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2. Models with Short-Term Variations and Long-Term Dynamics in Risk Management of Commodity Derivatives. (2017). Guo, Zi-Yi.
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3. Martingale Regressions for a Continuous Time Model of Exchange Rates. (2017). Guo, Zi-Yi.
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4. Comparison of Error Correction Models and First-Difference Models in CCAR Deposits Modeling. (2017). Guo, Zi-Yi.
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5. GARCH model and fat tails of the Chinese stock market returns - New evidences. (2017). Day, Michael ; Diamond, Mark ; Xu, Jianping ; Card, Jeff ; Hurd, Jake .
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6. Heavy-tailed Distributions and Risk Management of Equity Market Tail Events. (2017). Guo, Zi-Yi.
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7. Volatility Clustering, New Heavy-Tailed Distribution and the Stock Market Returns in South Korea. (2017). Hong, Yoon ; Lee, Ji-Chul ; Ding, Guoping.
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1. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. (2014). Floros, Christos ; Degiannakis, Stavros ; Dent, Pamela .
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2. Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012. (2013). Ardia, David ; Hoogerheide, Lennart F..
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3. Measuring contagion between energy market and stock market during financial crisis: A copula approach. (2012). Wei, YU ; Wen, Xiaoqian ; Huang, Dengshi.
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4. Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model. (2011). Prono, Todd ; Todd, Prono.
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5. Modeling International Financial Returns with a Multivariate Regime Switching Copula. (2008). Valdesogo Robles, Alfonso ; Heinen, Andréas ; Chollete, Loran.
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6. Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach. (2008). Laurent, Sébastien ; Lambert, Philippe.
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7. Joint Diagnostic Tests for Conditional Mean and Variance Specifications. (2006). Escanciano, Juan Carlos.
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8. Investor preferences and portfolio selection: is diversification an appropriate strategy?. (2006). Hueng, C. ; Yau, Ruey.
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9. Normal mixture GARCH(1,1): applications to exchange rate modelling. (2006). Lazar, Emese ; Alexander, Carol.
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10. Regime switching GARCH models. (2006). Rombouts, Jeroen ; Bauwens, Luc ; Preminger, Arie.
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11. Regime switching GARCH models. (2006). Rombouts, Jeroen ; Bauwens, Luc ; Jeroen, ROMBOUTS ; Arie, Preminger ; Luc, Bauwens.
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12. Intra-Daily FX Optimal Portfolio Allocation. (2006). Ben Omrane, Walid ; Bauwens, Luc ; Erick, Rengifo ; Walid, BEN OMRANE ; Luc, Bauwens.
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13. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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14. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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15. Forecasting Distributions with Experts Advice. (2005). Sancetta, Alessio.
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16. Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices. (2005). Sancetta, Alessio ; Nikanrova, Arina.
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17. Dynamic Optimal Portfolio Selection in a VaR Framework. (2004). Rombouts, Jeroen ; Rengifo, E. W..
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18. A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns. (2004). Saikkonen, Pentti ; Lanne, Markku.
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19. Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity. (2004). Kao, Chihwa ; Hong, Yongmiao.
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20. The Mean Variance Mixing GARCH (1,1) model. (2004). Forsberg, Lars ; Eriksson, Anders.
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21. Asymmetry, Loss Aversion and Forecasting. (2004). Satchell, Stephen E. ; Bond, Shaun A..
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22. A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets. (2004). den Goorbergh, Rob van.
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23. Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations. (2004). Sentana, Enrique ; Mencia, Javier.
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24. Conditional skewness modelling for stock returns. (2003). Brännäs, Kurt ; Nordman, Niklas.
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25. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis.
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26. Weather Forecasting for Weather Derivatives. (2003). Diebold, Francis ; Campbell, Sean D..
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27. Value-at-risk for long and short trading positions. (2003). Laurent, Sébastien ; Giot, Pierre.
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28. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns. (2003). McCurdy, Thomas ; Maheu, John.
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29. Backtesting Value-at-Risk: A Duration-Based Approach. (2003). Pelletier, Denis.
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30. Accouting for Biases in Black-Scholes. (2002). Wu, Liuren ; Foresi, Silverio .
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31. Weather Forecasting for Weather Derivatives. (2002). Diebold, Francis ; Campbell, Sean D..
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32. Evaluating Density Forecasts with an Application to Stock Market Returns. (2002). Raunig, Burkhard ; de Raaij, Gabriela.
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33. Common factors in conditional distributions. (2002). Teräsvirta, Timo ; Patton, Andrew.
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34. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis.
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35. Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate. (2002). Campbell, Sean D..
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36. A flexible parametric GARCH model with an application to exchange rates. (2001). McDonald, James ; Fawson, Chris ; Barrett, Christopher ; Wang, Kai-Li.
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37. Testing densities with financial data: an empirical comparison of the Edgeworth-Sargan density to the Students t. (2000). Perote, Javier ; Mauleón, Ignacio.
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38. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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39. Density Forecasting: A Survey. (2000). Wallis, Kenneth ; Tay, Anthony S.
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40. Testing Shifts in Financial Models with Conditional Heteroskedasticity: An Empirical Distribution Function Approach. (2000). Lin, Shinn-Juh ; Yang, Jian.
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41. Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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42. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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43. 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.
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44. Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities. (1998). Veronesi, Pietro ; David, Alexander.
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45. 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.
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46. Quadratic M-Estimators for ARCH-Type Processes. (1998). Renault, Eric ; Meddahi, Nour.
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49. Optimal Prediction Under Asymmetric Loss. (). Diebold, Francis.
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50. Further Results on Forecasting and Model Selection Under Asymmetric Loss. (). Diebold, Francis.
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