메뉴 건너뛰기




Volumn , Issue , 2008, Pages

Multifractal Volatility

Author keywords

[No Author keywords available]

Indexed keywords


EID: 85013956427     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/B978-0-12-150013-9.X5001-6     Document Type: Book
Times cited : (14)

References (527)
  • 2
    • 38249030663 scopus 로고
    • Stock prices under time-varying dividend risk: an exact solution in an infinite horizon general equilibrium model
    • Abel A. Stock prices under time-varying dividend risk: an exact solution in an infinite horizon general equilibrium model. Journal of Monetary Economics 1988, 22:375-395.
    • (1988) Journal of Monetary Economics , vol.22 , pp. 375-395
    • Abel, A.1
  • 3
    • 0001918323 scopus 로고    scopus 로고
    • Risk premia and term premia in general equilibrium
    • Abel A. Risk premia and term premia in general equilibrium. Journal of Monetary Economics 1999, 43:3-33.
    • (1999) Journal of Monetary Economics , vol.43 , pp. 3-33
    • Abel, A.1
  • 4
    • 0037238508 scopus 로고    scopus 로고
    • The effects of a baby boom on stock prices and capital accumulation in the presence of social security
    • Abel A. The effects of a baby boom on stock prices and capital accumulation in the presence of social security. econometrica 2003, 71:551-578.
    • (2003) econometrica , vol.71 , pp. 551-578
    • Abel, A.1
  • 5
    • 0011885760 scopus 로고
    • Long cycles: fact or artefact?
    • Adelman I. Long cycles: fact or artefact?. American Economic Review 1965, 55:444-463.
    • (1965) American Economic Review , vol.55 , pp. 444-463
    • Adelman, I.1
  • 6
    • 55949101358 scopus 로고    scopus 로고
    • Stock returns and volatility: pricing the long-run and short-run components of market risk
    • forthcoming
    • Adrian T., Rosenberg J. Stock returns and volatility: pricing the long-run and short-run components of market risk. Journal of Finance 2008, forthcoming.
    • (2008) Journal of Finance
    • Adrian, T.1    Rosenberg, J.2
  • 7
    • 34248597573 scopus 로고    scopus 로고
    • New applications of the model of de Wijs in regional geochemistry
    • Agterberg F. New applications of the model of de Wijs in regional geochemistry. Mathematical Geology 2007, 39:1-25.
    • (2007) Mathematical Geology , vol.39 , pp. 1-25
    • Agterberg, F.1
  • 8
    • 0042170237 scopus 로고    scopus 로고
    • Telling from discrete data whether the underlying continuoustime model is a diffusion
    • Ait-Sahalia Y. Telling from discrete data whether the underlying continuoustime model is a diffusion. Journal of Finance 2002, 57:2075-2112.
    • (2002) Journal of Finance , vol.57 , pp. 2075-2112
    • Ait-Sahalia, Y.1
  • 9
    • 80053385522 scopus 로고    scopus 로고
    • Testing for jumps in a discretely observed process
    • forthcoming
    • Ait-Sahalia Y., Jacod J. Testing for jumps in a discretely observed process. Annals of Statistics 2008, forthcoming.
    • (2008) Annals of Statistics
    • Ait-Sahalia, Y.1    Jacod, J.2
  • 10
    • 0001917976 scopus 로고
    • Conditional heteroskedasticity in time series of stock returns: evidence and forecasts
    • Akgiray V. Conditional heteroskedasticity in time series of stock returns: evidence and forecasts. Journal of Business 1989, 62:55-80.
    • (1989) Journal of Business , vol.62 , pp. 55-80
    • Akgiray, V.1
  • 11
    • 55549084723 scopus 로고
    • Bayes inference via Gibbs sampling of autoregressive time series subject to Markov means and variance shifts
    • Albert J., Chib S. Bayes inference via Gibbs sampling of autoregressive time series subject to Markov means and variance shifts. Journal of Business and Economic Statistics 1993, 11:1-15.
    • (1993) Journal of Business and Economic Statistics , vol.11 , pp. 1-15
    • Albert, J.1    Chib, S.2
  • 12
    • 0011836910 scopus 로고    scopus 로고
    • Range-based estimation of stochastic volatility models
    • Alizadeh S., Brandt M., Diebold F.X. Range-based estimation of stochastic volatility models. Journal of Finance 2002, 57:1047-1091.
    • (2002) Journal of Finance , vol.57 , pp. 1047-1091
    • Alizadeh, S.1    Brandt, M.2    Diebold, F.X.3
  • 13
    • 0001994846 scopus 로고
    • Stochastic autoregressive volatility: a framework for volatility modeling
    • Andersen T. Stochastic autoregressive volatility: a framework for volatility modeling. Mathematical Finance 1994, 4:75-102.
    • (1994) Mathematical Finance , vol.4 , pp. 75-102
    • Andersen, T.1
  • 14
    • 0009232225 scopus 로고    scopus 로고
    • Return volatility and trading volume: an information flow interpretation of stochastic volatility
    • Andersen T. Return volatility and trading volume: an information flow interpretation of stochastic volatility. Journal of Finance 1996, 51:169-204.
    • (1996) Journal of Finance , vol.51 , pp. 169-204
    • Andersen, T.1
  • 16
    • 0012692686 scopus 로고    scopus 로고
    • An empirical investigation of continuous-time models for equity returns
    • Andersen T., Benzoni L., Lund J. An empirical investigation of continuous-time models for equity returns. Journal of Finance 2002, 57:1239-1284.
    • (2002) Journal of Finance , vol.57 , pp. 1239-1284
    • Andersen, T.1    Benzoni, L.2    Lund, J.3
  • 17
    • 0005880209 scopus 로고    scopus 로고
    • Answering the skeptics: yes, standard volatility models do provide accurate forecasts
    • Andersen T., Bollerslev T. Answering the skeptics: yes, standard volatility models do provide accurate forecasts. International Economic Review 1998, 39:885-905.
    • (1998) International Economic Review , vol.39 , pp. 885-905
    • Andersen, T.1    Bollerslev, T.2
  • 18
    • 0039066490 scopus 로고    scopus 로고
    • Deutsche-mark dollar volatility: intraday activity patterns, macroeconomic announcements, and longer-run dependencies
    • Andersen T., Bollerslev T. Deutsche-mark dollar volatility: intraday activity patterns, macroeconomic announcements, and longer-run dependencies. Journal of Finance 1998, 53:219-265.
    • (1998) Journal of Finance , vol.53 , pp. 219-265
    • Andersen, T.1    Bollerslev, T.2
  • 19
    • 36448949838 scopus 로고    scopus 로고
    • Roughing it up: including jump components in the measurement, modeling, and forecasting of return volatility
    • Andersen T., Bollerslev T., Diebold F.X. Roughing it up: including jump components in the measurement, modeling, and forecasting of return volatility. Review of Economics and Statistics 2007, 89:701-720.
    • (2007) Review of Economics and Statistics , vol.89 , pp. 701-720
    • Andersen, T.1    Bollerslev, T.2    Diebold, F.X.3
  • 23
    • 27744577669 scopus 로고    scopus 로고
    • Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities
    • Andersen T., Bollerslev T., Meddahi N. Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Econometrica 2005, 73:279-296.
    • (2005) Econometrica , vol.73 , pp. 279-296
    • Andersen, T.1    Bollerslev, T.2    Meddahi, N.3
  • 25
    • 21244451567 scopus 로고    scopus 로고
    • Market clearing and derivative pricing
    • Anderson R.M., Raimondo R.C. Market clearing and derivative pricing. Economic Theory 2005, 25:21-34.
    • (2005) Economic Theory , vol.25 , pp. 21-34
    • Anderson, R.M.1    Raimondo, R.C.2
  • 27
    • 0001758906 scopus 로고
    • Heteroskedasticity and autocorrelation consistent covariance matrix estimation
    • Andrews D.W.K. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 1991, 59:817-854.
    • (1991) Econometrica , vol.59 , pp. 817-854
    • Andrews, D.W.K.1
  • 28
    • 0037244640 scopus 로고    scopus 로고
    • A bias-reduced log-periodogram regression for the long-memory parameter
    • Andrews D.W.K., Guggenberger P. A bias-reduced log-periodogram regression for the long-memory parameter. Econometrica 2003, 71:675-712.
    • (2003) Econometrica , vol.71 , pp. 675-712
    • Andrews, D.W.K.1    Guggenberger, P.2
  • 29
    • 0000383942 scopus 로고
    • An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator
    • Andrews D.W.K., Monahan C. An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 1992, 60:953-966.
    • (1992) Econometrica , vol.60 , pp. 953-966
    • Andrews, D.W.K.1    Monahan, C.2
  • 32
    • 0001847138 scopus 로고    scopus 로고
    • Asset pricing under endogenous expectations in an artificial stock market
    • Addison-Wesley, W.B. Arthur, S.N. Durlauf, D. lane (Eds.)
    • Arthur W.B., Holland J., LeBaron B., Palmer R., Tayler P. Asset pricing under endogenous expectations in an artificial stock market. The Economy as an Evolving Complex System II 1997, 15-44. Addison-Wesley. W.B. Arthur, S.N. Durlauf, D. lane (Eds.).
    • (1997) The Economy as an Evolving Complex System II , pp. 15-44
    • Arthur, W.B.1    Holland, J.2    LeBaron, B.3    Palmer, R.4    Tayler, P.5
  • 33
    • 0001654817 scopus 로고
    • Consumption growth, the interest rate, and aggregation
    • Attanasio O., Weber G. Consumption growth, the interest rate, and aggregation. Review of Economic Studies 1993, 60:631-649.
    • (1993) Review of Economic Studies , vol.60 , pp. 631-649
    • Attanasio, O.1    Weber, G.2
  • 34
    • 33745726124 scopus 로고    scopus 로고
    • Estimation of multifractal parameters in traffic measurement: an accuracy-based real-time approach
    • Atzori L., Aste N., Isola M. Estimation of multifractal parameters in traffic measurement: an accuracy-based real-time approach. Computer Communications 2006, 29:1879-1888.
    • (2006) Computer Communications , vol.29 , pp. 1879-1888
    • Atzori, L.1    Aste, N.2    Isola, M.3
  • 35
    • 80052178260 scopus 로고    scopus 로고
    • Financial leverage does not cause the leverage effect
    • Texas A&M University and Carnegie Mellon University
    • Aydemir A.C., Gallmeyer M., Hollifield B. Financial leverage does not cause the leverage effect. Working paper 2006, Texas A&M University and Carnegie Mellon University.
    • (2006) Working paper
    • Aydemir, A.C.1    Gallmeyer, M.2    Hollifield, B.3
  • 37
    • 2942569699 scopus 로고
    • Long memory inflation uncertainty: evidence from the term structure of interest rates
    • Backus D.K., Zin S.E. Long memory inflation uncertainty: evidence from the term structure of interest rates. Journal of Money. Credit and Banking 1993, 25:681-700.
    • (1993) Journal of Money. Credit and Banking , vol.25 , pp. 681-700
    • Backus, D.K.1    Zin, S.E.2
  • 41
    • 30244493399 scopus 로고    scopus 로고
    • Long memory processes and fractional integration in econometrics
    • Baillie R. Long memory processes and fractional integration in econometrics. Journal of Econometrics 1996, 73:5-59.
    • (1996) Journal of Econometrics , vol.73 , pp. 5-59
    • Baillie, R.1
  • 43
    • 0040485278 scopus 로고    scopus 로고
    • Fractionally integrated generalized autoregressive conditional heteroscedasticity
    • Baillie R., Bollerslev T., Mikkelsen H.O. Fractionally integrated generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 1996, 74:3-30.
    • (1996) Journal of Econometrics , vol.74 , pp. 3-30
    • Baillie, R.1    Bollerslev, T.2    Mikkelsen, H.O.3
  • 44
    • 21344432533 scopus 로고    scopus 로고
    • Analyzing inflation by the fractionally integrated ARFIMA-GARCH model
    • Baillie R., Chung C.F., Tieslau M.A. Analyzing inflation by the fractionally integrated ARFIMA-GARCH model. Journal of Applied Econometrics 1996, 11:23-40.
    • (1996) Journal of Applied Econometrics , vol.11 , pp. 23-40
    • Baillie, R.1    Chung, C.F.2    Tieslau, M.A.3
  • 45
    • 0040517321 scopus 로고    scopus 로고
    • Empirical performance of alternative option pricing models
    • Bakshi G., Cao H., Chen X. Empirical performance of alternative option pricing models. Journal of Finance 1997, 52:2003-2049.
    • (1997) Journal of Finance , vol.52 , pp. 2003-2049
    • Bakshi, G.1    Cao, H.2    Chen, X.3
  • 46
    • 0000587181 scopus 로고
    • On jumps in common stock prices and their impact on call option pricing
    • Ball C., Torous W. On jumps in common stock prices and their impact on call option pricing. Journal of Finance 1985, 40:155-173.
    • (1985) Journal of Finance , vol.40 , pp. 155-173
    • Ball, C.1    Torous, W.2
  • 48
    • 0346724445 scopus 로고    scopus 로고
    • Market efficiency, fundamental values, and the size of the risk premium in global equity markets
    • Bansal R., Lundblad C. Market efficiency, fundamental values, and the size of the risk premium in global equity markets. Journal of Econometrics 2002, 109:195-237.
    • (2002) Journal of Econometrics , vol.109 , pp. 195-237
    • Bansal, R.1    Lundblad, C.2
  • 49
    • 4344674622 scopus 로고    scopus 로고
    • Risks for the long run: a potential resolution of asset pricing puzzles
    • Bansal R., Yaron A. Risks for the long run: a potential resolution of asset pricing puzzles. Journal of Finance 2004, 49:1481-1509.
    • (2004) Journal of Finance , vol.49 , pp. 1481-1509
    • Bansal, R.1    Yaron, A.2
  • 50
    • 0038463332 scopus 로고    scopus 로고
    • Term structure of interest rates with regime shifts
    • Bansal R., Zhou H. Term structure of interest rates with regime shifts. Journal of Finance 2002, 57:1997-2043.
    • (2002) Journal of Finance , vol.57 , pp. 1997-2043
    • Bansal, R.1    Zhou, H.2
  • 51
    • 0002443909 scopus 로고    scopus 로고
    • Processes of normal-inverse Gaussian type
    • Barndorff-Nielsen O. Processes of normal-inverse Gaussian type. Finance and Stochastics 1998, 2:41-68.
    • (1998) Finance and Stochastics , vol.2 , pp. 41-68
    • Barndorff-Nielsen, O.1
  • 52
    • 0035648379 scopus 로고    scopus 로고
    • Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
    • Barndorff-Nielsen O., Shephard N. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. Journal of the Royal Statistical Society B 2001, 63:167-241.
    • (2001) Journal of the Royal Statistical Society B , vol.63 , pp. 167-241
    • Barndorff-Nielsen, O.1    Shephard, N.2
  • 53
    • 2642525861 scopus 로고    scopus 로고
    • Realized power variation and stochastic volatility models
    • Barndorff-Nielsen O., Shephard N. Realized power variation and stochastic volatility models. Bernoulli 2003, 9:243-265.
    • (2003) Bernoulli , vol.9 , pp. 243-265
    • Barndorff-Nielsen, O.1    Shephard, N.2
  • 54
  • 55
    • 30744467415 scopus 로고    scopus 로고
    • Econometrics of testing for jumps in financial econometrics using bipower variation
    • Barndorff-Nielsen O., Shephard N. Econometrics of testing for jumps in financial econometrics using bipower variation. Journal of Financial Econometrics 2006, 4:1-30.
    • (2006) Journal of Financial Econometrics , vol.4 , pp. 1-30
    • Barndorff-Nielsen, O.1    Shephard, N.2
  • 58
    • 33646382246 scopus 로고    scopus 로고
    • Rare disasters and asset markets in the twentieth century
    • Barro R. Rare disasters and asset markets in the twentieth century. Quarterly Journal of Economics 2006, 121:823-866.
    • (2006) Quarterly Journal of Economics , vol.121 , pp. 823-866
    • Barro, R.1
  • 59
    • 0001449462 scopus 로고
    • Why don't the prices of stocks and bonds move together?
    • Barsky R. Why don't the prices of stocks and bonds move together?. American Economic Review 1989, 79:1132-1145.
    • (1989) American Economic Review , vol.79 , pp. 1132-1145
    • Barsky, R.1
  • 60
    • 0030534228 scopus 로고    scopus 로고
    • Jumps and stochastic volatility: exchange rate process implicit in Deutsche Mark options
    • Bates D. Jumps and stochastic volatility: exchange rate process implicit in Deutsche Mark options. Review of Financial Studies 1996, 9:69-107.
    • (1996) Review of Financial Studies , vol.9 , pp. 69-107
    • Bates, D.1
  • 61
    • 0000833419 scopus 로고    scopus 로고
    • Post '87 crash fears in the S &P 500 futures option market
    • Bates D. Post '87 crash fears in the S&P 500 futures option market. Journal of Econometrics 2000, 94(1/2):181-238.
    • (2000) Journal of Econometrics , vol.94 , Issue.1-2 , pp. 181-238
    • Bates, D.1
  • 62
    • 0000353178 scopus 로고
    • A maximization technique occurring in the statistical analysis of probabilistic functions of markov chains
    • Baum L., Petrie T., Soules G., Weiss N. A maximization technique occurring in the statistical analysis of probabilistic functions of markov chains. Annals of Mathematical Statistics 1980, 41:164-171.
