1. Global and regional financial integration in East Asia and the ASEAN. (2018). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Martin, Vance L.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:46:y:2018:i:c:p:202-221.

   Full description at Econpapers || Download paper

2. Joint tests of contagion with applications to financial crises. (2017). Martin, Vance ; Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee.
   In: CAMA Working Papers.
   RePEc:een:camaaa:2017-23.

   Full description at Econpapers || Download paper

3. Debt and Financial Market Contagion. (2015). Morley, James ; Hsiao, Cody Yu-Ling.
   In: Discussion Papers.
   RePEc:swe:wpaper:2015-02.

   Full description at Econpapers || Download paper

1. [1] Allen, F. and Gale, D. (2000), “Financial Contagion”, Journal of Political Economy, 108, 1-33.
   Paper not yet in RePEc: Add citation now
   

2. [10] Conrad, J., Dittmar, R.F., and Ghysels, E. (2013), “Ex Ante Skewness and Expected Stock Returns,” Journal of Finance, LXVIII, 85-124.

3. [11] Dittmar, R.F. (2002), “Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross-section of Equity Returns,” The Journal of Finance, 57, 1, 369-403.
   Paper not yet in RePEc: Add citation now
   
4. [12] Embrechts, P., Lindskog, F., and McNeil, A. (2003), “Modelling Dependence with Copulas and Applications to Risk Management,” Handbook of Heavy Tailed Distributions in Finance, Chapter 8, 329-84.
   Paper not yet in RePEc: Add citation now
   

5. [13] Engle, R.F., Ng, V.K., and Rothschild, M. (1990), “Asset Pricing with a Factor-ARCH Covariance Structure: Empirical Estimates for Treasury Bills,” Journal of Econometrics, 45, 213-237.

6. [15] Forbes, K., and Rigobon, R. (2002), “No Contagion, Only Interdependence: Measuring Stock Market Co-movements,” The Journal of Finance, 57, 5, 2223-61.
   Paper not yet in RePEc: Add citation now
   
7. [16] Friend, I., and Westereld, R. (1980), “Co-skewness and Capital Asset Pricing,”, The Journal of Finance, 35, 897-913.
   Paper not yet in RePEc: Add citation now
   

8. [17] Fry-McKibbin, R.A., Hsiao, C.Y., and Tang, C. (2013), “Financial Contagion and Asset Pricing,” CAMA Working Paper, No. 61/2013.

9. [18] Fry, R.A., Hsiao, C.Y., and Tang, C. (2011), “Actually This Time is Dierent,” CAMA Working Paper, No.12.

10. [2] Bekaert, G., and Wu, G. (2000), “Asymmetric Volatility and Risk in Equity Markets,” The Review of Financial Studies, 13, 1, 4-42.

11. [20] Garcia, R. and G. Tsafack (2011). Dependence Structure and Extreme Comovements in International Equity and Bond Markets. Journal of Banking and Finance 35(8), 1954-70.

12. [21] Gorton, G. and Metrick, A. (2009), “Securitized Banking and the Run on Repo”, Yale ICF Working Paper No. 09-14.
    Paper not yet in RePEc: Add citation now
    

13. [22] Gropp, R., Duca, M.L., and Vesala J. (2010), “Cross-border Bank Contagion in Europe,” International Journal of Central Banking, 5, 1, 97-139.

14. [23] Gropp, R., and Moerman, G. (2004), “Measurement of Contagion in Banks’ Equity Prices,” Journal of International Money and Finance, 23, 405-59.

15. [24] Harvey C.R., and Siddique, A. (2000), “Conditional Skewness in Asset Pricing Tests,” The Journal of Finance, 55, 3, 1263-95.

16. [25] Hwang, S., and Satchell, S.E. (1999), “Modelling Emerging Market Risk Premia Using Higher Moments,” International Journal of Finance and Economics, 4, 271-296.

17. [26] Jondeau, E., and Rockinger, M. (2009), “The Impact of Shocks on Higher Moments,” Journal of Financial Econometrics, 7, 2, 77-105.

