  1389. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0312.

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  1390. Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form. (2003). Kilian, Lutz ; Goncalves, Silvia ; Gonalves, Silvia.
    In: Cahiers de recherche.
    RePEc:mtl:montec:01-2003.

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  1391. Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form. (2003). Kilian, Lutz ; Goncalves, Silvia.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2003-01.

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  1392. The Impact of Short Selling on the Price–Volume Relationship: Evidence from Hong Kong. (2003). Henry, Ólan ; McKenzie, Michael .
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:869.

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  1393. Comparing Conditional Variance Models: Theory and Empirical Evidence. (2003). Tondini, Giovanni ; Girardello, Paolo ; Nicolis, Orietta.
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:7:y:2003:i:3-4:p:177-206.

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  1394. Modeling and Forecasting Volatility in Indian Capital Markets. (2003). Pandey, Ajay .
    In: IIMA Working Papers.
    RePEc:iim:iimawp:wp01771.

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  1395. 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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  1396. Choosing the best volatility models: the model confidence set approach. (2003). Nason, James ; Lunde, Asger ; Hansen, Peter.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2003-28.

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  1397. Modeling and Forecasting Egyptian Stock Market Volatility Before and After Price Limits. (2003). Tooma, Eskandar A.
    In: Working Papers.
    RePEc:erg:wpaper:0310.

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  1398. Estimating semiparametric ARCH (∞) models by kernel smoothing methods. (2003). LINTON, OLIVER ; Mammen, Enno.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:58068.

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  1399. Estimating semiparametric ARCH (8) models by kernel smoothing methods. (2003). LINTON, OLIVER ; Mammen, Enno.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:2187.

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  1400. LARCH, leverage and long memory. (2003). Surgailis, Donatas ; Leipus, Remigijus ; Robinson, Peter M. ; Giraitis, Liudas.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:2020.

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  1401. Return predictability in African stock markets. (2003). Appiah-Kusi, Joe ; Menyah, Kojo .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:12:y:2003:i:3:p:247-270.

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  1402. Transaction costs, arbitrage, and volatility spillover: a note. (2003). Corredor, P. ; Arago, V. ; Santamaria, R..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:12:y:2003:i:3:p:399-415.

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  1403. International asset prices and portfolio choices under Bayesian learning. (2003). Guidolin, Massimo.
    In: Research in Economics.
    RePEc:eee:reecon:v:57:y:2003:i:4:p:383-437.

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  1404. The spillover effects of US and Japanese public information news in advanced Asia-Pacific stock markets. (2003). Kim, Suk-Joong.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:11:y:2003:i:5:p:611-630.

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  1405. International equity market comovements: Economic fundamentals or contagion?. (2003). Connolly, Robert ; Wang, Albert F..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:11:y:2003:i:1:p:23-43.

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  1406. Exchange rate regimes and stock return volatility: some evidence from Asias silver era. (2003). Mao, Connie X. ; Bailey, Warren ; Zhong, Rui.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:55:y:2003:i:5-6:p:557-584.

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  1407. Asymmetrical reaction to US stock-return news: evidence from major stock markets based on a double-threshold model. (2003). Chen, Cathy W. S. ; Chiang, Thomas ; So, Mike K. P., .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:55:y:2003:i:5-6:p:487-502.

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  1408. Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market. (2003). Bomfim, Antulio N..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:1:p:133-151.

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  1409. Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [. (2003). Lebaron, Blake.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:19:y:2003:i:4:p:751-752.

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  1410. Can currency risk be a source of risk premium in explaining forward premium puzzle?: Evidence from Asia-Pacific forward exchange markets. (2003). Tai, Chu-Sheng .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:13:y:2003:i:4:p:291-311.

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  1411. Firm-level return dispersion and the future volatility of aggregate stock market returns. (2003). Stivers, Christopher T..
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:6:y:2003:i:3:p:389-411.

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  1412. The empirical relationship between risk and return: evidence from the UK stock market. (2003). Howe, John S. ; Xing, Xuejing.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:12:y:2003:i:3:p:329-346.

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  1413. Realized volatility in the futures markets. (2003). Thomakos, Dimitrios ; Wang, Tao.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:10:y:2003:i:3:p:321-353.

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  1414. Mexicos integration into the North American capital market. (2003). Adler, Michael ; Qi, Rong .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:4:y:2003:i:2:p:91-120.

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  1415. Tests for time reversibility: a complementarity analysis. (2003). Belaire-Franch, Jorge ; Contreras, Dulce .
    In: Economics Letters.
    RePEc:eee:ecolet:v:81:y:2003:i:2:p:187-195.

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  1416. Hedging options under transaction costs and stochastic volatility. (2003). Vorst, Ton ; Kouwenberg, Roy ; Gondzio, Jacek.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:6:p:1045-1068.

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  1417. Moments of the ARMA--EGARCH model. (2003). Karanasos, Menelaos ; Kim, J..
    In: Econometrics Journal.
    RePEc:ect:emjrnl:v:6:y:2003:i:1:p:146-166.

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  1418. Asymmetric dynamics in the correlations of global equity and bond returns. (2003). Engle, Robert ; Sheppard, Kevin ; Cappiello, Lorenzo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2003204.

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  1419. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns. (2003). McCurdy, Tom ; Maheu, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-38.

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  1420. Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form. (2003). Kilian, Lutz ; Goncalves, Silvia.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-17.

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  1421. LARCH, Leverage and Long Memory. (2003). Giraitis, Liudas ; Surgailis, Donatas ; Robinson, Peter M ; Leipus, Remigijus.
    In: STICERD - Econometrics Paper Series.
    RePEc:cep:stiecm:460.

