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2. Stock–bond dependence and flight to/from quality. (2023). Ning, Cathy ; Ponrajah, Jeremey.
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3. Flight to Quality Existence in the Egyptian Stock Market: An Analysis of Stock Market, Quality Stock and Treasury Bills. (2020). Elgiziry, Khairy ; Sedeek, Doaa Samy.
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4. Stock Market Contagion during the Global Financial Crises: Evidence from the Chilean Stock Market. (2020). Gjerde, Tom ; Mahenthiran, Sakthi ; Silva, Berta.
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1. Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate. (2015). Yoon, Seong-Min ; Mensi, walid ; Hammoudeh, Shawkat.
   In: Energy Economics.
   RePEc:eee:eneeco:v:48:y:2015:i:c:p:46-60.

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2. Volatility persistence in crude oil markets. (2014). Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
   In: Post-Print.
   RePEc:hal:journl:hal-00940312.

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3. Testing for Causality in Mean and Variance between the Stock Market and the Foreign Exchange Market: An Application to the Major Central and Eastern European Countries. (2013). Çevik, Emrah ; Koseoglu, Sinem Derindere ; Cevik, Emrah Ismail.
   In: Czech Journal of Economics and Finance (Finance a uver).
   RePEc:fau:fauart:v:63:y:2013:i:1:p:65-86.

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4. Have the GIPSI settled down? Breaks and multivariate stochastic volatility models for, and not against, the European financial integration. (2013). Gebka, Bartosz ; Karoglou, Michail ; Gbka, Bartosz.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:37:y:2013:i:9:p:3639-3653.

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5. Commodity volatility breaks. (2012). Wohar, Mark ; Vivian, Andrew.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:22:y:2012:i:2:p:395-422.

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6. Return and volatility spillovers among CIVETS stock markets. (2012). Korkmaz, Turhan ; Çevik, Emrah ; Atukeren, Erdal.
   In: Emerging Markets Review.
   RePEc:eee:ememar:v:13:y:2012:i:2:p:230-252.

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7. One date, one break?. (2011). Law, Siong Hook ; Karoglou, Michail ; Demetriades, Panicos.
   In: Empirical Economics.
   RePEc:spr:empeco:v:41:y:2011:i:1:p:7-24.

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8. On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). Sévi, Benoît ; Chevallier, Julien.
   In: Annals of Finance.
   RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29.

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9. Inflation targeting in Latin America: Empirical analysis using GARCH models. (2011). Broto, Carmen.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:28:y:2011:i:3:p:1424-1434.

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10. Sequential Testing with Uniformly Distributed Size. (2011). Anatolyev, Stanislav.
    In: Working Papers.
    RePEc:cfr:cefirw:w0123.

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11. Fractionally integrated time varying GARCH model. (2010). Boutahar, Mohamed ; Ben Nasr, Adnen ; Trabelsi, Abdelwahed.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:19:y:2010:i:3:p:399-430.

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12. Estimation and inference in unstable nonlinear least squares models. (2010). Hall, Alastair ; Boldea, Otilia.
    In: MPRA Paper.
    RePEc:pra:mprapa:23150.

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13. Volatility Dependence across Asia-Pacific Onshore and Offshore Currency Forwards Markets. (2009). Funke, Michael ; Colavecchio, Roberta.
    In: Working Papers.
    RePEc:hkm:wpaper:112009.

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14. Options Introduction and Volatility in the EU ETS. (2009). Sévi, Benoît ; Chevallier, Julien ; le Pen, Yannick ; Sevi, Benoit.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00405709.

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15. On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00387286.

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16. Options introduction and volatility in the EU ETS. (2009). Sévi, Benoît ; Chevallier, Julien ; le Pen, Yannick ; Sevi, Benoit.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00419339.

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17. On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: Working Papers.
    RePEc:fem:femwpa:2009.113.

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18. Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility. (2009). ulu, yasemin ; Schnabl, Gunther ; Hillebrand, Eric.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:3:p:490-505.

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19. Which power variation predicts volatility well?. (2009). Ghysels, Eric ; Sohn, Bumjean.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:4:p:686-700.

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20. A semiparametric model for the systematic factors of portfolio credit risk premia. (2009). Giammarino, Flavia ; Barrieu, Pauline.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:4:p:655-670.

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21. Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets. (2009). Funke, Michael ; Colavecchio, Roberta.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:20:y:2009:i:2:p:174-196.

