1. Estimation of Large Financial Covariances: A Cross-Validation Approach. (2023). , Vincent ; Zohren, Stefan.
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2. A dimension reduction method for stock-price prediction using multiple predictors. (2022). Ghorbani, Mahsa.
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3. Portfolio Optimization based on Neural Networks Sensitivities from Assets Dynamics respect Common Drivers. (2022). Rodriguez, Alejandro.
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4. Stock price prediction using principal components. (2020). Ghorbani, Mahsa.
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5. Emergence of correlations between securities at short time scales. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien.
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6. Emergence of correlations between securities at short time scales. (2018). Valeyre, S ; Aboura, S ; Grebenkov, D S.
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7. Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case. (2011). Nowak, Maciej ; Jurkiewicz, Jerzy ; Zahed, Ismail ; Papp, Gabor ; Jarosz, Andrzej.
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8. Empirical properties of large covariance matrices. (2011). Zumbach, Gilles.
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9. The asymptotic spectrum of the EWMA covariance estimator. (2007). Svensson, Jens .
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10. Non-stationary correlation matrices and noise. (2007). Martins, Andre C. R., .
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11. Randomly generating portfolio-selection covariance matrices with specified distributional characteristics. (2007). Qi, Yue ; Steuer, Ralph E. ; Hirschberger, Markus.
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1. Una aproximación a la dinámica de las tasas de interés de corto plazo en Colombia a través de modelos GARCH multivariados. (2006). Melo-Velandia, Luis ; Becerra, Oscar ; oscar Reinaldo Becerra Camargo, .
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2. Beta Risk and Regime Shift in Market Volatility. (2004). Galagedera, Don ; Shami, Roland .
   In: Finance.
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3. Classifying the Markets Volatility with ARMA Distance Measures. (2004). Otranto, Edoardo.
   In: Econometrics.
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4. A Behavioural Asset Pricing Model with a Time-Varying Second Moment. (2004). He, Xuezhong (Tony) ; Wang, Duo.
   In: Research Paper Series.
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5. Hedging against bunker price fluctuations using petroleum futures contracts: constant versus time-varying hedge ratios. (2004). Kavussanos, Manolis ; Alizadeh, Amir ; Menachof, David A..
   In: Applied Economics.
   RePEc:taf:applec:v:36:y:2004:i:12:p:1337-1353.

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6. The volatility impact of the European monetary system on member and non-member currencies. (2004). Hu, Michael Y. ; Tsoukalas, Christos ; Jiang, Christine X..
   In: Applied Financial Economics.
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7. Volatility forecasting: evidence from a fractional integrated asymmetric power ARCH skewed-t model. (2004). Degiannakis, Stavros.
   In: Applied Financial Economics.
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8. Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization. (2004). Potters, Marc ; Kondor, Imre ; Pafka, Szilard.
   In: Science & Finance (CFM) working paper archive.
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9. Short-Term Dependencies between the Volatility of Currency, Money and Capital Markets: The Case of Poland. (2004). Kelm, Robert ; Brzeszczynski, Janusz.
   In: CERT Discussion Papers.
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10. Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor. (2004). Fernandes, Marcelo ; Araujo, Fabio.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:134.

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11. Effects of Level Outliers on the Identification and Estimation of GARCH Models. (2004). Ruiz, Esther ; Carnero, M. Angeles ; Pereira, D..
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:21.

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12. Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices. (2004). Ooms, Marius ; Koopman, Siem Jan ; Carnero, M. Angeles.
    In: Econometric Society 2004 Australasian Meetings.
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13. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
    In: American Economic Review.
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14. Testing for Changes in the Unconditional Variance of Financial Time Series. (2003). Sansó, Andreu ; Carrion-i-Silvestre, Josep ; Arago, Vicent.
    In: DEA Working Papers.
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15. Comparing forecasting ability of parametric and non-parametric methods: an application with Canadian monthly interest rates. (2003). Saltoğlu, Burak ; Burak Saltoğlu, .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:3:p:169-176.

