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2. Non-parametric news impact curve: a variational approach. (2017). Goulet, Clement ; Garcin, Matthieu.
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4. Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?. (2016). Winker, Peter ; Fischer, Henning ; Blancofernandez, Angela .
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5. On the Choice of a Genetic Algorithm for Estimating GARCH Models. (2016). Rizzo, Manuel ; Battaglia, Francesco.
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6. Neural Nets for Indirect Inference. (2016). Creel, Michael.
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7. A fully non-parametric heteroskedastic model. (2015). Garcin, Matthieu ; Goulet, Clement .
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8. Finding Starting-Values for the Estimation of Vector STAR Models. (2015). Schleer, Frauke.
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9. An Investigation of the Month-of-The-Year Effect for the Sudanese Stock Market. (2015). Abdalla, Suliman ; Suliman, Suliman Zakaria .
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10. ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails. (2015). Polak, Pawe ; Paolella, Marc S.
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11. Finding starting-values for maximum likelihood estimation of vector STAR models. (2013). Schleer, Frauke.
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12. A Comparative Study of the Lasso-type and Heuristic Model Selection Methods. (2013). Savin, Ivan.
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13. Constructing narrowest pathwise bootstrap prediction bands using threshold accepting. (2013). Winker, Peter ; Staszewska-Bystrova, Anna.
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14. Viterbi-Based Estimation for Markov Switching GARCH Model. (2012). Siu, Tak Kuen ; Miao, Hong ; ELLIOTT, ROBERT J. ; Lau, John W..
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15. Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model. (2011). Winker, Peter ; Lyra, Marianna ; Sharpe, Chris .
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16. Searching for the Concentration-Price Effect in the German Movie Theater Industry. (2011). Müller, Christopher ; Böhme, Enrico ; Bohme, Enrico ; Muller, Christopher.
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17. Heuristic Strategies in Finance – An Overview. (2010). Lyra, Marianna.
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1. Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2021). Hu, Junjie ; Hardle, Wolfgang Karl ; Kuo, Weiyu.
   In: Papers.
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2. International Financial Markets. (2019). Saglio, Sophie ; Sanhaji, Bilel ; Guerreiro, David ; Goutte, Stéphane ; Chevallier, Julien.
   In: Post-Print.
   RePEc:hal:journl:halshs-02183053.

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3. Periodic autoregressive stochastic volatility. (2015). Aknouche, Abdelhakim.
   In: MPRA Paper.
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4. Precious Metals Under the Microscope: A High-Frequency Analysis. (2014). Ranaldo, Angelo ; Caporin, Massimiliano ; Velo, Gabriel G..
   In: Working Papers on Finance.
   RePEc:usg:sfwpfi:2014:09.

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5. Dynamic seasonality in time series. (2014). So, Mike K. P., ; Chung, Ray S. W., .
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:70:y:2014:i:c:p:212-226.

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6. Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach. (2014). Menla Ali, Faek ; Yfanti, Stavroula ; Karoglou, Michail ; Karanasos, Menelaos ; Paraskevopoulos, Alexandros.
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7. Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals. (2013). Ranaldo, Angelo ; Caporin, Massimiliano ; Velo, Gabriel G..
   In: Working Papers on Finance.
   RePEc:usg:sfwpfi:2013:18.

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8. The VIX, the Variance Premium and Stock Market Volatility. (2013). Hoerova, Marie ; Bekaert, Geert.
   In: NBER Working Papers.
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9. Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data. (2013). Lecarpentier-Moyal, Sylvie ; Uctumd, Remzi ; Renou-Maissant, Patricia.
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10. Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data. (2013). Lecarpentier-Moyal, Sylvie ; Uctumd, Remzi ; Renou-Maissant, Patricia.
    In: Working Papers.
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11. Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data. (2013). Uctum, Remzi ; Prat, Georges ; Lecarpentier-Moyal, Sylvie ; Renou-Maissant, Patricia.
    In: EconomiX Working Papers.
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12. A nonparametric GARCH model of crude oil price return volatility. (2012). Suardi, Sandy ; Hou, Ai Jun.
    In: Energy Economics.
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13. Volatility Modeling by Asymmetrical Quadratic Effect with Diminishing Marginal Impact. (2011). .
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14. Modeling intraday volatility: A new consideration. (2011). Lam, K. P. ; Chu, Carlin C. F., .
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15. A Conditionally Heteroskedastic Model with Time-varying Coefficients for Daily Gas Spot Prices. (2011). Regnard, Nazim ; Zakoian, Jean-Michel.
    In: Economics Papers from University Paris Dauphine.
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16. Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting. (2010). Renò, Roberto ; Corsi, Fulvio ; Reno, Roberto ; Pirino, Davide.
    In: LEM Papers Series.
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17. Misspecification tests for periodic long memory GARCH models. (2010). Lisi, Francesco ; Caporin, Massimiliano.
    In: Statistical Methods & Applications.
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18. Threshold bipower variation and the impact of jumps on volatility forecasting. (2010). Reno, Roberto ; Corsi, Fulvio ; Pirino, Davide.
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19. Intraday volatility and periodicity in the Malaysian stock returns. (2010). Pok, Wee Ching ; Haniff, Mohd Nizal.
    In: Research in International Business and Finance.
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20. Time-varying higher-order conditional moments and forecasting intraday VaR and Expected Shortfall. (2010). Ergun, Tolga A. ; Jun, Jongbyung.
    In: The Quarterly Review of Economics and Finance.
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21. Threshold bipower variation and the impact of jumps on volatility forecasting. (2010). Renò, Roberto ; Pirino, Davide ; Corsi, Fulvio ; Reno, Roberto.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:2:p:276-288.