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  1422. Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods. (2003). LINTON, OLIVER ; Mammen, Enno.
    In: STICERD - Econometrics Paper Series.
    RePEc:cep:stiecm:453.

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  1423. Choosing the Best Volatility Models:The Model Confidence Set Approach. (2003). Nason, James ; Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2003-05.

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  1424. Testing Serial Independence against Time Irreversibility. (2003). Chen, Yi-Ting .
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:7:y:2003:i:3:n:1.

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  1425. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2003). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:1:p:38-62.

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  1426. Winter Blues: A SAD Stock Market Cycle. (2003). Levi, Maurice ; Kramer, Lisa ; Kamstra, Mark.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:1:p:324-343.

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  1427. The impact of news, oil prices, and international spillovers on Russian financial markets. (2002). Kutan, Ali ; Hayo, Bernd.
    In: ZEI Working Papers.
    RePEc:zbw:zeiwps:b202002.

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  1428. Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form. (2002). Kilian, Lutz ; Goncalves, Silvia.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4191.

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  1429. The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets. (2002). Kutan, Ali ; Hayo, Bernd.
    In: Finance.
    RePEc:wpa:wuwpfi:0209001.

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  1430. Seize the Moments: Approximating American Option Prices in the GARCH Framework. (2002). Simonato, Jean-Guy ; Sasseville, Caroline ; Duan, Jin-Chuan ; Gauthier, Genevieve .
    In: Finance.
    RePEc:wpa:wuwpfi:0206005.

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  1431. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-23.

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  1432. The Effect of Recessions on the Relationship between Output Variability and Growth. (2002). Olekalns, Nilss ; Henry, Olan T.
    In: Southern Economic Journal.
    RePEc:wly:soecon:v:68:y:2002:i:3:p:683-692.

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  1433. The temporal relationship between large? and small?capitalization stock returns:. (2002). Reyes, Mario G ; Grieb, Terrance.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:11:y:2002:i:2:p:109-118.

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  1434. Volatility Transmission acros the Term Structure of Swap Markets: International Evidence. (2002). Novales, Alfonso ; Abad, Pilar.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0220.

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  1435. The New Market Effect on Return and Volatility of Spanish Sector Indexes. (2002). ruiz, jesus ; Lafuente, Juan Angel.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0213.

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  1436. Linear and Nonlinear Intraday Dynamics between the Eurostoxx-50. (2002). Robles Fernandez, M. Dolores ; Nieto, Luisa ; Mª Dolores Robles Fernandez, .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0208.

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  1437. Is there Room for Forex Interventions under Inflation Targeting Framework? Evidence from Mexico and Turkey. (2002). Mendoza-Velázquez, Alfonso ; Domac, Ilker.
    In: Discussion Papers.
    RePEc:tcb:dpaper:0206.

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  1438. Option pricing under regime switching. (2002). Popova, Ivilina ; Ritchken, Peter ; Duan, Jin-Chuan.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:2:y:2002:i:2:p:116-132.

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  1439. Asymmetric Volatility of Exchange Rate Returns Under The EMS: Some Evidence From Quantile Regression Approach for Tgarch Models. (2002). Park, Beum Jo.
    In: International Economic Journal.
    RePEc:taf:intecj:v:16:y:2002:i:1:p:105-125.

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  1440. Hedging interest rate risk with multivariate GARCH. (2002). Rossi, Eduardo ; Zucca, Claudio .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:12:y:2002:i:4:p:241-251.

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  1441. The impact of futures trading on spot index volatility: evidence for Taiwan index futures. (2002). Wang, Cheng-Yu ; Chiang, Min-Hsien .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:9:y:2002:i:6:p:381-385.

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  1442. IGARCH effects: an interpretation. (2002). MORANA, CLAUDIO.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:9:y:2002:i:11:p:745-748.

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  1443. A non-linear time series approach to modelling asymmetry in stock market indexes. (2002). Storti, Giuseppe ; Amendola, Alessandra.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:11:y:2002:i:2:d:10.1007_bf02511487.

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  1444. Non-linear modeling of daily exchange rate returns, volatility, and news in a small developing economy. (2002). Sánchez-Fung, José ; Sanchez-Fung, Jose R..
    In: Economics Discussion Papers.
    RePEc:ris:kngedp:2002_004.

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  1445. Comparing conditional variance models: Theory and empirical evidence. (2002). girardello, p..
    In: Departmental Working Papers.
    RePEc:mil:wpdepa:2002-08.

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  1446. New frontiers for arch models. (2002). Engle, Robert.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:425-446.

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  1447. International Asset Pricing and the Benefits from World Market Diversification. (2002). Nilsson, Birger.
    In: Working Papers.
    RePEc:hhs:lunewp:2002_001.

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  1448. Regime Switching in the Yield Curve. (2002). Christiansen, Charlotte.
    In: Finance Working Papers.
    RePEc:hhb:aarfin:2002_013.

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  1449. Conditional Dependency of Financial Series: The Copula-GARCH Model. (2002). Rockinger, Michael ; Jondeau, Eric.
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp69.

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  1450. Crude Oil and Oil-Related Turkish Company Stocks: A Volatility Analysis. (2002). KALAYCIOLU, Eren ; Schmidbauer, Harald.
    In: EcoMod2008.
    RePEc:ekd:000238:23800127.

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  1451. Volatility Spillovers between Crude Oil Prices and US Dollar to Euro Exchange Rates. (2002). Rosch, Angi ; Schmidbauer, Harald.
    In: EcoMod2008.
    RePEc:ekd:000238:23800119.

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  1452. Autorregresive conditional volatility, skewness and kurtosis. (2002). Leon, Angel ; Serna, Gregorio ; Rubio, Gonzalo.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200206.