    • (1980) Annals of Mathematical Statistics , vol.41 , pp. 164-171
    • Baum, L.1    Petrie, T.2    Soules, G.3    Weiss, N.4
  • 64
    • 0002072633 scopus 로고
    • The information content of annual earnings announcements
    • Beaver W. The information content of annual earnings announcements. Journal of Accounting Research 1968, 6:67-92.
    • (1968) Journal of Accounting Research , vol.6 , pp. 67-92
    • Beaver, W.1
  • 65
    • 0033270691 scopus 로고    scopus 로고
    • Asymmetric volatility and risk in equity markets
    • Bekaert G., Wu G. Asymmetric volatility and risk in equity markets. Review of Financial Studies 2000, 13:1-42.
    • (2000) Review of Financial Studies , vol.13 , pp. 1-42
    • Bekaert, G.1    Wu, G.2
  • 66
    • 0002876141 scopus 로고
    • Information matrix test, parameter heterogeneity and ARCH: a synthesis
    • Bera A.K., Lee S. Information matrix test, parameter heterogeneity and ARCH: a synthesis. Review of Economic Studies 1992, 60:229-240.
    • (1992) Review of Economic Studies , vol.60 , pp. 229-240
    • Bera, A.K.1    Lee, S.2
  • 68
    • 0001061242 scopus 로고
    • Weather and harvest cycles
    • Beveridge W.H. Weather and harvest cycles. Economic Journal 1925, 31:429-452.
    • (1925) Economic Journal , vol.31 , pp. 429-452
    • Beveridge, W.H.1
  • 69
    • 84882227322 scopus 로고    scopus 로고
    • The levered equity risk premium and credit spreads: a unified framework
    • University of British Columbia
    • Bhamra H., Kuehn I.Strebulaev L. The levered equity risk premium and credit spreads: a unified framework. Working paper 2006, University of British Columbia.
    • (2006) Working paper
    • Bhamra, H.1    Kuehn, I.2    Strebulaev, L.3
  • 75
    • 0000847992 scopus 로고
    • The valuation of options contracts and a test of market efficiency
    • Black F., Scholes M. The valuation of options contracts and a test of market efficiency. Journal of Finance 1972, 27:399-418.
    • (1972) Journal of Finance , vol.27 , pp. 399-418
    • Black, F.1    Scholes, M.2
  • 76
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • Black F., Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy 1973, 81:637-654.
    • (1973) Journal of Political Economy , vol.81 , pp. 637-654
    • Black, F.1    Scholes, M.2
  • 77
    • 0000699975 scopus 로고
    • A comparison of stable and Student distributions as statistical models for stock prices
    • Blattberg R., Gonedes N. A comparison of stable and Student distributions as statistical models for stock prices. Journal of Business 1974, 47:244-280.
    • (1974) Journal of Business , vol.47 , pp. 244-280
    • Blattberg, R.1    Gonedes, N.2
  • 79
    • 0000797107 scopus 로고    scopus 로고
    • Regime switching in foreign exchange rates: evidence from currency option prices
    • Bollen N., Gray S., Whaley R. Regime switching in foreign exchange rates: evidence from currency option prices. Journal of Econometrics 2000, 94:239-276.
    • (2000) Journal of Econometrics , vol.94 , pp. 239-276
    • Bollen, N.1    Gray, S.2    Whaley, R.3
  • 80
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 1986, 31:307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 81
    • 0000375581 scopus 로고
    • A conditional heteroskedastic time series model for speculative prices and rates of return
    • Bollerslev T. A conditional heteroskedastic time series model for speculative prices and rates of return. Review of Economics and Statistics 1987, 69:542-547.
    • (1987) Review of Economics and Statistics , vol.69 , pp. 542-547
    • Bollerslev, T.1
  • 82
    • 0001023182 scopus 로고
    • Modeling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH approach
    • Bollerslev T. Modeling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH approach. Review of Economics and Statistics 1990, 72:498-505.
    • (1990) Review of Economics and Statistics , vol.72 , pp. 498-505
    • Bollerslev, T.1
  • 83
    • 34848900983 scopus 로고
    • ARCH modeling in finance: a review of the theory and empirical evidence
    • Bollerslev T., Chou R.Y., Kroner K.F. ARCH modeling in finance: a review of the theory and empirical evidence. Journal of Econometrics 1992, 52:5-59.
    • (1992) Journal of Econometrics , vol.52 , pp. 5-59
    • Bollerslev, T.1    Chou, R.Y.2    Kroner, K.F.3
  • 86
    • 0142013411 scopus 로고    scopus 로고
    • Estimating stochastic volatility diffusions using conditional moments of integrated volatility
    • Bollerslev T., Zhou H. Estimating stochastic volatility diffusions using conditional moments of integrated volatility. Journal of Econometrics 2002, 109:33-65.
    • (2002) Journal of Econometrics , vol.109 , pp. 33-65
    • Bollerslev, T.1    Zhou, H.2
  • 88
    • 0036171926 scopus 로고    scopus 로고
    • Species-area curves, diversity indices, and species abundance distributions: a multifractal analysis
    • Borda de Agua L., Hubbell S., MacAllister M. Species-area curves, diversity indices, and species abundance distributions: a multifractal analysis. The American Naturalist 2002, 159:138-155.
    • (2002) The American Naturalist , vol.159 , pp. 138-155
    • Borda de Agua, L.1    Hubbell, S.2    MacAllister, M.3
  • 89
    • 3142571422 scopus 로고
    • Scaling in the Universe
    • Borgani S. Scaling in the Universe. Physics Reports 1995, 251:1-152.
    • (1995) Physics Reports , vol.251 , pp. 1-152
    • Borgani, S.1
  • 91
    • 21844499145 scopus 로고
    • A tale of three schools: insights on autocorrelations of short-horizon stock returns
    • Boudoukh J., Richardson M., Whitelaw R. A tale of three schools: insights on autocorrelations of short-horizon stock returns. Review of Financial Studies 1994, 7:539-573.
    • (1994) Review of Financial Studies , vol.7 , pp. 539-573
    • Boudoukh, J.1    Richardson, M.2    Whitelaw, R.3
  • 94
    • 0041494517 scopus 로고    scopus 로고
    • The detection and estimation of longmemory in stochastic volatility
    • Breidt J., Crato N., de Lima P. The detection and estimation of longmemory in stochastic volatility. Journal of Econometrics 1998, 73:325-348.
    • (1998) Journal of Econometrics , vol.73 , pp. 325-348
    • Breidt, J.1    Crato, N.2    de Lima, P.3
  • 95
    • 0000271564 scopus 로고    scopus 로고
    • The role of learning in dynamic portfolio decisions
    • Brennan M. The role of learning in dynamic portfolio decisions. European Economic Review 1998, 1:295-396.
    • (1998) European Economic Review , vol.1 , pp. 295-396
    • Brennan, M.1
  • 96
    • 0001362606 scopus 로고    scopus 로고
    • Stock price volatility and the equity premium
    • Brennan M., Xia Y. Stock price volatility and the equity premium. Journal of Monetary Economics 2001, 47:249-283.
    • (2001) Journal of Monetary Economics , vol.47 , pp. 249-283
    • Brennan, M.1    Xia, Y.2
  • 97
    • 0000921080 scopus 로고    scopus 로고
    • Heterogeneous beliefs and routes to chaos in a simple asset pricing model
    • Brock W.A., Hommes C.H. Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics and Control 1998, 22:1235-1274.
    • (1998) Journal of Economic Dynamics and Control , vol.22 , pp. 1235-1274
    • Brock, W.A.1    Hommes, C.H.2
  • 98
    • 84977707376 scopus 로고
    • Simple technical trading rules and the stochastic properties of stock returns
    • Brock W.A., Lakonishok J., LeBaron B. Simple technical trading rules and the stochastic properties of stock returns. Journal of Finance 1992, 47:1731-1764.
    • (1992) Journal of Finance , vol.47 , pp. 1731-1764
    • Brock, W.A.1    Lakonishok, J.2    LeBaron, B.3
  • 99
    • 0030529407 scopus 로고    scopus 로고
    • A dynamic structural model for stock return volatility and trading volume
    • Brock W.A., LeBaron B. A dynamic structural model for stock return volatility and trading volume. Review of Economics and Statistics 1996, 78:94-110.
    • (1996) Review of Economics and Statistics , vol.78 , pp. 94-110
    • Brock, W.A.1    LeBaron, B.2
  • 100
    • 33748768900 scopus 로고    scopus 로고
    • Model uncertainty and option markets with heterogeneous beliefs
    • Buraschi A., Jiltsov A. Model uncertainty and option markets with heterogeneous beliefs. Journal of Finance 2006, 61:2841-2897.
    • (2006) Journal of Finance , vol.61 , pp. 2841-2897
    • Buraschi, A.1    Jiltsov, A.2
  • 102
    • 0011832495 scopus 로고    scopus 로고
    • Incomplete markets and volatility
    • Calvet L.E. Incomplete markets and volatility. Journal of Economic Theory 2001, 98:295.
    • (2001) Journal of Economic Theory , vol.98 , pp. 295
    • Calvet, L.E.1
  • 107
    • 29144479773 scopus 로고    scopus 로고
    • How to forecast long-run volatility: regime-switching and the estimation of multifractal processes
    • Calvet L.E., Fisher A.J. How to forecast long-run volatility: regime-switching and the estimation of multifractal processes. Journal of Financial Econometrics 2004, 2:49-83.
    • (2004) Journal of Financial Econometrics , vol.2 , pp. 49-83
    • Calvet, L.E.1    Fisher, A.J.2
  • 109
    • 36649002415 scopus 로고    scopus 로고
    • Multifrequency jump-diffusions: an equilibrium approach
    • Calvet L.E., Fisher A.J. Multifrequency jump-diffusions: an equilibrium approach. Journal of Mathematical Economics 2008, 44:207-226.
    • (2008) Journal of Mathematical Economics , vol.44 , pp. 207-226
    • Calvet, L.E.1    Fisher, A.J.2
  • 113
    • 0141970697 scopus 로고    scopus 로고
    • Consumption-based asset pricing
    • North-Holland, G. Constantinides, M. Harris (Eds.)
    • Campbell J.Y. Consumption-based asset pricing. Handbook of the Economics of Finance 2003, North-Holland. G. Constantinides, M. Harris (Eds.).
    • (2003) Handbook of the Economics of Finance
    • Campbell, J.Y.1
  • 114
    • 0032771542 scopus 로고    scopus 로고
    • By force of habit: a consumption-based explanation of aggregate stock market behavior
    • Campbell J.Y., Cochrane J. By force of habit: a consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 1999, 107:205-251.
    • (1999) Journal of Political Economy , vol.107 , pp. 205-251
    • Campbell, J.Y.1    Cochrane, J.2
  • 115
    • 43549117863 scopus 로고
    • No news is good news: an asymmetric model of changing volatility in stock returns
    • Campbell J.Y., Hentschel L. No news is good news: an asymmetric model of changing volatility in stock returns. Journal of Financial Economics 1992, 31:281-318.
    • (1992) Journal of Financial Economics , vol.31 , pp. 281-318
    • Campbell, J.Y.1    Hentschel, L.2
  • 118
    • 0001274822 scopus 로고
    • Consumption, income and interest rates: reinterpreting the time series evidence
    • MIT Press, O. Blanchard, S. Fischer (Eds.)
    • Campbell J.Y., Mankiw N.G. Consumption, income and interest rates: reinterpreting the time series evidence. NBER Macroeconomics Annual 1989, 185-216. MIT Press. O. Blanchard, S. Fischer (Eds.).
    • (1989) NBER Macroeconomics Annual , pp. 185-216
    • Campbell, J.Y.1    Mankiw, N.G.2
  • 119
    • 0005833762 scopus 로고    scopus 로고
    • The fine structure of asset returns: an empirical investigation
    • Carr P., Geman H., Madan D., Yor M. The fine structure of asset returns: an empirical investigation. Journal of Business 2002, 305-332.
    • (2002) Journal of Business , pp. 305-332
    • Carr, P.1    Geman, H.2    Madan, D.3    Yor, M.4
  • 120
    • 0344153901 scopus 로고    scopus 로고
    • What type of process underlies options? A simple robust test
    • Carr P., Wu L. What type of process underlies options? A simple robust test. Journal of Finance 2003, 58:2581-2610.
    • (2003) Journal of Finance , vol.58 , pp. 2581-2610
    • Carr, P.1    Wu, L.2
  • 121
    • 0347592529 scopus 로고    scopus 로고
    • Time-changed Le acute;vy processes and option pricing
    • Carr P., Wu L. Time-changed Lévy processes and option pricing. Journal of Financial Economics 2004, 71:113-141.
    • (2004) Journal of Financial Economics , vol.71 , pp. 113-141
    • Carr, P.1    Wu, L.2
  • 122
    • 0036705267 scopus 로고    scopus 로고
    • Multifractal properties of evolving convective systems over tropical South America
    • Carvalho L., Lavallee D., Jones C. Multifractal properties of evolving convective systems over tropical South America. Geophysical Research Letters 2002, 29(3):1-4.
    • (2002) Geophysical Research Letters , vol.29 , Issue.3 , pp. 1-4
    • Carvalho, L.1    Lavallee, D.2    Jones, C.3
  • 124
    • 0242473436 scopus 로고    scopus 로고
    • Spectral GMM estimation of continuous time processes
    • Chacko G., Viceira L. Spectral GMM estimation of continuous time processes. Journal of Econometrics 2003, 116:259-292.
    • (2003) Journal of Econometrics , vol.116 , pp. 259-292
    • Chacko, G.1    Viceira, L.2
  • 127
    • 0033370873 scopus 로고    scopus 로고
    • Multifractality and spatial statistics
    • Cheng Q. Multifractality and spatial statistics. Computers and Geosciences 1999, 25:946-961.
    • (1999) Computers and Geosciences , vol.25 , pp. 946-961
    • Cheng, Q.1
  • 128
    • 0029475731 scopus 로고
    • Multifractality modeling and spatial point processes
    • Cheng Q., Agterberg F. Multifractality modeling and spatial point processes. Mathematical Geology 1995, 27:831-845.
    • (1995) Mathematical Geology , vol.27 , pp. 831-845
    • Cheng, Q.1    Agterberg, F.2
  • 130
    • 0011716069 scopus 로고    scopus 로고
    • Markov chain Monte Carlo methods for stochastic volatility models
    • Chib S., Nardari F., Shephard N. Markov chain Monte Carlo methods for stochastic volatility models. Journal of Econometrics 2002, 108:281-316.
    • (2002) Journal of Econometrics , vol.108 , pp. 281-316
    • Chib, S.1    Nardari, F.2    Shephard, N.3
  • 131
    • 84986384825 scopus 로고
    • Persistent volatility and stock returns - some empirical evidence using GARCH
    • Chou R. Persistent volatility and stock returns - some empirical evidence using GARCH. Journal of Applied Econometrics 1988, 3:279-294.
    • (1988) Journal of Applied Econometrics , vol.3 , pp. 279-294
    • Chou, R.1
  • 132
    • 38249014105 scopus 로고
    • Measuring risk-aversion from excess returns on a stock index
    • Chou R., Engle R.F., Kane A. Measuring risk-aversion from excess returns on a stock index. Journal of Econometrics 1992, 52:201-224.
    • (1992) Journal of Econometrics , vol.52 , pp. 201-224
    • Chou, R.1    Engle, R.F.2    Kane, A.3
  • 134
    • 0000346734 scopus 로고
    • A subordinated stochastic process model with finite variance for speculative prices
    • Clark P.K. A subordinated stochastic process model with finite variance for speculative prices. Econometrica 1973, 41:135-156.
    • (1973) Econometrica , vol.41 , pp. 135-156
    • Clark, P.K.1
  • 135
    • 0004291281 scopus 로고    scopus 로고
    • Princeton University Press
    • Cochrane J. Asset Pricing 2005, Princeton University Press.
    • (2005) Asset Pricing
    • Cochrane, J.1
  • 137
    • 0032356952 scopus 로고    scopus 로고
    • Long memory in continuous time stochastic volatility models
    • Comte F., Renault E. Long memory in continuous time stochastic volatility models. Mathematical Finance 1998, 8:291-323.
    • (1998) Mathematical Finance , vol.8 , pp. 291-323
    • Comte, F.1    Renault, E.2
  • 140
    • 34548494837 scopus 로고    scopus 로고
    • Automated classification reveals morphological factors associated with dementia
    • Cornforth D., Jelinek H. Automated classification reveals morphological factors associated with dementia. Applied Soft Computing 2008, 8:182-190.
    • (2008) Applied Soft Computing , vol.8 , pp. 182-190
    • Cornforth, D.1    Jelinek, H.2
  • 143
    • 33746747584 scopus 로고    scopus 로고
    • Multifractal analysis of the poreand solid-phases in binary two-dimensional images of natural porous structures
    • Dathe A., Tarquis A., Perrier E. Multifractal analysis of the poreand solid-phases in binary two-dimensional images of natural porous structures. Geoderma 2006, 134:318-326.
    • (2006) Geoderma , vol.134 , pp. 318-326
    • Dathe, A.1    Tarquis, A.2    Perrier, E.3
  • 144
    • 0031312301 scopus 로고    scopus 로고
    • Fluctuating confidence in stock markets: implications for returns and volatility
    • David A. Fluctuating confidence in stock markets: implications for returns and volatility. Journal of Financial and Quantitative Analysis 1997, 32:427-462.