18. [27] Kraus, A., and Litzenberger, R. (1976), “Skewness Preferences and the Valuation of Risk Assets„” Journal of Finance, 31, 1085-1100.
    Paper not yet in RePEc: Add citation now
    
19. [28] Lintner, J. (1965), “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets,” Review of Economics and Statistics, 47, 1, 13-37.
    Paper not yet in RePEc: Add citation now
    
20. [29] Lye, J.N., and Martin, V.L. (1993), “Robust Estimation, Non-Normalities and Generalized Exponential Distributions,” Journal of the American Statistical Association, 88, 253-59.
    Paper not yet in RePEc: Add citation now
    

21. [3] Black, F. (1972), “Capital Market Equilibrium with Restricted Borrowing,” Journal of Business, 45, 3, 444-54.

22. [30] Moore, K.B., and Palumbo, M.G. (2010), “The Finances of American Households in the Past Three Recessions: Evidence from the Survey of Consumer Finances,” Finance and Economics Discussion Series 2010-06, Federal Reserve Board.
    Paper not yet in RePEc: Add citation now
    

23. [31] Scott, R.C., and Horvath, P.A. (1980), “On the Direction of Preference for Moments of Higher Order than the Variance,” The Journal of Finance, 35, 4, 915-19.

24. [32] Sharpe, W.F. (1964), “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” The Journal of Finance, 19, 3, 425-42.

25. [34] Vayanos, D. (2004), “Flight to Quality, Flight to Liquidity, and the Pricing of Risk”, NBER Working Paper #10327.
    Paper not yet in RePEc: Add citation now
    
26. [4] Black, F. (1976), “Studies of Stock Price Volatility Changes,” Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economics Statistics Section, 177-181.
    Paper not yet in RePEc: Add citation now
    
27. [5] Brunnermeier, M.K., and Pedersen, L.H. (2008), “Market Liquidity and Funding Liquidity, ” Review of Financial Studies, 22, 6, 2201-38.
    Paper not yet in RePEc: Add citation now
    

28. [6] Brunnermeier, M., Nagel, S., and Pedersen, L.H. (2008),”Carry Trades and Currency Crashes,” NBER Macroeconomics Annual 2008, 313-48.

29. [7] Brunnermeier, M. (2009),”Deciphering the Liquidity and Credit Crunch 2007-2008,” Journal of Economic Perspectives, 23, 1, 77-100.

30. [8] Cifuentes, R., Ferrucci, G. and Shin, H. (2005), “Liquidity Risk and Contagion”, Journal of the European Economic Association, 3(2-3), 556-66.
    Paper not yet in RePEc: Add citation now
    
31. [9] Cobb, L., Koppstein, P., and Chen, N.H. (1983), “Estimation and Moment Recursion Relations for Multimodal Distributions of the Exponential Family,” Journal of the American Statistical Association, 78, 124-30.
    Paper not yet in RePEc: Add citation now
    

1. Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). , Walid.
   In: Journal of Economics and Business.
   RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206.

   Full description at Econpapers || Download paper

2. A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K.
   In: Papers.
   RePEc:arx:papers:2006.15312.

   Full description at Econpapers || Download paper

3. The best of all possible worlds: unraveling target price optimism using analysts’ scenario-based valuations. (2017). Piotroski, Joseph D ; Joos, Peter R.
   In: Review of Accounting Studies.
   RePEc:spr:reaccs:v:22:y:2017:i:4:d:10.1007_s11142-017-9413-3.

   Full description at Econpapers || Download paper

4. Low risk anomalies?. (2016). Zechner, Josef ; Wagner, Christian ; Schneider, Paul.
   In: CFS Working Paper Series.
   RePEc:zbw:cfswop:550.

   Full description at Econpapers || Download paper

5. Gold Futures Returns and Realized Moments: A Forecasting Experiment Using a Quantile-Boosting Approach. (2016). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo.
   In: Working Papers.
   RePEc:pre:wpaper:201645.

   Full description at Econpapers || Download paper

6. Diversification, gambling and market forces. (2016). ROGER, Patrick ; MERLI, Maxime ; Broihanne, Marie-Hélène.
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:47:y:2016:i:1:d:10.1007_s11156-015-0497-1.

   Full description at Econpapers || Download paper

7. Risk and Return Spillovers among the G10 Currencies. (2016). Greenwood-Nimmo, Matthew ; Rafferty, Barry ; Nguyen, Viet Hoang.
   In: Melbourne Institute Working Paper Series.
   RePEc:iae:iaewps:wp2016n04.