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  1453. The temporal relationship between large- and small-capitalization stock returns:: Evidence from the UK. (2002). Reyes, Mario G. ; Grieb, Terrance .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:11:y:2002:i:2:p:109-118.

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  1454. Calculating the probability of failure of the Norwegian banking sector. (2002). priestley, richard ; Clare, Andrew .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:12:y:2002:i:1:p:21-40.

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  1455. Non-linear modelling and forecasting of S&P 500 volatility. (2002). McAleer, Michael ; Mees, Alistair ; Verhoeven, Peter ; Pilgram, Berndt.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:59:y:2002:i:1:p:233-241.

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  1456. Does International Diversification Really Diversify Risks?. (2002). Iwaisako, Tokuo.
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:16:y:2002:i:1:p:109-134.

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  1457. Return and volatility behavior of dually-traded stocks: the case of Hong Kong. (2002). Rui, Oliver ; Firth, Michael ; Wang, Steven Shuye.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:21:y:2002:i:2:p:265-293.

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  1458. Asymmetric correlations of equity portfolios. (2002). Ang, Andrew ; Andrew, Ang ; Joseph, Chen.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:63:y:2002:i:3:p:443-494.

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  1459. Volatility clustering and nontrading days in Chinese stock markets. (2002). Friedmann, Ralph ; Sanddorf-Kohle, Walter G..
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:54:y:2002:i:2:p:193-217.

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  1460. Federal funds rate target changes and interest rate volatility. (2002). Lee, Jim.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:54:y:2002:i:2:p:159-191.

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  1461. GARCH vs. stochastic volatility: Option pricing and risk management. (2002). Lehar, Alfred ; Schittenkopf, Christian ; Scheicher, Martin.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:2-3:p:323-345.

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  1462. ARCH versus information-based variances: evidence from the Tokyo Stock Market. (2002). Miyakoshi, Tatsuyoshi.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:14:y:2002:i:2:p:215-231.

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  1463. The sensitivity of Japanese bank stock returns to economic factors: An examination of asset/liability differences and main bank status. (2002). Saporoschenko, Andrew.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:13:y:2002:i:2:p:253-270.

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  1464. A benchmark for measuring bias in estimated daily value at risk. (2002). Bollen, Bernard ; Moosa, Imad A..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:11:y:2002:i:1:p:85-100.

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  1465. A generalized partially linear model of asymmetric volatility. (2002). Xiao, Zhijie ; Wu, Guojun.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:3:p:287-319.

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  1466. A censored-GARCH model of asset returns with price limits. (2002). Wei, Steven X..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:2:p:197-223.

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  1467. Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis. (2002). Zhou, Anjun.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:1:p:35-56.

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  1468. Evaluating GARCH models. (2002). Teräsvirta, Timo ; Lundbergh, Stefan ; Terasvirta, Timo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:110:y:2002:i:2:p:417-435.

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  1469. The pseudo-true score encompassing test for non-nested hypotheses. (2002). Kuan, Chung-Ming ; Chen, Yi-Ting .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:106:y:2002:i:2:p:271-295.

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  1470. On measuring volatility of diffusion processes with high frequency data. (2002). Renò, Roberto ; Barucci, Emilio.
    In: Economics Letters.
    RePEc:eee:ecolet:v:74:y:2002:i:3:p:371-378.

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  1471. New evidence on the impact of financial leverage on beta risk: A time-series approach. (2002). faff, robert ; Brooks, Robert ; Kee, Ho Yew.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:13:y:2002:i:1:p:1-20.

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  1472. How Sensitive is Volatility to Exchange Rate Regimes?. (2002). Fernandez, Viviana.
    In: Documentos de Trabajo.
    RePEc:edj:ceauch:135.

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  1473. Residual-based diagnostics for conditional heteroscedasticity models. (2002). Tse, Y. K..
    In: Econometrics Journal.
    RePEc:ect:emjrnl:v:5:y:2002:i:2:p:358-374.

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  1474. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Anderson, Torben G..
    In: Working Papers.
    RePEc:ecl:upafin:02-1.

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  1475. Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. (2002). Kilian, Lutz ; Goncalves, Silvia.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20020196.

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  1476. Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off. (2002). Perron, Benoit.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-88.

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  1477. Which Volatility Model for Option Valuation?. (2002). Christoffersen, Peter ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-33.

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  1478. The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market. (2002). Henry, Ólan ; Brooks, Chris.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:64:y:2002:i:5:p:487-507.

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  1479. Range?Based Estimation of Stochastic Volatility Models. (2002). Diebold, Francis ; Alizadeh, Sassan.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:57:y:2002:i:3:p:1047-1091.

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  1480. A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchang. (2002). Ventosa-Santaulària, Daniel.
    In: UFAE and IAE Working Papers.
    RePEc:aub:autbar:513.02.

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  1481. The Interest Rate Exposure of Nonfinancial Corporations. (2001). Bartram, Söhnke.
    In: Finance.
    RePEc:wpa:wuwpfi:0112002.

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  1482. Positive feedback trading in emerging capital markets. (2001). Koutmos, Gregory ; Saidi, Reza.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:11:y:2001:i:3:p:291-297.

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  1483. Stock returns, seasonality and asymmetric conditional volatility in world equity markets. (2001). Bayar, Asli ; Balaban, Ercan.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:8:y:2001:i:4:p:263-268.

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  1484. Pouvoir prédictif de la volatilité implicite dans le prix des options de change. (2001). Rzepkowski, Bronka .
    In: Économie et Prévision.
    RePEc:prs:ecoprv:ecop_0249-4744_2001_num_148_2_6278.