    • (1997) Journal of Financial and Quantitative Analysis , vol.32 , pp. 427-462
    • David, A.1
  • 145
    • 0041620035 scopus 로고    scopus 로고
    • Option prices with uncertain fundamentals
    • Washington University and University of Chicago
    • David A., Veronesi P. Option prices with uncertain fundamentals. Working paper 2002, Washington University and University of Chicago.
    • (2002) Working paper
    • David, A.1    Veronesi, P.2
  • 147
    • 0028193532 scopus 로고
    • Multifractal characterizations of noustationarity and intermittency in geophysical fields: observed retrieved, or simulated
    • Davis A., Marshak A., Wiscombe W., Cahalan R. Multifractal characterizations of noustationarity and intermittency in geophysical fields: observed retrieved, or simulated. Journal of Geophysical Research 1994, 99:8055-8072.
    • (1994) Journal of Geophysical Research , vol.99 , pp. 8055-8072
    • Davis, A.1    Marshak, A.2    Wiscombe, W.3    Cahalan, R.4
  • 148
    • 0002471709 scopus 로고
    • A simple asymptotic estimate for the index of a stable distribution
    • de Haan L., Resnick S. A simple asymptotic estimate for the index of a stable distribution. Journal of the Royal Statistical Society 1980, 42:83-87.
    • (1980) Journal of the Royal Statistical Society , vol.42 , pp. 83-87
    • de Haan, L.1    Resnick, S.2
  • 149
    • 0041641198 scopus 로고
    • Statistics of ore distribution, Part I
    • de Wijs H. Statistics of ore distribution, Part I. Geologie en Mijnbouw 1951, 13:365-375.
    • (1951) Geologie en Mijnbouw , vol.13 , pp. 365-375
    • de Wijs, H.1
  • 150
    • 0033836682 scopus 로고    scopus 로고
    • Rainfall downscaling in a space-time multifractal framework
    • Deidda R. Rainfall downscaling in a space-time multifractal framework. Water Resources Research 2000, 36:1779-1794.
    • (2000) Water Resources Research , vol.36 , pp. 1779-1794
    • Deidda, R.1
  • 151
    • 84977712440 scopus 로고
    • Positive feedback investment strategies and destabilizing rational speculation
    • DeLong J.B., Shleifer A., Summers L., Waldman R. Positive feedback investment strategies and destabilizing rational speculation. Journal of Finance 1990, 45:379-395.
    • (1990) Journal of Finance , vol.45 , pp. 379-395
    • DeLong, J.B.1    Shleifer, A.2    Summers, L.3    Waldman, R.4
  • 153
    • 70350303310 scopus 로고    scopus 로고
    • A practitioner's guide to robust covariance matrix estimation
    • North-Holland, G.S. Maddala, C.R. Rao (Eds.)
    • den Haan W., Levin A. A practitioner's guide to robust covariance matrix estimation. Handbook of Statistics: Robust Inference 1997, Vol. 15. North-Holland. G.S. Maddala, C.R. Rao (Eds.).
    • (1997) Handbook of Statistics: Robust Inference , vol.15
    • den Haan, W.1    Levin, A.2
  • 154
    • 0035627018 scopus 로고    scopus 로고
    • On the log, periodogram regression estimator of the memory parameter in long memory stochastic volatility models
    • Deo C., Hurvich C.M. On the log, periodogram regression estimator of the memory parameter in long memory stochastic volatility models. Econometric Theory 2001, 17:686-710.
    • (2001) Econometric Theory , vol.17 , pp. 686-710
    • Deo, C.1    Hurvich, C.M.2
  • 155
    • 33644498904 scopus 로고    scopus 로고
    • Forecasting realized volatility using a long memory stochastic volatility model: estimation, prediction and seasonal adjustment
    • Deo R.S., Hurvich C.M., Lu Y. Forecasting realized volatility using a long memory stochastic volatility model: estimation, prediction and seasonal adjustment. Journal of Econometrics 2006, 131:29-58.
    • (2006) Journal of Econometrics , vol.131 , pp. 29-58
    • Deo, R.S.1    Hurvich, C.M.2    Lu, Y.3
  • 157
    • 4444354854 scopus 로고    scopus 로고
    • The Nobel Memorial Prize for Robert F. Engle
    • Diebold F.X. The Nobel Memorial Prize for Robert F. Engle. Scandinavian Journal of Economics 2004, 106:165-185.
    • (2004) Scandinavian Journal of Economics , vol.106 , pp. 165-185
    • Diebold, F.X.1
  • 158
    • 0347623647 scopus 로고    scopus 로고
    • Evaluating density forecasts, with applications to financial risk management
    • Diebold F.X., Gunther T.A., Tay S.A. Evaluating density forecasts, with applications to financial risk management. International Economics Review 1998, 39:863-883.
    • (1998) International Economics Review , vol.39 , pp. 863-883
    • Diebold, F.X.1    Gunther, T.A.2    Tay, S.A.3
  • 161
    • 84986408962 scopus 로고
    • The dynamics of exchange rate volatility: a multivariate latent factor ARCH model
    • Diebold F.X., Nerlove M. The dynamics of exchange rate volatility: a multivariate latent factor ARCH model. Journal of Applied Econometrics 1989, 4:1-21.
    • (1989) Journal of Applied Econometrics , vol.4 , pp. 1-21
    • Diebold, F.X.1    Nerlove, M.2
  • 163
    • 0001250871 scopus 로고    scopus 로고
    • Modeling volatility persistence of speculative returns: a new approach
    • Ding Z., Granger C.W.J. Modeling volatility persistence of speculative returns: a new approach. Journal of Econometrics 1996, 73:185-215.
    • (1996) Journal of Econometrics , vol.73 , pp. 185-215
    • Ding, Z.1    Granger, C.W.J.2
  • 164
  • 166
    • 0035891859 scopus 로고    scopus 로고
    • Simulating vertical and horizontal multifractal patterns of a longleaf pine savanna
    • Drake J., Weishampel J. Simulating vertical and horizontal multifractal patterns of a longleaf pine savanna. Ecological Modeling 2001, 145:129-142.
    • (2001) Ecological Modeling , vol.145 , pp. 129-142
    • Drake, J.1    Weishampel, J.2
  • 167
    • 0001413618 scopus 로고
    • Temporal aggregation of GARCH processes
    • Drost F.C., Nijman T.E. Temporal aggregation of GARCH processes. Econometrica 1993, 61:909-927.
    • (1993) Econometrica , vol.61 , pp. 909-927
    • Drost, F.C.1    Nijman, T.E.2
  • 170
    • 0000189241 scopus 로고
    • Asset pricing with stochastic differential utility
    • Duffie D., Epstein L. Asset pricing with stochastic differential utility. Review of Financial Studies 1992, 5:411-436.
    • (1992) Review of Financial Studies , vol.5 , pp. 411-436
    • Duffie, D.1    Epstein, L.2
  • 171
    • 0001668150 scopus 로고    scopus 로고
    • Transform analysis and asset pricing for affine jump-diffusions
    • Duffie D., Pan J., Singleton K.J. Transform analysis and asset pricing for affine jump-diffusions. Econometrica 2000, 68:1343-1376.
    • (2000) Econometrica , vol.68 , pp. 1343-1376
    • Duffie, D.1    Pan, J.2    Singleton, K.J.3
  • 172
    • 0000593389 scopus 로고
    • Simulated moments estimation of Markov models of asset prices
    • Duffie D., Singleton K.J. Simulated moments estimation of Markov models of asset prices. Econometrica 1993, 61:929-952.
    • (1993) Econometrica , vol.61 , pp. 929-952
    • Duffie, D.1    Singleton, K.J.2
  • 173
    • 38149144032 scopus 로고
    • Continuous-time security pricing: a utility gradient approach
    • Duffie D., Skiadas C. Continuous-time security pricing: a utility gradient approach. Journal of Mathematical Economics 1994, 23:107-131.
    • (1994) Journal of Mathematical Economics , vol.23 , pp. 107-131
    • Duffie, D.1    Skiadas, C.2
  • 174
    • 0001552835 scopus 로고
    • The consumption-based capital asset pricing model
    • Duffie D., Zame W. The consumption-based capital asset pricing model. Econometrica 1989, 57:1279-1297.
    • (1989) Econometrica , vol.57 , pp. 1279-1297
    • Duffie, D.1    Zame, W.2
  • 175
  • 176
    • 0000486558 scopus 로고
    • Nonnegative wealth, absence of arbitrage, and feasible consumption plans
    • Dybvig P., Huang C.F. Nonnegative wealth, absence of arbitrage, and feasible consumption plans. Review of Financial Studies 1988, 1:377-401.
    • (1988) Review of Financial Studies , vol.1 , pp. 377-401
    • Dybvig, P.1    Huang, C.F.2
  • 177
    • 0000670088 scopus 로고    scopus 로고
    • New insights into smile, mispricing, and value at risk
    • Eberlein E., Keller U., Prause K. New insights into smile, mispricing, and value at risk. Journal of Business 1998, 71:371-405.
    • (1998) Journal of Business , vol.71 , pp. 371-405
    • Eberlein, E.1    Keller, U.2    Prause, K.3
  • 178
    • 0000440935 scopus 로고    scopus 로고
    • Likelihood inference for discretely observed nonlinear diffusions
    • Elerian O., Chib S., Shephard N. Likelihood inference for discretely observed nonlinear diffusions. Econometrica 2001, 69:959-993.
    • (2001) Econometrica , vol.69 , pp. 959-993
    • Elerian, O.1    Chib, S.2    Shephard, N.3
  • 181
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
    • Engle R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 1982, 50:987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 182
    • 0009295890 scopus 로고
    • Multivariate GARCH with factor structures-cointegration in variance
    • Department of Economics, University of California, San Diego
    • Engle R.F. Multivariate GARCH with factor structures-cointegration in variance. Working paper 1987, Department of Economics, University of California, San Diego.
    • (1987) Working paper
    • Engle, R.F.1
  • 183
    • 0001381794 scopus 로고
    • Discussion: stock market volatility and the crash of '87
    • Engle R.F. Discussion: stock market volatility and the crash of '87. Review of Financial Studies 1990, 3:103-106.
    • (1990) Review of Financial Studies , vol.3 , pp. 103-106
    • Engle, R.F.1
  • 185
    • 0035998182 scopus 로고    scopus 로고
    • Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models
    • Engle R.F. Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics 2002, 20:339-350.
    • (2002) Journal of Business and Economic Statistics , vol.20 , pp. 339-350
    • Engle, R.F.1
  • 186
    • 4043149360 scopus 로고    scopus 로고
    • Risk and volatility: econometric models and financial practice
    • Engle R.F. Risk and volatility: econometric models and financial practice. American Economic Review 2004, 94:405-420.
    • (2004) American Economic Review , vol.94 , pp. 405-420
    • Engle, R.F.1
  • 188
    • 0001659575 scopus 로고
    • Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market
    • Engle R.F., Ito T., Lin W.-L. Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market. Econometrica 1990, 58:525-542.
    • (1990) Econometrica , vol.58 , pp. 525-542
    • Engle, R.F.1    Ito, T.2    Lin, W.-L.3
  • 189
    • 84974122247 scopus 로고
    • Multivariate simultaneous generalized ARCH
    • Engle R.F., Kroner K. Multivariate simultaneous generalized ARCH. Econometric Theory 1995, 11:122-150.
    • (1995) Econometric Theory , vol.11 , pp. 122-150
    • Engle, R.F.1    Kroner, K.2
  • 191
    • 0001264648 scopus 로고
    • Estimating time varying risk premia in the term structure: the ARCH-M model
    • Engle R.F., Lilien D.M., Robins R.P. Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica 1987, 55:391-407.
    • (1987) Econometrica , vol.55 , pp. 391-407
    • Engle, R.F.1    Lilien, D.M.2    Robins, R.P.3
  • 192
    • 0001755320 scopus 로고    scopus 로고
    • GARCH for groups
    • Engle R.F., Mezrich J. GARCH for groups. Risk 1996, 9:36-40.
    • (1996) Risk , vol.9 , pp. 36-40
    • Engle, R.F.1    Mezrich, J.2
  • 193
    • 84993924525 scopus 로고
    • Measuring and testing the impact of news on volatility
    • Engle R.F., Ng V.K. Measuring and testing the impact of news on volatility. Journal of Finance 1993, 48:1749-1778.
    • (1993) Journal of Finance , vol.48 , pp. 1749-1778
    • Engle, R.F.1    Ng, V.K.2
  • 194
    • 45149140983 scopus 로고
    • Asset pricing with a factor ARCH covariance structure: empirical estimates for Treasury bills
    • Engle R.F., Ng V., Rothschild M. Asset pricing with a factor ARCH covariance structure: empirical estimates for Treasury bills. Journal of Econometrics 1990, 45:213-238.
    • (1990) Journal of Econometrics , vol.45 , pp. 213-238
    • Engle, R.F.1    Ng, V.2    Rothschild, M.3
  • 195
    • 84882107384 scopus 로고    scopus 로고
    • The spline-GARCH model for unconditional volatility and its global macroeconomic causes
    • forthcoming
    • Engle R.F., Rangel J.G. The spline-GARCH model for unconditional volatility and its global macroeconomic causes. Review of Financial Studies 2007, forthcoming.
    • (2007) Review of Financial Studies
    • Engle, R.F.1    Rangel, J.G.2
  • 196
    • 0000842941 scopus 로고
    • Substitution, risk aversion and the temporal behavior of consumption and asset returns: a theoretical framework
    • Epstein L., Zin S. Substitution, risk aversion and the temporal behavior of consumption and asset returns: a theoretical framework. Econometrica 1989, 57:937-968.
    • (1989) Econometrica , vol.57 , pp. 937-968
    • Epstein, L.1    Zin, S.2
  • 197
    • 0035586814 scopus 로고    scopus 로고
    • MCMC analysis of diffusion models with applications to finance
    • Eraker B. MCMC analysis of diffusion models with applications to finance. Journal of Business and Economic Statistics 2001, 19:177-191.
    • (2001) Journal of Business and Economic Statistics , vol.19 , pp. 177-191
    • Eraker, B.1
  • 198
    • 2942726323 scopus 로고    scopus 로고
    • Do stock prices and volatility jump? Reconciling evidence from spot and option prices
    • Eraker B. Do stock prices and volatility jump? Reconciling evidence from spot and option prices. Journal of Finance 2004, 59:1367-1403.
    • (2004) Journal of Finance , vol.59 , pp. 1367-1403
    • Eraker, B.1
  • 199
    • 0142188082 scopus 로고    scopus 로고
    • The impact of jumps in volatility and returns
    • Eraker B., Johannes M., Polson N. The impact of jumps in volatility and returns. Journal of Finance 2003, 58:1269-1300.
    • (2003) Journal of Finance , vol.58 , pp. 1269-1300
    • Eraker, B.1    Johannes, M.2    Polson, N.3
  • 201
    • 0001652452 scopus 로고
    • Mandelbrot and the stable Paretian hypothesis
    • Fama E. Mandelbrot and the stable Paretian hypothesis. Journal of Business 1963, 36:420-429.
    • (1963) Journal of Business , vol.36 , pp. 420-429
    • Fama, E.1
  • 202
    • 0002528209 scopus 로고
    • The behavior of stock market prices
    • Fama E. The behavior of stock market prices. Journal of Business 1965, 38:34-105.
    • (1965) Journal of Business , vol.38 , pp. 34-105
    • Fama, E.1
  • 203
    • 0000480869 scopus 로고
    • Efficient capital markets: a review of theory and empirical work
    • Fama E. Efficient capital markets: a review of theory and empirical work. Journal of Finance 1970, 25:383-417.
    • (1970) Journal of Finance , vol.25 , pp. 383-417
    • Fama, E.1
  • 207
    • 0000402238 scopus 로고
    • When are variance ratio rests for serial dependence optimal?
    • Faust J. When are variance ratio rests for serial dependence optimal?. Econometrica 1992, 60:1215-1226.
    • (1992) Econometrica , vol.60 , pp. 1215-1226
    • Faust, J.1
  • 209
    • 84971812765 scopus 로고
    • Stationarity of random data: some implications for the distribution of stock price changes
    • Fielitz B. Stationarity of random data: some implications for the distribution of stock price changes. Journal of Financial and Quantitative Analysis 1971, 6:1025-1034.
    • (1971) Journal of Financial and Quantitative Analysis , vol.6 , pp. 1025-1034
    • Fielitz, B.1
  • 210
    • 29244457333 scopus 로고
    • Further results on asymmetric stable distributions of stock price changes
    • Fielitz B. Further results on asymmetric stable distributions of stock price changes. Journal of Financial and Quantitative Analysis 1976, 11:39-55.
    • (1976) Journal of Financial and Quantitative Analysis , vol.11 , pp. 39-55
    • Fielitz, B.1
  • 211
    • 84952252413 scopus 로고
    • Business cycle phases and their transitional dynamics
    • Filardo A. Business cycle phases and their transitional dynamics. Journal of Business and Economic Statistics 1994, 12:299-308.
    • (1994) Journal of Business and Economic Statistics , vol.12 , pp. 299-308
    • Filardo, A.1
  • 212
    • 0007471630 scopus 로고
    • Some studies of variability of returns on investments in common stocks
    • Fisher L., Lorie J. Some studies of variability of returns on investments in common stocks. Journal of Business 1970, 43:99-134.