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16. Testing for Longer Horizon Predictability of Return Volatility with an Application to the German. (2003). Raunig, Burkhard.
    In: Working Papers.
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17. 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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18. Detecting level shifts in the presence of conditional heteroscedasticity.. (2003). Ruiz, Esther ; Peña, Daniel ; Carnero, M. Angeles ; Pea, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
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19. A Score Test for Discreteness in GARCH Models. (2002). Amilon, Henrik.
    In: Research Paper Series.
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20. Autoregressive conditional root model. (2002). Shephard, Neil ; Rahbek, Anders.
    In: Economics Papers.
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21. 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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22. Volatility Estimation via Hidden Markov Models.. (2002). Rossi, Alessandro ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
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23. An Evaluation Framework for Alternative VaR Models. (2002). Wolff, Christian ; Lehnert, Thorsten ; Bams, Dennis.
    In: CEPR Discussion Papers.
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24. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-58.

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25. Which Volatility Model for Option Valuation?. (2002). Jacobs, Kris.
    In: CIRANO Working Papers.
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26. Computationally-intensive Econometrics using a Distributed Matrix-programming Language. (2001). Shephard, Neil ; Hendry, David ; Doornik, Jurgen.
    In: Economics Papers.
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27. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. (2001). Shephard, Neil.
    In: Economics Papers.
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28. A flexible parametric GARCH model with an application to exchange rates. (2001). McDonald, James ; Fawson, Chris ; Barrett, Christopher ; Wang, Kai-Li.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:16:y:2001:i:4:p:521-536.

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29. Rentabilidad y liquidez alrededor de la fecha de desdoblamiento de las acciones. (2001). Gomez Sala, Juan ; Gomez-Sala, Juan Carlos.
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:25:y:2001:i:1:p:171-202.

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30. Modelling Scale-Consistent VaR with the Truncated Lévy Flight. (2001). Wolff, Christian ; Lehnert, Thorsten.
    In: CEPR Discussion Papers.
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31. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-65.

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32. The Distribution of Stock Return Volatility. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Ebens, Heiko.
    In: Center for Financial Institutions Working Papers.
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33. Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices. (2000). Kogan, Leonid ; Chan, Yeung Lewis .
    In: Rodney L. White Center for Financial Research Working Papers.
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34. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
    In: Econometric Society World Congress 2000 Contributed Papers.
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35. Multimodality and the GARCH Likelihood. (2000). Ooms, Marius ; Doornik, Jurgen.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0798.

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36. Testing for a Unit Root with Near-Integrated Volatility. (2000). Boswijk, H. Peter.
    In: CeNDEF Working Papers.
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37. Performance of control charts for autoregressive conditional heteroscedastic processes. (1999). fang, yue ; YUE FANG, JOHN ZHANG, .
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:26:y:1999:i:6:p:701-714.

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38. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-061.

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39. High frequency data, frequency domain inference and volatility forecasting. (1999). Wright, Jonathan ; Bollerslev, Tim.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:649.

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40. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
    In: Center for Financial Institutions Working Papers.
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41. Horizon Problems and Extreme Events in Financial Risk Management. (1998). Schuermann, Til ; Diebold, Francis.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:98-16.

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42. Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment. (1998). Bollerslev, Tim ; Anderson, Torben G. ; Das, Ashish.
    In: NBER Working Papers.
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43. Aggregations and Marginalization of GARCH and Stochastic Volatility Models. (1998). Renault, Eric ; Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:9818.

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44. Quadratic M-Estimators for ARCH-Type Processes. (1998). Renault, Eric ; Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:9814.

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45. : A Risk Management Approach to Optimal Asset Allocation. (1998). Wickens, Michael ; Flavin, Thomas J..
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n851298.

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46. Filtering via simulation: auxiliary particle filters. (1997). Shephard, Neil ; Pitt, Michael K.
    In: Economics Papers.
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47. Is implied correlation worth calculating? Evidence from foreign exchange options and historical data. (1997). Lopez, Jose ; Walter, Christian.
    In: Research Paper.
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48. One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -. (1996). Kaiser, Thomas.
    In: Econometrics.
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49. Stochastic volatility: likelihood inference and comparison with ARCH models.. (1996). Shephard, Neil ; Chib, Siddhartha.
    In: Economics Papers.
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50. Evaluating the predictive accuracy of volatility models. (1995). Lopez, Jose.
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