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  1485. Volatility Dependence and Contagion in Emerging Equity Markets. (2001). Edwards, Sebastian ; Susmel, Raul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8506.

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  1486. High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models. (2001). Diebold, Francis ; Brandt, Michael W. ; Alizadeh, Sassan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8162.

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  1487. The Effects of Uncertainty on Macroeconomic Performance: The Importance of the Conditional Covariance Model.. (2001). Olekalns, Nilss ; Henry, Ólan ; Grier, Kevin.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:818.

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  1488. Long Maturity Forward Rates.. (2001). Christiansen, Charlotte.
    In: Finance Working Papers.
    RePEc:hhb:aarfin:2001_012.

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  1489. Modelling the Impact of Overnight Surprises on Intra-daily Volatility. (2001). Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2001_02.

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  1490. The risks and rewards of selling volatility. (2001). Waggoner, Daniel ; Nandi, Saikat.
    In: Economic Review.
    RePEc:fip:fedaer:y:2001:i:q1:p:31-39:n:v.86no.1.

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  1491. Volatility in the Emerging Stock Markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia. (2001). Murinde V., ; Poshakwala S., .
    In: European Research Studies Journal.
    RePEc:ers:journl:v:iv:y:2001:i:3-4:p:73-102.

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  1492. A multivariate GARCH in mean approach to testing uncovered interest parity: evidence from Asia-Pacific foreign exchange markets. (2001). Tai, Chu-Sheng .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:41:y:2001:i:4:p:441-460.

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  1493. A stochastic volatility model specification with diagnostics for thinly traded equity markets. (2001). Solibakke, Per Bjarte.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:11:y:2001:i:4-5:p:385-406.

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  1494. The effect of market returns, interest rates, and exchange rates on the stock returns of Japanese horizontal keiretsu financial firms. (2001). Saporoschenko, Andrew ; Koch, Timothy W..
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:11:y:2001:i:2:p:165-182.

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  1495. Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices. (2001). Stein, Jeremy ; Hong, Harrison ; Joseph, Chen ; Harrison, Hong.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:61:y:2001:i:3:p:345-381.

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  1496. The distribution of realized stock return volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Francis, Diebold ; Heiko, Ebens.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:61:y:2001:i:1:p:43-76.

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  1497. Time-varying persistence in expected returns. (2001). priestley, richard.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:7:p:1271-1286.

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  1498. Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction. (2001). Pyun, Chong Soo ; Avard, Stephen L. ; Nam, Kiseok.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:4:p:807-824.

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  1499. Pricing Hang Seng Index options around the Asian financial crisis - A GARCH approach. (2001). zhang, hua ; Duan, Jin-Chuan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:11:p:1989-2014.

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  1500. Returns synchronization and daily correlation dynamics between international stock markets. (2001). Poon, Ser-Huang ; Martens, Martin .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:10:p:1805-1827.

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  1501. Price and volatility spillovers between interest rate and exchange value of the US dollar. (2001). So, Raymond W..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:12:y:2001:i:1:p:95-107.

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  1502. A new historical database for the NYSE 1815 to 1925: Performance and predictability. (2001). Peng, Liang ; Goetzmann, William ; Ibbotson, Roger G..
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:4:y:2001:i:1:p:1-32.

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  1503. Dynamic interdependence and volatility transmission of Asian stock markets: Evidence from the Asian crisis. (2001). Viney, Christopher ; Kim, Sangbae ; Yoon, Jai Hyung .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:10:y:2001:i:1:p:87-96.

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  1504. Alaska North Slope crude oil price and the behavior of diesel prices in California. (2001). Ripple, Ronald ; Raffiee, Kambiz ; Chatrath, Arjun ; Adrangi, Bahram .
    In: Energy Economics.
    RePEc:eee:eneeco:v:23:y:2001:i:1:p:29-42.

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  1505. Foreign investment, regulation and price volatility in South-east Asian stock markets. (2001). Wong, Marie ; Holmes, Phil ; Wong, Mei Wa, .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:2:y:2001:i:4:p:371-386.

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  1506. Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities. (2001). Timmermann, Allan ; Perez Quiros, Gabriel ; Perez-Quiros, Gabriel.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:103:y:2001:i:1-2:p:259-306.

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  1507. Contemporaneous asymmetry in GARCH processes. (2001). Zakoian, Jean-Michel ; El Babsiri, Mohamed ; ELBABSIRI, Mohamed .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:101:y:2001:i:2:p:257-294.

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  1508. American option pricing under GARCH by a Markov chain approximation. (2001). Simonato, Jean-Guy ; Duan, Jin-Chuan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:25:y:2001:i:11:p:1689-1718.

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  1509. A Liquidity Premium Puzzle?: Evidence from Chile. (2001). Fernandez, Viviana.
    In: Documentos de Trabajo.
    RePEc:edj:ceauch:105.

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  1510. Smooth Transition Garch Models : a Baysian Perspective. (2001). Lubrano, Michel.
    In: Discussion Papers (REL - Recherches Economiques de Louvain).
    RePEc:ctl:louvre:2001032.

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  1511. Outliers and conditional autoregressive heteroscedasticity in time series. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws010704.

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  1512. Modelling Scale-Consistent VaR with the Truncated Lévy Flight. (2001). Wolff, Christian ; Lehnert, Thorsten.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2711.

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  1513. Short and Long Memory in Equilibrium Interest Rate Dynamics. (2001). Duan, Jin-Chuan ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-22.

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  1514. Risque de modèle de volatilité. (2001). Renault, Eric ; Alami, Ali .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-06.