    • (1970) Journal of Business , vol.43 , pp. 99-134
    • Fisher, L.1    Lorie, J.2
  • 216
    • 84977717550 scopus 로고
    • Herd on the Street: informational inefficiencies in a market with short-term speculation
    • Froot K., Scharfstein D., Stein J. Herd on the Street: informational inefficiencies in a market with short-term speculation. Journal of Finance 1992, 47:1461-1484.
    • (1992) Journal of Finance , vol.47 , pp. 1461-1484
    • Froot, K.1    Scharfstein, D.2    Stein, J.3
  • 217
    • 3042831202 scopus 로고    scopus 로고
    • A theory of power law distributions in financial market fluctuations
    • Gabaix X., Gopikrishnan P., Plerou V., Stanley H.E. A theory of power law distributions in financial market fluctuations. Nature 2003, 423:267-270.
    • (2003) Nature , vol.423 , pp. 267-270
    • Gabaix, X.1    Gopikrishnan, P.2    Plerou, V.3    Stanley, H.E.4
  • 219
    • 0002188669 scopus 로고
    • On fitting a recalcitrant series: the pound/dollar exchange rate 1974-83
    • Cambridge University Press, W.A. Barnett, D.J. Powell, G. Tauchen (Eds.)
    • Gallant A.R., Hsieh D.A., Tauchen G. On fitting a recalcitrant series: the pound/dollar exchange rate 1974-83. Nonparametric and Semiparametric Methods in Econometrics and Statistics 1991, Cambridge University Press. W.A. Barnett, D.J. Powell, G. Tauchen (Eds.).
    • (1991) Nonparametric and Semiparametric Methods in Econometrics and Statistics
    • Gallant, A.R.1    Hsieh, D.A.2    Tauchen, G.3
  • 220
    • 0000890084 scopus 로고    scopus 로고
    • Estimation of stochastic volatility models with diagnostics
    • Gallant A.R., Hsieh D.A., Tauchen G. Estimation of stochastic volatility models with diagnostics. Journal of Econometrics 1997, 81:159-192.
    • (1997) Journal of Econometrics , vol.81 , pp. 159-192
    • Gallant, A.R.1    Hsieh, D.A.2    Tauchen, G.3
  • 221
    • 0040531815 scopus 로고    scopus 로고
    • Using daily range data to calibrate volatility diffusions and extract the forward integrated variance
    • Gallant A.R., Hsu C.T., Tauchen G. Using daily range data to calibrate volatility diffusions and extract the forward integrated variance. Review of Economics and Statistics 1999, 81:617-631.
    • (1999) Review of Economics and Statistics , vol.81 , pp. 617-631
    • Gallant, A.R.1    Hsu, C.T.2    Tauchen, G.3
  • 223
    • 0000650053 scopus 로고
    • Semi non-parametric estimation of conditionally constrained heterogeneous processes: asset pricing applications
    • Gallant A.R., Tauchen G. Semi non-parametric estimation of conditionally constrained heterogeneous processes: asset pricing applications. Econometrica 1989, 57:1091-1120.
    • (1989) Econometrica , vol.57 , pp. 1091-1120
    • Gallant, A.R.1    Tauchen, G.2
  • 225
    • 0001563266 scopus 로고    scopus 로고
    • Asymptotic null distribution of the likelihood ratio test in Markov switching models
    • Garcia R. Asymptotic null distribution of the likelihood ratio test in Markov switching models. International Economic Review 1998, 39:763-788.
    • (1998) International Economic Review , vol.39 , pp. 763-788
    • Garcia, R.1
  • 226
    • 0242268784 scopus 로고    scopus 로고
    • Empirical assessment of an intertemporal option pricing model with latent variables
    • Garcia R., Luger R., Renault E. Empirical assessment of an intertemporal option pricing model with latent variables. Journal of Econometrics 2003, 116:49-83.
    • (2003) Journal of Econometrics , vol.116 , pp. 49-83
    • Garcia, R.1    Luger, R.2    Renault, E.3
  • 227
    • 79956293357 scopus 로고    scopus 로고
    • An analytical framework for assessing asset pricing models and predictability
    • EDHEC, Imperial College London, and Stockholm School of Economics
    • Garcia R., Meddahi N., Tédongap R. An analytical framework for assessing asset pricing models and predictability. Working paper 2008, EDHEC, Imperial College London, and Stockholm School of Economics.
    • (2008) Working paper
    • Garcia, R.1    Meddahi, N.2    Tédongap, R.3
  • 228
    • 0030525596 scopus 로고    scopus 로고
    • An analysis of the real interest rate under regime shifts
    • Garcia R., Perron P. An analysis of the real interest rate under regime shifts. Review of Economics and Statistics 1996, 78:111-125.
    • (1996) Review of Economics and Statistics , vol.78 , pp. 111-125
    • Garcia, R.1    Perron, P.2
  • 231
  • 232
    • 14344268407 scopus 로고
    • Exact predictive densities in linear models with ARCH disturbances
    • Geweke J. Exact predictive densities in linear models with ARCH disturbances. Journal of Econometrics 1989, 44:307-325.
    • (1989) Journal of Econometrics , vol.44 , pp. 307-325
    • Geweke, J.1
  • 233
    • 84986759400 scopus 로고
    • The estimation and application of long-memory time series models
    • Geweke J., Porter-Hudak S. The estimation and application of long-memory time series models. Journal of Time Series Analysis 1983, 4:221-237.
    • (1983) Journal of Time Series Analysis , vol.4 , pp. 221-237
    • Geweke, J.1    Porter-Hudak, S.2
  • 235
    • 67649497847 scopus 로고    scopus 로고
    • Stochastic Volatility
    • North-Holland, G.S. Maddala, C.R. Rao (Eds.)
    • Ghysels E., Harvey A., Renault E. Stochastic Volatility. Handbook of Statistics 1996, 14:119-191. North-Holland. G.S. Maddala, C.R. Rao (Eds.).
    • (1996) Handbook of Statistics , vol.14 , pp. 119-191
    • Ghysels, E.1    Harvey, A.2    Renault, E.3
  • 237
  • 238
    • 84993601065 scopus 로고
    • On the relation between the expected value and the volatility of the nominal excess return on stocks
    • Glosten L., Jagannathan R., Runkle D. On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance 1993, 48:1779-1801.
    • (1993) Journal of Finance , vol.48 , pp. 1779-1801
    • Glosten, L.1    Jagannathan, R.2    Runkle, D.3
  • 240
    • 18044401487 scopus 로고    scopus 로고
    • Characterization of geochemical distributions using multifractal models
    • Goncalves M. Characterization of geochemical distributions using multifractal models. Mathematical Geology 2001, 33:41-61.
    • (2001) Mathematical Geology , vol.33 , pp. 41-61
    • Goncalves, M.1
  • 241
  • 242
    • 19044363771 scopus 로고    scopus 로고
    • Nonlinear autocorrelograms: an application to inter-trade durations
    • Gouriéroux C., Jasiak J. Nonlinear autocorrelograms: an application to inter-trade durations. Journal of Time Series Anlysis 2002, 23:127-154.
    • (2002) Journal of Time Series Anlysis , vol.23 , pp. 127-154
    • Gouriéroux, C.1    Jasiak, J.2
  • 244
    • 0000589196 scopus 로고    scopus 로고
    • Expectations formation and stability of large socioeconomic systems
    • Grandmont J.M. Expectations formation and stability of large socioeconomic systems. Econometrica 1998, 66:741-781.
    • (1998) Econometrica , vol.66 , pp. 741-781
    • Grandmont, J.M.1
  • 245
    • 0000743923 scopus 로고
    • Long-memory relationships and the aggregation of dynamic models
    • Granger C.W.J. Long-memory relationships and the aggregation of dynamic models. Journal of Econometrics 1980, 14:227-238.
    • (1980) Journal of Econometrics , vol.14 , pp. 227-238
    • Granger, C.W.J.1
  • 246
    • 0142108715 scopus 로고    scopus 로고
    • Occasional structural breaks and long memory
    • University of California, San Diego
    • Granger C.W.J., Hyung N. Occasional structural breaks and long memory. Discussion paper 99-14 1999, University of California, San Diego.
    • (1999) Discussion paper 99-14
    • Granger, C.W.J.1    Hyung, N.2
  • 247
    • 84986792205 scopus 로고
    • An introduction to long memory time series models and fractional differencing
    • Granger C.W.J., Joyeux R. An introduction to long memory time series models and fractional differencing. Journal of Time Series Analysis 1980, 1:15-29.
    • (1980) Journal of Time Series Analysis , vol.1 , pp. 15-29
    • Granger, C.W.J.1    Joyeux, R.2
  • 249
    • 0030242133 scopus 로고    scopus 로고
    • Modeling the conditional distribution of interest rates as a regimeswitching process
    • Gray S. Modeling the conditional distribution of interest rates as a regimeswitching process. Journal of Financial Economics 1996, 42:27-62.
    • (1996) Journal of Financial Economics , vol.42 , pp. 27-62
    • Gray, S.1
  • 251
    • 0039613915 scopus 로고    scopus 로고
    • The information-technology revolution and the stock market
    • Greenwood J., Jovanovic B. The information-technology revolution and the stock market. American Economic Review 1999, 89:116-122.
    • (1999) American Economic Review , vol.89 , pp. 116-122
    • Greenwood, J.1    Jovanovic, B.2
  • 253
    • 0037332717 scopus 로고    scopus 로고
    • Option prices under Bayesian learning: implied volatility dynamics and predictive densities
    • Guidolin M., Timmermann A. Option prices under Bayesian learning: implied volatility dynamics and predictive densities. Journal of Economic Dynamics and Control 2003, 27:717-769.
    • (2003) Journal of Economic Dynamics and Control , vol.27 , pp. 717-769
    • Guidolin, M.1    Timmermann, A.2
  • 254
    • 0038379581 scopus 로고
    • Remarques sur les solutions d'une e acute;quation fonctionnelle non line acute;aire de Benoi circ;t Mandelbrot
    • Guivarc'h Y. Remarques sur les solutions d'une équation fonctionnelle non linéaire de Benoît Mandelbrot. Comptes Rendus de l'Académie des Sciences de Paris 1987, 3051:139.
    • (1987) Comptes Rendus de l'Acade acute;mie des Sciences de Paris , vol.3051 , pp. 139
    • Guivarc'h, Y.1
  • 255
    • 0035498607 scopus 로고    scopus 로고
    • Multifractal analysis of DNA sequences using a novel chaos-game representation
    • Gutierrez J., Rodriguez M., Abramson G. Multifractal analysis of DNA sequences using a novel chaos-game representation. Physica A 2001, 300:271-284.
    • (2001) Physica A , vol.300 , pp. 271-284
    • Gutierrez, J.1    Rodriguez, M.2    Abramson, G.3
  • 256
    • 0002407801 scopus 로고
    • On some simple estimates of an exponent of regular variations
    • Hall P. On some simple estimates of an exponent of regular variations. Journal of the Royal Statistical Society Series B 1982, 44:37-42.
    • (1982) Journal of the Royal Statistical Society Series B , vol.44 , pp. 37-42
    • Hall, P.1
  • 258
    • 0000909365 scopus 로고    scopus 로고
    • Rational expectations econometric analysis of changes in regimes: an investigation of the term structure of interest rates
    • Hamilton J.D. Rational expectations econometric analysis of changes in regimes: an investigation of the term structure of interest rates. Journal of Economic Dynamics and Control 1998, 12:385-423.
    • (1998) Journal of Economic Dynamics and Control , vol.12 , pp. 385-423
    • Hamilton, J.D.1
  • 259
    • 0001342006 scopus 로고
    • A new approach to the economic analysis of nonstationary time series and the business cycle
    • Hamilton J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 1989, 57:357-384.
    • (1989) Econometrica , vol.57 , pp. 357-384
    • Hamilton, J.D.1
  • 262
    • 62549124830 scopus 로고    scopus 로고
    • Regime-switching models
    • forthcoming, Palgrave McMillan Ltd. S. Durlauf, L. Blume (Eds.)
    • Hamilton J.D. Regime-switching models. New Palgrave Dictionary of Economics 2006, forthcoming, Palgrave McMillan Ltd. 2nd edition. S. Durlauf, L. Blume (Eds.).
    • (2006) New Palgrave Dictionary of Economics
    • Hamilton, J.D.1
  • 263
  • 265
    • 0036524607 scopus 로고    scopus 로고
    • New directions in business cycle research and financial analysis
    • Hamilton J.D., Raj B. New directions in business cycle research and financial analysis. Empirical Economics 2002, 27:149-162.
    • (2002) Empirical Economics , vol.27 , pp. 149-162
    • Hamilton, J.D.1    Raj, B.2
  • 266
    • 21144448250 scopus 로고
    • Autoregressive conditional heteroskedasticity and changes in regime
    • Hamilton J.D., Susmel R. Autoregressive conditional heteroskedasticity and changes in regime. Journal of Econometrics 1994, 64:307-333.
    • (1994) Journal of Econometrics , vol.64 , pp. 307-333
    • Hamilton, J.D.1    Susmel, R.2
  • 267
    • 84986382561 scopus 로고
    • The likelihood ratio test under non-standard conditions: testing the Markov-switching model of GNP
    • Hansen B. The likelihood ratio test under non-standard conditions: testing the Markov-switching model of GNP. Journal of Applied Econometrics 1992, 7:561-582.
    • (1992) Journal of Applied Econometrics , vol.7 , pp. 561-582
    • Hansen, B.1
  • 269
    • 84934563125 scopus 로고
    • Implications of security market data for models of dynamic economies
    • Hansen L.P., Jagannathan R. Implications of security market data for models of dynamic economies. Journal of Political Economy 1991, 99:225-262.
    • (1991) Journal of Political Economy , vol.99 , pp. 225-262
    • Hansen, L.P.1    Jagannathan, R.2
  • 270
    • 19644379708 scopus 로고    scopus 로고
    • A forecast comparison of volatility models: Does anything beat a GARCH(1,1)?
    • Hansen P., Lunde A. A forecast comparison of volatility models: Does anything beat a GARCH(1,1)?. Journal of Applied Econometrics 2005, 20:873-889.
    • (2005) Journal of Applied Econometrics , vol.20 , pp. 873-889
    • Hansen, P.1    Lunde, A.2
  • 271
    • 38649141305 scopus 로고
    • Martingales and arbitrage in multiperiod securities markets
    • Harrison J.M., Kreps D. Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory 1979, 20:381-408.
    • (1979) Journal of Economic Theory , vol.20 , pp. 381-408
    • Harrison, J.M.1    Kreps, D.2
  • 272
    • 0001104607 scopus 로고    scopus 로고
    • Long memory in stochastic volatility
    • Butterworth-Heinemann, J. Knight, S. Satchell (Eds.)
    • Harvey A. Long memory in stochastic volatility. Forecasting Volatility in Financial Markets 1998, 307-320. Butterworth-Heinemann. J. Knight, S. Satchell (Eds.).
    • (1998) Forecasting Volatility in Financial Markets , pp. 307-320
    • Harvey, A.1
  • 274
    • 0037836721 scopus 로고
    • A closed-form solution for options with stochastic volatility, with applications to bond and currency options
    • Heston S.L. A closed-form solution for options with stochastic volatility, with applications to bond and currency options. Review of Financial Studies 1993, 6:327-343.
    • (1993) Review of Financial Studies , vol.6 , pp. 327-343
    • Heston, S.L.1
  • 275
    • 0039120603 scopus 로고    scopus 로고
    • Testing for structural change in a long-memory environment
    • Hidalgo J., Robinson P.M. Testing for structural change in a long-memory environment. Journal of Econometrics 1996, 70:159-174.
    • (1996) Journal of Econometrics , vol.70 , pp. 159-174
    • Hidalgo, J.1    Robinson, P.M.2
  • 276
    • 0001263124 scopus 로고
    • A simple general approach to inference about the tail of a distribution
    • Hill B.M. A simple general approach to inference about the tail of a distribution. Annals of Statistics 1975, 3:1163-1174.
    • (1975) Annals of Statistics , vol.3 , pp. 1163-1174
    • Hill, B.M.1
  • 277
    • 84986382842 scopus 로고
    • The limiting distribution of extremal exchange rate returns
    • Hols M., de Vries C. The limiting distribution of extremal exchange rate returns. Journal of Applied Econometrics 1991, 6:287-302.
    • (1991) Journal of Applied Econometrics , vol.6 , pp. 287-302
    • Hols, M.1    de Vries, C.2
  • 278
    • 0038176749 scopus 로고    scopus 로고
    • Differences of opinion, short-sales constraints and market crashes
    • Hong H., Stein J. Differences of opinion, short-sales constraints and market crashes. Review of Financial Studies 2003, 16:487-525.
    • (2003) Review of Financial Studies , vol.16 , pp. 487-525
    • Hong, H.1    Stein, J.2
  • 280
    • 77956890381 scopus 로고
    • Fractional differencing
    • Hosking J.R.M. Fractional differencing. Biometrika 1981, 68:165-176.
    • (1981) Biometrika , vol.68 , pp. 165-176
    • Hosking, J.R.M.1
  • 282
    • 0000211509 scopus 로고
    • An intertemporal general equilibrium asset pricing model: the case of diffusion information
    • Huang C. An intertemporal general equilibrium asset pricing model: the case of diffusion information. Econometrica 1987, 55:117-142.
