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Parameter estimation and forecasting for multiplicative lognormal cascades
Leövey, Andrés E., (2011)
Impact of idiosyncratic volatility on stock returns : a cross-sectional study
Khovansky, Serguey, (2013)
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus, (2014)
Does long-term disequilibrium in stock price predict future returns?
Hur, Jungshik, (2013)
Cross-sectional regression of returns on betas and portfolio grouping procedures
Hur, Jungshik, (2014)
Market states and the risk-based explanation of the size premium