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More stylized facts of financial markets: leverage effect and downside correlations
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1999Introduction to Econophysics1,831 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 1994Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility874 cited
  • 1999Scaling of the distribution of price fluctuations of individual companies539 cited
  • 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets522 cited
  • 1994Forecasting International Equity Correlations521 cited
  • 1996International Market Correlation and Volatility468 cited
  • 1997Correlations in economic time series313 cited
  • 2000Modelling fluctuations of financial time series: from cascade process to stochastic volatility model301 cited
  • 2000Asymmetric Correlations of Equity Portfolios214 cited
  • 1997Volatility distribution in the S&P500 stock index207 cited

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  • 2004Accounting for Biases in Black-Scholes156 cited
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    • 2014Leverage effect in energy futures77 cited
    • 2010Universal price impact functions of individual trades in an order-driven market76 cited