    • (1987) Econometrica , vol.55 , pp. 117-142
    • Huang, C.1
  • 283
    • 26444481610 scopus 로고    scopus 로고
    • The relative contribution of jumps to total price variance
    • Huang C., Tauchen G. The relative contribution of jumps to total price variance. Journal of Financial Econometrics 2005, 4:456-499.
    • (2005) Journal of Financial Econometrics , vol.4 , pp. 456-499
    • Huang, C.1    Tauchen, G.2
  • 284
    • 84977709229 scopus 로고
    • The pricing of options on assets with stochastic volatility
    • Hull J., White A. The pricing of options on assets with stochastic volatility. Journal of Finance 1987, 42:281-300.
    • (1987) Journal of Finance , vol.42 , pp. 281-300
    • Hull, J.1    White, A.2
  • 285
    • 84993917417 scopus 로고
    • The interaction between nonexpected utility and asymmetric market fundamentals
    • Hung M.-W. The interaction between nonexpected utility and asymmetric market fundamentals. Journal of Finance 1994, 49:325-343.
    • (1994) Journal of Finance , vol.49 , pp. 325-343
    • Hung, M.-W.1
  • 287
    • 0001487364 scopus 로고    scopus 로고
    • An efficient taper for potentially overdifferenced long-memory time series
    • Hurvich C.M., Chen W.W. An efficient taper for potentially overdifferenced long-memory time series. Journal of Time Series Analysis 2000, 21:155-180.
    • (2000) Journal of Time Series Analysis , vol.21 , pp. 155-180
    • Hurvich, C.M.1    Chen, W.W.2
  • 288
    • 0002670989 scopus 로고    scopus 로고
    • The mean square error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
    • Hurvich C.M., Deo R., Brodsky J. The mean square error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series. Journal of Time Series Analysis 1998, 19:19-46.
    • (1998) Journal of Time Series Analysis , vol.19 , pp. 19-46
    • Hurvich, C.M.1    Deo, R.2    Brodsky, J.3
  • 289
  • 290
    • 27844472023 scopus 로고    scopus 로고
    • The local Whittle estimator of long-memory stochastic volatility
    • Hurvich C.M., Ray B.K. The local Whittle estimator of long-memory stochastic volatility. Journal of Financial Econometrics 2003, 1:445-470.
    • (2003) Journal of Financial Econometrics , vol.1 , pp. 445-470
    • Hurvich, C.M.1    Ray, B.K.2
  • 292
    • 0001717704 scopus 로고
    • Simulation estimation of time series models
    • Ingram B.F., Lee S.B. Simulation estimation of time series models. Journal of Econometrics 1991, 47:197-250.
    • (1991) Journal of Econometrics , vol.47 , pp. 197-250
    • Ingram, B.F.1    Lee, S.B.2
  • 294
    • 3042777110 scopus 로고    scopus 로고
    • Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
    • Jacquier E., Polson N., Rossi P. Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. Journal of Econometrics 2004, 122:185-212.
    • (2004) Journal of Econometrics , vol.122 , pp. 185-212
    • Jacquier, E.1    Polson, N.2    Rossi, P.3
  • 295
    • 0000974326 scopus 로고
    • On the frequency of large stock returns: putting booms and busts into perspective
    • Jansen D., de Vries C. On the frequency of large stock returns: putting booms and busts into perspective. Review of Economics and Statistics 1991, 73:18-24.
    • (1991) Review of Economics and Statistics , vol.73 , pp. 18-24
    • Jansen, D.1    de Vries, C.2
  • 296
    • 0001153281 scopus 로고
    • Jump risks and the intertemporal capital asset pricing model
    • Jarrow R., Rosenfeld E. Jump risks and the intertemporal capital asset pricing model. Journal of Business 1984, 57:337-351.
    • (1984) Journal of Business , vol.57 , pp. 337-351
    • Jarrow, R.1    Rosenfeld, E.2
  • 297
    • 33644904406 scopus 로고    scopus 로고
    • Sequential optimal portfolio performance: market and volatility timing
    • University of Chicago Graduate School of Business
    • Johannes M., Polson N., Stroud J. Sequential optimal portfolio performance: market and volatility timing. Working paper 2002, University of Chicago Graduate School of Business.
    • (2002) Working paper
    • Johannes, M.1    Polson, N.2    Stroud, J.3
  • 298
    • 0041114328 scopus 로고
    • Multifractal description of the large-scale structure of the Universe
    • Jones B., Martinez V., Saar E., Einasto J. Multifractal description of the large-scale structure of the Universe. Astrophysical Journal 1988, 332:L1-L5.
    • (1988) Astrophysical Journal , vol.332
    • Jones, B.1    Martinez, V.2    Saar, E.3    Einasto, J.4
  • 300
    • 0242557093 scopus 로고    scopus 로고
    • The dynamics of stochastic volatility: evidence from underlying and options markets
    • Jones C. The dynamics of stochastic volatility: evidence from underlying and options markets. Journal of Econometrics 2003, 116:181-224.
    • (2003) Journal of Econometrics , vol.116 , pp. 181-224
    • Jones, C.1
  • 301
    • 0000137326 scopus 로고
    • On jump processes in the foreign exchange and stock markets
    • Jorion P. On jump processes in the foreign exchange and stock markets. Review of Financial Studies 1988, 1:427-445.
    • (1988) Review of Financial Studies , vol.1 , pp. 427-445
    • Jorion, P.1
  • 303
    • 0031138483 scopus 로고    scopus 로고
    • A century of interplay between Taylor series, Fourier series and Brownian motion
    • Kahane J.P. A century of interplay between Taylor series, Fourier series and Brownian motion. Bulletin of the London Mathematical Society 1997, 29:257-279.
    • (1997) Bulletin of the London Mathematical Society , vol.29 , pp. 257-279
    • Kahane, J.P.1
  • 304
    • 0000781833 scopus 로고
    • Expectations and volatility of consumption and asset returns
    • Kandel S., Stambaugh R.F. Expectations and volatility of consumption and asset returns. Review of Financial Studies 1990, 3:207-232.
    • (1990) Review of Financial Studies , vol.3 , pp. 207-232
    • Kandel, S.1    Stambaugh, R.F.2
  • 306
    • 0010764058 scopus 로고
    • An econometric model for option price with implications for investors' expectations and audacity
    • Kassouf An econometric model for option price with implications for investors' expectations and audacity. Econometrica 1969, 37:685-694.
    • (1969) Econometrica , vol.37 , pp. 685-694
    • Kassouf1
  • 307
    • 0000865794 scopus 로고    scopus 로고
    • Estimating the density tail index for financial time series
    • Kearns P., Pagan A. Estimating the density tail index for financial time series. Review of Economics and Statistics 1997, 79:171-175.
    • (1997) Review of Economics and Statistics , vol.79 , pp. 171-175
    • Kearns, P.1    Pagan, A.2
  • 308
    • 0002634803 scopus 로고
    • Dynamic linear models with Markov-switching
    • Kim C.-J. Dynamic linear models with Markov-switching. Journal of Econometrics 1994, 60:1-22.
    • (1994) Journal of Econometrics , vol.60 , pp. 1-22
    • Kim, C.-J.1
  • 309
    • 3142673060 scopus 로고    scopus 로고
    • Is there a positive relationship between stock market volatility and the equity premium?
    • Kim C.-J., Morley J., Nelson C. Is there a positive relationship between stock market volatility and the equity premium?. Journal of Money, Credit and Banking 2004, 36:339-360.
    • (2004) Journal of Money, Credit and Banking , vol.36 , pp. 339-360
    • Kim, C.-J.1    Morley, J.2    Nelson, C.3
  • 311
    • 0001251517 scopus 로고    scopus 로고
    • Stochastic volatility: likelihood inference and comparison with ARCH models
    • Kim S., Shephard N., Chib S. Stochastic volatility: likelihood inference and comparison with ARCH models. Review of Economic Studies 1998, 65:361-393.
    • (1998) Review of Economic Studies , vol.65 , pp. 361-393
    • Kim, S.1    Shephard, N.2    Chib, S.3
  • 312
    • 22144478658 scopus 로고    scopus 로고
    • Quantifying spatial structure of volumetric neutral models
    • Kirkpatrick L.A., Weishampel J.F. Quantifying spatial structure of volumetric neutral models. Ecological Modeling 2005, 186:312-325.
    • (2005) Ecological Modeling , vol.186 , pp. 312-325
    • Kirkpatrick, L.A.1    Weishampel, J.F.2
  • 313
    • 0002762378 scopus 로고
    • Epidemics of opinion and speculative bubbles in financial markets
    • Blackwell, M. Taylor (Ed.)
    • Kirman A. Epidemics of opinion and speculative bubbles in financial markets. Money and Financial Markets 1991, 354-368. Blackwell. M. Taylor (Ed.).
    • (1991) Money and Financial Markets , pp. 354-368
    • Kirman, A.1
  • 314
    • 0036524551 scopus 로고    scopus 로고
    • Improving GARCH volatility forecasts with regime-switching GARCH
    • Klaassen F. Improving GARCH volatility forecasts with regime-switching GARCH. Empirical Economics 2002, 27:363-394.
    • (2002) Empirical Economics , vol.27 , pp. 363-394
    • Klaassen, F.1
  • 315
    • 0016092991 scopus 로고
    • The Hurst phenomenon: a puzzle?
    • Klemeš V. The Hurst phenomenon: a puzzle?. Water Resources Research 1974, 10:675-688.
    • (1974) Water Resources Research , vol.10 , pp. 675-688
    • Klemeš, V.1
  • 317
    • 0001187166 scopus 로고
    • Wienersche Spiralen und einige andere interessante Kurven im Hilbertschen raum
    • Kolmogorov A.N. Wienersche Spiralen und einige andere interessante Kurven im Hilbertschen raum. Doklady Akademii Nauk USSR 1940, 26:115-118.
    • (1940) Doklady Akademii Nauk USSR , vol.26 , pp. 115-118
    • Kolmogorov, A.N.1
  • 318
    • 84958440725 scopus 로고
    • A refinement of previous hypotheses concerning the local structure of turbulence in a viscous incompressible fluid at high Reynolds number
    • Kolmogorov A.N. A refinement of previous hypotheses concerning the local structure of turbulence in a viscous incompressible fluid at high Reynolds number. Journal of Fluid Mechanics 1962, 13:82-85.
    • (1962) Journal of Fluid Mechanics , vol.13 , pp. 82-85
    • Kolmogorov, A.N.1
  • 319
    • 84944833166 scopus 로고
    • Models of stock returns - a comparison
    • Kon S.J. Models of stock returns - a comparison. Journal of Finance 1984, 39:147-165.
    • (1984) Journal of Finance , vol.39 , pp. 147-165
    • Kon, S.J.1
  • 320
    • 33144465090 scopus 로고    scopus 로고
    • Long-term persistence and multifractality of river runoff records: detrended fluctuation studies
    • Koscielny-Bunde E., Kantelhardt J., Braun P., Bunde A., Havlin S. Long-term persistence and multifractality of river runoff records: detrended fluctuation studies. Journal of Hydrology 2006, 322:120-137.
    • (2006) Journal of Hydrology , vol.322 , pp. 120-137
    • Koscielny-Bunde, E.1    Kantelhardt, J.2    Braun, P.3    Bunde, A.4    Havlin, S.5
  • 322
    • 85087578086 scopus 로고    scopus 로고
    • Joint multifractal analyses of crop yield and terrain slope
    • Kravchenko A., Bullock D., Boast C. Joint multifractal analyses of crop yield and terrain slope. Agronomy Journal 2000, 91:1033-1041.
    • (2000) Agronomy Journal , vol.91 , pp. 1033-1041
    • Kravchenko, A.1    Bullock, D.2    Boast, C.3
  • 324
    • 0000845598 scopus 로고
    • Discrimination between monotonic trends and long-range dependence
    • Künsch H. Discrimination between monotonic trends and long-range dependence. Journal of Applied Probability 1986, 23:1025-1030.
    • (1986) Journal of Applied Probability , vol.23 , pp. 1025-1030
    • Künsch, H.1
  • 325
    • 0001961189 scopus 로고
    • Statistical aspects of self-similar processes
    • VNU Science Press, Utrecht, Y. Prokhorov, V. Sasanov (Eds.)
    • Künsch H. Statistical aspects of self-similar processes. Proceedings of the First World Congress of the Bernoulli Society 1987, VNU Science Press, Utrecht. Y. Prokhorov, V. Sasanov (Eds.).
    • (1987) Proceedings of the First World Congress of the Bernoulli Society
    • Künsch, H.1
  • 326
    • 0001925391 scopus 로고
    • Techniques for verifying the accuracy of risk measurement models
    • Kupiec P. Techniques for verifying the accuracy of risk measurement models. Journal of Derivatives 1995, 2:73-84.
    • (1995) Journal of Derivatives , vol.2 , pp. 73-84
    • Kupiec, P.1
  • 327
    • 0037196230 scopus 로고    scopus 로고
    • Rainfall-runoff relations for Karstic springs: multifractal analyses
    • Labat D., Mangin A., Ababou R. Rainfall-runoff relations for Karstic springs: multifractal analyses. Journal of Hydrology 2002, 256:176-195.
    • (2002) Journal of Hydrology , vol.256 , pp. 176-195
    • Labat, D.1    Mangin, A.2    Ababou, R.3
  • 328
    • 0001320229 scopus 로고
    • Standard deviations of stock price ratios implied in option prices
    • Latane H., Rendleman R. Standard deviations of stock price ratios implied in option prices. Journal of Finance 1976, 31:369-381.
    • (1976) Journal of Finance , vol.31 , pp. 369-381
    • Latane, H.1    Rendleman, R.2
  • 329
    • 0000444193 scopus 로고    scopus 로고
    • Agent-based computational finance: suggested readings and early research
    • LeBaron B. Agent-based computational finance: suggested readings and early research. Journal of Economic Dynamics and Control 2000, 24:679-702.
    • (2000) Journal of Economic Dynamics and Control , vol.24 , pp. 679-702
    • LeBaron, B.1
  • 330
    • 85012545809 scopus 로고    scopus 로고
    • Stochastic volatility as a simple generator of apparent financial power laws and long memory
    • LeBaron B. Stochastic volatility as a simple generator of apparent financial power laws and long memory. Quantitative Finance 2001, 1:621-631.
    • (2001) Quantitative Finance , vol.1 , pp. 621-631
    • LeBaron, B.1
  • 331
    • 66049155348 scopus 로고    scopus 로고
    • Agent-based computational finance
    • North-Holland, L. Tesfatsion, K. Judd (Eds.)
    • LeBaron B. Agent-based computational finance. Handbook of Computational Economics 2006, Vol. 2. North-Holland. L. Tesfatsion, K. Judd (Eds.).
    • (2006) Handbook of Computational Economics , vol.2
    • LeBaron, B.1
  • 333
    • 0242558358 scopus 로고    scopus 로고
    • Flexible multivariate GARCH modeling with an application to international stock markets
    • Ledoit O., Santa-Clara P., Wolf M. Flexible multivariate GARCH modeling with an application to international stock markets. Review of Economics and Statistics 2003, 85:735-747.
    • (2003) Review of Economics and Statistics , vol.85 , pp. 735-747
    • Ledoit, O.1    Santa-Clara, P.2    Wolf, M.3
  • 334
    • 0001843717 scopus 로고
    • The present-value relation: tests based on implied variance bounds
    • LeRoy S., Porter R. The present-value relation: tests based on implied variance bounds. Econometrica 1981, 49:555-574.
    • (1981) Econometrica , vol.49 , pp. 555-574
    • LeRoy, S.1    Porter, R.2
  • 335
    • 0031570602 scopus 로고    scopus 로고
    • Explaining the facts with adaptive agents: the case of mutual fund flows
    • Lettau M. Explaining the facts with adaptive agents: the case of mutual fund flows. Journal of Economic Dynamics and Control 1997, 21:1117-1148.
    • (1997) Journal of Economic Dynamics and Control , vol.21 , pp. 1117-1148
    • Lettau, M.1
  • 336
    • 33748708842 scopus 로고    scopus 로고
    • The declining equity premium: what role does macroeconomic risk play?
    • Forthcoming in Review of Financial Studies, New York University and Wharton
    • Lettau M., Ludvigson S., Wachter J. The declining equity premium: what role does macroeconomic risk play?. Working paper 2004, Forthcoming in Review of Financial Studies, New York University and Wharton.
    • (2004) Working paper
    • Lettau, M.1    Ludvigson, S.2    Wachter, J.3
  • 339
    • 0002791428 scopus 로고
    • Markov regime models for mixed distributions and switching regressions
    • Lindgren G. Markov regime models for mixed distributions and switching regressions. Scandinavian Journal of Statistics 1978, 5:81-91.
    • (1978) Scandinavian Journal of Statistics , vol.5 , pp. 81-91
    • Lindgren, G.1
  • 340
    • 0000891973 scopus 로고    scopus 로고
    • Modeling long memory in stock market volatility
    • Liu M. Modeling long memory in stock market volatility. Journal of Econometrics 2000, 99:139-171.
    • (2000) Journal of Econometrics , vol.99 , pp. 139-171
    • Liu, M.1
  • 341
    • 0030700581 scopus 로고    scopus 로고
    • Multifractal analyses of hydraulic conductivity distributions
    • Liu H., Moltz F. Multifractal analyses of hydraulic conductivity distributions. Water Resources Research 1997, 33:2483-2488.