   Full description at Econpapers || Download paper

8. Option-implied term structures. (2016). Vogt, Erik.
   In: Staff Reports.
   RePEc:fip:fednsr:706.

   Full description at Econpapers || Download paper

9. Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets. (2016). Liu, Qingfu ; An, Yunbi ; Hua, Renhai .
   In: Pacific-Basin Finance Journal.
   RePEc:eee:pacfin:v:38:y:2016:i:c:p:135-148.

   Full description at Econpapers || Download paper

10. Gambling preference and individual equity option returns. (2016). Kim, Da-Hea ; Byun, Suk-Joon .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:122:y:2016:i:1:p:155-174.

    Full description at Econpapers || Download paper

11. Nominal price illusion. (2016). Birru, Justin ; Wang, Baolian.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:119:y:2016:i:3:p:578-598.

    Full description at Econpapers || Download paper

12. The MAX effect: An exploration of risk and mispricing explanations. (2016). Zhong, Angel ; Gray, Philip.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:65:y:2016:i:c:p:76-90.

    Full description at Econpapers || Download paper

13. International stock market cointegration under the risk-neutral measure. (2016). Power, Gabriel ; Toupin, Dominique ; Gagnon, Marie-Helene .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:47:y:2016:i:c:p:243-255.

    Full description at Econpapers || Download paper

14. Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market. (2016). Lee, Hsiu-Chuan ; Liao, Tzu-Hsiang ; Chen, Chen.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:35:y:2016:i:c:p:203-225.

    Full description at Econpapers || Download paper

15. An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange. (2016). Nyangara, Melody ; Tyavambiza, Takawira ; Ndlovu, Godfrey .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2016-02-1.

    Full description at Econpapers || Download paper

16. Expected skewness and momentum. (2016). Weber, Martin ; Jacobs, Heiko ; Regele, Tobias .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11455.

    Full description at Econpapers || Download paper

17. Skewness Seeking in a Dynamic Portfolio Choice Experiment. (2016). Carrillo, Juan D. ; Brocas, Isabelle ; Zapatero, Fernando ; Giga, Aleksandar .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11056.

    Full description at Econpapers || Download paper

18. Towards a skewness index for the Italian stock market. (2015). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca.
    In: Department of Economics.
    RePEc:mod:depeco:0064.

    Full description at Econpapers || Download paper

19. Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula. (2015). Zhao, Yang ; cerrato, mario ; Kim, Minjoo ; Crosby, John.
    In: Working Papers.
    RePEc:gla:glaewp:2015_15.

    Full description at Econpapers || Download paper

20. Lottery-related anomalies: the role of reference-dependent preferences. (2015). Wang, Jian ; Yu, Jianfeng.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:259.

    Full description at Econpapers || Download paper

21. Extremal dependence tests for contagion. (2015). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2015-40.

    Full description at Econpapers || Download paper

22. Does realized skewness predict the cross-section of equity returns?. (2015). Christoffersen, Peter ; Vasquez, Aurelio ; Jacobs, Kris ; Amaya, Diego.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:1:p:135-167.

    Full description at Econpapers || Download paper

23. Good and bad uncertainty: Macroeconomic and financial market implications. (2015). Segal, Gill ; Yaron, Amir ; Shaliastovich, Ivan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:117:y:2015:i:2:p:369-397.

    Full description at Econpapers || Download paper

24. The information content of option-implied information for volatility forecasting with investor sentiment. (2015). Kim, Jun Sik ; Seo, Sung Won.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:50:y:2015:i:c:p:106-120.

    Full description at Econpapers || Download paper

25. Liquidity and stock returns: Evidence from international markets. (2015). Chiang, Thomas C ; Zheng, Dazhi.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:27:y:2015:i:c:p:73-97.

    Full description at Econpapers || Download paper

26. Does individual-stock skewness/coskewness reflect portfolio risk?. (2015). Kim, Thomas .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:15:y:2015:i:c:p:167-174.

    Full description at Econpapers || Download paper

27. The relationship between the option-implied volatility smile, stock returns and heterogeneous beliefs. (2015). Feng, Shu ; Friesen, Geoffrey C ; Zhang, YI.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:41:y:2015:i:c:p:62-73.

    Full description at Econpapers || Download paper

28. Unfolded GARCH models. (2015). Luger, Richard ; Liu, Xiaochun.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:58:y:2015:i:c:p:186-217.

    Full description at Econpapers || Download paper

29. US Monetary and Fiscal Policies - Conflict or Cooperation?. (2015). Zhao, Yang ; Kim, Minjoo ; Crosby, John ; Cerrato, Mario.
    In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon.
    RePEc:ags:aaea07:686.

