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Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data. (2000). Wright, Jonathan ; Bollerslev, Tim.
In: Journal of Econometrics.
RePEc:eee:econom:v:98:y:2000:i:1:p:81-106.

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  1. Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19. (2023). Bhandari, Avishek ; Yousaf, Imran ; Mokni, Khaled ; Assaf, Ata.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002070.

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  2. Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework. (2022). Yelkenci, Tezer ; Baklaci, Hasan Fehmi.
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:12:y:2022:i:2:d:10.1007_s40822-022-00209-5.

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  3. Testing Long memory in exchange rates and its implications for the adaptive market hypothesis. (2022). Frommel, Michael ; Asif, Raheel.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000140.

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  5. Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:36:y:2021:i:5:p:544-565.

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  6. Modeling fractional cointegration between high and low stock prices in Asian countries. (2021). Sibbertsen, Philipp ; Afzal, Alia.
    In: Empirical Economics.
    RePEc:spr:empeco:v:60:y:2021:i:2:d:10.1007_s00181-019-01784-4.

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  7. Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina.
    In: Working Papers.
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  8. Pitfalls in long memory research. (2020). , Chandrashekhar ; Madhavan, Vinodh ; Saha, Kunal ; McMillan, David ; Shekhar, Chandra.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1733280.

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  9. The Long Memory of Equity Volatility and the Macroeconomy: International Evidence. (2020). Prokopczuk, Marcel ; Benno, Duc Binh ; Drager, Lena ; Sibbertsen, Philipp.
    In: Hannover Economic Papers (HEP).
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  10. Temporal Aggregation and Long Memory for Asset Price Volatility. (2020). Perron, Pierre ; Shi, Wendong.
    In: JRFM.
    RePEc:gam:jjrfmx:v:13:y:2020:i:8:p:182-:d:399544.

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  11. The memory of stock return volatility: Asset pricing implications. (2020). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:47:y:2020:i:c:s138641811830140x.

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  12. Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/6ummnc8nko827b2luohnctekk7.

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  13. Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Post-Print.
    RePEc:hal:journl:hal-03403589.

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  14. Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:157:y:2019:i:c:p:15-41.

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  15. Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility. (2018). Rodrigues, Paulo ; Demetrescu, Matei ; Rubia, Antonio.
    In: Working Papers.
    RePEc:ptu:wpaper:w201817.

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  16. The Long Memory of Equity Volatility: International Evidence. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-614.

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  17. The Memory of Stock Return Volatility: Asset Pricing Implications. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-613.

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  18. Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading. (2017). Leal, Sandrine Jacob ; Napoletano, Mauro.
    In: Post-Print.
    RePEc:hal:journl:hal-01768876.

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  19. Long-range dependence in returns and volatility of global gold market amid financial crises. (2017). Omane-Adjepong, Maurice ; Boako, Gideon.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:472:y:2017:i:c:p:188-202.

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  20. Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger.
    In: Papers.
    RePEc:arx:papers:1610.00332.

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  21. Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel.
    In: CREATES Research Papers.
    RePEc:aah:create:2017-26.

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  22. The dynamics of expected returns: evidence from multi-scale time series modelling. (2016). Bianchi, Daniele ; Tamoni, Andrea.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:118992.

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  23. Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?. (2016). Fuertes, Ana-Maria ; Andrada-Felix, Julian ; Fernandez-Rodriguez, Fernando.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:3:p:695-715.

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  24. On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations. (2016). Auer, Benjamin R.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:16:y:2016:i:c:p:255-267.

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  25. On time-varying predictability of emerging stock market returns. (2016). Auer, Benjamin R.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:27:y:2016:i:c:p:1-13.

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  26. Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-03.

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  27. Exponential Smoothing, Long Memory and Volatility Prediction. (2015). Proietti, Tommaso.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-51.

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  28. On long memory behaviour and predictability of financial markets. (2014). Vo, Long ; Roberts, Leigh .
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    RePEc:vuw:vuwecf:3361.