    • (1997) Water Resources Research , vol.33 , pp. 2483-2488
    • Liu, H.1    Moltz, F.2
  • 342
    • 12344272139 scopus 로고    scopus 로고
    • An equilibrium model of rare-event premia and its implication for option smirks
    • Liu J., Pau J., Wang T. An equilibrium model of rare-event premia and its implication for option smirks. Review of Financial Studies 2005, 18:131-164.
    • (2005) Review of Financial Studies , vol.18 , pp. 131-164
    • Liu, J.1    Pau, J.2    Wang, T.3
  • 343
    • 0000140166 scopus 로고
    • Long memory in stock market prices
    • Lo A.W. Long memory in stock market prices. Econometrica 1991, 59:1279-1313.
    • (1991) Econometrica , vol.59 , pp. 1279-1313
    • Lo, A.W.1
  • 344
    • 0002484986 scopus 로고
    • Stock market prices do not follow random walks: evidence from a simple specification tests
    • Lo A.W., MacKinlay A.C. Stock market prices do not follow random walks: evidence from a simple specification tests. Review of Financial Studies 1988, 1:41-66.
    • (1988) Review of Financial Studies , vol.1 , pp. 41-66
    • Lo, A.W.1    MacKinlay, A.C.2
  • 346
    • 0000119560 scopus 로고
    • Testing the covariance stationarity of heavytailed time series: an overview of the theory with applications to several financial data series
    • Loretan M., Phillips P.C.B. Testing the covariance stationarity of heavytailed time series: an overview of the theory with applications to several financial data series. Journal of Empirical Finance 1994, 1:211-248.
    • (1994) Journal of Empirical Finance , vol.1 , pp. 211-248
    • Loretan, M.1    Phillips, P.C.B.2
  • 347
    • 33748084733 scopus 로고    scopus 로고
    • Multifractals, cloud radiances and rain
    • Lovejoy S., Schertzer D. Multifractals, cloud radiances and rain. Journal of Hydrology 2006, 322:59-88.
    • (2006) Journal of Hydrology , vol.322 , pp. 59-88
    • Lovejoy, S.1    Schertzer, D.2
  • 348
    • 0000150312 scopus 로고
    • Asset prices in an exchange economy
    • Lucas R. Asset prices in an exchange economy. Econometrica 1978, 46:1429-1445.
    • (1978) Econometrica , vol.46 , pp. 1429-1445
    • Lucas, R.1
  • 349
    • 34249889616 scopus 로고    scopus 로고
    • The risk-return trade-off in the long-run: 1836-2003
    • Lundblad C. The risk-return trade-off in the long-run: 1836-2003. Journal of Financial Economics 2007, 85:123-150.
    • (2007) Journal of Financial Economics , vol.85 , pp. 123-150
    • Lundblad, C.1
  • 350
    • 0031280697 scopus 로고    scopus 로고
    • Time variation of second moments from a noise trader/infection model
    • Lux T. Time variation of second moments from a noise trader/infection model. Journal of Economic Dynamics and Control 1997, 22:1-38.
    • (1997) Journal of Economic Dynamics and Control , vol.22 , pp. 1-38
    • Lux, T.1
  • 351
    • 0031617088 scopus 로고    scopus 로고
    • The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions
    • Lux T. The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions. Journal of Economic Behavior and Organization 1998, 33:143-165.
    • (1998) Journal of Economic Behavior and Organization , vol.33 , pp. 143-165
    • Lux, T.1
  • 352
    • 85012532241 scopus 로고    scopus 로고
    • Turbulence in financial markets: the surprising explanatory power of simple cascade models
    • Lux T. Turbulence in financial markets: the surprising explanatory power of simple cascade models. Quantitative Finance 2001, 1:632-640.
    • (2001) Quantitative Finance , vol.1 , pp. 632-640
    • Lux, T.1
  • 353
    • 41649118014 scopus 로고    scopus 로고
    • The Markov-switching multifractal model of asset returns: GMM estimation and linear forecasting of volatility
    • Lux T. The Markov-switching multifractal model of asset returns: GMM estimation and linear forecasting of volatility. Journal of Business and Economic Statistics 2008, 26:194-210.
    • (2008) Journal of Business and Economic Statistics , vol.26 , pp. 194-210
    • Lux, T.1
  • 354
    • 0033545290 scopus 로고    scopus 로고
    • Scaling and criticality in a stochastic multi-agent model of a financial market
    • Lux T., Marchesi M. Scaling and criticality in a stochastic multi-agent model of a financial market. Nature 1999, 397:498-500.
    • (1999) Nature , vol.397 , pp. 498-500
    • Lux, T.1    Marchesi, M.2
  • 357
    • 0002895230 scopus 로고    scopus 로고
    • The variance gamma process and option pricing model
    • Madan D., Carr P., Chang E. The variance gamma process and option pricing model. European Finance Review 1998, 2:79-105.
    • (1998) European Finance Review , vol.2 , pp. 79-105
    • Madan, D.1    Carr, P.2    Chang, E.3
  • 358
    • 0011826897 scopus 로고
    • Empirical implications of arbitrage-free asset markets
    • Basil Blackwell, P.C.B. Phillips (Ed.)
    • Maheswaran S., Sims C. Empirical implications of arbitrage-free asset markets. Models, Methods and Applications of Econometrics 1993, Basil Blackwell. P.C.B. Phillips (Ed.).
    • (1993) Models, Methods and Applications of Econometrics
    • Maheswaran, S.1    Sims, C.2
  • 359
    • 0011889758 scopus 로고    scopus 로고
    • Volatility dynamics under duration-dependent mixing
    • Maheu J., McCurdy T. Volatility dynamics under duration-dependent mixing. Journal of Empirical Finance 2000, 7:345-372.
    • (2000) Journal of Empirical Finance , vol.7 , pp. 345-372
    • Maheu, J.1    McCurdy, T.2
  • 360
    • 1842713110 scopus 로고    scopus 로고
    • News arrival, jump dynamics, and volatility components for individual stock returns
    • Maheu J., McCurdy T. News arrival, jump dynamics, and volatility components for individual stock returns. Journal of Finance 2004, 59:755-793.
    • (2004) Journal of Finance , vol.59 , pp. 755-793
    • Maheu, J.1    McCurdy, T.2
  • 361
    • 0001504360 scopus 로고
    • The variation of certain speculative prices
    • Mandelbrot B.B. The variation of certain speculative prices. Journal of Business 1963, 36:394-419.
    • (1963) Journal of Business , vol.36 , pp. 394-419
    • Mandelbrot, B.B.1
  • 363
    • 85029186630 scopus 로고
    • Time varying channels, 1/f noises and the infrared catastrophe, or: why does the low frequency energy sometimes seem infinite
    • Mandelbrot B.B. Time varying channels, 1/f noises and the infrared catastrophe, or: why does the low frequency energy sometimes seem infinite. Conference Rocord of the 1st IEEE Annual Communications Convention 1965.
    • (1965) Conference Rocord of the 1st IEEE Annual Communications Convention
    • Mandelbrot, B.B.1
  • 364
    • 0000036811 scopus 로고
    • The variation of some other speculative prices
    • Mandelbrot B.B. The variation of some other speculative prices. Journal of Business 1967, 40:393-413.
    • (1967) Journal of Business , vol.40 , pp. 393-413
    • Mandelbrot, B.B.1
  • 365
    • 0008354399 scopus 로고
    • Possible refinement of the lognormal hypothesis concerning the distribution of energy dissipation in intermittent turbulence
    • Springer, M. Rosenblatt, C. Van Atta (Eds.) Statistical Models and Turbulence
    • Mandelbrot B.B. Possible refinement of the lognormal hypothesis concerning the distribution of energy dissipation in intermittent turbulence. Lecture Note in Physics 1972, 12:333-351. Springer. M. Rosenblatt, C. Van Atta (Eds.).
    • (1972) Lecture Note in Physics , vol.12 , pp. 333-351
    • Mandelbrot, B.B.1
  • 366
    • 0015969022 scopus 로고
    • Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier
    • Mandelbrot B.B. Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier. Journal of Fluid Mechanics 1974, 62:331-358.
    • (1974) Journal of Fluid Mechanics , vol.62 , pp. 331-358
    • Mandelbrot, B.B.1
  • 368
    • 0024483599 scopus 로고
    • Multifractal measures, especially for the geophysicist
    • Mandelbrot B.B. Multifractal measures, especially for the geophysicist. Pure and Applied Geophysics 1989, 131:5-42.
    • (1989) Pure and Applied Geophysics , vol.131 , pp. 5-42
    • Mandelbrot, B.B.1
  • 371
    • 85008770448 scopus 로고    scopus 로고
    • Stochastic volatility, power laws, and long-memory
    • Mandelbrot B.B. Stochastic volatility, power laws, and long-memory. Quantitative Finance 2001, 1:558-559.
    • (2001) Quantitative Finance , vol.1 , pp. 558-559
    • Mandelbrot, B.B.1
  • 373
    • 0000642461 scopus 로고
    • On the distribution of stock price differences
    • Mandelbrot B.B., Taylor H.W. On the distribution of stock price differences. Operations Research 1967, 15:1057-1062.
    • (1967) Operations Research , vol.15 , pp. 1057-1062
    • Mandelbrot, B.B.1    Taylor, H.W.2
  • 374
    • 0000501589 scopus 로고
    • Fractional Brownian motion, fractional noises and application
    • Mandelbrot B.B., van Ness J.W. Fractional Brownian motion, fractional noises and application. SIAM Review 1968, 10:422-437.
    • (1968) SIAM Review , vol.10 , pp. 422-437
    • Mandelbrot, B.B.1    van Ness, J.W.2
  • 375
    • 0029958553 scopus 로고    scopus 로고
    • Turbulence and financial markets
    • Mantegna R., Stanley H.E. Turbulence and financial markets. Nature 1996, 383:587-588.
    • (1996) Nature , vol.383 , pp. 587-588
    • Mantegna, R.1    Stanley, H.E.2
  • 377
    • 0036151601 scopus 로고    scopus 로고
    • Laser diffraction and multifractal analysis for the characterization of dry soil volume-size distributions
    • Martin M., Montero E. Laser diffraction and multifractal analysis for the characterization of dry soil volume-size distributions. Soil & Tillage Research 2002, 64:113-123.
    • (2002) Soil & Tillage Research , vol.64 , pp. 113-123
    • Martin, M.1    Montero, E.2
  • 378
    • 0038931505 scopus 로고    scopus 로고
    • Is the universe fractal?
    • Martinez V. Is the universe fractal?. Science 1999, 284:445-446.
    • (1999) Science , vol.284 , pp. 445-446
    • Martinez, V.1
  • 379
    • 38149144178 scopus 로고
    • Tests of the martingale hypothesis for foreign currency futures with time varying volatility
    • McCurdy T., Morgan I. Tests of the martingale hypothesis for foreign currency futures with time varying volatility. International Journal of Forecasting 1987, 3:131-148.
    • (1987) International Journal of Forecasting , vol.3 , pp. 131-148
    • McCurdy, T.1    Morgan, I.2
  • 380
    • 33846907054 scopus 로고
    • Empirical exchange rate models of the seventies: do they fit out of sample?
    • Meese R., Rogoff K. Empirical exchange rate models of the seventies: do they fit out of sample?. Journal of International Economics 1983, 14:3-24.
    • (1983) Journal of International Economics , vol.14 , pp. 3-24
    • Meese, R.1    Rogoff, K.2
  • 382
    • 0005618944 scopus 로고
    • Pricing foreign currency options with stochastic volatility
    • Melino A., Turnbull S.M. Pricing foreign currency options with stochastic volatility. Journal of Econometrics 1990, 45:239-265.
    • (1990) Journal of Econometrics , vol.45 , pp. 239-265
    • Melino, A.1    Turnbull, S.M.2
  • 383
    • 24544470940 scopus 로고
    • Simple multifractal cascade model for fully developed turbulence
    • Meneveau C., Sreenivasan K. Simple multifractal cascade model for fully developed turbulence. Physical Review Letters 1987, 59:1424-1427.
    • (1987) Physical Review Letters , vol.59 , pp. 1424-1427
    • Meneveau, C.1    Sreenivasan, K.2
  • 384
    • 0026123844 scopus 로고
    • The multifractal nature of turbulent energy dissipation
    • Meneveau C., Sreenivasan K. The multifractal nature of turbulent energy dissipation. Journal of Fluid Mechanics 1991, 224:429-484.
    • (1991) Journal of Fluid Mechanics , vol.224 , pp. 429-484
    • Meneveau, C.1    Sreenivasan, K.2
  • 386
    • 34248474317 scopus 로고
    • Option pricing when underlying stock returns are discontinuous
    • Merton R.C. Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics 1976, 3:125-144.
    • (1976) Journal of Financial Economics , vol.3 , pp. 125-144
    • Merton, R.C.1
  • 388
    • 0001900266 scopus 로고
    • A conditional variance model for daily deviations of an exchange rate
    • Milhoj A. A conditional variance model for daily deviations of an exchange rate. Journal of Business and Economic Statistics 1987, 5:99-103.
    • (1987) Journal of Business and Economic Statistics , vol.5 , pp. 99-103
    • Milhoj, A.1
  • 389
    • 0002254780 scopus 로고
    • The evaluation of economic forecasts
    • National Bureau of Economic Research, New York, J. Mincer (Ed.)
    • Mincer J., Zarnowitz V. The evaluation of economic forecasts. Economic Forecasts and Expectations 1969, National Bureau of Economic Research, New York. J. Mincer (Ed.).
    • (1969) Economic Forecasts and Expectations
    • Mincer, J.1    Zarnowitz, V.2
  • 390
    • 33847374655 scopus 로고    scopus 로고
    • Seismic interevent time: a spatial scaling and multifractality
    • Molchan G., Kronrod T. Seismic interevent time: a spatial scaling and multifractality. Pure and Applied Geophysics 2007, 164:75-96.
    • (2007) Pure and Applied Geophysics , vol.164 , pp. 75-96
    • Molchan, G.1    Kronrod, T.2
  • 392
    • 26544444702 scopus 로고
    • Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis
    • Müller U., Dacorogna M., Olsen R., Pictet O., Schwarz M., Morgenegg C. Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis. Journal of Banking and Finance 1990, 14:1189-1208.
    • (1990) Journal of Banking and Finance , vol.14 , pp. 1189-1208
    • Müller, U.1    Dacorogna, M.2    Olsen, R.3    Pictet, O.4    Schwarz, M.5    Morgenegg, C.6
  • 394
    • 41349120212 scopus 로고    scopus 로고
    • Multifractal stationary random measures and multifractal random walks with log infinitely divisible scaling laws
    • Muzy J.-F., Bacry E. Multifractal stationary random measures and multifractal random walks with log infinitely divisible scaling laws. Physical Review E 2002, 66:056121.
    • (2002) Physical Review E , vol.66 , pp. 056121
    • Muzy, J.-F.1    Bacry, E.2
  • 395
    • 12044251142 scopus 로고
    • Wavelets and multifractal formalism for singular signals: application to turbulence data
    • Muzy J.-F., Bacry E., Arneodo A. Wavelets and multifractal formalism for singular signals: application to turbulence data. Physical Review Letters 1991, 67:3515-3518.
    • (1991) Physical Review Letters , vol.67 , pp. 3515-3518
    • Muzy, J.-F.1    Bacry, E.2    Arneodo, A.3
  • 396
    • 0002127801 scopus 로고    scopus 로고
    • Modeling fluctuations of financial time series: from cascade process to stochastic volatility model
    • Muzy J.-F., Delour J., Bacry E. Modeling fluctuations of financial time series: from cascade process to stochastic volatility model. European Physical Journal 2000, B17:537-548.
    • (2000) European Physical Journal , vol.B17 , pp. 537-548
    • Muzy, J.-F.1    Delour, J.2    Bacry, E.3
  • 397
    • 0000472402 scopus 로고
    • General equilibrium pricing of options on the market portfolio with discontinuous returns
    • Naik V., Lee M. General equilibrium pricing of options on the market portfolio with discontinuous returns. Review of Financial Studies 1990, 3:493-521.
    • (1990) Review of Financial Studies , vol.3 , pp. 493-521
    • Naik, V.1    Lee, M.2
  • 398
    • 0037095945 scopus 로고    scopus 로고
    • Temporal variation of multifractal properties of seismicity in the region affected by the mainshock of the October 6, 2000 Western Tottori Prefecture, Japan, earthquake (M=7.3)
    • Nakaya S., Hashimoto T. Temporal variation of multifractal properties of seismicity in the region affected by the mainshock of the October 6, 2000 Western Tottori Prefecture, Japan, earthquake (M=7.3). Geophysical Research Letters 2002, 29(10):1-4.
    • (2002) Geophysical Research Letters , vol.29 , Issue.10 , pp. 1-4
    • Nakaya, S.1    Hashimoto, T.2
  • 401
    • 0842316847 scopus 로고
    • ARCH models as diffusion aproximations
    • Nelson D. ARCH models as diffusion aproximations. Journal of Econometrics 1990, 45:7-38.
    • (1990) Journal of Econometrics , vol.45 , pp. 7-38
    • Nelson, D.1
  • 402
    • 0000641348 scopus 로고
    • Conditional heteroskedasticity in asset returns: a new approach
    • Nelson D. Conditional heteroskedasticity in asset returns: a new approach. Econometrica 1991, 45:7-38.
