1. Is the financial sector Luxembourg?s engine of growth?. (2015). Guarda, Paolo ; Rouabah, Abdelaziz.
   In: BCL working papers.
   RePEc:bcl:bclwop:bclwp097.

   Full description at Econpapers || Download paper

1. Bollerslev, T. (1990): Modeling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model, Review of Economics and Statistics, Vol. 72, pp. 498-505.

2. Bourgain, A. et Pieretti, P. (2006): Measuring Agglomeration Forces in a Financial Center, Economics Bulletin, Vol. 18, n 3, pp. 1-9, July.

3. Bourgain, A., Guarda. P. et Pieretti, P. (2000): Dynamique de la croissance et spÃcialisation: Analyse en panel des branches industrielles, Cahiers Economiques de Bruxelles, n 167, 3e trimestre.

4. Cheung, Y-W. et Ng, L. K. (1996): A Causality-in-Variance Test and its Application to Financial Market prices, Journal of Econometrics n 72, pp. 33-48.

5. Engle, R. F. (2001): GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics, Journal of Economic Perspectives, Vol. 15, n 4, pp. 157-168.

6. Engle, R. F. (2002): Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models, Journal of Business & Economic Statistics, Vol. 20, n 3, pp. 339-350, July.

7. Engle, R. F. et Sheppard, K. (2001): Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH, University of California, San Diago, Department of Economics, Discussion paper 2001-15.

8. Lee, J. et Crowley, P. (2006): The Co-movement Between Output and Prices: Evidence From a Dynamic Conditional Correlation GARCH Model, Economics Letters, Vol. 91, n 1, pp. 110-116, April.

1. Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries. (2015). Kim, Hyeongwoo ; Lee, Bong-Soo.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:39:y:2015:i:c:p:192-210.

   Full description at Econpapers || Download paper

2. Financialization in Commodity Markets: Disentangling the Crisis from the Style Effect. (2013). Adams, Zeno ; Gluck, Thorsten.
   In: VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
   RePEc:zbw:vfsc13:79949.

   Full description at Econpapers || Download paper

3. Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market. (2012). Toyoshima, Yuki ; Tamakoshi, Go ; Hamori, Shigeyuki.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:22:y:2012:i:2:p:381-394.

   Full description at Econpapers || Download paper

4. When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models. (2011). Prono, Todd.
   In: MPRA Paper.
   RePEc:pra:mprapa:33593.

   Full description at Econpapers || Download paper

5. Common Volatility Trends in the Central and Eastern European Currencies and the Euro. (2006). Pramor, Marcus ; Tamirisa, Natalia T.
   In: IMF Working Papers.
   RePEc:imf:imfwpa:2006/206.

   Full description at Econpapers || Download paper

6. Reexamining the linkages between inflation and output growth: A bivariate ARFIMA-FIGARCH approach. (2006). Caglayan, Mustafa ; Jiang, Feng.
   In: Working Papers.
   RePEc:gla:glaewp:2006_8.

   Full description at Econpapers || Download paper

7. Macroeconomic Instability in the European Monetary System?. (2006). Sosvilla-Rivero, Simon ; Moraleszumaquero, Amalia.
   In: Economic Working Papers at Centro de Estudios Andaluces.
   RePEc:cea:doctra:e2006_06.

   Full description at Econpapers || Download paper

8. Una aproximación a la dinámica de las tasas de interés de corto plazo en Colombia a través de modelos GARCH multivariados. (2006). Melo-Velandia, Luis ; Becerra, Oscar ; oscar Reinaldo Becerra Camargo, .
   In: Borradores de Economia.
   RePEc:bdr:borrec:366.

   Full description at Econpapers || Download paper

9. Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques. (2005). Mergner, Sascha ; Bulla, Jan.
   In: Finance.
   RePEc:wpa:wuwpfi:0510029.

   Full description at Econpapers || Download paper

10. Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques. (2005). Mergner, Sascha.
    In: Finance.
    RePEc:wpa:wuwpfi:0509024.

    Full description at Econpapers || Download paper

11. Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?. (2005). Balasubramanyan, Lakshmi.
    In: Finance.
    RePEc:wpa:wuwpfi:0509002.

    Full description at Econpapers || Download paper

12. A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios. (2005). Yoder, Jonathan ; Lee, Hsiang-Tai.
    In: Econometrics.
    RePEc:wpa:wuwpem:0506009.

    Full description at Econpapers || Download paper

13. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
    In: Research Paper Series.
    RePEc:uts:rpaper:168.

    Full description at Econpapers || Download paper

14. Accurate Yield Curve Scenarios Generation using Functional Gradient Descent. (2005). Trojani, Fabio ; Audrino, Francesco.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:14.

    Full description at Econpapers || Download paper

15. Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?. (2005). Campbell, John ; Thompson, Samuel B..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11468.

    Full description at Econpapers || Download paper

16. Volatility, spillover Effects and Correlations in US and Major European Markets. (2005). Savva, Christos ; Osborn, Denise ; Gill, Len.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:23.

    Full description at Econpapers || Download paper

17. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0577.

    Full description at Econpapers || Download paper

18. Term structure of risk under alternative econometric specifications. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-001.

    Full description at Econpapers || Download paper

19. Exchange rate depreciation and exports: The case of Singapore revisited. (2004). Miller, Stephen ; Fang, WenShwo.
    In: Working papers.
    RePEc:uct:uconnp:2004-45.

    Full description at Econpapers || Download paper

20. Volatility Comovement: A Multifrequency Approach. (2004). Fisher, Adlai ; Calvet, Laurent ; Thompson, Samuel B..
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0300.

    Full description at Econpapers || Download paper

21. Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Zaffaroni, Paolo ; Pesaran, Mohammad ; D'Italia, Banca.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:101.

