Presidential Elections and the Stock Market: Comparing Markov-Switching and Fractionally Integrated GARCH Models of Volatility

By David Leblang, Bumba Mukherjee. Political Analysis, 2004

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Political Cycles and Stock Returns (2020, unknown): “(6)See, for example, Niederhoffer et al. (1970), Riley and Luksetich (1980), and Snowberg et al.”
Government Partisanship, Elections, and the Stock Market: Examining American and British Stock Returns, 1930–2000 (2005, background): “These estimation techniques are inappropriate since they do not adequately capture the persistence of price volatility in the data (Leblang and Mukherjee 2004; Pagan and Schwert 1990).”
Stock Market Volatility around National Elections (2008, unknown): “See Niederhoffer et al. (1970), Riley and Luksetich (1980), Allvine and O’Neill (1980), Herbst and Slinkman (1984), Huang (1985), Stovall (1992), Hensel and Ziemba (1995), Gärtner and Wellershoff (1995), and Johnson et al. (1999).”