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  1515. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

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  1516. Conditional Dependency of Financial Series: An Application of Copulas.. (2001). Rockinger, Michael ; Jondeau, Eric.
    In: Working papers.
    RePEc:bfr:banfra:82.

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  1517. GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics. (2001). Engle, Robert.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:15:y:2001:i:4:p:157-168.

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  1518. Alternative GARCH in Mean Models: An Application to the Korean Stock Market. (2000). Karanasos, Menelaos ; Kim, J..
    In: Discussion Papers.
    RePEc:yor:yorken:00/25.

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  1519. Multivariate volatility analysis of VW stock prices. (2000). Lutkepohl, Helmut ; Herwartz, Helmut.
    In: Intelligent Systems in Accounting, Finance and Management.
    RePEc:wly:isacfm:v:9:y:2000:i:1:p:35-54.

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  1520. The effects of trading activity on market volatility. (2000). Gallo, Giampiero.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:2:p:163-175.

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  1521. Stock index and price dynamics in the UK and the US: new evidence from a trading rule and statistical analysis. (2000). Taylor, Stephen J..
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:1:p:39-69.

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  1522. Forecasting UK stock market volatility. (2000). Speight, Alan ; ap Gwilym, Owain ; McMillan, David.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:10:y:2000:i:4:p:435-448.

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  1523. Price discovery in strategically-linked markets: the case of the gold-silver spread. (2000). Chatrath, Arjun ; ChristieDavid, Rohan ; Adrangi, Bahram .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:10:y:2000:i:3:p:227-234.

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  1524. Meltdown of 1987 and meteor showers among Pacific-Basin stock markets. (2000). Choudhry, Taufiq.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:10:y:2000:i:1:p:71-80.

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  1525. The impact of futures trading on underlying stock index volatility: the case of the FTSE Mid 250 contract. (2000). Butterworth, Darren .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:7:y:2000:i:7:p:439-442.

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  1526. The ACD Model: Predictability of the Time Between Concecutive Trades. (2000). Engle, Robert ; Dufour, Alfonso.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2000-05.

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  1527. Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s. (2000). Edwards, Sebastian ; Susmel, Raul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7813.

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  1528. Interest Rates, Contagion and Capital Controls. (2000). Edwards, Sebastian.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7801.

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  1529. 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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  1530. The Effect of Recessions on the Relationship between Output Variability and Growth.. (2000). Olekalns, Nilss ; Henry, Ólan.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:745.

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  1531. The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market.. (2000). Henry, Ólan ; Brooks, Chris.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:733.

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  1532. Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity. (2000). Khalaf, Lynda ; Saphores, Jean-Daniel ; Bilodeau, Jean-Franois.
    In: Cahiers de recherche.
    RePEc:lvl:lagrcr:0004.

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  1533. An empirical analysis of alternative parametric ARCH models. (2000). Loudon, Geoffrey F. ; Watt, Wing H. ; Yadav, Pradeep K..
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:2:p:117-136.

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  1534. La estructura temporal de las volatilidades implícitas en la opción sobre el IBEX-35. (2000). Corredor-Casado, Pilar ; Santamaria-Aquilue, Rafael.
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:24:y:2000:i:2:p:385-417.

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  1535. Pre-announcement effects, news, and volatility: monetary policy and the stock market. (2000). Bomfim, Antulio N..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2000-50.

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  1536. Evaluating covariance matrix forecasts in a value-at-risk framework. (2000). Lopez, Jose ; Walter, Christian A..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2000-21.

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  1537. International linkages and macroeconomic news effects on interest rate volatility -- Australia and the US. (2000). Sheen, Jeffrey ; Kim, Suk-Joong.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:8:y:2000:i:1:p:85-113.

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  1538. On the distribution and conditional heteroscedasticity in Taiwan stock prices. (2000). Lin, Bing-Huei ; Yeh, Shih-Kuo .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:10:y:2000:i:3-4:p:367-395.

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  1539. Volatility spillover effects from Japan and the US to the Pacific-Basin. (2000). Ng, Angela.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:19:y:2000:i:2:p:207-233.

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  1540. 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..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:19:y:2000:i:1:p:1-32.

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  1541. Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan. (2000). Hamori, Shigeyuki.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:12:y:2000:i:2:p:143-152.

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  1542. The interaction and volatility asymmetry of unexpected returns in the greater China stock markets. (2000). Lee, Tsun-Siou ; Yeh, Yin-Hua.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:11:y:2000:i:1-2:p:129-149.

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  1543. The ordered mean difference as a portfolio performance measure. (2000). Bowden, Roger J..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:7:y:2000:i:2:p:195-223.

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  1544. Can portmanteau nonlinearity tests serve as general mis-specification tests?: Evidence from symmetric and asymmetric GARCH models. (2000). Henry, Ólan ; Brooks, Chris.
    In: Economics Letters.
    RePEc:eee:ecolet:v:67:y:2000:i:3:p:245-251.

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  1545. Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia. (2000). Henry, Ólan ; Brooks, Chris.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:17:y:2000:i:4:p:497-513.

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  1546. The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis. (2000). Kuan, Chung-Ming ; Chen, Yi-Ting.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1723.

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  1547. Semi-Parametric Weak Instrument Regressions with an Application to the Risk-return Trade-off. (2000). Perron, Benoit.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1576.

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  1548. Evidence on the Economics of Equity Return Volatility Clustering. (2000). Connolly, Robert ; Stivers, Christopher T..
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1575.

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  1549. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles. (2000). Manganelli, Simone ; Engle, Robert.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0841.

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  1550. Non-Linear Time Series Models in Empirical Finance. (2000). Franses, Philip Hans ; van Dijk, Dick.
    In: Cambridge Books.
    RePEc:cup:cbooks:9780521779654.