    • (1991) Econometrica , vol.45 , pp. 7-38
    • Nelson, D.1
  • 403
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey W., West K. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 1987, 55:703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 404
    • 84963002108 scopus 로고
    • Automatic lag selection in covariance matrix estimation
    • Newey W., West K. Automatic lag selection in covariance matrix estimation. Review of Economic Studies 1994, 61:631-654.
    • (1994) Review of Economic Studies , vol.61 , pp. 631-654
    • Newey, W.1    West, K.2
  • 405
    • 0042357432 scopus 로고    scopus 로고
    • Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type
    • Nicolato E., Venardos E. Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type. Mathematical Finance 2003, 13:445-466.
    • (2003) Mathematical Finance , vol.13 , pp. 445-466
    • Nicolato, E.1    Venardos, E.2
  • 407
    • 70350114029 scopus 로고
    • GARCH modeling of volatility: an introduction to theory and applications
    • Academic Press, A.J. de Zeeuw (Ed.)
    • Nijman T., Palm F. GARCH modeling of volatility: an introduction to theory and applications. Advanced Lectures in Quantitative Economics 1993, Academic Press. A.J. de Zeeuw (Ed.).
    • (1993) Advanced Lectures in Quantitative Economics
    • Nijman, T.1    Palm, F.2
  • 409
    • 0000799280 scopus 로고
    • The variability of the market factor of the New York Stock Exchange
    • Officer R. The variability of the market factor of the New York Stock Exchange. Journal of Business 1973, 46:434-453.
    • (1973) Journal of Business , vol.46 , pp. 434-453
    • Officer, R.1
  • 410
    • 0030300852 scopus 로고    scopus 로고
    • Multifractal analysis of daily spatial rainfall distributions
    • Olsson J., Niemczynowicz J. Multifractal analysis of daily spatial rainfall distributions. Journal of Hydrology 1996, 187:29-43.
    • (1996) Journal of Hydrology , vol.187 , pp. 29-43
    • Olsson, J.1    Niemczynowicz, J.2
  • 411
    • 0034059749 scopus 로고    scopus 로고
    • Self-organization and competition in the immune response to cancer invasion: a phase-oriented computational model of oncogenesis
    • Oprisan S., Ardelean A., Frangopol P. Self-organization and competition in the immune response to cancer invasion: a phase-oriented computational model of oncogenesis. Bioinformatics 2000, 16:96-100.
    • (2000) Bioinformatics , vol.16 , pp. 96-100
    • Oprisan, S.1    Ardelean, A.2    Frangopol, P.3
  • 412
    • 0000661634 scopus 로고
    • Periodic structure in the Brownian motion of stock prices
    • Osborne M. Periodic structure in the Brownian motion of stock prices. Operations Research 1962, 10:345-379.
    • (1962) Operations Research , vol.10 , pp. 345-379
    • Osborne, M.1
  • 413
  • 414
    • 45149141217 scopus 로고
    • Alternative models for conditional stock volatility
    • Pagan A., Schwert W. Alternative models for conditional stock volatility. Journal of Econometrics 1990, 45:267-290.
    • (1990) Journal of Econometrics , vol.45 , pp. 267-290
    • Pagan, A.1    Schwert, W.2
  • 415
    • 10644241710 scopus 로고    scopus 로고
    • The jump-risk premia implicit in options: evidence from an integrated time-series study
    • Pan J. The jump-risk premia implicit in options: evidence from an integrated time-series study. Journal of Financial Economics 2002, 63:3-50.
    • (2002) Journal of Financial Economics , vol.63 , pp. 3-50
    • Pan, J.1
  • 416
    • 0032504054 scopus 로고    scopus 로고
    • Multifractal analysis of daily river flows including extremes for basins of five to two million square kilometers, one day to seventy-five years
    • Pandey G., Lovejoy S., Schertzer D. Multifractal analysis of daily river flows including extremes for basins of five to two million square kilometers, one day to seventy-five years. Journal of Hydrology 1998, 208:62-81.
    • (1998) Journal of Hydrology , vol.208 , pp. 62-81
    • Pandey, G.1    Lovejoy, S.2    Schertzer, D.3
  • 417
    • 0033381059 scopus 로고    scopus 로고
    • Fractal and multifractal analysis of fractured geological media: surface-subsurface correlation
    • Paredes C., Elorza F. Fractal and multifractal analysis of fractured geological media: surface-subsurface correlation. Computers and Geosciences 1999, 25:1081-1096.
    • (1999) Computers and Geosciences , vol.25 , pp. 1081-1096
    • Paredes, C.1    Elorza, F.2
  • 418
    • 0033235663 scopus 로고    scopus 로고
    • Multiscale behavior of volatility autocorrelations in a financial market
    • Pasquini M., Serva M. Multiscale behavior of volatility autocorrelations in a financial market. Economics Letters 1999, 65:275-279.
    • (1999) Economics Letters , vol.65 , pp. 275-279
    • Pasquini, M.1    Serva, M.2
  • 419
    • 0011913398 scopus 로고    scopus 로고
    • Clustering of volatility as a multiscale phenomenon
    • Pasquini M., Serva M. Clustering of volatility as a multiscale phenomenon. European Physical Journal B 2000, 16:195-201.
    • (2000) European Physical Journal B , vol.16 , pp. 195-201
    • Pasquini, M.1    Serva, M.2
  • 420
    • 84905612614 scopus 로고    scopus 로고
    • Technological revolutions and stock prices
    • University of Chicago
    • Pastor L., Veronesi P. Technological revolutions and stock prices. Working paper 2008, University of Chicago.
    • (2008) Working paper
    • Pastor, L.1    Veronesi, P.2
  • 421
    • 0013084399 scopus 로고    scopus 로고
    • Firm size and cyclical variations in stock returns
    • Pérez-Quirós G., Timmermann A. Firm size and cyclical variations in stock returns. Journal of Finance 2000, 55:1229-1262.
    • (2000) Journal of Finance , vol.55 , pp. 1229-1262
    • Pérez-Quirós, G.1    Timmermann, A.2
  • 424
    • 21344432284 scopus 로고    scopus 로고
    • Robust tests of for-ward exchange market efficiency with empirical evidence from the 1920's
    • Phillips P.C.B., McFarland J.W., McMahon P.C. Robust tests of for-ward exchange market efficiency with empirical evidence from the 1920's. Journal of Applied Econometrics 1996, 11:1-22.
    • (1996) Journal of Applied Econometrics , vol.11 , pp. 1-22
    • Phillips, P.C.B.1    McFarland, J.W.2    McMahon, P.C.3
  • 425
    • 15744374349 scopus 로고    scopus 로고
    • Local Whittle estimation in nonstationary and unit root cases
    • Phillips P.C.B., Shimotsu K. Local Whittle estimation in nonstationary and unit root cases. Annals of Statistics 2004, 32:656-692.
    • (2004) Annals of Statistics , vol.32 , pp. 656-692
    • Phillips, P.C.B.1    Shimotsu, K.2
  • 426
    • 0001075431 scopus 로고
    • Statistical inference using extreme order statistics
    • Pickands J. Statistical inference using extreme order statistics. Annals of Statistics 1975, 3:119-131.
    • (1975) Annals of Statistics , vol.3 , pp. 119-131
    • Pickands, J.1
  • 427
    • 33751210018 scopus 로고
    • The fractal structure of the universe correlations of galaxies and clusters and the average mass density
    • Pietronero L. The fractal structure of the universe correlations of galaxies and clusters and the average mass density. Physica A 1987, 144:257-284.
    • (1987) Physica A , vol.144 , pp. 257-284
    • Pietronero, L.1
  • 428
    • 0001241910 scopus 로고
    • Risk, inflation, and the stock market
    • Pindyck R. Risk, inflation, and the stock market. American Economic Review 1984, 74:334-351.
    • (1984) American Economic Review , vol.74 , pp. 334-351
    • Pindyck, R.1
  • 432
    • 0000441798 scopus 로고
    • The persistance of volatility and stock market fluctuations
    • Poterba J., Summers L. The persistance of volatility and stock market fluctuations. American Economic Review 1986, 76:1142-1151.
    • (1986) American Economic Review , vol.76 , pp. 1142-1151
    • Poterba, J.1    Summers, L.2
  • 433
    • 84980110906 scopus 로고
    • Australian share prices and the random walk hypothesis
    • Praetz P. Australian share prices and the random walk hypothesis. Australian Journal of Statistics 1969, 11:123-139.
    • (1969) Australian Journal of Statistics , vol.11 , pp. 123-139
    • Praetz, P.1
  • 434
    • 0002370531 scopus 로고
    • The distribution of share price changes
    • Praetz P. The distribution of share price changes. Journal of Business 1972, 45:49-55.
    • (1972) Journal of Business , vol.45 , pp. 49-55
    • Praetz, P.1
  • 435
    • 0000996594 scopus 로고
    • A compound events model for security prices
    • Press S.J. A compound events model for security prices. Journal of Business 1967, 40:317-335.
    • (1967) Journal of Business , vol.40 , pp. 317-335
    • Press, S.J.1
  • 436
    • 0034819869 scopus 로고    scopus 로고
    • Structural change tests in tail behavior and the Asian crisis
    • Quintos C., Fan Z., Phillips P.C.B. Structural change tests in tail behavior and the Asian crisis. Review of Economic Studies 2001, 68:633-663.
    • (2001) Review of Economic Studies , vol.68 , pp. 633-663
    • Quintos, C.1    Fan, Z.2    Phillips, P.C.B.3
  • 437
    • 21244469894 scopus 로고    scopus 로고
    • Market clearing, utility functions and securities prices
    • Raimondo R.C. Market clearing, utility functions and securities prices. Economic Theory 2005, 25:265-285.
    • (2005) Economic Theory , vol.25 , pp. 265-285
    • Raimondo, R.C.1
  • 438
    • 0030557781 scopus 로고    scopus 로고
    • Option hedging and implied volatilities in a stochastic volatility model
    • Renault E., Touzi N. Option hedging and implied volatilities in a stochastic volatility model. Mathematical Finance 1996, 6:279-302.
    • (1996) Mathematical Finance , vol.6 , pp. 279-302
    • Renault, E.1    Touzi, N.2
  • 440
    • 38249025506 scopus 로고
    • Drawing inferences from statistics based on multi-year asset returns
    • Richardson M., Stock J. Drawing inferences from statistics based on multi-year asset returns. Journal of Financial Economics 1989, 25:323-348.
    • (1989) Journal of Financial Economics , vol.25 , pp. 323-348
    • Richardson, M.1    Stock, J.2
  • 442
    • 0041982330 scopus 로고    scopus 로고
    • Model selection tests for nonlinear dynamic models
    • Rivers D., Vuong Q. Model selection tests for nonlinear dynamic models. Econometrics Journal 2002, 5(1):1-39.
    • (2002) Econometrics Journal , vol.5 , Issue.1 , pp. 1-39
    • Rivers, D.1    Vuong, Q.2
  • 443
    • 0000749707 scopus 로고
    • Statistical inference for a random coefficient autoregressive model. Scandinavian
    • Robinson P.M. Statistical inference for a random coefficient autoregressive model. Scandinavian. Journal of Statistics 1978, 5:163-168.
    • (1978) Journal of Statistics , vol.5 , pp. 163-168
    • Robinson, P.M.1
  • 444
    • 0003103947 scopus 로고
    • Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
    • Robinson P.M. Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. Journal of Econometrics 1991, 47:67-84.
    • (1991) Journal of Econometrics , vol.47 , pp. 67-84
    • Robinson, P.M.1
  • 445
    • 0000668540 scopus 로고
    • Log-periodogram regression of time series with long range dependence
    • Robinson P.M. Log-periodogram regression of time series with long range dependence. Annals of Statistics 1995, 23:1048-1072.
    • (1995) Annals of Statistics , vol.23 , pp. 1048-1072
    • Robinson, P.M.1
  • 446
    • 21344446855 scopus 로고
    • Gaussian semiparametric estimation of long range dependence
    • Robinson P.M. Gaussian semiparametric estimation of long range dependence. Annals of Statistics 1995, 23:1630-1661.
    • (1995) Annals of Statistics , vol.23 , pp. 1630-1661
    • Robinson, P.M.1
  • 447
    • 0000230520 scopus 로고    scopus 로고
    • The memory of stochastic volatility models
    • Robinson P.M. The memory of stochastic volatility models. Journal of Econometrics 2001, 101:195-218.
    • (2001) Journal of Econometrics , vol.101 , pp. 195-218
    • Robinson, P.M.1
  • 449
    • 15744394561 scopus 로고    scopus 로고
    • Robust covariance matrix estimation: HAC estimates with long memory antipersistence correction
    • Robinson P.M. Robust covariance matrix estimation: HAC estimates with long memory antipersistence correction. Econometric Theory 2005, 21:171-180.
    • (2005) Econometric Theory , vol.21 , pp. 171-180
    • Robinson, P.M.1
  • 452
    • 3142650043 scopus 로고    scopus 로고
    • Perspectives on exchange rate volatility
    • University of Chicago Press, M. Feldstein (Ed.)
    • Rogoff K. Perspectives on exchange rate volatility. International Capital Flows 1999, 441-453. University of Chicago Press. M. Feldstein (Ed.).
    • (1999) International Capital Flows , pp. 441-453
    • Rogoff, K.1
  • 453
    • 0021538161 scopus 로고
    • Orange juice and the weather
    • Roll R. Orange juice and the weather. American Economic Review 1984, 74:861-880.
    • (1984) American Economic Review , vol.74 , pp. 861-880
    • Roll, R.1
  • 454
    • 84944043652 scopus 로고
    • A simple implicit measure of the effective bid-ask spread in an efficient market
    • Roll R. A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance 1984, 39:1127-1140.
    • (1984) Journal of Finance , vol.39 , pp. 1127-1140
    • Roll, R.1
  • 455
    • 33750520332 scopus 로고
    • The behavior of random variables with nonstationary variance and the distribution of security prices
    • Reprinted in Shephard (2005), UC Berkeley
    • Rosenberg B. The behavior of random variables with nonstationary variance and the distribution of security prices. Working paper 1972, Reprinted in Shephard (2005), UC Berkeley.
    • (1972) Working paper
    • Rosenberg, B.1
  • 456
  • 459
    • 0006801335 scopus 로고
    • Efficient portfolio selection for Pareto-Le acute;vy investments
    • Samuelson P. Efficient portfolio selection for Pareto-Lévy investments. Journal of Financial and Quantitative Analysis 1967, 2:107-122.
    • (1967) Journal of Financial and Quantitative Analysis , vol.2 , pp. 107-122
    • Samuelson, P.1
  • 460
    • 0009304451 scopus 로고
    • Limited liability, short selling, bounded utility, and infinite-variance stable distributions
    • Samuelson P. Limited liability, short selling, bounded utility, and infinite-variance stable distributions. Journal of Financial and Quantitative Analysis 1976, 3:485-503.
    • (1976) Journal of Financial and Quantitative Analysis , vol.3 , pp. 485-503
    • Samuelson, P.1
  • 461
    • 0142157089 scopus 로고    scopus 로고
    • The presidential puzzle: political cycles and the stock market
    • Santa-Clara P., Valkanov R. The presidential puzzle: political cycles and the stock market. Journal of Finance 2003, 58:1841-1872.
    • (2003) Journal of Finance , vol.58 , pp. 1841-1872
    • Santa-Clara, P.1    Valkanov, R.2
  • 465
    • 0023483807 scopus 로고
    • Physical modeling and analysis of rain and clouds by anisotropic scaling of multiplicative processes
    • Schertzer D., Lovejoy S. Physical modeling and analysis of rain and clouds by anisotropic scaling of multiplicative processes. Journal of Geophysical Research 1987, 92:9693-9714.
    • (1987) Journal of Geophysical Research , vol.92 , pp. 9693-9714
    • Schertzer, D.1    Lovejoy, S.2
  • 466
    • 84977327425 scopus 로고
    • Common stock volatility expectations implied by option premia
    • Schmalensee R., Trippi R. Common stock volatility expectations implied by option premia. Journal of Finance 1978, 33:129-147.
    • (1978) Journal of Finance , vol.33 , pp. 129-147
    • Schmalensee, R.1    Trippi, R.2
  • 467
    • 84977707955 scopus 로고
    • Why does stock market volatility change over time?
    • Schwert G.W. Why does stock market volatility change over time?. Journal of Finance 1989, 44:1115-1153.
    • (1989) Journal of Finance , vol.44 , pp. 1115-1153
    • Schwert, G.W.1
  • 468
    • 0002025664 scopus 로고
    • Stock volatility and the crash of '87
    • Schwert G.W. Stock volatility and the crash of '87. Review of Financial Studies 1990, 3:77-102.
    • (1990) Review of Financial Studies , vol.3 , pp. 77-102
    • Schwert, G.W.1
  • 469
    • 0001735652 scopus 로고
    • Indexes of United States stock prices from 1802 to 1987
    • Schwert G.W. Indexes of United States stock prices from 1802 to 1987. Journal of Business 1990, 63:399-426.
    • (1990) Journal of Business , vol.63 , pp. 399-426
    • Schwert, G.W.1
  • 471
    • 0038853197 scopus 로고
    • Partial non-Gaussian state space
    • Shephard N. Partial non-Gaussian state space. Biometrika 1994, 81:115-131.
    • (1994) Biometrika , vol.81 , pp. 115-131
    • Shephard, N.1
  • 473
    • 0000893807 scopus 로고
    • Do stock prices move too much to be justified by subsequent changes in dividends?
