“Threshold heteroskedastic models”  Journal of Economic Dynamics and Control Volume 18, Issue 5, September 1994, Pages 931-955
http://www.sciencedirect.com/science/article/B6V85-45KNJXW-K/2/ca2223c6557ed023cf79d582297122f1

"Threshold Arch Models and Asymmetries in Volatility“ R. Rabemananjara and J. M. Zakoian Journal of Applied Econometrics, Vol. 8, No. 1 (Jan. - Mar., 1993), pp. 31-49
(article consists of 19 pages) Published by: John Wiley & Sons http://www.jstor.org/pss/2285109

Inflation and the asymmetric effects of money on output fluctuations

Journal of Macroeconomics Volume 17, Issue 4, Autumn 1995, Pages 683-702   http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6X4M-48TK5N5-24&_user=10&_rdoc=1&_fmt=&_orig=search&_sort=d&_docanchor=&view=c&_searchStrId=1133865007&_rerunOrigin=scholar.google&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=f3857f4203a7dfb652cb0433b3ad1a9d

Asymmetric effects of aggregate demand: An empirical test of a menu-cost model
Journal of Macroeconomics Volume 22, Issue 1, Winter 2000, Pages 29-51
http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6X4M-46P9YFF-49&_user=10&_rdoc=1&_fmt=&_orig=search&_sort=d&_docanchor=&view=c&_searchStrId=1133872110&_rerunOrigin=scholar.google&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=b3d7a744982f36304d49d6b46928185c

Bayesian option pricing using asymmetric GARCH models
Journal of Empirical Finance Volume 9, Issue 3, August 2002, Pages 321-342
http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VFG-44RNPH3-2&_user=10&_rdoc=1&_fmt=&_orig=search&_sort=d&_docanchor=&view=c&_searchStrId=1133888373&_rerunOrigin=scholar.google&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=96f99ab39a957f82755f987b09315d78