1. Contagion versus flight to quality in financial markets. (2005). Olmo, Jose ; Gonzalo, Jesus.
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2. Estimation of Copula-Based Semiparametric Time Series Models. (2004). Chen, Xiaohong ; Fan, Yanqin.
   In: Econometric Society 2004 Far Eastern Meetings.
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1. Embrechts, P.A., A. McNeil, and D. Straumann (1999): Correlation: Pitfalls and Alternatives.
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2. Engle, Robert F., 1982, Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K. Inflation, Econometrica, 50, 987-1007.

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5. Joe, H. (1997): Multivariate Models and Dependence Concepts. Chapman and Hall: London.
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6. Nelson, R.B. (1999): An Introduction to Copulas. Springer: Berlin.
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7. Patton, A. J. (2001a): Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula, Working Paper 2001-09, Department of Economics, University of California, San Diego.

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1. Design of High-Frequency Trading Algorithm Based on Machine Learning. (2019). Feng, Yutong ; Fang, Boyue.
   In: Papers.
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2. Financial time series modeling using the Hurst exponent. (2015). Tzouras, Spilios ; McCoy, Emma ; Anagnostopoulos, Christoforos .
   In: Physica A: Statistical Mechanics and its Applications.
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3. Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R. (2009). Ardia, David.
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4. 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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5. The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets. (2004). Kutan, Ali ; Hayo, Bernd.
   In: Finance.
   RePEc:wpa:wuwpfi:0403002.

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6. The Role of the Exchange Rate as a Shock Absorber in a Small Open Economy. (2004). Bjørnland, Hilde ; Bjrnland, Hilde .
   In: Open Economies Review.
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7. GARCH Diagnosis with Portmanteau Bicorrelation Test: An Application on the Malaysias Stock Market. (2003). Liew, Venus ; Lim, Kian-Ping.
   In: Finance.
   RePEc:wpa:wuwpfi:0307013.

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8. Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models. (2003). Hillebrand, Eric.
   In: Econometrics.
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9. Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models. (2003). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
   In: Cahiers de recherche.
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10. Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models. (2003). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2003-08.

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11. Value-at-risk for long and short trading positions. (2003). Laurent, Sébastien ; Giot, Pierre.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:18:y:2003:i:6:p:641-663.

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12. Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility. (2003). Normandin, Michel ; Phaneuf, Louis.
    In: Cahiers de recherche.
    RePEc:iea:carech:0304.

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13. Testing the New Keynesian Phillips curve. (2003). Nymoen, Ragnar ; Jansen, Eilev ; Bårdsen, Gunnar.
    In: Memorandum.
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14. Regime Switches in Swedish Interest Rates. (2003). Erlandsson, Ulf.
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15. Political Business Cycles and Central Bank Independence. (2003). Pickering, Andrew ; Hadri, Kaddour ; Maloney, John.
    In: Economic Journal.
    RePEc:ecj:econjl:v:113:y:2003:i:486:p:c167-c181.

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16. Multicointegration in US Consumption Data. (2003). Siliverstovs, Boriss.
    In: Discussion Papers of DIW Berlin.
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17. Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models. (2003). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-34.

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18. An Index of Financial Stress for Canada. (2003). Illing, Mark ; Liu, Ying.
    In: Staff Working Papers.
    RePEc:bca:bocawp:03-14.

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19. The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets. (2002). Kutan, Ali ; Hayo, Bernd.
    In: Finance.
    RePEc:wpa:wuwpfi:0209001.

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20. The Empirical (ir)Relevance of the New Keynesian Phillips Curve. (2002). Nymoen, Ragnar ; Jansen, Eilev ; Bårdsen, Gunnar.
    In: Working Paper Series.
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21. How Well Do Banks Manage Their Reserves?. (2002). Yaron, Amir ; Mukhopadhyay, Tridas ; Jallath-Coria, Eduardo.
    In: NBER Working Papers.
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22. Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach. (2002). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: Cahiers de recherche.
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23. Choosing Lag Lengths in Nonlinear Dynamic Models. (2002). Anderson, Heather.
    In: Monash Econometrics and Business Statistics Working Papers.
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24. Estimation of Hyperbolic Diffusion Using MCMC Method. (2002). Zhang, Xibin ; Yu, Jun ; Tse, Y. K..
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-18.