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22. A class of DCC asymmetric GARCH models driven by exogenous variables. (2010). Zakoian, Jean-Michel.
    In: Economics Papers from University Paris Dauphine.
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23. The convergence of estimators based on heuristics: theory and application to a GARCH model. (2009). Winker, Peter ; Maringer, Dietmar.
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    RePEc:spr:compst:v:24:y:2009:i:3:p:533-550.

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24. Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit. (2009). van Dijk, Herman ; Ardia, David.
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25. Periodic stationarity of random coefficient periodic autoregressions. (2009). Guerbyenne, Hafida ; Aknouche, Abdelhakim.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:79:y:2009:i:7:p:990-996.

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26. On some probabilistic properties of double periodic AR models. (2009). Guerbyenne, Hafida ; Aknouche, Abdelhakim.
    In: Statistics & Probability Letters.
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27. Volatility forecasting: intra-day vs. inter-day models. (2008). Degiannakis, Stavros ; Angelidis, Timotheos.
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28. Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US. (2008). Savva, Christos ; Osborn, Denise ; Gill, Len.
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29. On forecasting daily stock volatility: the role of intraday information and market conditions. (2008). Izzeldin, Marwan ; Kalotychou, Elena.
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30. GARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimation. (2008). Regnard, Nazim ; Zakoian, Jean-Michel.
    In: Economics Papers from University Paris Dauphine.
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31. Estimating and Forecasting Volatility of Financial Time Series in Pakistan with GARCH-type Models. (2007). Qasim, Tahira ; Aslam, Muhammad ; Pasha, G. R..
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    RePEc:lje:journl:v:12:y:2007:i:2:p:115-149.

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32. The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model. (2007). GUEGAN, Dominique ; DIONGUE, Abdou Ka.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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33. Intraday exchange rate volatility: ARCH, news and seasonality effects. (2007). Gau, Yin-Feng ; Hua, Mingshu.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:47:y:2007:i:1:p:135-158.

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34. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
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35. Fiscal shocks, output dynamics and macroeconomic stability: an empirical assessment for Austria (1983€“2002). (2006). Badinger, Harald.
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36. Normal mixture GARCH(1,1): applications to exchange rate modelling. (2006). Lazar, Emese ; Alexander, Carol.
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37. Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market. (2006). Gau, Yin-Feng ; Hua, Mingshu.
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38. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices. (2005). Ooms, Marius ; Koopman, Siem Jan ; Carnero, M. Angeles.
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39. Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market. (2005). Xekalaki, Evdokia ; Degiannakis, Stavros.
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40. IMF-related news and emerging financial markets. (2005). Kutan, Ali ; Hayo, Bernd.
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41. FinMetrics: analysis of financial data in S-PLUS. (2004). Koning, Ruud.
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42. Forecasting economic time series with unconditional time-varying variance. (2004). Van Bellegem, Sebastien ; von Sachs, Rainer.
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43. Analysis of the predictive ability of information accumulated over nights, weekends and holidays. (2004). Tsiakas, Ilias.
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44. Non-linear modelling of daily exchange rate returns, volatility, and news in a small developing economy. (2003). Sánchez-Fung, José ; Sanchez-Fung, Jose R..
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:4:p:247-250.

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45. Evaluating interval forecasts of high-frequency financial data. (2003). Taylor, Nick ; Clements, Michael.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:18:y:2003:i:4:p:445-456.

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46. Volatility estimation on the basis of price intensities. (2002). Hautsch, Nikolaus ; Gerhard, Frank.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:1:p:57-89.

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47. Modeling electricity prices: international evidence. (2002). Escribano, Alvaro ; Villaplana, Pablo ; Pea, Juan Ignacio.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:we022708.

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48. Benchmarks and the accuracy of GARCH model estimation. (2001). Brooks, Chris ; Burke, Simon P. ; Persand, Gita.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:17:y:2001:i:1:p:45-56.

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49. Is it safe to assume that software is accurate?. (2000). .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:16:y:2000:i:3:p:349-357.

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50. Cointegration between exchange rates: a generalized linear cointegration model. (1998). Lin, Yan-Xia ; McCrae, Michael ; Gulati, Chandra M..
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