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  1551. Temporal Aggregation of Volatility Models. (2000). Renault, Eric ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-22.

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  1552. Contagion. (2000). Edwards, Sebastian.
    In: The World Economy.
    RePEc:bla:worlde:v:23:y:2000:i:7:p:873-900.

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  1553. Does Correlation between Stock Returns Really Increase during Turbulent Period?.. (2000). Jondeau, Eric ; Chesnay, F..
    In: Working papers.
    RePEc:bfr:banfra:73.

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  1554. A Tale of Five Bubbles- Asset Price Inflation and Central Bank Policy in Historical Perspective.. (2000). Voth, Hans-Joachim.
    In: CEPR Discussion Papers.
    RePEc:auu:dpaper:416.

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  1555. Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities. (2000). Barnes, Michelle ; Pedro J. F. de Lima, .
    In: School of Economics Working Papers.
    RePEc:adl:wpaper:2000-05.

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  1556. Modelling exchange rates volatility with multivariate long-memory ARCH processes. (1999). TEYSSIeRE, Gilles .
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:19995.

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  1557. Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications. (1999). Hafner, Christian ; Herwartz, Helmut.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:199922.

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  1558. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think. (1999). Diebold, Francis ; Brandt, Michael ; Alizadeh, Sassan.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-28.

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  1559. Modelling the Stochastic Dynamics of Volatility for Equity Indices. (1999). Platen, Eckhard ; Heath, David ; Hurst, S..
    In: Research Paper Series.
    RePEc:uts:rpaper:7.

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  1560. Do macro-economic news announcements affect the volatility of foreign exchange rates? Some evidence from Australia. (1999). Kim, Suk-Joong.
    In: Applied Economics.
    RePEc:taf:applec:v:31:y:1999:i:12:p:1511-1521.

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  1561. Convenience yield, mean reverting prices, and long memory in the petroleum market. (1999). Mazaheri, A.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:9:y:1999:i:1:p:31-50.

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  1562. Asymmetric index stock returns: evidence from the G-7. (1999). Koutmos, Gregory .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:6:y:1999:i:12:p:817-820.

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  1563. Estimating and Forecasting the Volatility of Brazilian Finance Series Using ARCH Models. (1999). Issler, João.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:19:y:1999:i:1:a:2792.

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  1564. CAViaR: Conditional Value at Risk by Quantile Regression. (1999). Manganelli, Simone ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7341.

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  1565. Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks. (1999). Engle, Robert ; Cho, Young-Hye.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7330.

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  1566. Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off. (1999). Perron, Benoit.
    In: Cahiers de recherche.
    RePEc:mtl:montde:9901.

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  1567. International Transmission of Information: A Study of the Relationship Between the U.S. and Greek Stock Markets. (1999). Tse, Yiuman ; Niarchos, Nikitas ; Wu, Chunchi ; Young, Allan.
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:3:y:1999:i:1:p:19-40.

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  1568. Semiparametric Pricing of Multivariate Contingent Claims. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-028.

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  1569. Implied Volatility Functions: A Reprise. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-027.

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  1570. Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version). (1999). Issler, João.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:347.

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  1571. Some exotic options under symmetric and asymmetric conditional volatility of returns. (1999). Walsh, David M..
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:9:y:1999:i:3-4:p:403-417.

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  1572. Correlation in price changes and volatility of major Latin American stock markets. (1999). Christofi, A. ; PERICLI, A..
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:9:y:1999:i:1:p:79-93.

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  1573. Capital standard, forbearance and deposit insurance pricing under GARCH. (1999). Yu, Min-Teh ; Duan, Jin-Chuan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:23:y:1999:i:11:p:1691-1706.

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  1574. Empirical analysis of real and financial volatilities on stock excess returns: evidence from Taiwan industrial data. (1999). Doong, Shuh-Chyi ; Chiang, Thomas.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:10:y:1999:i:2:p:187-200.

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  1575. Share price volatility with the introduction of individual share futures on the Sydney Futures Exchange. (1999). Sim, Ah Boon, ; Dennis, Steven A..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:8:y:1999:i:2:p:153-163.

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  1576. Computing value at risk with high frequency data. (1999). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:6:y:1999:i:5:p:431-455.

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  1577. Structural change and time dependence in models of stock returns. (1999). Kim, Dongcheol ; Kon, Stanley J..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:6:y:1999:i:3:p:283-308.

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  1578. Contagion and Volatility in the 1990s. (1999). Edwards, Sebastian ; Susmel, Raul .
    In: CEMA Working Papers: Serie Documentos de Trabajo..
    RePEc:cem:doctra:153.

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  1579. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles. (1999). Manganelli, Simone ; Engle, Robert.
    In: University of California at San Diego, Economics Working Paper Series.
    RePEc:cdl:ucsdec:qt06m3d6nv.

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  1580. ASSET-ALLOCATION DECISIONS WHEN RISK IS CHANGING. (1999). Sheedy, Elizabeth ; Trevor, Robert ; Wood, Justin .
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:22:y:1999:i:3:p:301-315.

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  1581. Interest Rate Transmission and Volatility Transmission along the Yield Curve.. (1999). Jondeau, Eric ; Avouyi-Dovi, Sanvi.
    In: Working papers.
    RePEc:bfr:banfra:57.

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  1582. Has Financial Market Integration Increased during the Nineties?. (1999). Ayuso, Juan ; Blanco, Roberto .
    In: Working Papers.
    RePEc:bde:wpaper:9923.

