1. A note on the estimated GARCH coefficients from the S&P1500 universe. (2017). Panagiotidis, Theodore ; Bampinas, Georgios ; Ladopoulos, Konstantinos.
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2. A note on the estimated GARCH coefficients from the S&P1500 universe. (2017). Panagiotidis, Theodore ; Bampinas, Georgios ; Ladopoulos, Konstantinos.
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3. Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution. (2016). Stavroyiannis, Stavros.
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4. G7 STOCK MARKETS, WHO IS THE FIRST TO DEFEAT THE DCCA CORRELATION?. (2016). Ferreira, Paulo ; Dionsio, Andreia.
   In: Review of Socio - Economic Perspectives.
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5. Stylised facts of financial time series and hidden Markov models in continuous time. (2015). Nystrup, Peter ; Madsen, Henrik ; Lindstrom, Erik.
   In: Quantitative Finance.
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6. Power transformations of absolute returns and long memory estimation. (2015). Dalla, Violetta.
   In: Journal of Empirical Finance.
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7. Standard and seasonal long memory in volatility: an application to Spanish inflation. (2012). Arteche, Josu.
   In: Empirical Economics.
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8. Previsão do cmbio real-dólar sob um arcabouço de apreçamento de ativos. (2012). Beviláqua, Giovanni ; Matos, Paulo ; Filho, Jaime ; Bevilaqua, Giovanni .
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9. Previsão do câmbio real-dólar sob um arcabouço de apreçamento de ativos. (2012). Matos, Paulo ; Filho, Jaime ; Bevilaqua, Giovanni .
   In: Revista Brasileira de Economia - RBE.
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10. Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data. (2011). Matei, Marius.
    In: Journal for Economic Forecasting.
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11. Modelling and Forecasting Noisy Realized Volatility. (2010). Medeiros, Marcelo ; Asai, Manabu.
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12. Estimation of Asymmetric Stochastic Volatility Models for Stock-Exchange Index Returns. (2009). Salido, Roman Minguez ; Centeno, Maria Garcia .
    In: International Advances in Economic Research.
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13. Estimation of Asymmetric Stochastic Volatility Models for Stock-Exchange Index Returns. (2009). Salido, Roman Minguez ; Centeno, Maria Garcia .
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:15:y:2009:i:1:p:71-87.

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14. Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes. (2009). Haas, Markus.
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15. A NEW MODEL FOR STOCK PRICE MOVEMENTS. (2008). Venier, Guido.
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16. Realized Volatility: A Review. (2008). Medeiros, Marcelo.
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17. A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries. (2008). Medeiros, Marcelo.
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18. Forecasting volatility: Evidence from the Macedonian stock exchange. (2007). Kovačić, Zlatko ; Kovai, Zlatko .
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19. Realized volatility: a review. (2006). Medeiros, Marcelo.
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20. An introduction to univariate GARCH models. (2006). Teräsvirta, Timo ; Terasvirta, Timo.
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21. The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications. (2005). Radchenko, Stanislav ; Korenok, Oleg.
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22. The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications. (2005). Radchenko, Stanislav ; Korenok, Oleg.
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23. Stochastic volatility models and the Taylor effect. (2004). Ruiz, Esther ; Perez, Ana ; Mora-Galan, Alberto.
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1. Improving variance forecasts: The role of Realized Variance features. (2023). Tzavalis, Elias ; Rompolis, Leonidas ; Papantonis, Ioannis.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237.

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2. Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Tzavalis, Elias ; Papantonis, Ioannis ; Elias, Tzavalis ; Leonidas, Rompolis ; Ioannis, Papantonis ; Orestis, Agapitos.
   In: Studies in Nonlinear Dynamics & Econometrics.
   RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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3. COVID Asymmetric Impact on the Risk Premium of Developed and Emerging Countries’ Stock Markets. (2022). Santillán-Salgado, Roberto ; Santillan-Salgado, Roberto Joaquin ; Contreras-Valdez, Mario Ivan ; Nuez-Mora, Jose Antonio.
   In: Mathematics.
   RePEc:gam:jmathe:v:10:y:2022:i:9:p:1353-:d:796644.

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4. Risk management of Bitcoin futures with GARCH models. (2022). Guo, Zi-Yi.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002671.

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5. Predicting VaR for Chinas stock market: A score-driven model based on normal inverse Gaussian distribution. (2022). Song, Shijia ; Li, Handong.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001429.

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6. Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models. (2020). Rodríguez, Gabriel ; Fernandez, Jean Pierre.
   In: Documentos de Trabajo / Working Papers.
   RePEc:pcp:pucwps:wp00484.

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7. Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique.
   In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
   RePEc:hal:cesptp:halshs-02119256.