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  29. On long memory behaviour and predictability of financial markets. (2014). Roberts, Leigh ; Vo, Long H.
    In: Working Paper Series.
    RePEc:vuw:vuwecf:18828.

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  30. Exponential Smoothing, Long Memory and Volatility Prediction. (2014). Proietti, Tommaso.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:319.

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  31. Exponential Smoothing, Long Memory and Volatility Prediction. (2014). Proietti, Tommaso.
    In: MPRA Paper.
    RePEc:pra:mprapa:57230.

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  32. Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals markets. (2014). Tripathy, Trilochan ; Gil-Alana, Luis.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:41:y:2014:i:c:p:31-39.

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  33. On the persistence and volatility in European, American and Asian stocks bull and bear markets. (2014). YAYA, OLAOLUWA ; Gil-Alana, Luis ; Shittu, Olanrewaju I..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:40:y:2014:i:c:p:149-162.

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  34. Do emerging markets become more efficient as they develop? Long memory persistence in equity indices. (2014). McGroarty, Frank ; Hull, Matthew .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:18:y:2014:i:c:p:45-61.

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  35. Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models. (2014). Perron, Pierre ; Shi, Wendong .
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2014-009.

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  37. Modelling volatility persistence and asymmetry: a study on selected Indian non-ferrous metals markets. (2013). Gil-Alaa, Luis Alberiko ; Tripathy, Trilochan.
    In: NCID Working Papers.
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  38. The Tunisian stock market index volatility: Long memory vs. switching regime. (2013). Charfeddine, Lanouar ; Ajmi, Ahdi Noomen.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:16:y:2013:i:c:p:170-182.

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  39. Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility. (2010). Evans, Kevin P. ; Speight, Alan E. H., .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:24:y:2010:i:1:p:82-101.

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  40. Long memory volatility in Chinese stock markets. (2010). Yoon, Seong-Min ; Cheong, Chongcheul ; Kang, Sang Hoon.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:7:p:1425-1433.

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  41. Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error. (2010). Lunde, Asger ; Hansen, Peter.
    In: CREATES Research Papers.
    RePEc:aah:create:2010-08.

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  42. More on the volatility-trading volume relationship in emerging markets: The Chinese stock market. (2009). Ureche-Rangau, Loredana ; ureche -Rangau, Loredana ; de Rorthays, Quiterie .
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    RePEc:taf:japsta:v:36:y:2009:i:7:p:779-799.

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  43. Rise of the machines: algorithmic trading in the foreign exchange market. (2009). Hjalmarsson, Erik ; Chaboud, Alain ; Vega, Clara ; Chiquoine, Benjamin .
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    RePEc:fip:fedgif:980.

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  44. What drives volatility persistence in the foreign exchange market?. (2009). Hjalmarsson, Erik ; Berger, David ; Chaboud, Alain .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:94:y:2009:i:2:p:192-213.

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  45. Multi-Factor Gegenbauer Processes and European Inflation Rates. (2009). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2648.

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  46. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1426.

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  47. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:7328.

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  48. Long-memory in high-frequency exchange rate volatility under temporal aggregation. (2008). Speight, Alan ; McMillan, David.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:8:y:2008:i:3:p:251-261.

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  49. Asymmetry and Long Memory Features in Volatility: Evidence From Korean Stock Market. (2008). Yoon, Seong-Min ; Kang, Sanghoon .
    In: Korean Economic Review.
    RePEc:kea:keappr:ker-20081231-24-2-04.

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  50. How long memory in volatility affects true dependence structure. (2008). de Melo Mendes, Beatriz Vaz, ; Kolev, Nikolai.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:17:y:2008:i:5:p:1070-1086.

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  51. Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model. (2008). Perron, Pierre ; Lu, Yang K..
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2008-012.

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  52. Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices. (2008). Qu, Zhongjun ; Perron, Pierre.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2008-004.

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  53. Complexity and the Character of Stock Returns: Empirical Evidence and a Model of Asset Prices Based on Complex Investor Learning. (2007). Linn, Scott ; Nicholas S. P. Tay, .
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    RePEc:inm:ormnsc:v:53:y:2007:i:7:p:1165-1180.

