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2. A data-driven P-spline smoother and the P-Spline-GARCH models. (2020). Härdle, Wolfgang ; Feng, Yuanhua ; Hardle, Wolfgang Karl.
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3. Testing for an omitted multiplicative long-term component in GARCH models. (2019). Schienle, Melanie ; Conrad, Christian.
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   RePEc:zbw:kitwps:121.

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1. Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis. (2024). GUPTA, RANGAN ; Gallo, Giampiero ; Cepni, Oguzhan ; Candila, Vincenzo.
   In: Working Papers.
   RePEc:pre:wpaper:202437.

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2. Doubly multiplicative error models with long- and short-run components. (2024). Gallo, Giampiero ; Amendola, Alessandra ; Candila, V ; Cipollini, F.
   In: Socio-Economic Planning Sciences.
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3. Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina.
   In: Econometrics and Statistics.
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4. A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model. (2022). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; Jakobsen, Johan Stax ; Kang, Jian ; Wade, Glen.
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5. A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; Jakobsen, Johan Stax ; Kang, Jian ; Wade, Glen.
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6. On time‐varying amplitude HGARCH model. (2021). Valizadeh, Toktam ; Rezakhah, Saeid ; Basatini, Ferdous Mohammadi.
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   RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2538-2547.

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7. Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo.
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8. Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. (2021). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony ; Terasvirta, Timo.
   In: CREATES Research Papers.
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9. Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models. (2020). Conrad, Christian ; Kleen, Onno.
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10. Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo ; Cipollini, Fabrizio.
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    RePEc:arx:papers:2006.03458.

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11. Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo.
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    RePEc:nip:nipewp:07/2018.

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13. Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo.
    In: CREATES Research Papers.
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14. Specification and testing of multiplicative time-varying GARCH models with applications. (2017). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo.
    In: Econometric Reviews.
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15. Modelling and Forecasting WIG20 Daily Returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo.
    In: Central European Journal of Economic Modelling and Econometrics.
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16. Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo.
    In: NIPE Working Papers.
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17. Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero.
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18. Modelling and forecasting WIG20 daily returns. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo.
    In: CREATES Research Papers.
    RePEc:aah:create:2017-29.

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19. Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo.
    In: CREATES Research Papers.
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20. Long memory and structural change in the G7 inflation dynamics. (2016). Belkhouja, Mustapha ; Mootamri, Imene .
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21. Testing constancy of unconditional variance in volatility models by misspecification and specification tests. (2016). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Timo, Terasvirta ; Annastiina, Silvennoinen .
    In: Studies in Nonlinear Dynamics & Econometrics.
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22. Testing constancy of unconditional variance in volatility models by misspecification and specification tests. (2015). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo.
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2015_06.

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23. Testing constancy of unconditional variance in volatility models by misspecification and specification tests. (2015). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo.
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    RePEc:aah:create:2015-47.

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24. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks. (2014). MORANA, CLAUDIO.
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25. Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David.
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26. A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models. (2014). Dufays, Arnaud ; De Backer, Bruno ; Bauwens, Luc.
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27. Modelling changes in the unconditional variance of long stock return series. (2014). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo.
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28. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David.
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29. Bayesian estimation of smoothly mixing time-varying parameter GARCH models. (2014). Lin, Edward ; Chen, Cathy W. S. ; Gerlach, Richard ; Lin, Edward M. H., ; Chen, Cathy W. S., .
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30. Detecting for Smooth Structural Changes in GARCH Models. (2013). Hong, Yongmiao ; Chen, Bin.
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31. Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model. (2013). GUPTA, RANGAN ; Ben Nasr, Adnen ; Ajmi, Ahdi Noomen.
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32. Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure. (2013). MORANA, CLAUDIO.
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33. A time varying GARCH(p,q) model and related statistical inference. (2013). Rohan, Neelabh .
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34. On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process. (2012). Pipień, Mateusz ; Mazur, Błażej.
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35. Modeling structural changes in the volatility process. (2011). Zwinkels, Remco ; Lehnert, Thorsten ; Frijns, Bart ; Zwinkels, Remco C. J., .
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36. Modeling volatility with time-varying FIGARCH models. (2011). Belkhouja, Mustapha ; Boutahary, Mohamed .
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37. Estimating and forecasting structural breaks in financial time series. (2011). Dufays, Arnaud ; De Backer, Bruno ; Bauwens, Luc.
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38. Fractionally integrated time varying GARCH model. (2010). Boutahar, Mohamed ; Ben Nasr, Adnen ; Trabelsi, Abdelwahed.
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39. Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks. (2010). MORANA, CLAUDIO.
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40. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David ; Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo.
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41. Managers and wage policies. (2009). Monteiro, Natália ; Bastos, Paulo.
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42. Time-varying Multi-regime Models Fitting by Genetic Algorithms. (2009). Protopapas, Mattheos ; Battaglia, Francesco.
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43. Admission conditions and graduates employability. (2008). Sa, Carla ; Portela, Miguel ; Alexandre, Fernando.
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44. Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model.. (2008). Charlot, Philippe ; Marimoutou, Velayoudom.
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