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8. Time-Varying Skewness and Real Business Cycles. (2019). Phan, Toan ; Kent, Lance.
   In: Economic Quarterly.
   RePEc:fip:fedreq:00066.

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9. Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:212:y:2019:i:1:p:221-240.

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10. Fourier inference for stochastic volatility models with heavy-tailed innovations. (2018). Meintanis, Simos G ; Ebner, Bruno ; Klar, Bernhard.
    In: Statistical Papers.
    RePEc:spr:stpapr:v:59:y:2018:i:3:d:10.1007_s00362-016-0803-6.

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11. An empirical application of a stochastic volatility model with GH skew Students t-distribution to the volatility of Latin-American stock returns. (2018). Rodríguez, Gabriel ; Lafosse, Patricia Lengua ; Rodriguez, Gabriel.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:69:y:2018:i:c:p:155-173.

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12. Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Voigt, Stefan ; Hautsch, Nikolaus.
    In: Papers.
    RePEc:arx:papers:1709.06296.

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13. Empirical Performance of GARCH Models with Heavy-tailed Innovations. (2017). Guo, Zi-Yi.
    In: EconStor Preprints.
    RePEc:zbw:esprep:167626.

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14. Large-scale portfolio allocation under transaction costs and model uncertainty. (2017). Voigt, Stefan ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:582.

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15. GARCH Models with Fat-Tailed Distributions and the Hong Kong Stock Market Returns. (2017). Guo, Zi-Yi.
    In: International Journal of Business and Management.
    RePEc:ibn:ijbmjn:v:12:y:2017:i:9:p:28.

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16. Tail Behavior and Dependence Structure in the APARCH Model. (2017). Krzysztof, Podgorski ; Farrukh, Javed .
    In: Journal of Time Series Econometrics.
    RePEc:bpj:jtsmet:v:9:y:2017:i:2:p:48:n:2.

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17. Low and high prices can improve volatility forecasts during periods of turmoil. (2016). Fiszeder, Piotr ; Perczak, Grzegorz .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:398-410.

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18. A Stochastic Volatility Model with GH Skew Student’s t-Distribution: Application to Latin-American Stock Returns. (2015). Rodríguez, Gabriel ; Lengua, Patricia ; Rodriguez, Gabriel ; Bayes, Cristian .
    In: Documentos de Trabajo / Working Papers.
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19. Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns. (2013). Nakajima, Jouchi ; Jouchi, Nakajima.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:17:y:2013:i:5:p:499-520:n:2.

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20. Structural Change and Spurious Persistence in Stochastic Volatility. (2012). Krämer, Walter ; Messow, Philip ; Kramer, Walter.
    In: Ruhr Economic Papers.
    RePEc:zbw:rwirep:310.

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21. Models for stock returns. (2012). Nadarajah, Saralees.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:3:p:411-424.

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22. Structural Change and Spurious Persistence in Stochastic Volatility. (2012). Kramer, Walter ; Mess, Philip .
    In: Ruhr Economic Papers.
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23. Beyond the Sharpe ratio: An application of the Aumann–Serrano index to performance measurement. (2012). Pigorsch, Christian.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:8:p:2274-2284.

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24. Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution. (2012). Omori, Yasuhiro ; Nakajima, Jouchi.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3690-3704.

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25. A conditional variance tale from an emerging economys freely floating exchange rate. (2011). Kilic, Rehim.
    In: Applied Economics.
    RePEc:taf:applec:v:43:y:2011:i:19:p:2465-2480.

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26. Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions. (2011). Yang, Minxian.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:15:y:2011:i:3:n:6.

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27. Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Students t-Distribution Models. (2010). Omori, Yasuhiro ; Nakajima, Jouchi.
    In: CIRJE F-Series.
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28. Forecasting volatility with support vector machine-based GARCH model. (2010). Härdle, Wolfgang ; Hardle, Wolfgang K. ; Chen, Shiyi ; Jeong, Kiho.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:29:y:2010:i:4:p:406-433.

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29. Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution. (2010). Omori, Yasuhiro ; Nakajima, Jouchi.
    In: CARF F-Series.
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30. American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-41.

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31. Gamma stochastic volatility models. (2006). Sivakumar, Ranjini ; Balakrishna, N. ; Abraham, Bovas.
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32. Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH. (2006). Veiga, Helena ; Ruiz, Esther.
    In: DES - Working Papers. Statistics and Econometrics. WS.
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33. 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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34. A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns. (2004). Saikkonen, Pentti ; Lanne, Markku.
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35. The Mean Variance Mixing GARCH (1,1) model. (2004). Forsberg, Lars ; Eriksson, Anders.
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36. 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.
    In: Journal of Applied Econometrics.
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