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  54. Long Memory Persistence in the Factor of Implied Volatility Dynamics. (2007). mungo, julius ; Härdle, Wolfgang ; Hardle, Wolfgang.
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    RePEc:hum:wpaper:sfb649dp2007-027.

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  55. Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns. (2007). Sun, Edward ; Fabozzi, Frank ; Rachev, Svetlozar.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:59:y:2007:i:6:p:575-595.

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  56. Heterogeneous information flows and intra-day volatility dynamics: evidence from the UK FTSE-100 stock index futures market. (2006). Alan E. H. Speight, ; McMillan, David G..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:16:y:2006:i:13:p:959-972.

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  57. Simple (but effective) tests of long memory versus structural breaks. (2006). Shimotsu, Katsumi.
    In: Working Papers.
    RePEc:qed:wpaper:1101.

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  58. Gaussian Semiparametric Estimation of Multivariate Fractionally Integrated Processes. (2006). Shimotsu, Katsumi.
    In: Working Papers.
    RePEc:qed:wpaper:1062.

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  59. Assessing inefficiency in euro bilateral exchange rates. (2006). Tabak, Benjamin ; Cajueiro, Daniel.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:367:y:2006:i:c:p:319-327.

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  60. Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility. (2005). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:12:y:2005:i:3:p:199-226.

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  61. Long memory volatility dependency, temporal aggregation and the Korean currency crisis: the role of a high frequency Korean won (KRW)-US dollar ($) exchange rate. (2005). Han, YoungWook .
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:17:y:2005:i:1:p:97-109.

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  62. Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997. (2005). Los, Cornelis ; Karuppiah, Jeyanthi.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:14:y:2005:i:2:p:211-246.

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  63. Modelling structural breaks, long memory and stock market volatility: an overview. (2005). Urga, Giovanni ; Banerjee, Anindya.
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    RePEc:eee:econom:v:129:y:2005:i:1-2:p:1-34.