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  1583. Nonparametric autoregression with multiplicative volatility and additive mean. (1998). Yang, Lijian ; Härdle, Wolfgang ; Nielsen, Jens P. ; Hardle, Wolfgang.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:1998107.

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  1584. Parameterizing Currency Risk in the EMS: The Irish Pound and Spanish Peseta against the German Mark. (1998). McNelis, Paul ; Lim, Guay.
    In: International Finance.
    RePEc:wpa:wuwpif:9805001.

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  1585. Short and long-run dependence in Swedish stock returns. (1998). Berg, Lennart ; Lyhagen, Johan .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:8:y:1998:i:4:p:435-443.

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  1586. Volatility spillovers across equity markets: European evidence. (1998). Kanas, Angelos.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:8:y:1998:i:3:p:245-256.

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  1587. Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange. (1998). Okay, Nesrin.
    In: MPRA Paper.
    RePEc:pra:mprapa:52812.

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  1588. Exchange rate in transition. (1998). Kočenda, Evžen.
    In: MPRA Paper.
    RePEc:pra:mprapa:32030.

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  1589. Modeling asymmetric volatility in weekly Dutch temperature data. (1998). van Dijk, Dick ; Franses, Philip Hans ; Franses, Ph. H. B. F., ; van Dijk, D. J. C., ; Neele, J..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:1533.

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  1590. International transmission of information: evidence from the Euroyen and Eurodollar futures markets. (1998). Tse, Yiuman.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:17:y:1998:i:6:p:909-929.

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  1591. On inflation and inflation uncertainty in the G7 countries. (1998). Grier, Kevin ; Perry, Mark J..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:17:y:1998:i:4:p:671-689.

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  1592. Macroeconomic news and bond market volatility. (1998). Lamont, Owen ; Jones Charles M., ; Lumsdaine Robin L., ; Owen, Lamont.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:47:y:1998:i:3:p:315-337.

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  1593. Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets. (1998). Koutmos, Gregory .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:50:y:1998:i:3:p:277-290.

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  1594. US day-of-the-week effects and asymmetric responses to macroeconomic news. (1998). Chang, Eric C. ; Ravichandran, R. ; Pinegar, Michael J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:22:y:1998:i:5:p:513-534.

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  1595. Correlation in currency markets a risk-adjusted perspective. (1998). Sheedy, Elizabeth .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:8:y:1998:i:1:p:59-82.

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  1596. Modelización de series temporales financieras. Una recopilación. (1998). Font, Begoa .
    In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
    RePEc:cte:dsrepe:3664.

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  1597. Smooth transition GARCH models: a Bayesian perspective. (1998). Lubrano, Michel.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:1998066.

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  1598. Volatility impulse response functions for multivariate GARCH models. (1998). Hafner, Christian ; Herwartz, Helmut.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:1998047.

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  1599. ON STOCK RETURN SEASONALITY AND CONDITIONAL HETEROSKEDASTICITY. (1998). Nofsinger, John R. ; Beller, Kenneth .
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:21:y:1998:i:2:p:229-246.

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  1600. Discrete time option pricing with flexible volatility estimation. (1997). Härdle, Wolfgang ; Hafner, Christian ; Hardle, Wolfgang.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:199756.

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  1601. The impact of inflation rate announcements on interest rate volatility: Australian evidence. (1997). Pereira, Robert ; John H. H. Lee, ; Silvapulle, Param.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:7:y:1997:i:5:p:559-566.

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  1602. Stock return volatility and information: an empirical analysis of Pacific Rim, UK and US equity markets. (1997). Power, David ; Fraser, Patricia .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:7:y:1997:i:3:p:241-253.

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  1603. The Threshold Effect in Expected Volatility: A Model Based on Asymmetric Information.. (1997). Longin, Francois M.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:10:y:1997:i:3:p:837-69.

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  1604. Asymmetric Volatility and Risk in Equity Markets. (1997). Wu, Guojun ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6022.

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  1605. Contrastes de especificación para los modelos de varianza Heterocedástica condicionada. (1997). Pérez-Rodríguez, Jorge ; Fort, Carlos Murillo ; Perez Rodriguez, Jorge V., .
    In: Estudios de Economía Aplicada.
    RePEc:lrk:eeaart:7_2_6.

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  1606. Threshold Modelling of Stock Return Volatility on Eastern European Markets.. (1997). Shields, Kalvinder.
    In: Economic Change and Restructuring.
    RePEc:kap:ecopln:v:30:y:1997:i:2:p:107-125.

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  1607. Medición y Test del Impacto de Innovaciones en la Volatilidad de Índices Accionarios. (1997). Parisi, Franco.
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:34:y:1997:i:101:p:27-47.

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  1608. A closed-form GARCH option pricing model. (1997). Nandi, Saikat ; Heston, Steven L..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:97-9.

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  1609. Price effects of stock market liberalization in Taiwan. (1997). Kwan, Felix B. ; Reyes, Mario G..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:37:y:1997:i:2:p:511-522.

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  1610. Conditional volatility in foreign exchange rates: Evidence from the Malaysian ringgit and Singapore dollar. (1997). Tsui, Albert ; Tse, Y. K. ; TSUI, ALBERT K. C., .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:5:y:1997:i:3:p:345-356.

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  1611. Emerging equity market volatility. (1997). Harvey, Campbell ; Bekaert, Geert.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:43:y:1997:i:1:p:29-77.

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  1612. Price and volatility spillovers in Scandinavian stock markets. (1997). Booth, Geoffrey G. ; Tse, Yiuman ; Martikainen, Teppo .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:21:y:1997:i:6:p:811-823.