    • Shiller R. Do stock prices move too much to be justified by subsequent changes in dividends?. American Economic Review 1981, 71:421-436.
    • (1981) American Economic Review , vol.71 , pp. 421-436
    • Shiller, R.1
  • 474
    • 26444501037 scopus 로고    scopus 로고
    • Exact local Whittle estimation of fractional integration
    • Shimotsu K., Phillips P.C.B. Exact local Whittle estimation of fractional integration. Annals of Statistics 2005, 33:1890-1933.
    • (2005) Annals of Statistics , vol.33 , pp. 1890-1933
    • Shimotsu, K.1    Phillips, P.C.B.2
  • 475
    • 31344441177 scopus 로고    scopus 로고
    • Local Whittle estimation of fractional integration and some of its variants
    • Shimotsu K., Phillips P.C.B. Local Whittle estimation of fractional integration and some of its variants. Journal of Econometrics 2006, 130:209-233.
    • (2006) Journal of Econometrics , vol.130 , pp. 209-233
    • Shimotsu, K.1    Phillips, P.C.B.2
  • 478
    • 0030298487 scopus 로고    scopus 로고
    • Fractal methods and results in cellular morphology-dimensions, lacunarity, and multifractals
    • Smith T., Lange G., Marks W. Fractal methods and results in cellular morphology-dimensions, lacunarity, and multifractals. Journal of Neuroscience Methods 1996, 69:123-136.
    • (1996) Journal of Neuroscience Methods , vol.69 , pp. 123-136
    • Smith, T.1    Lange, G.2    Marks, W.3
  • 480
    • 18044388530 scopus 로고    scopus 로고
    • Multifractal scaling of thermally activated rupture processes
    • 038501
    • Sornette D., Ouillon G. Multifractal scaling of thermally activated rupture processes. Physical Review Letters 2005, 94:1-4. 038501.
    • (2005) Physical Review Letters , vol.94 , pp. 1-4
    • Sornette, D.1    Ouillon, G.2
  • 481
    • 44049120475 scopus 로고
    • Modeling long run behavior with the fractional ARIMA model
    • Sowell F.B. Modeling long run behavior with the fractional ARIMA model. Journal of Monetary Economics 1992, 29:277-302.
    • (1992) Journal of Monetary Economics , vol.29 , pp. 277-302
    • Sowell, F.B.1
  • 482
    • 33748455620 scopus 로고
    • Multifractal phenomena in physics and chemistry
    • Stanley H.E., Meakin P. Multifractal phenomena in physics and chemistry. Nature 1988, 335:405-409.
    • (1988) Nature , vol.335 , pp. 405-409
    • Stanley, H.E.1    Meakin, P.2
  • 483
    • 85008823484 scopus 로고    scopus 로고
    • Scaling and universality in economics: empirical results and theoretical interpretation
    • Stanley H.E., Plerou V. Scaling and universality in economics: empirical results and theoretical interpretation. Quantitative Finance 2001, 1:563-567.
    • (2001) Quantitative Finance , vol.1 , pp. 563-567
    • Stanley, H.E.1    Plerou, V.2
  • 484
    • 0001284767 scopus 로고
    • Stock price distributions with stochastic volatility: an analytic approach
    • Stein E.M., Stein J. Stock price distributions with stochastic volatility: an analytic approach. Review of Financial Studies 1991, 4:727-752.
    • (1991) Review of Financial Studies , vol.4 , pp. 727-752
    • Stein, E.M.1    Stein, J.2
  • 485
    • 84936185790 scopus 로고
    • Measuring business cycle time
    • Stock J.H. Measuring business cycle time. Journal of Political Economy 1987, 95:1240-1261.
    • (1987) Journal of Political Economy , vol.95 , pp. 1240-1261
    • Stock, J.H.1
  • 486
    • 84950430713 scopus 로고
    • Estimating continuous time processes subject to time deformation
    • Stock J.H. Estimating continuous time processes subject to time deformation. Journal of the American Statistical Association 1988, 83:77-85.
    • (1988) Journal of the American Statistical Association , vol.83 , pp. 77-85
    • Stock, J.H.1
  • 487
    • 2442577869 scopus 로고    scopus 로고
    • Has the business cycle changed? Evidence and explanations
    • Federal Reserve Bank of Kansas City
    • Stock J., Watson M. Has the business cycle changed? Evidence and explanations. Monetary Policy and Uncertainty 2003, 9-56. Federal Reserve Bank of Kansas City.
    • (2003) Monetary Policy and Uncertainty , pp. 9-56
    • Stock, J.1    Watson, M.2
  • 488
    • 33646485663 scopus 로고    scopus 로고
    • Adaptation of multifractal analysis to segmentation of microcalcifications in digital mammograms
    • Stojic T., Reljin I., Reljin B. Adaptation of multifractal analysis to segmentation of microcalcifications in digital mammograms. Physica A 2006, 367:494-508.
    • (2006) Physica A , vol.367 , pp. 494-508
    • Stojic, T.1    Reljin, I.2    Reljin, B.3
  • 491
    • 0000679352 scopus 로고
    • Financial returns modelled by the product of two stochastic processes-a study of daily sugar prices 1961-79
    • North-Holland, O.D. Anderson (Ed.)
    • Taylor S.J. Financial returns modelled by the product of two stochastic processes-a study of daily sugar prices 1961-79. Time Series Analysis: Theory and Practice 1982, 1:203-226. North-Holland. O.D. Anderson (Ed.).
    • (1982) Time Series Analysis: Theory and Practice , vol.1 , pp. 203-226
    • Taylor, S.J.1
  • 493
  • 494
    • 0003136187 scopus 로고    scopus 로고
    • Testing for long-range dependence in the presence of shifting means or a slowly-varying declining trend using a variance-type estimator
    • Teverovsky V., Taqqu M.S. Testing for long-range dependence in the presence of shifting means or a slowly-varying declining trend using a variance-type estimator. Journal of Time Series Analysis 1997, 18:279-304.
    • (1997) Journal of Time Series Analysis , vol.18 , pp. 279-304
    • Teverovsky, V.1    Taqqu, M.S.2
  • 495
    • 33644548991 scopus 로고    scopus 로고
    • Specification tests for continuous time models. University of California at Berkeley
    • (Chapter 3)
    • Thompson S.B. Specification tests for continuous time models. University of California at Berkeley. Ph.D. Dissertation 2000, (Chapter 3).
    • (2000) Ph.D. Dissertation
    • Thompson, S.B.1
  • 496
    • 21344484980 scopus 로고
    • How learning in financial markets generates excess volatility and predictability in stock prices
    • Timmermann A.G. How learning in financial markets generates excess volatility and predictability in stock prices. Quarterly Journal of Economics 1993, 108:1135-1145.
    • (1993) Quarterly Journal of Economics , vol.108 , pp. 1135-1145
    • Timmermann, A.G.1
  • 497
    • 0000268182 scopus 로고    scopus 로고
    • Excess volatility and predictability of stock prices in autoregressive dividend models with learning
    • Timmermann A.G. Excess volatility and predictability of stock prices in autoregressive dividend models with learning. Review of Economic Studies 1996, 63:523-557.
    • (1996) Review of Economic Studies , vol.63 , pp. 523-557
    • Timmermann, A.G.1
  • 498
    • 0037083889 scopus 로고    scopus 로고
    • Multifractal properties of Hao's geometric representations of DNA sequences
    • Tino P. Multifractal properties of Hao's geometric representations of DNA sequences. Physica A 2002, 304:480-494.
    • (2002) Physica A , vol.304 , pp. 480-494
    • Tino, P.1
  • 499
    • 38249004914 scopus 로고
    • A Markov model of heteroskedasticity, risk and learning in the stock market
    • Turner C., Startz R., Nelson C. A Markov model of heteroskedasticity, risk and learning in the stock market. Journal of Financial Economics 1989, 25:3-22.
    • (1989) Journal of Financial Economics , vol.25 , pp. 3-22
    • Turner, C.1    Startz, R.2    Nelson, C.3
  • 500
    • 1542584949 scopus 로고
    • Multifractal properties of cosmological N-body simulations
    • Valdarnini R., Borgani S., Provenzale A. Multifractal properties of cosmological N-body simulations. Astrophysical Journal 1992, 394:422-441.
    • (1992) Astrophysical Journal , vol.394 , pp. 422-441
    • Valdarnini, R.1    Borgani, S.2    Provenzale, A.3
  • 502
    • 0031631699 scopus 로고    scopus 로고
    • Multi-affine analysis of typical currency exchange rates
    • Vandewalle N., Ausloos M. Multi-affine analysis of typical currency exchange rates. European Physical Journal B 1998, 4:257-261.
    • (1998) European Physical Journal B , vol.4 , pp. 257-261
    • Vandewalle, N.1    Ausloos, M.2
  • 503
    • 0041315352 scopus 로고
    • No evidence of chaos but some evidence of multifractals in the foreign exchange and the stock market
    • Springer, A.J. Crilly, R.A. Earnshaw, H. Jones (Eds.)
    • Vassilicos J.C., Demos A., Tata F. No evidence of chaos but some evidence of multifractals in the foreign exchange and the stock market. Applications of Fractals and Chaos 1993, 249-265. Springer. A.J. Crilly, R.A. Earnshaw, H. Jones (Eds.).
    • (1993) Applications of Fractals and Chaos , pp. 249-265
    • Vassilicos, J.C.1    Demos, A.2    Tata, F.3
  • 504
    • 0001911640 scopus 로고    scopus 로고
    • Gaussian semiparametric estimation of non-stationary time series
    • Velasco C. Gaussian semiparametric estimation of non-stationary time series. Journal of Time Series Analysis 1999, 20:87-127.
    • (1999) Journal of Time Series Analysis , vol.20 , pp. 87-127
    • Velasco, C.1
  • 505
    • 0033407259 scopus 로고    scopus 로고
    • Stock market overreaction to bad news in good times: a rational expectations equilibrium model
    • Veronesi P. Stock market overreaction to bad news in good times: a rational expectations equilibrium model. Review of Financial Studies 1999, 12:975-1007.
    • (1999) Review of Financial Studies , vol.12 , pp. 975-1007
    • Veronesi, P.1
  • 506
    • 0007983127 scopus 로고    scopus 로고
    • How does information quality affect stock returns?
    • Veronesi P. How does information quality affect stock returns?. Journal of Finance 2000, 55:807-837.
    • (2000) Journal of Finance , vol.55 , pp. 807-837
    • Veronesi, P.1
  • 507
    • 0141465189 scopus 로고    scopus 로고
    • The peso problem hypothesis and stock market returns
    • Veronesi P. The peso problem hypothesis and stock market returns. Journal of Economic Dynamics and Control 2004, 28:707-725.
    • (2004) Journal of Economic Dynamics and Control , vol.28 , pp. 707-725
    • Veronesi, P.1
  • 508
    • 0036692994 scopus 로고    scopus 로고
    • Limited asset market participation and the elasticity of intertemporal substitution
    • Vissing-Jørgensen A. Limited asset market participation and the elasticity of intertemporal substitution. Journal of Political Economy 2002, 110:825-853.
    • (2002) Journal of Political Economy , vol.110 , pp. 825-853
    • Vissing-Jørgensen, A.1
  • 509
    • 0000646447 scopus 로고
    • Likelihood ratio tests for model selection and non-nested hypotheses
    • Vuong Q. Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica 1989, 57:307-333.
    • (1989) Econometrica , vol.57 , pp. 307-333
    • Vuong, Q.1
  • 510
    • 30744438123 scopus 로고    scopus 로고
    • A consumption-based model of the term-structure of interest rates
    • Wachter J. A consumption-based model of the term-structure of interest rates. Journal of Financial Economics 2006, 79:365-399.
    • (2006) Journal of Financial Economics , vol.79 , pp. 365-399
    • Wachter, J.1
  • 511
    • 12744280558 scopus 로고    scopus 로고
    • Measuring tail thickness under GARCH and an application to extreme exchange rate changes
    • Wagner N., Marsh T. Measuring tail thickness under GARCH and an application to extreme exchange rate changes. Journal of Empirical Finance 2005, 12:165-185.
    • (2005) Journal of Empirical Finance , vol.12 , pp. 165-185
    • Wagner, N.1    Marsh, T.2
  • 512
    • 38249004563 scopus 로고
    • The equity premium puzzle and the risk-free rate puzzle
    • Weil P. The equity premium puzzle and the risk-free rate puzzle. Journal of Monetary Economics 1989, 24:401-421.
    • (1989) Journal of Monetary Economics , vol.24 , pp. 401-421
    • Weil, P.1
  • 513
    • 0000650195 scopus 로고
    • The predictive ability of several models of exchange rate volatility
    • West K., Cho D. The predictive ability of several models of exchange rate volatility. Journal of Econometrics 1995, 69:367-391.
    • (1995) Journal of Econometrics , vol.69 , pp. 367-391
    • West, K.1    Cho, D.2
  • 514
    • 0346362776 scopus 로고    scopus 로고
    • Regression-based tests of predictive ability
    • West K., McCraken M. Regression-based tests of predictive ability. International Economic Review 1998, 39:817-840.
    • (1998) International Economic Review , vol.39 , pp. 817-840
    • West, K.1    McCraken, M.2
  • 515
    • 0034377199 scopus 로고    scopus 로고
    • Stock market risk and return: an equilibrium approach
    • Whitelaw R. Stock market risk and return: an equilibrium approach. Review of Financial Studies 2000, 13:521-547.
    • (2000) Review of Financial Studies , vol.13 , pp. 521-547
    • Whitelaw, R.1
  • 516
    • 45949112947 scopus 로고
    • Option values under stochastic volatility: theory and empirical estimates
    • Wiggins J.B. Option values under stochastic volatility: theory and empirical estimates. Journal of Financial Economics 1987, 19:351-372.
    • (1987) Journal of Financial Economics , vol.19 , pp. 351-372
    • Wiggins, J.B.1
  • 518
    • 0011183261 scopus 로고    scopus 로고
    • Do brokerage analysts' recommendations have investment value?
    • Womack K. Do brokerage analysts' recommendations have investment value?. Journal of Finance 1996, 51:137-167.
    • (1996) Journal of Finance , vol.51 , pp. 137-167
    • Womack, K.1
  • 519
    • 0039894005 scopus 로고    scopus 로고
    • The determinants of asymmetric volatility
    • Wu G. The determinants of asymmetric volatility. Review of Financial Studies 2001, 14:837-859.
    • (2001) Review of Financial Studies , vol.14 , pp. 837-859
    • Wu, G.1
  • 520
    • 26844510771 scopus 로고    scopus 로고
    • Fractal and multifractal properties of geochemical fields
    • Xie S., Bao Z. Fractal and multifractal properties of geochemical fields. Mathematical Geology 2004, 36:847-864.
    • (2004) Mathematical Geology , vol.36 , pp. 847-864
    • Xie, S.1    Bao, Z.2
  • 521
    • 84971947656 scopus 로고
    • The term structure of volatility implied by foreign exchange options
    • Xu X., Taylor S.J. The term structure of volatility implied by foreign exchange options. Journal of Financial and Quantitative Analysis 1994, 29:57-74.
    • (1994) Journal of Financial and Quantitative Analysis , vol.29 , pp. 57-74
    • Xu, X.1    Taylor, S.J.2
  • 522
    • 0002567135 scopus 로고
    • On the influence of fluctuations in energy dissipation on the form of turbulence characteristics in the inertial range
    • Yaglom A.M. On the influence of fluctuations in energy dissipation on the form of turbulence characteristics in the inertial range. Doklady Akademii Nauk USSR 1966, 166:49.
    • (1966) Doklady Akademii Nauk USSR , vol.166 , pp. 49
    • Yaglom, A.M.1
  • 523
    • 4444240532 scopus 로고    scopus 로고
    • Estimating the elasticity of intertemporal substitution when instruments are weak
    • Yogo M. Estimating the elasticity of intertemporal substitution when instruments are weak. Review of Economics and Statistics 2004, 86:797-810.
    • (2004) Review of Economics and Statistics , vol.86 , pp. 797-810
    • Yogo, M.1
  • 524
    • 42749106529 scopus 로고    scopus 로고
    • Multifractal and correlation analyses of protein sequences from complete genomes
    • 021913
    • Yu Z.-G., Anh V., Lao K.-S. Multifractal and correlation analyses of protein sequences from complete genomes. Physical Review E 2003, 68:1-10. 021913.
    • (2003) Physical Review E , vol.68 , pp. 1-10
    • Yu, Z.-G.1    Anh, V.2    Lao, K.-S.3
  • 525
    • 33748618709 scopus 로고    scopus 로고
    • Memory and aggregation for models of changing volatility
    • Zaffaroni P. Memory and aggregation for models of changing volatility. Journal of Econometrics 2007, 136:237-249.
    • (2007) Journal of Econometrics , vol.136 , pp. 237-249
    • Zaffaroni, P.1
  • 527
    • 4043164017 scopus 로고    scopus 로고
    • Scaling properties of topographic indices and crop yield: multifractal and joint multifractal approaches
    • Zeleke T., Si B. Scaling properties of topographic indices and crop yield: multifractal and joint multifractal approaches. Agronomy Journal 2004, 96:1082-1090.
    • (2004) Agronomy Journal , vol.96 , pp. 1082-1090
    • Zeleke, T.1    Si, B.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.