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2. Short-Term and Long-Term Relationships Between Prices of Imported Oil and Fuel Products in the U. S.. (2016). Adamec, Vaclav.
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1. The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
   In: Documents de travail du Centre d'Economie de la Sorbonne.
   RePEc:mse:cesdoc:17006.

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2. Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe.
   In: Documents de travail du Centre d'Economie de la Sorbonne.
   RePEc:mse:cesdoc:14022r.

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3. Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe.
   In: Post-Print.
   RePEc:hal:journl:halshs-00973922.

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4. The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe.
   In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
   RePEc:hal:cesptp:halshs-01442618.

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5. Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe.
   In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
   RePEc:hal:cesptp:halshs-00973922.

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6. Investigating the leverage effect in commodity markets with a recursive estimation approach. (2017). Ielpo, Florian ; Chevallier, Julien.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:39:y:2017:i:pb:p:763-778.

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7. Dynamic information spillovers in intraregionally-focused spot and forward currency markets. (2017). Fawson, Chris ; Wang, XI ; Yang, Jiao-Hui .
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:71:y:2017:i:c:p:78-110.

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8. Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; Koubaa, Yosra ; Slim, Skander ; Bensaida, Ahmed.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

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9. International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns. (2016). Watewai, Thaisiri ; Solnik, Bruno.
   In: PIER Discussion Papers.
   RePEc:pui:dpaper:31..

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10. Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices. (2016). Ghassan, Hassan ; Alhajhoj, Hassan R.
    In: MPRA Paper.
    RePEc:pra:mprapa:69962.

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11. Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S.
    In: Econometrics.
    RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25-:d:69492.

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12. Multivariate moments expansion density: Application of the dynamic equicorrelation model. (2016). Perote, Javier ; Ñíguez Grau, Trino ; Iguez, Trino-Manuel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:72:y:2016:i:s:p:s216-s232.

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13. Long run dynamic volatilities between OPEC and non-OPEC crude oil prices. (2016). Ghassan, Hassan ; Alhajhoj, Hassan Rafdan.
    In: Applied Energy.
    RePEc:eee:appene:v:169:y:2016:i:c:p:384-394.

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14. A threshold cointegration analysis of asymmetric adjustment of OPEC and non-OPEC monthly crude oil prices. (2015). Ghassan, Hassan ; Banerjee, Prashanta .
    In: Empirical Economics.
    RePEc:spr:empeco:v:49:y:2015:i:1:p:305-323.

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15. Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets. (2015). Qin, Yemei ; Hui, Yan ; Chen, Xiaohong ; Xie, Wenbiao ; Peng, Hui.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:117:y:2015:i:c:p:141-153.

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16. Density deconvolution from repeated measurements without symmetry assumption on the errors. (2015). Kappus, Johanna ; Comte, Fabienne.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:140:y:2015:i:c:p:31-46.

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17. Dynamic Asymmetries in the Electric Consumption of the GCC Countries. (2015). Bunnag, Tanattrin.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2015-02-09.

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18. Hedging Petroleum Futures with Multivariate GARCH Models. (2015). Bunnag, Tanattrin.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2015-01-09.

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19. Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin Vázquez, María Eugenia ; Mansanet-Bataller, Maria.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-04.

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20. A Threshold Cointegration Analysis of Asymmetric Adjustment of OPEC and non-OPEC Monthly Crude Oil Prices. (2014). Ghassan, Hassan ; Banerjee, Prashanta K..
    In: MPRA Paper.
    RePEc:pra:mprapa:62168.

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21. Testing for Leverage Effect in Financial Returns. (2014). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:14022.

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22. A Fast, Accurate Method for Value-at-Risk and Expected Shortfall. (2014). PAOLELLA, MARC S. ; Krause, Jochen.
    In: Econometrics.
    RePEc:gam:jecnmx:v:2:y:2014:i:2:p:98-122:d:37459.

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23. EGARCH models with fat tails, skewness and leverage. (2014). Sucarrat, Genaro ; Harvey, Andrew.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:320-338.

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24. Stable mixture GARCH models. (2013). Haas, Markus ; Broda, Simon ; STEUDE, Sven C. ; PAOLELLA, MARC S. ; Krause, Jochen.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:172:y:2013:i:2:p:292-306.

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25. Time-varying mixture GARCH models and asymmetric volatility. (2013). Haas, Markus ; STEUDE, Sven C. ; PAOLELLA, MARC S. ; Krause, Jochen.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:602-623.