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  64. The Warsaw Stock Exchange Index WIG: Modelling and Forecasting. (2005). Wdowinski, Piotr ; Zglinska-Pietrzak, Aneta.
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  65. Computing Conditional VaR using Time-varying CopulasComputing Conditional VaR using Time-varying Copulas. (2005). de Melo, Beatriz Vaz.
    In: Brazilian Review of Finance.
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  66. Can GARCH Models Capture Long-Range Dependence?. (2005). Maheu, John.
    In: Studies in Nonlinear Dynamics & Econometrics.
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  67. A wavelet analysis of scaling laws and long-memory in stock market volatility. (2005). Vuorenmaa, Tommi A.
    In: Research Discussion Papers.
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  68. Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity. (2004). van Dijk, Dick ; De Pooter, Michiel ; Martens, Martin .
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  69. Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures. (2004). Dark, Jonathan .
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  70. Structural change and long-range dependence in volatility of exchange rates: either, neither or both?. (2004). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: Journal of Empirical Finance.
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  71. Wavelet transform for log periodogram regression in long memory stochastic volatility model. (2004). Lee, Jin .
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  72. Estimation methods for stochastic volatility models: a survey. (2004). Ruiz, Esther ; Broto, Carmen.
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  73. A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates. (2003). GUEGAN, Dominique.
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  74. Gaussian semiparametric estimation of multivariate fractionally integrated processes. (2003). Shimotsu, Katsumi.
    In: Economics Discussion Papers.
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  75. LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS. (2002). Wright, Jonathan.
    In: Econometric Reviews.
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  76. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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  77. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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  78. The memory of stochastic volatility models. (2001). Robinson, Peter.
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  80. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. (2000). Wright, Jonathan.
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  81. Temporal Aggregation of Volatility Models. (2000). Renault, Eric ; Meddahi, Nour.
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    In: Economics Working Papers.
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  2. Estimating the Risk-Return Trade-off with Overlapping Data Inference. (2014). Hodrick, Robert ; Hedegaard, Esben .
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  3. The uncertainty of conditional returns, volatilities and correlations in DCC models. (2014). Ruiz, Esther ; Fresoli, Diego .
    In: DES - Working Papers. Statistics and Econometrics. WS.
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  4. 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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  5. El efecto de la volatilidad y del desalineamiento de la tasa de cambio real sobre la actividad de las empresas en Colombia. (2013). Ramirez-Giraldo, Maria ; Melo-Velandia, Luis ; Iregui, Ana ; Ana Maria Iregui B., ; Maria Teresa Ramirez G., ; Carmen Cecilia Delgado R., .
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  6. Forecasting financial volatility with combined QML and LAD-ARCH estimators of the GARCH model. (2013). Galbraith, John ; Cheung, Liam .
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  7. Efecto de la volatilidad y del desalineamiento de la tasa de cambio real sobre la actividad de las empresas en Colombia. (2013). Ramirez-Giraldo, Maria ; Melo-Velandia, Luis ; Iregui, Ana.
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  8. On the Univariate Representation of BEKK Models with Common Factors. (2012). Palm, Franz ; Laurent, Sébastien ; Hecq, Alain ; Palm Franz C., .
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  9. Aggregation and marginalization of GARCH processes: some further results. (2012). Sbrana, Giacomo.
    In: METRON.
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  10. Conditionally heteroskedastic factor models with skewness and leverage effects. (2012). Dovonon, Prosper.
    In: MPRA Paper.
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  11. On the Univariate Representation of Multivariate Volatility Models with Common Factors. (2011). Palm, Franz ; Laurent, Sébastien ; Hecq, Alain.
    In: Research Memorandum.
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  12. Pricing Central Tendency in Volatility. (2011). Khrapov, Stanislav.
    In: Working Papers.
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  13. Portfolio Risk Analysis. (2010). Connor, Gregory ; Korajczyk, Robert A ; Goldberg, Lisa R.
    In: Economics Books.
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  14. Robust Estimation and Forecasting of the Capital Asset Pricing Model. (2010). Wong, Wing-Keung ; McAleer, Michael ; Bian, G..
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  15. Robust Estimation and Forecasting of the Capital Asset Pricing Model. (2010). Wong, Wing-Keung ; McAleer, Michael ; Bian, G..
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  16. Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons. (2009). Subbotin, Alexandre .
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  17. Volatility Models : from GARCH to Multi-Horizon Cascades. (2009). Subbotin, Alexander ; Chauveau, Thierry ; Shapovalova, Kateryna .
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  18. Temporal aggregation of multivariate GARCH processes. (2008). Hafner, Christian.
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  19. AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE. (2008). Pacurar, Maria .
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  20. Properties of optimal forecasts under asymmetric loss and nonlinearity. (2007). Timmermann, Allan ; Patton, Andrew.
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  21. GARCH and irregularly spaced data. (2006). Werker, Bas ; Renault, Eric ; Meddahi, Nour.
    In: Economics Letters.
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  22. Volatility Forecasting. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
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  23. Temporal aggregation of multivariate GARCH processes. (2004). Hafner, Christian.
    In: Econometric Institute Research Papers.
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  24. Testing for causality in variance using multivariate GARCH models. (2004). Hafner, Christian ; HERWARTZ, H..
    In: Econometric Institute Research Papers.
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  25. On time-scaling of risk and the square–root–of–time rule. (2003). Danielsson, Jon ; Zigrand, Jean-Pierre.
    In: LSE Research Online Documents on Economics.
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  26. Estimating semiparametric ARCH (8) models by kernel smoothing methods. (2003). LINTON, OLIVER ; Mammen, Enno.
    In: LSE Research Online Documents on Economics.
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  27. The central bank as a risk manager: quantifying and forecasting inflation risks. (2003). Manganelli, Simone ; Kilian, Lutz.
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  28. Contemporaneous asymmetry in GARCH processes. (2001). Zakoian, Jean-Michel ; El Babsiri, Mohamed ; ELBABSIRI, Mohamed .
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  29. Financial econometrics: Past developments and future challenges. (2001). Bollerslev, Tim.
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  30. Consistent Estimation for Aggregated GARCH. (2001). Komunjer, Ivana.
    In: University of California at San Diego, Economics Working Paper Series.
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  31. Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data. (2000). Wright, Jonathan ; Bollerslev, Tim.
    In: Journal of Econometrics.
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  32. Modeling the interdependence of volatility and inter-transaction duration processes. (1999). Grammig, Joachim ; Wellner, Marc .
    In: SFB 373 Discussion Papers.
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  33. Nonparametric autoregression with multiplicative volatility and additive mean. (1998). Yang, Lijian ; Härdle, Wolfgang ; Nielsen, Jens P. ; Hardle, Wolfgang.
    In: SFB 373 Discussion Papers.
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  34. Effet des modes de négociation sur les échanges. (1998). Le Fol, Gaelle ; gourieroux, christian.
    In: Revue Économique.
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  35. Testing for GARCH effects: a one-sided approach. (1998). Sentana, Enrique ; Demos, Antonis.
    In: Journal of Econometrics.
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  36. Efficient estimation in semiparametric GARCH models. (1997). Drost, Feike C. ; Klaassen, Chris A. J., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:81:y:1997:i:1:p:193-221.

