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1. Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach. (2020). Lemand, Ryan.
   In: Econometrics.
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2. New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach. (2020). Lemand, Ryan.
   In: Econometrics.
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3. The Effects of the Increasing Oil Price Returns and its Volatility on Four Emerged Stock Markets. (2009). Katrakilidis, Constantinos ; Lake E. A., ; Katrakilidis C., .
   In: European Research Studies Journal.
   RePEc:ers:journl:v:xii:y:2009:i:1:p:149-161.

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4. On the complete model with stochastic volatility by Hobson and Rogers. (2005). Pascucci, Andrea ; di Francesco, Marco.
   In: Finance.
   RePEc:wpa:wuwpfi:0503013.

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5. Measurement of Financial Risk Persistence. (2005). Los, Cornelis.
   In: Finance.
   RePEc:wpa:wuwpfi:0502013.

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6. 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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7. Classifying the Markets Volatility with ARMA Distance Measures. (2004). Otranto, Edoardo.
   In: Econometrics.
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8. Worsening of the Asian Financial Crisis: Who is to Blame?. (2004). Kutan, Ali ; Sudjana, Brasukra G..
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9. Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range. (2004). Corrado, Charles ; Truong, Cameron.
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10. Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off. (2004). Kamstra, Mark ; Donaldson, Glen.
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11. Stock Market Volatility: Examining North America, Europe and Asia. (2004). Premaratne, Gamini ; Balasubramanyan, Lakshmi.
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12. Discounting The Equity Premium Puzzle. (2004). Martin, Vance ; Maasoumi, Esfandiar ; Lim, Guay.
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13. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
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14. The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach. (2003). Lemand, Ryan.
    In: Econometrics.
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15. Stochastic behaviour of Deutsche mark exchange rates within EMS. (2003). Laopodis, Nikiforos.
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16. Investigating Purchasing Patterns for Financial Services using Markov, MTD and MTDg Models. (2003). Van den Poel, Dirk ; PRINZIE, A..
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17. Testing for Longer Horizon Predictability of Return Volatility with an Application to the German. (2003). Raunig, Burkhard.
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18. Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility. (2003). Normandin, Michel ; Phaneuf, Louis.
    In: Cahiers de recherche.
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19. Modeling uncertainty: predictive accuracy as a proxy for predictive confidence. (2003). Tracy, Joseph ; Rich, Robert.
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20. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2003). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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21. Influence Diagnostics in GARCH Processes. (2002). Zhang, Xibin ; King, Maxwell.
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22. The stochastic volatility in mean model: empirical evidence from international stock markets. (2002). Koopman, Siem Jan ; Uspensky, Eugenie Hol.
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23. Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. (2002). Bollerslev, Tim ; Forsberg, Lars.
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24. Emerging market liberalization and the impact on uncovered interest rate parity. (2002). HASAN, IFTEKHAR ; Hunter, Delroy ; Francis, Bill.
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25. Power ARCH modelling of commodity futures data on the London Metal Exchange. (2001). faff, robert ; Brooks, Robert ; Michael D. McKenzie, Heather Mitchell, Robert D. B, .
    In: The European Journal of Finance.
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26. Empirical distributions of stock returns: European securities markets, 1990-95. (2001). Felipe M. Aparicio, Javier Estrada, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:7:y:2001:i:1:p:1-21.

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27. A generalized method for detecting abnormal returns and changes in systematic risk. (2001). Degennaro, Ramon ; Cyree, Ken B..
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28. A Re-examination of the Predictability of Economic Activity Using the Yield Spread. (2000). Kim, Dong Heon ; Hamilton, James.
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29. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
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30. Evidence on the Economics of Equity Return Volatility Clustering. (2000). Connolly, Robert ; Stivers, Christopher T..
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31. Why Are Asset Returns more Volatile During Recessions? A Theoretical Examination. (2000). Ebell, Monique.
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32. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
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33. Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk. (1999). Manfredo, Mark ; Leuthold, Raymond M..
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34. Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes. (1999). Ledoit, Olivier ; Sornette, Didier ; Johansen, Anders.
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35. Dispersion and Volatility in Stock Returns: An Empirical Investigation. (1999). Lettau, Martin ; Campbell, John.
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36. Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version). (1999). Issler, João.
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37. Agricultural Applications of Value-at-Risk Analysis: A Perspective. (1998). Manfredo, Mark ; Leuthold, Raymond M..
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38. Long Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?. (1998). Leuthold, Raymond M. ; Wei, Anning .
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39. Endogenous Uncertainty: A Unified View of Market Volatility. (1998). Kurz, Mordecai.
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40. Horizon Problems and Extreme Events in Financial Risk Management. (1998). Schuermann, Til ; Diebold, Francis.
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41. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
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42. Quadratic M-Estimators for ARCH-Type Processes. (1998). Renault, Eric ; Meddahi, Nour.
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43. How Relevant is Volatility Forecasting for Financial Risk Management?. (1997). Diebold, Francis.
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44. Evaluating Density Forecasts. (1997). Tay, Anthony S ; Diebold, Francis ; Gunther, Todd A..
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45. The effects of Stamp Duty on the Level and Volatility of Equity Prices. (1997). Saporta, Victoria ; Kan, Kamhon.
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46. Risk, Return and Regulation in Chinese Stock Markets. (1996). Su, Dongwei ; Fleisher, Belton.
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47. Consumption and the Stock Market: Interpreting International Experience. (1996). Campbell, John.
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48. Public Information and the Persistence of Bond Market Volatility. (1996). Lamont, Owen ; Lumsdaine, Robin ; Jones, Charles M..
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49. On Periodic Autogressive Conditional Heteroskedasticity. (1994). Ghysels, Eric ; Bollerslev, Tim.
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50. Optimal Trading Strategy When Return Process is AR(1). (). Wei, LI ; Lam, Kin.
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