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22. Options introduction and volatility in the EU ETS. (2009). Sévi, Benoît ; Chevallier, Julien ; le Pen, Yannick ; Sevi, Benoit.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2009-33.

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23. On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2009-24.

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24. A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility. (2008). Schnabl, Gunther ; Hillebrand, Eric.
    In: International Economics and Economic Policy.
    RePEc:kap:iecepo:v:5:y:2008:i:4:p:389-401.

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25. Structural breaks and GARCH models of exchange rate volatility. (2008). Strauss, Jack ; Rapach, David E..
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:23:y:2008:i:1:p:65-90.

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26. Adaptive pointwise estimation in time-inhomogeneous time-series models. (2008). Härdle, Wolfgang ; Cizek, Pavel ; Lee, Yuh-Jye ; Yeh, Yi-Ren ; Hardle, Wolfgang ; Spokoiny, Vladimir ; Schafer, Dorothea.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-002.

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27. Are Asian stock markets efficient? Evidence from new multiple variance ratio tests. (2008). Shamsuddin, Abul ; Kim, Jae.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:3:p:518-532.

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28. Inflation targeting in Latin America: Empirical analysis using GARCH models. (2008). Broto, Carmen.
    In: Working Papers.
    RePEc:bde:wpaper:0826.

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29. Are there Structural Breaks in Realized Volatility?. (2007). Maheu, John ; Liu, Chun.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-304.

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30. How useful are historical data for forecasting the long-run equity return distribution?. (2007). McCurdy, Thomas ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-293.

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31. How useful are historical data for forecasting the long-run equity return distribution?. (2007). McCurdy, Thomas ; Maheu, John.
    In: Working Paper series.
    RePEc:rim:rimwps:19_07.

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32. Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315.

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33. Monitoring disruptions in financial markets. (2006). Andreou, Elena ; Ghysels, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:135:y:2006:i:1-2:p:77-124.

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34. A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility. (2006). Schnabl, Gunther ; Hillebrand, Eric.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006650.

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35. Are feedback factors important in modelling financial data?. (2006). Veiga, Helena.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws060101.

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36. Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility. (2006). ulu, yasemin ; Schnabl, Gunther ; Hillebrand, Eric.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1766.

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37. Overlaying Time Scales in Financial Volatility Data. (2005). Hillebrand, Eric.
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    RePEc:wpa:wuwpem:0501015.

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38. Long memory volatility dependency, temporal aggregation and the Korean currency crisis: the role of a high frequency Korean won (KRW)-US dollar ($) exchange rate. (2005). Han, Young Wook.
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:17:y:2005:i:1:p:97-109.

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39. Beware of breaks in exchange rates: Evidence from European transition countries. (2005). Kočenda, Evžen.
    In: Economic Systems.
    RePEc:eee:ecosys:v:29:y:2005:i:3:p:307-324.

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40. Neglecting parameter changes in GARCH models. (2005). Hillebrand, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:129:y:2005:i:1-2:p:121-138.

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41. Modelling structural breaks, long memory and stock market volatility: an overview. (2005). Urga, Giovanni ; Banerjee, Anindya.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:129:y:2005:i:1-2:p:1-34.

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42. Testing for causality in variance in the presence of breaks. (2005). van Dijk, Dick ; Sensier, Marianne ; Osborn, Denise.
    In: Economics Letters.
    RePEc:eee:ecolet:v:89:y:2005:i:2:p:193-199.

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43. The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection. (2004). Schnabl, Gunther ; Hillebrand, Eric.
    In: International Finance.
    RePEc:wpa:wuwpif:0410008.

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44. The Effects of Japanese Foreign Exchange Intervention, GARCH Estimation and Change Point Detection. (2004). Schnabl, Gunther ; Hillebrand, Eric.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:7.

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45. Structural changes in volatility and stock market development: Evidence for Spain. (2004). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Cuñado, Juncal ; Eizaguirre, Juncal Cunado ; Hidalgo, Fernando Perez de Gracia, .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:7:p:1745-1773.

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

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47. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-25.

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48. How wacky is the DAX? The changing structure of German stock market volatility. (2003). Werner, Thomas ; Stapf, Jelena.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4473.

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49. Test for Breaks in the Conditional Co-Movements of Asset Returns. (2003). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:3-2003.

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50. Testing for Changes in the Unconditional Variance of Financial Time Series. (2003). Sansó, Andreu ; Carrion-i-Silvestre, Josep ; Arago, Vicent.
    In: DEA Working Papers.
    RePEc:ubi:deawps:5.

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