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On the role of investor sentiment and disagreement for returns, volatility, and portfolio optimization

Schneller, Dominik - 2019

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Security market imperfections in worldwide equity markets

Keim, Donald B. (contributor); … - 2000

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Modelling stock market volatility : bridging the gap to continuous time

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Handbook of security analyst forecasting and asset allocation

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Asymetric Dependence in Finance : Diversification, Correlation and Portfolio Management in Market Downturns

Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018

-- References -- Further Reading -- Chapter 4: Misspecification in an Asymmetrically Dependent World: Implications for Volatility … -- 5.1 Introduction -- 5.2 Asymmetric Dependence in Implied Equity Correlation: The Implied Correlation Skew -- 5.3 The … Effect of Correlation Skew on Portfolio Choice -- 5.3.1 The Optimal Portfolio Incorporating Stochastic Correlation -- 5 …