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26. A Long Memory Model with Normal Mixture GARCH. (2011). Cheung, Yin-Wong.
    In: Computational Economics.
    RePEc:kap:compec:v:38:y:2011:i:4:p:517-539.

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27. Forecasting petroleum futures markets volatility: The role of regimes and market conditions. (2011). Pouliasis, Panos ; Nomikos, Nikos K..
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:2:p:321-337.

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28. Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model. (2010). Kouretas, Georgios ; Zarangas, Leonidas P. ; Drakos, Anastassios A..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:15:y:2010:i:4:p:331-350.

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29. Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes. (2010). Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe.
    In: Post-Print.
    RePEc:hal:journl:halshs-00523371.

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30. Option pricing for GARCH-type models with generalized hyperbolic innovations. (2010). Guegan, Dominique ; Chorro, Christophe.
    In: Post-Print.
    RePEc:hal:journl:halshs-00469529.

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31. Skew-Normal Mixture and Markov-Switching GARCH Processes. (2010). Haas, Markus.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:14:y:2010:i:4:n:1.

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32. Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns. (2010). Tsiaras, Leonidas.
    In: CREATES Research Papers.
    RePEc:aah:create:2010-35.

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33. Bivariate mixed normal GARCH models and out-of-sample hedge performances. (2009). Chung, Sang-Kuck .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:6:y:2009:i:3:p:130-137.

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34. Asymmetric multivariate normal mixture GARCH. (2009). Mittnik, Stefan ; Haas, Markus ; PAOLELLA, MARC S..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:2129-2154.

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35. A Long Memory Model with Mixed Normal GARCH for US Inflation Data. (2009). Cheung, Yin-Wong ; Chung, Sang-Kuck .
    In: Santa Cruz Department of Economics, Working Paper Series.
    RePEc:cdl:ucscec:qt94r403d2.

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36. A Long Memory Model with Mixed Normal GARCH for US Inflation Data. (2009). Cheung, Yin-Wong ; Chung, Sang-Kuck .
    In: Santa Cruz Department of Economics, Working Paper Series.
    RePEc:cdl:ucscec:qt2202s99q.

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37. Multivariate regimeswitching GARCH with an application to international stock markets. (2008). Mittnik, Stefan ; Haas, Markus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200808.

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38. Asymmetric multivariate normal mixture GARCH. (2008). Mittnik, Stefan ; Haas, Markus ; PAOLELLA, MARC S..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200807.

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39. An econometric analysis of emission allowance prices. (2008). Taschini, Luca ; PAOLELLA, MARC S..
    In: Journal of Banking & Finance.
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40. Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models. (2008). Vrontos, Ioannis ; Dellaportas, Petros ; Giannikis, D..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:3:p:1549-1571.

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41. Option Valuation with Normal Mixture GARCH Models. (2008). Lazar, Emese ; Kulperger, Reg ; Badescu, Alex.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:12:y:2008:i:2:n:5.

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42. Glossary to ARCH (GARCH). (2008). Bollerslev, Tim.
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43. Mixed Exponential Power Asymmetric Conditional Heteroskedasticity. (2007). Rombouts, Jeroen ; Bouaddi, Mohammed.
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44. Estimation of a utility-based asset pricing model using normal mixture GARCH(1,1). (2007). Lee, Jack C. ; Wu, C. C..
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    RePEc:eee:ecmode:v:24:y:2007:i:2:p:329-349.

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45. Bayesian estimation of the Gaussian mixture GARCH model. (2007). Galeano, Pedro ; Ausin, Maria Concepcion.
    In: Computational Statistics & Data Analysis.
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46. The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey. (2007). Ozun, Alper ; Cifter, Atilla.
    In: Journal of BRSA Banking and Financial Markets.
    RePEc:bdd:journl:v:1:y:2007:i:1:p:7-34.

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47. Accurate Value-at-Risk forecast with the (good old) normal-GARCH model. (2006). Mittnik, Stefan ; PAOLELLA, MARC S. ; HARTZ, Christoph .
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48. Accurate value-at-risk forecasting based on the normal-GARCH model. (2006). Mittnik, Stefan ; Paolella, Marc ; HARTZ, Christoph .
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49. Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts. (2004). Mittnik, Stefan ; Haas, Markus.
    In: Departmental Working Papers.
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50. The Continuous Limit of GARCH Processess. (2004). Lazar, Emese ; Alexandra, Carol .
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    RePEc:rdg:icmadp:icma-dp2004-09.

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