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  37. The econometrics of financial markets. (1996). pagan, adrian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

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  38. Closing the GARCH gap: Continuous time GARCH modeling. (1996). Werker, Bas ; Drost, Feike C..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:74:y:1996:i:1:p:31-57.

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  39. Fractionally integrated generalized autoregressive conditional heteroskedasticity. (1996). Bollerslev, Tim ; Baillie, Richard ; Mikkelsen, Hans Ole.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:74:y:1996:i:1:p:3-30.

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  40. Marginalization and contemporaneous aggregation in multivariate GARCH processes. (1996). Sentana, Enrique ; Nijman, Theo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:71:y:1996:i:1-2:p:71-87.

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  41. Bands and statistical properties of EMS exchange rates : A Monte Carlo investigation of three target zone model. (1991). Beetsma, Roel ; Beetsma, R. M. W. J., .
    In: Other publications TiSEM.
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  42. Recent developments in modeling volatility in financial data. (1991). Palm, F C ; Nijman, T E.
    In: Other publications TiSEM.
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  43. Bands and statistical properties of EMS exchange rates : A Monte Carlo investigation of three target zone model. (1991). Beetsma, Roel ; Beetsma, R. M. W. J., .
    In: Discussion Paper.
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  44. Recent developments in modeling volatility in financial data. (1991). Palm, Franz ; Nijman, Theo.
    In: Discussion Paper.
    RePEc:tiu:tiucen:0c1ff78c-d484-43bb-bcc3-a079fd10f9d4.

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  45. es modéles ARCH en finance : un point sur la théorie et les résultats empiriques. (1991). Jayaraman, Narayanan ; Kroner, Kenneth F ; Bollerslev, Tim ; Chou, Ray Y.
    In: Annals of Economics and Statistics.
    RePEc:adr:anecst:y:1991:i:24:p:1-59.

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  46. Empirical tests of a simple pricing model for sugar futures. (1990). Beetsma, Roel ; Beetsma, R. M. W. J., ; Nijman, T E.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:319a41dd-cefc-4842-b4e7-1c78fe7264db.

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  47. Empirical tests of a simple pricing model for sugar futures. (1990). Nijman, Theo ; Beetsma, Roel ; Beetsma, R. M. W. J., .
    In: Discussion Paper.
    RePEc:tiu:tiucen:319a41dd-cefc-4842-b4e7-1c78fe7264db.

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  48. Statistical Modeling of Stock Returns: A Historical Survey with Methodological Reflections. (). Kourogenis, Nikolaos ; Koundouri, Phoebe ; Pittis, Nikitas.
    In: DEOS Working Papers.
    RePEc:aue:wpaper:1226.

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