    Full description at Econpapers || Download paper

30. An Empirical Analysis of the Ross Recovery Theorem. (2014). Audrino, Francesco ; Huitema, Robert ; Ludwig, Markus .
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2014:11.

    Full description at Econpapers || Download paper

31. Capital Structure and Financial Flexibility: Expectations of Future Shocks. (2014). Skiadopoulos, George ; Lambrinoudakis, Costas ; Neumann, Michael.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp731.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

33. Rare Booms and Disasters in a Multi-sector Endowment Economy. (2014). Wachter, Jessica ; Tsai, Jerry.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20062.

    Full description at Econpapers || Download paper

34. The role of education in equity portfolios during the recent financial crisis. (2014). Zhao, Yang ; Tsoukas, Serafeim ; MacDonald, Ronald ; Bose, Udichibarna ; Crosby, John ; Kim, Minjoo ; Cerrato, Mario.
    In: Working Papers.
    RePEc:gla:glaewp:2014_17.

    Full description at Econpapers || Download paper

35. IPO first-day returns: Skewness preference, investor sentiment and uncertainty underlying factors. (2014). ben Aissia, Dorsaf .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:23:y:2014:i:3:p:148-154.

    Full description at Econpapers || Download paper

36. Death and jackpot: Why do individual investors hold overpriced stocks?. (2014). Xing, Yuhang ; Conrad, Jennifer ; Kapadia, Nishad .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:113:y:2014:i:3:p:455-475.

    Full description at Econpapers || Download paper

37. Aggregation of preferences for skewed asset returns. (2014). Renault, Eric ; Leisen, Dietmar P. J., ; Chabi-Yo, Fousseni.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:154:y:2014:i:c:p:453-489.

    Full description at Econpapers || Download paper

38. Options-implied variance and future stock returns. (2014). Qiu, Buhui ; Guo, Hui.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:44:y:2014:i:c:p:93-113.

    Full description at Econpapers || Download paper

39. Skewness Term Structure Tests. (2014). Lehnert, Thorsten ; Lin, Yuehao .
    In: LSF Research Working Paper Series.
    RePEc:crf:wpaper:14-08.

    Full description at Econpapers || Download paper

40. Least quartic Regression Criterion with Application to Finance. (2014). Arbia, Giuseppe.
    In: Papers.
    RePEc:arx:papers:1403.4171.

    Full description at Econpapers || Download paper

41. Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas. (2014). Crosby, John ; Cerrato, Mario ; Zhao, Yang ; Kim, Minjoo.
    In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon.
    RePEc:ags:aaea07:613.

    Full description at Econpapers || Download paper

42. Oil Volatility Risk and Expected Stock Returns. (2014). Christoffersen, Peter ; Pan, Xuhui .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-06.

    Full description at Econpapers || Download paper

43. Equity Portfolio Management Using Option Price Information. (2014). Christoffersen, Peter ; Pan, Xuhui .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-05.

    Full description at Econpapers || Download paper

44. Option Implied Trees and Implied Moments. (2013). Ruggieri, Alessio ; Muzzioli, Silvia.
    In: Department of Economics.
    RePEc:mod:depeco:0015.

    Full description at Econpapers || Download paper

45. Option Implied Trees and Implied Moments. (2013). Muzzioli, Silvia ; Ruggieri, Alessio .
    In: Department of Economics (DEMB).
    RePEc:mod:dembwp:0015.

    Full description at Econpapers || Download paper

46. Do jumps contribute to the dynamics of the equity premium?. (2013). McCurdy, Tom ; Maheu, John ; Zhao, Xiaofei.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:110:y:2013:i:2:p:457-477.

    Full description at Econpapers || Download paper

47. Comoment risk and stock returns. (2013). Lambert, Marie ; Hübner, Georges ; Hubner, G.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:23:y:2013:i:c:p:191-205.

    Full description at Econpapers || Download paper

48. Forecasting with Option-Implied Information. (2013). Christoffersen, Peter ; Young, BO ; Jacobs, Kris.
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-581.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

50. Does Realized Skewness Predict the Cross-Section of Equity Returns?. (2013). Christoffersen, Peter ; Jacobs, Kris ; Amaya, Diego ; Vasquez, Aurelio.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-41.

    Full description at Econpapers || Download paper

Report date: 2025-02-26 08:19:48 || Missing content? Let us know