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2. Testing the Hypothesis of Contagion using Multivariate Volatility Models. (2008). Valls Pereira, Pedro ; Marçal, Emerson ; Maral, Emerson F..
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3. TESTANDO A HIPÓTESE DE CONTÁGIO A PARTIR DE MODELOS MULTIVARIADOS DE VOLATILIDADE.. (2008). Valls Pereira, Pedro ; Marçal, Emerson ; Maral, Emerson F..
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4. Generalized Hyperbolic Distributions and Brazilian Data. (2004). Fajardo, José ; Farias, Aquiles.
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5. Generalized Hyperbolic Distributions and Brazilian Data. (2003). Fajardo, José ; de Farias, Aquiles.
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6. Volatility Estimation and Option Pricing with Fractional Brownian Motion. (2003). Fajardo, José ; Cajueiro, Daniel.
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7. Lévy processes and the Brazilian market. (2001). Silva, Andre ; Fajardo, José ; Barbachan, Jose Fajardo ; Schuschny, Andres Ricardo ; de Castro, Andre.
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1. Design of High-Frequency Trading Algorithm Based on Machine Learning. (2019). Feng, Yutong ; Fang, Boyue.
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2. Financial time series modeling using the Hurst exponent. (2015). Tzouras, Spilios ; McCoy, Emma ; Anagnostopoulos, Christoforos .
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3. Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R. (2009). Ardia, David.
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4. ARCH models for multi-period forecast uncertainty-a reality check using a panel of density forecasts. (2005). Lahiri, Kajal ; Liu, Fushang.
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5. The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets. (2004). Kutan, Ali ; Hayo, Bernd.
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6. The Role of the Exchange Rate as a Shock Absorber in a Small Open Economy. (2004). Bjørnland, Hilde ; Bjrnland, Hilde .
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7. GARCH Diagnosis with Portmanteau Bicorrelation Test: An Application on the Malaysias Stock Market. (2003). Liew, Venus ; Lim, Kian-Ping.
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8. Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models. (2003). Hillebrand, Eric.
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9. Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models. (2003). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
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10. Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models. (2003). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
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11. Value-at-risk for long and short trading positions. (2003). Laurent, Sébastien ; Giot, Pierre.
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12. Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility. (2003). Normandin, Michel ; Phaneuf, Louis.
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13. Testing the New Keynesian Phillips curve. (2003). Nymoen, Ragnar ; Jansen, Eilev ; Bårdsen, Gunnar.
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14. Regime Switches in Swedish Interest Rates. (2003). Erlandsson, Ulf.
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15. Political Business Cycles and Central Bank Independence. (2003). Pickering, Andrew ; Hadri, Kaddour ; Maloney, John.
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16. Multicointegration in US Consumption Data. (2003). Siliverstovs, Boriss.
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17. Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models. (2003). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
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18. An Index of Financial Stress for Canada. (2003). Illing, Mark ; Liu, Ying.
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19. The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets. (2002). Kutan, Ali ; Hayo, Bernd.
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20. The Empirical (ir)Relevance of the New Keynesian Phillips Curve. (2002). Nymoen, Ragnar ; Jansen, Eilev ; Bårdsen, Gunnar.
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21. How Well Do Banks Manage Their Reserves?. (2002). Yaron, Amir ; Mukhopadhyay, Tridas ; Jallath-Coria, Eduardo.
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22. Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach. (2002). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
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23. Choosing Lag Lengths in Nonlinear Dynamic Models. (2002). Anderson, Heather.
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24. Estimation of Hyperbolic Diffusion Using MCMC Method. (2002). Zhang, Xibin ; Yu, Jun ; Tse, Y. K..
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25. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options. (2002). Zhang, Xibin ; Yu, Jun ; Yang, Zhenlin.
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26. Detecting multiple breaks in financial market volatility dynamics. (2002). Ghysels, Eric ; Andreou, Elena.
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27. Financial volatility: an introduction. (2002). Franses, Philip Hans.
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28. Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach. (2002). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
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29. Investor Panic, IMF Actions, and Emerging Stock Market Returns and Volatility. (2001). Kutan, Ali ; Hayo, Bernd.
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30. Saving and growth in an open economy. (2001). Scobie, Grant ; Haugh, David ; Claus, Iris ; Tornquist, Jonas.
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31. Modelling the conditional volatility of commodity index futures as a regime switching process. (2001). Fong, Wai Mun ; See, Kim Hock.
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32. Income variance dynamics and heterogenity. (2001). Pistaferri, Luigi ; Meghir, Costas.
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33. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
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34. Density Forecasting: A Survey. (2000). Wallis, Kenneth ; Tay, Anthony S.
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35. A small structural empirical model of the UK monetary transmission mechanism. (2000). Thomas, Ryland ; Dhar, Shamik ; Pain, Darren.
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36. Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate. (2000). Rodríguez N., Norberto ; Rodriguez, Norberto.
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37. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
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38. Some Univariate Time Series Properties of Output. (1998). Arango Thomas, Luis.
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39. General-to-specific procedures for fitting a data-admissible, theory- inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: a translation and critique. (1997). Whiteman, Charles ; Faust, Jon.
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40. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Fisher, Adlai ; Calvet, Laurent ; Mandelbrot, Benoit.
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41. A Multifractal Model of Asset Returns. (1997). Fisher, Adlai ; Calvet, Laurent ; Mandelbrot, Benoit.
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42. Do Inter-sectoral Linkages Matter for International Export Specialisation?. (1997). Laursen, Keld ; Drejer, Ina.
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43. ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test. (1996). Nakatsuma, Teruo ; Tsurumi, Hiroki.
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44. Broad money demand and financial liberalization in Greece. (1996). Sharma, Sunil ; Ericsson, Neil.
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45. Does Modern Econometrics replicate the Phillips Curve?. (1996). Shadman, Fatemeh.
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46. Time-Varying Risk Premia in the Foreign Currency Futures Basis. (1996). Barkoulas, John ; Baum, Christopher.
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47. Does Inflation Uncertainty Vary with the Level of Inflation?. (1996). Kasumovich, M ; Crawford, A.
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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. The Impact of Technological Opportunity on the Dynamics of Trade Performance. (1996). Laursen, Keld.
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50. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
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