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  1613. The European exchange rates before and after the establishment of the European Monetary System. (1997). Jiang, Christine X. ; Hu, Michael Y. ; Tsoukalas, Christos.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:7:y:1997:i:3:p:235-253.

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  1614. Do emerging and developed stock markets behave alike? Evidence from six pacific basin stock markets. (1997). Koutmos, Gregory .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:7:y:1997:i:3:p:221-234.

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  1615. An artificial neural network-GARCH model for international stock return volatility. (1997). Kamstra, Mark ; Donaldson, Glen R..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:4:y:1997:i:1:p:17-46.

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  1616. Augmented GARCH (p,q) process and its diffusion limit. (1997). Duan, Jin-Chuan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:79:y:1997:i:1:p:97-127.

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  1617. A multivariate GARCH model of risk premia in foreign exchange markets. (1997). Malliaropulos, Dimitrios.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:14:y:1997:i:1:p:61-79.

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  1618. One-factor-Garch models for German stocks: Estimation and forecasting. (1996). Kaiser, Thomas .
    In: Tübinger Diskussionsbeiträge.
    RePEc:zbw:tuedps:87.

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  1619. Share Price Response to New Information with Short Horizon Investors the Case of Hong Kong. (1996). Pesando, James ; Shum, Pauline M..
    In: Working Papers.
    RePEc:yca:wpaper:1997_02.

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  1620. One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -. (1996). Kaiser, Thomas .
    In: Econometrics.
    RePEc:wpa:wuwpem:9612007.

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  1621. Public Information and the Persistence of Bond Market Volatility. (1996). Lamont, Owen ; Jones, Charles M. ; Lumsdaine, Robin .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5446.

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  1622. Options and volatility. (1996). Abken, Peter A. ; Nandi, Saikat.
    In: Economic Review.
    RePEc:fip:fedaer:y:1996:i:dec:p:21-35:n:v.81no3-6.

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  1623. Short-sales restrictions and volatility The case of the Stock Exchange of Singapore. (1996). Ho, Kim Wai .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:4:y:1996:i:4:p:377-391.

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  1624. Common volatility and volatility spillovers between U.S. and Eurodollar interest rates: Evidence from the futures market. (1996). Booth, Geoffrey G. ; Tse, Yiuman.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:48:y:1996:i:3:p:299-312.

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  1625. The impact of firm specific news on implied volatilities. (1996). Vorst, Ton ; Donders, Monique W. M., ; Vorst, Ton C. F., .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:20:y:1996:i:9:p:1447-1461.

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  1626. An evaluation of volatility forecasting techniques. (1996). faff, robert ; Brailsford, Timothy J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:20:y:1996:i:3:p:419-438.

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  1627. The econometrics of financial markets. (1996). pagan, adrian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

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  1628. Modeling and pricing long memory in stock market volatility. (1996). Bollerslev, Tim ; Mikkelsen, Hans Ole.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:73:y:1996:i:1:p:151-184.

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  1629. Asymptotic filtering theory for multivariate ARCH models. (1996). Nelson, Daniel B..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:71:y:1996:i:1-2:p:1-47.

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  1630. Modeling the changing asymmetry of conditional variances. (1996). Mele, Antonio ; Fornari, Fabio.
    In: Economics Letters.
    RePEc:eee:ecolet:v:50:y:1996:i:2:p:197-203.

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  1631. Periodic Autoregressive Conditional Heteroscedasticity.. (1996). Ghysels, Eric ; Bollerslev, Tim.
    In: Journal of Business & Economic Statistics.
    RePEc:bes:jnlbes:v:14:y:1996:i:2:p:139-51.

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  1632. Does Inflation Uncertainty Vary with the Level of Inflation?. (1996). Crawford, A ; Kasumovich, M.
    In: Staff Working Papers.
    RePEc:bca:bocawp:96-09.

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  1633. Emerging Equity Market Volatility. (1995). Harvey, Campbell ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5307.

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  1634. Measuring Volatility Dynamics. (1995). Lopez, Jose ; Diebold, Francis.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0173.

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  1635. Evaluating the predictive accuracy of volatility models. (1995). Lopez, Jose.
    In: Research Paper.
    RePEc:fip:fednrp:9524.

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  1636. Asymmetric volatility transmission in international stock markets. (1995). Booth, Geoffrey G ; Koutmos, Gregory .
    In: Journal of International Money and Finance.
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  1637. Is the correlation in international equity returns constant: 1960-1990?. (1995). Solnik, Bruno ; Longin, Francois.
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  1638. All in the family Nesting symmetric and asymmetric GARCH models. (1995). Ludger, Hentschel.
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  1639. Market closures and time-varying volatility in the Australian equity market. (1995). Brailsford, Timothy J..
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  1640. A new framework for analyzing survey forecasts using three-dimensional panel data. (1995). Lahiri, Kajal ; Davies, Antony.
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  1644. Modelos autorregresivos para la varianza condicionada heteroscedastica (ARCH). (1994). Pérez-Rodríguez, Jorge ; Jorge V. Perez Rodriguez, ; Zafra, Marc Saez ; PerezRodriguez, Jorge V..
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  1645. Kernel m-estimators : non parametric diagnostics for structural models. (1994). Monfort, Alain ; gourieroux, christian ; Tenreiro, Carlos.
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  1646. Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis. (0000). Onour, Ibrahim.
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  1647. Forecasting Fundamental Asset Return Distributions. (). Kamstra, Mark ; Donaldson, Glen R..
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  1648. Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics. (). Suardi, Sandy ; Olekalns, Nilss ; Henry, Ólan.
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  1649. La estructura temporal de las volatilidades implícitas en la opción sobre el Ibex-35. (). Casado, Pilar Corredor ; Rafael Santamaría, .
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