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Macroeconomic Volatility and Stock Market Volatility, Worldwide. (2008). Yilmaz, Kamil ; Diebold, Francis.
In: NBER Working Papers.
RePEc:nbr:nberwo:14269.

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  3. Gold-mining stocks, risk factors, and tail patterns. (2023). , James ; Cai, Jun ; Qin, Yiyi ; Webb, Robert I.
    In: Journal of International Financial Markets, Institutions and Money.
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  4. Stock Price Predictability and the Business Cycle via Machine Learning. (2023). Fan, Xiuyi ; Fu, Hsuan ; Wang, Lirong.
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  5. The Market-Based Asset Price Probability. (2022). Olkhov, Victor.
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  7. Partisan Conflict, National Security Policy Uncertainty and Tourism. (2022). Yang, Shixiong ; Luo, Xue ; Gao, Wang ; Fan, Qingzhu ; Zhang, Haizhen.
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  8. The predictability of stock market volatility in emerging economies: Relative roles of local, regional, and global business cycles. (2020). GUPTA, RANGAN ; Demirer, Riza ; Sun, Xiaojin ; Bouri, Elie.
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  9. Energy and non–energy Commodities: Spillover Effects on African Stock Markets. (2020). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo ; Boccia, Marinella.
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  10. Too central to fail firms in bi-layered financial networks: Evidence of linkages from the US corporate bond and stock markets. (2020). Chakrabarti, Anindya S ; Srivastava, Pranjal ; Mishra, Abinash.
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  11. Ripples on financial networks. (2019). Chakrabarti, Anindya S ; Bansal, Avijit ; Kumar, Sudarshan.
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  12. The economic sources of Chinas CSI 300 spot and futures volatilities before and after the 2015 stock market crisis. (2019). Gong, Yuting ; Chen, Qiang.
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  13. The determinants of the model-free positive and negative volatilities. (2019). Tunaru, Radu ; Morelli, David ; Bevilacqua, Mattia.
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  14. Oil and the short-term predictability of stock return volatility. (2018). Yin, Libo ; Wang, Yudong ; Wu, Chongfeng ; Wei, YU.
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  15. Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad.
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  18. Correlated Beliefs, Returns, and Stock Market Volatility. (2016). Simonovska, Ina ; David, Joel.
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  19. Credible reforms and stock return volatility: Evidence from privatization. (2016). Some, Hyacinthe Y ; Valery, Pascale ; Cosset, Jean-Claude .
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  20. Correlated beliefs, returns, and stock market volatility. (2016). Simonovska, Ina ; David, Joel.
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  21. Examination of the Relationship between Turkey’s Credit Default Swap (CDS) Points and Unemployment. (2016). Ahn, Cumhur ; Altay, Huseyin .
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  23. Correlated Beliefs, Returns, and Stock Market Volatility. (2015). Simonovska, Ina ; David, Joel.
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  24. How Does Stock Market Volatility React to Oil Shocks?. (2015). Manera, Matteo ; Bastianin, Andrea.
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  25. Modelling stock return volatility dynamics in selected African markets. (2015). Botha, Ferdi ; King, Daniel .
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  26. Volatility of Stock Markets (an Analysis of South Asian and G8 Countries). (2015). Aslam, Waheed ; Baig, Muhammad Mansoor ; Malik, Qaiser ; Bilal, Muhammad.
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  27. The scale of predictability. (2015). Tebaldi, Claudio ; Perron, Benoit ; Bandi, Federico M. ; Tamoni, Andrea .
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  28. Costs of Foreign Capital Flows in Emerging Market Economies: Unexpected Economic Growth and Increased Financial Market Volatility. (2015). Kim, Jayoung ; Yoon, Kyoungsoo.
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  29. An empirical analysis of the US stock market and output growth volatility spillover effects on three Anglo-Saxon countries. (2014). Valadkhani, Abbas ; Chen, George.
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  30. Macroeconomic variables and stock price volatility in Nigeria. (2014). Omorokunwa, Osazee Godwin ; Ikponmwosa, Nosakhare .
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  32. The scale of predictability. (2014). Tebaldi, Claudio ; Perron, Benoit ; Tamoni, Andrea ; Bandi, Federico M..
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  40. The changing macroeconomic response to stock market volatility shocks. (2012). Giuliodori, Massimo ; Beetsma, Roel.
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  45. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
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  46. The Changing Macroeconomic Response to Stock Market Volatility Shocks. (2011). Giuliodori, Massimo ; Beetsma, Roel.
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  47. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
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  48. A Volatility-Driven Asset Allocation (VDAA). (2010). Morel, Christophe ; Michel, Thierry .
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  49. Capital misallocation and aggregate factor productivity. (2009). Kaas, Leo ; Azariadis, Costas.
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  50. Capital misallocation and aggregate factor productivity. (2009). Kaas, Leo ; Azariadis, Costas.
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  51. The Determinants of Stock and Bond Return Comovements. (2009). Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven.
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    RePEc:cir:cirwor:2004s-24.

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  27. El índice VIX para la predicción de la volatilidad: un estudio internacional.. (2004). Rubio, Javier Giner ; Marrero, Sandra Morini.
    In: Documentos de trabajo conjunto ULL-ULPGC.
    RePEc:can:series:2004-10.

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  28. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
    In: Econometrics.
    RePEc:wpa:wuwpem:0305004.

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  29. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole ; Graversen, Svend Erik .
    In: Economics Papers.
    RePEc:nuf:econwp:0319.

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  30. 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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  31. Exchange Rates, Equity Prices and Capital Flows. (2003). Rey, Helene ; Hau, Harald.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3735.

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

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

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  35. 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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  36. Measuring and forecasting financial variability using realised variance with and without a model. (2002). Shephard, Neil ; Nielsen, Bent ; Barndorff-Nielsen, Ole ; Ysusi, Carla .
    In: Economics Papers.
    RePEc:nuf:econwp:0221.

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  37. Exchange Rate, Equity Prices and Capital Flows. (2002). Rey, Helene ; Hau, Harald.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9398.

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  38. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8959.

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  39. Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. (2002). Bollerslev, Tim ; Forsberg, Lars.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:535-548.

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  40. A theoretical comparison between integrated and realized volatility. (2002). Meddahi, Nour.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:479-508.

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  41. Insolvency or liquidity squeeze? Explaining very short-term corporate yield spreads. (2002). Downing, Chris ; Covitz, Dan.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2002-45.

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  42. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-93.

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  43. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis ; Christoffersen, Peter.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-02.

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  44. Local Whittle Analysis of Stationary Fractional Cointegration. (2002). Nielsen, Morten.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2002-8.

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  45. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

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  46. Realised power variation and stochastic volatility models. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0118.

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  47. How accurate is the asymptotic approximation to the distribution of realised volatility?. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0116.

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  48. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

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  49. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-71.

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  50. Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data. (2001). Nielsen, Morten ; Christensen, Bent Jesper.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2001-4.

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