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25. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options. (2002). Zhang, Xibin ; Yu, Jun ; Yang, Zhenlin.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-17.

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26. Detecting multiple breaks in financial market volatility dynamics. (2002). Ghysels, Eric ; Andreou, Elena.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:579-600.

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27. Financial volatility: an introduction. (2002). Franses, Philip Hans.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:419-424.

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28. Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach. (2002). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-85.

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29. Investor Panic, IMF Actions, and Emerging Stock Market Returns and Volatility. (2001). Kutan, Ali ; Hayo, Bernd.
    In: International Finance.
    RePEc:wpa:wuwpif:0112001.

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30. Saving and growth in an open economy. (2001). Scobie, Grant ; Haugh, David ; Claus, Iris ; Tornquist, Jonas.
    In: Treasury Working Paper Series.
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31. Modelling the conditional volatility of commodity index futures as a regime switching process. (2001). Fong, Wai Mun ; See, Kim Hock.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:16:y:2001:i:2:p:133-163.

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32. Income variance dynamics and heterogenity. (2001). Pistaferri, Luigi ; Meghir, Costas.
    In: IFS Working Papers.
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33. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-014.

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34. Density Forecasting: A Survey. (2000). Wallis, Kenneth ; Tay, Anthony S.
    In: Econometric Society World Congress 2000 Contributed Papers.
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35. A small structural empirical model of the UK monetary transmission mechanism. (2000). Thomas, Ryland ; Dhar, Shamik ; Pain, Darren.
    In: Bank of England working papers.
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36. Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate. (2000). Rodríguez N., Norberto ; Rodriguez, Norberto.
    In: Borradores de Economia.
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37. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-031.

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38. Some Univariate Time Series Properties of Output. (1998). Arango Thomas, Luis.
    In: Borradores de Economia.
    RePEc:bdr:borrec:100.

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39. General-to-specific procedures for fitting a data-admissible, theory- inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: a translation and critique. (1997). Whiteman, Charles ; Faust, Jon.
    In: International Finance Discussion Papers.
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40. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Fisher, Adlai ; Calvet, Laurent ; Mandelbrot, Benoit.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1166.

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41. A Multifractal Model of Asset Returns. (1997). Fisher, Adlai ; Calvet, Laurent ; Mandelbrot, Benoit.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1164.

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42. Do Inter-sectoral Linkages Matter for International Export Specialisation?. (1997). Laursen, Keld ; Drejer, Ina.
    In: DRUID Working Papers.
    RePEc:aal:abbswp:97-15.

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43. ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test. (1996). Nakatsuma, Teruo ; Tsurumi, Hiroki.
    In: Departmental Working Papers.
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44. Broad money demand and financial liberalization in Greece. (1996). Sharma, Sunil ; Ericsson, Neil.
    In: International Finance Discussion Papers.
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45. Does Modern Econometrics replicate the Phillips Curve?. (1996). Shadman, Fatemeh.
    In: LIDAM Discussion Papers IRES.
    RePEc:ctl:louvir:1996015.

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46. Time-Varying Risk Premia in the Foreign Currency Futures Basis. (1996). Barkoulas, John ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:281.

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47. Does Inflation Uncertainty Vary with the Level of Inflation?. (1996). Kasumovich, M ; Crawford, A.
    In: Staff Working Papers.
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48. Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?. (1996). Vigfusson, Robert ; van Norden, Simon ; Murray, J..
    In: Technical Reports.
    RePEc:bca:bocatr:76.

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49. The Impact of Technological Opportunity on the Dynamics of Trade Performance. (1996). Laursen, Keld.
    In: DRUID Working Papers.
    RePEc:aal:abbswp:96-12.

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50. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5128.

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