    Full description at Econpapers || Download paper

22. Idiosyncratic Risk, Market Risk and Correlation Dynamics in European Equity Markets. (2004). Potì, Valerio ; Poti, Valerio.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp015.

    Full description at Econpapers || Download paper

23. Far Out on the Yield Curve. (2004). Alexius, Annika.
    In: Working Paper Series.
    RePEc:hhs:uunewp:2004_012.

    Full description at Econpapers || Download paper

24. Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns. (2004). Manera, Matteo ; Lanza, Alessandro.
    In: Working Papers.
    RePEc:fem:femwpa:2004.72.

    Full description at Econpapers || Download paper

25. Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants. (2004). Manera, Matteo ; Lanza, Alessandro ; Giovannini, Massimo ; Grasso, Margherita.
    In: Working Papers.
    RePEc:fem:femwpa:2004.71.

    Full description at Econpapers || Download paper

26. The Empirical Relationship Between Exchange Rates and Interest Rates in Post-Crisis Asia. (2004). Kim, Yoonbai ; Chow, Hwee Kwan.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:575.

    Full description at Econpapers || Download paper

27. A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets. (2004). den Goorbergh, Rob van.
    In: Working Papers.
    RePEc:dnb:dnbwpp:022.

    Full description at Econpapers || Download paper

28. Monitoring for Disruptions in Financial Markets. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-26.

    Full description at Econpapers || Download paper

29. Multivariate GARCH models: software choice and estimation issues. (2003). Brooks, Chris ; Burke, Simon P. ; Persand, Gita.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:18:y:2003:i:6:p:725-734.

    Full description at Econpapers || Download paper

30. Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis. (2002). Miller, Stephen ; Fang, WenShwo.
    In: Working papers.
    RePEc:uct:uconnp:2002-31.

    Full description at Econpapers || Download paper

31. Time varying country risk: an assessment of alternative modelling techniques. (2002). faff, robert ; Brooks, R. D. ; McKenzie, M..
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:8:y:2002:i:3:p:249-274.

    Full description at Econpapers || Download paper

32. GO-GARCH: a multivariate generalized orthogonal GARCH model. (2002). van der Weide, Roy.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:549-564.

    Full description at Econpapers || Download paper

33. Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets. (2002). Holt, Matthew ; Haigh, Michael S..
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:3:p:269-289.

    Full description at Econpapers || Download paper

34. Flexible multivariate GARCH modeling with an application to international stock markets. (2001). Wolf, Michael ; Santa-Clara, Pedro ; Ledoit, Olivier.
    In: Economics Working Papers.
    RePEc:upf:upfgen:578.

    Full description at Econpapers || Download paper

35. The Curse of Non-Investment Grade Countries. (2001). Rigobon, Roberto.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8636.

    Full description at Econpapers || Download paper

36. The Effects of Exchange-Rate Exposures on Equity Asset Markets. (2001). Kunst, Robert ; Jumah, Adusei.
    In: Economics Series.
    RePEc:ihs:ihsesp:94.

    Full description at Econpapers || Download paper

37. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-65.

    Full description at Econpapers || Download paper

38. A Multivariate GARCH Model with Time-Varying correlations. (2000). Tsui, Albert ; Tse, Y. K. ; Albert K. C. Tsui, .
    In: Econometrics.
    RePEc:wpa:wuwpem:0004010.

    Full description at Econpapers || Download paper

39. A Multivariate GARCH Model with Time-Varying Correlations. (2000). Tsui, Albert ; Tse, Y. K. ; Albert K. C. Tsui, .
    In: Econometrics.
    RePEc:wpa:wuwpem:0004007.

    Full description at Econpapers || Download paper

40. Forecasting the returns on UK investment trusts: a comparison. (2000). Copeland, Laurence.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:3:p:298-310.

    Full description at Econpapers || Download paper

41. Global Asset Allocation with Time-varying Risk. (2000). Wickens, Michael ; Flavin, Thomas.
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n1020800.

    Full description at Econpapers || Download paper

42. The effects of real and nominal uncertainty on inflation and output growth: some garch-m evidence. (2000). Grier, Kevin ; Perry, Mark J..
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:1:p:45-58.

    Full description at Econpapers || Download paper

43. Semiparametric Pricing of Multivariate Contingent Claims. (1999). Rosenberg, Joshua.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-028.

    Full description at Econpapers || Download paper

44. Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis. (1998). Ackert, Lucy ; Racine, Marie D..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:98-14.

    Full description at Econpapers || Download paper

45. What determines the exchange rate: economic factors or market sentiment?. (1997). Hopper, Gregory P..
    In: Business Review.
    RePEc:fip:fedpbr:y:1997:i:sep:p:17-29.

    Full description at Econpapers || Download paper

46. Evaluating forecasts of correlation using option pricing. (1997). Gibson, Michael S. ; BOYER, BRIAN H..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:600.

    Full description at Econpapers || Download paper

47. Pitfalls in tests for changes in correlations. (1997). Loretan, Mico ; Gibson, Michael S. ; BOYER, BRIAN H..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:597.

    Full description at Econpapers || Download paper

48. 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., .
    In: Staff Working Papers.
    RePEc:bca:bocawp:97-18.

    Full description at Econpapers || Download paper

49. Calculating Value-at-Risk. (1996). Fallon, William.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:96-49.

    Full description at Econpapers || Download paper

50. The rational expectations hypothesis of the term structure, monetary policy, and time-varying term premia. (1995). Otrok, Christopher ; Dotsey, Michael.
    In: Economic Quarterly.
    RePEc:fip:fedreq:y:1995:i:win:p:65-81.

    Full description at Econpapers || Download paper

Report date: 2025-10-05 21:43:31 || Missing content? Let us know