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2. Major International Information Flows Across the Safex Wheat Market. (2016). Motengwe, Chris ; Pardo, Angel.
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1. Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach. (2020). Lemand, Ryan.
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2. New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach. (2020). Lemand, Ryan.
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3. The Month-of-the-year Effect: Evidence from GARCH models in Fifty Five Stock Markets. (2009). Giovanis, Eleftherios.
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4. A BOOTSTRAP APPROACH TO TEST THE CONDITIONAL SYMMETRY IN TIME SERIES MODELS. (2006). Pérez-Alonso, Alicia.
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5. Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques. (2005). Mergner, Sascha ; Bulla, Jan.
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6. Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques. (2005). Mergner, Sascha.
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7. Measurement of Financial Risk Persistence. (2005). Los, Cornelis.
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8. Outlier Detection in GARCH Models. (2005). Ooms, Marius ; Doornik, Jurgen.
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9. Mean and variance causality between the Cyprus Stock Exchange and major equity markets. (2005). Kouretas, Georgios ; Georgiades, Robert ; Constantinou, Eleni ; Kazandjian, Avo.
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10. Integration at a cost: Evidence from volatility impulse response functions. (2005). Pantelidis, Theologos ; Panopoulou, Ekaterini.
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11. Estimation of an Adaptive Stock Market Model with Heterogeneous Agents. (2005). Amilon, Henrik.
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12. Uncertainty in Second Moments: Implications for Portfolio Allocation. (2004). Cho, David Daewhan.
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13. Uncertainty in Second Moments: Implications for Portfolio Allocation. (2004). Cho, David Daewhan.
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14. Effects of Level Outliers on the Identification and Estimation of GARCH Models. (2004). Ruiz, Esther ; Carnero, M. Angeles ; Pereira, D..
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15. Estimation Risk in Financial Risk Management. (2004). Goncalves, Silvia ; Gonalves, Silvia.
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16. Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market. (2003). Islam, Anisul ; Hassan, M. Kabir ; Basher, Syed.
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17. The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach. (2003). Lemand, Ryan.
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18. Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models. (2003). Hillebrand, Eric.
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19. Estimation of an Adaptive Stock Market Model with Heterogeneous Agents. (2003). Amilon, Henrik.
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20. Likelihood-based estimation of latent generalised ARCH structures. (2002). Shephard, Neil ; Sentana, Enrique ; Fiorentini, Gabriele.
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21. Construction of Stationary Time Series via the Giggs Sampler with Application to Volatility Models.. (2001). Walker, S. G. ; Pitt, M. K..
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22. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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23. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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24. Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates. (2001). Kao, Chihwa.
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25. Incorporating event risk into value-at-risk. (2001). Gibson, Michael S..
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26. Efficient Estimation of Conditional Asset Pricing Models. (2001). Hodgson, Douglas ; Vorkink, Keith.
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27. Instrumental variables estimation of heteroskedastic linear models using all lags of instruments. (2001). West, Kenneth ; Anatolyev, Stanislav ; Wong,K.-F., .
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28. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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29. Stochastic volatility models: conditional normality versus heavy-tailed distributions. (2000). Jung, Robert ; Liesenfeld, Roman.
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30. An empirical analysis of alternative parametric ARCH models. (2000). Watt, Wing H. ; Yadav, Pradeep K. ; Loudon, Geoffrey F..
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31. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
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32. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. (2000). Wright, Jonathan.
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33. Density Forecasting: A Survey. (2000). Wallis, Kenneth ; Tay, Anthony S.
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34. Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate. (2000). Rodríguez N., Norberto ; Rodriguez, Norberto.
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35. Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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36. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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37. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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38. Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version). (1999). Issler, João.
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39. A Test for Conditional Symmetry in Time Series Models. (1998). Ng, Serena ; Bai, Jushan.
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40. Evaluating Density Forecasts. (1997). Tay, Anthony S ; Diebold, Francis ; Gunther, Todd A..
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41. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts. (1997). Bollerslev, Tim ; Andersen, Torben.
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42. Evaluating Density Forecasts. (1997). Tay, Anthony S ; Diebold, Francis ; Gunther, Todd A..
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43. Canadian Short-Term Interest Rates and the BAX Futures Markets: An Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns Between Markets.. (1997). Watt, D. G. M., .
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44. One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -. (1996). Kaiser, Thomas.
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45. Risk, Return and Regulation in Chinese Stock Markets. (1996). Su, Dongwei ; Fleisher, Belton.
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46. Stochastic volatility: likelihood inference and comparison with ARCH models.. (1996). Shephard, Neil ; Chib, Siddhartha.
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47. Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models. (1996). Schuermann, Til ; Diebold, Francis.
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48. Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?. (1996). Vigfusson, Robert ; van Norden, Simon ; Murray, J..
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49. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
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