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2. Barrier style contracts under Lévy processes once again. (2018). Fajardo, José.
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3. Power Style Contracts Under Asymmetric Lévy Processes. (2016). Fajardo, José.
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4. A New Factor to Explain Implied Volatility Smirk. (2016). Fajardo, José.
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5. Generalized Hyperbolic Distributions: Empirical Evidence on Bucharest Stock Exchange. (2015). Baciu, Olivia Andreea .
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6. Derivative pricing using multivariate affine generalized hyperbolic distributions. (2010). Fajardo, José ; de Farias, Aquiles.
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7. Multivariate affine generalized hyperbolic distributions: An empirical investigation. (2009). Fajardo, José ; de Farias, Aquiles.
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8. Duality and Symmetry with Time-Changed Lévy Processes. (2008). Fajardo, José ; Mordecki, Ernesto.
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9. Symmetry and duality in Levy markets. (2006). Fajardo, José ; Mordecki, Ernesto.
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10. Goodness-of-fit Tests Focus on Value-at-Risk Estimation. (2006). ORNELAS, JOSE ; Fajardo, José ; de Farias, Aquiles Rocha .
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11. Skewness Premium with Lévy Processes. (2006). Fajardo, José ; Mordecki, Ernesto.
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12. Equivalent Martingale Measures and Lévy Processes. (2006). Fajardo, José.
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1. A nonparametric GARCH model of crude oil price return volatility. (2012). Suardi, Sandy ; Hou, Ai Jun.
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2. Fractionally integrated time varying GARCH model. (2010). Boutahar, Mohamed ; Ben Nasr, Adnen ; Trabelsi, Abdelwahed.
   In: Statistical Methods & Applications.
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3. Model based Monte Carlo pricing of energy and temperature quanto options. (2010). Torro, Hipolit ; Caporin, Massimiliano ; Pres, Juliusz .
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4. Long-term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets. (2009). Liow, Kim.
   In: The Journal of Real Estate Finance and Economics.
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5. Robust volatility forecasts and model selection in financial time series. (2006). Grossi, Luigi ; Morelli, G..
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6. The impact of monetary policy signals on the intradaily Euro-dollar volatility. (2006). Mokhtar, Darmoul .
   In: Cahiers de la Maison des Sciences Economiques.
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7. Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH. (2006). Veiga, Helena ; Ruiz, Esther.
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8. A two factor long memory stochastic volatility model. (2006). Veiga, Helena.
   In: DES - Working Papers. Statistics and Econometrics. WS.
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9. The Warsaw Stock Exchange Index WIG: Modelling and Forecasting. (2005). Wdowiński, Piotr ; Wdowinski, Piotr ; Zglinska-Pietrzak, Aneta.
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10. The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility. (2004). Lux, Thomas.
    In: Economics Working Papers.
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11. Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models. (2004). Lux, Thomas ; Kaizoji, Taisei.
    In: Economics Working Papers.
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12. Persistence Characteristics of Latin American Financial Markets. (2004). Los, Cornelis ; Zong, Sijing ; Kyaw, Nyonyo.
    In: Finance.
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13. Long-Term Dependence Characteristics of European Stock Indices. (2004). Los, Cornelis ; LIPKA, JOANNA M..
    In: Finance.
    RePEc:wpa:wuwpfi:0409044.

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14. Is it really long memory we see in financial returns?. (2004). Mikosch, Thomas.
    In: Econometrics.
    RePEc:wpa:wuwpem:0412002.

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15. Modelling Long Memory and Risk Premia in Latin American Sovereign Bond Markets. (2004). Mendoza-Velázquez, Alfonso.
    In: Econometrics.
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16. Do Chinese stock markets share common information arrival processes?. (2004). Wu, Ziping ; McErlean, Seamus ; Kostov, Philip.
    In: Econometrics.
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17. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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18. Stylized Facts of Financial Time Series and Three Popular Models of Volatility. (2004). Teräsvirta, Timo ; Malmsten, Hans.
    In: SSE/EFI Working Paper Series in Economics and Finance.
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19. Specification Testing for Multivariate Time Series Volatility Models. (2004). Lee, Yoon-Jin ; Hong, Yongmiao.
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20. Option Valuation with Long-run and Short-run Volatility Components. (2004). Wang, Yintian ; Jacobs, Kris.
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21. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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22. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
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23. The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting. (2003). Lux, Thomas.
    In: Economics Working Papers.
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24. A Multiple Indicators Model for Volatility Using Intra-Daily Data. (2003). Gallo, Giampiero ; Engle, Robert.
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25. FORECASTING THE CONDITIONAL COVARIANCE MATRIX OF A PORTFOLIO UNDER LONG-RUN TEMPORAL DEPENDENCE. (2003). Ñíguez Grau, Trino ; Iguez, Trino-Manuel ; Rubia, Antonio.
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26. A Multiple Indicators Model For Volatility Using Intra-Daily Data.. (2003). Gallo, Giampiero ; Engle, Robert.
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27. Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models. (2003). .
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28. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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29. LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS. (2002). Wright, Jonathan.
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30. Likelihood-based estimation of latent generalised ARCH structures. (2002). Shephard, Neil ; Sentana, Enrique ; Fiorentini, Gabriele.
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31. GARCH-based Volatility Forecasts for Market Volatility Indices. (2002). Lombardi, Marco ; Gallo, Giampiero ; Cecconi, Massimiliano.
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32. Analytic Hessian Matrices and the Computation of FIGARCH Estimates. (2002). Lombardi, Marco ; Gallo, Giampiero.
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33. Modeling long-range dependence in European time-varying term premia. (2002). Mignon, Valérie ; Lardic, sandrine.
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34. Term premium and long-range dependence in volatility : A FIGARCH-M estimation on some Asian countries. (2002). Mignon, Valérie ; Lardic, sandrine.
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35. Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models. (2002). .
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36. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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37. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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38. An Eigenfunction Approach for Volatility Modeling. (2001). Meddahi, Nour.
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39. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
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40. Short and Long Memory in Equilibrium Interest Rate Dynamics. (2001). Jacobs, Kris ; Duan, Jin-Chuan.
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41. The Distribution of Stock Return Volatility. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Ebens, Heiko.
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42. The Distribution of Stock Return Volatility. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Ebens, Heiko.
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43. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. (2000). Wright, Jonathan.
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44. Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations. (2000). Zinde-Walsh, Victoria ; Galbraith, John.
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45. One-Sided Testing for ARCH Effect Using Wavelets. (2000). Lee, Jin.
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46. Central bank intervention and overnight uncovered interest rate parity. (1998). Baillie, Richard ; Osterberg, William P..
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47. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts. (1997). Bollerslev, Tim ; Andersen, Torben.
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48. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Fisher, Adlai ; Calvet, Laurent ; Mandelbrot, Benoit.
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49. A Multifractal Model of Asset Returns. (1997). Fisher, Adlai ; Calvet, Laurent ; Mandelbrot, Benoit.
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50. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. (1996). Bollerslev, Tim ; Andersen, Torben.
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