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Modeling volatility dynamics. (1995). Lopez, Jose ; Diebold, Francis.
In: Research Paper.
RePEc:fip:fednrp:9522.

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  1. Forecasting exchange rate: A bibliometric and content analysis. (2023). Junior, Eli Hadad ; de Souza, Camila.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:83:y:2023:i:c:p:607-628.

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  2. The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423.

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  3. Value at Risk Estimation For the BRICS Countries : A Comparative Study. (2021). KHEFACHA, ISLEM ; Safer, Imene ; ben Salem, Ameni.
    In: Post-Print.
    RePEc:hal:journl:hal-03502428.

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  4. Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods. (2021). Rodríguez, Gabriel ; Garrafa-Aragon, Hernan B ; Rodriguez, Gabriel ; Abanto-Valle, Carlos A.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:80:y:2021:i:c:p:272-286.

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  5. Real options appraisal of forestry investments under information scarcity in biomass markets. (2021). Bangueses, Ricardo ; Mouta-Lopes, Manuel ; Zambujal-Oliveira, Joo .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420717306335.

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  6. Simulation of Nonstationary Spring Discharge Using Time Series Models. (2017). Fan, Y ; Zhan, H ; Wang, B ; Liu, Y ; Hao, Y.
    In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA).
    RePEc:spr:waterr:v:31:y:2017:i:15:d:10.1007_s11269-017-1783-6.

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  7. Long Run Dynamic Volatilities between OPEC and non-OPEC Crude Oil Prices. (2016). Ghassan, Hassan ; Alhajhoj, Hassan R.
    In: MPRA Paper.
    RePEc:pra:mprapa:69962.

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  8. INVESTIGATION ON THE CAUSAL RELATIONSHIP BETWEEN INFLATION, OUTPUT GROWTH AND THEIR UNCERTAINTIES IN ROMANIA. (2016). Asandului, Mircea ; Pintilescu, Carmen ; JEMNA, Danut-Vasile ; VIORICA, Elena-Daniela .
    In: Review of Economic and Business Studies.
    RePEc:aic:revebs:y:2016:j:17:pintilescuc.

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  9. A Threshold Cointegration Analysis of Asymmetric Adjustment of OPEC and non-OPEC Monthly Crude Oil Prices. (2014). Ghassan, Hassan ; Banerjee, Prashanta K..
    In: MPRA Paper.
    RePEc:pra:mprapa:62168.

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  10. Aggregational Gaussianity and barely infinite variance in financial returns. (2013). Kourogenis, Nikolaos ; Koundouri, Phoebe ; Antypas, Antonios .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:20:y:2013:i:c:p:102-108.

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  11. Inflation and inflation uncertainty: A dynamic framework. (2012). YILDIRIM, JULIDE ; Yalcin, Yeliz ; Berument, Hakan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:20:p:4816-4826.

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  12. Flight-to-quality and asymmetric volatility responses in US Treasuries. (2009). TAMBAKIS, DEMOSTHENES ; Dungey, Mardi ; McKenzie, Michael .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:19:y:2009:i:3:p:252-267.

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  13. Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models. (2009). Agnolucci, Paolo.
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:2:p:316-321.

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  14. The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework. (2009). YILDIRIM, JULIDE ; Yalcin, Yeliz ; Berument, Hakan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:6:p:1201-1207.

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  15. Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Christoffersen, Peter ; Elkamhi, Redouane ; Jacobs, Kris.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-33.

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  16. Three-factor profile analysis with GARCH innovations. (2008). Wong, Wing-Keung ; Leung, Pui-Lam .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:77:y:2008:i:1:p:1-8.

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  17. Volume- and size-related lead-lag effects in stock returns and volatility: An empirical investigation of the Warsaw Stock Exchange. (2008). Gebka, Bartosz.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:17:y:2008:i:1:p:134-155.

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  18. Glossary to ARCH (GARCH). (2008). Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-49.

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  19. A conditional extreme value volatility estimator based on high-frequency returns. (2007). Weinbaum, David ; Bali, Turan G..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:2:p:361-397.

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  20. Asymmetry and downside risk in foreign exchange markets. (2006). Bond, Shaun ; Satchell, Stephen.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:12:y:2006:i:4:p:313-332.

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  21. An introduction to univariate GARCH models. (2006). Teräsvirta, Timo ; Terasvirta, Timo.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0646.

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  22. 25 years of time series forecasting. (2006). Hyndman, Rob ; Gooijer, Jan G..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:22:y:2006:i:3:p:443-473.

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  23. Second Order Filter Distribution Approximations for Financial Time Series with Extreme Outliers. (2005). Santos, Antonio ; Smith, J. Q..
    In: GEMF Working Papers.
    RePEc:gmf:wpaper:2005-11.

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  24. Testing for persistence in stock returns with GARCH-stable shocks. (2004). McCulloch, J. Huston ; Bidarkota, Prasad.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:4:y:2004:i:3:p:256-265.

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  25. The Nobel Memorial Prize for Robert F. Engle. (2004). Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:04-010.

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  26. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2003). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:1:p:38-62.

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  27. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-23.

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  28. The stochastic volatility in mean model: empirical evidence from international stock markets. (2002). Koopman, Siem Jan ; Uspensky, Eugenie Hol .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:6:p:667-689.

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  29. Volatility clustering and nontrading days in Chinese stock markets. (2002). Friedmann, Ralph ; Sanddorf-Kohle, Walter G..
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:54:y:2002:i:2:p:193-217.

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  30. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Anderson, Torben G..
    In: Working Papers.
    RePEc:ecl:upafin:02-1.

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  31. TRADING COLLAR, INTRADAY, PERIODICITY, AND STOCK MARKET VOLATILITY. (2002). Ergun, Tolga A. ; Aradhyula, Satheesh.
    In: 2002 Annual meeting, July 28-31, Long Beach, CA.
    RePEc:ags:aaea02:19630.

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  32. Price Volatility and Financial Instability. (2001). Worrell, Rupert D ; Leon, Gene L.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2001/060.

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  33. Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility. (2000). Koopman, Siem Jan ; Hol, Eugenie .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20000104.

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  34. The Stochastic Volatility in Mean Model. (2000). Koopman, Siem Jan ; Uspensky, Eugenie Hol .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20000024.

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  35. Temporal Aggregation of Volatility Models. (2000). Renault, Eric ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-22.

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  36. Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities. (2000). Barnes, Michelle ; Pedro J. F. de Lima, .
    In: School of Economics Working Papers.
    RePEc:adl:wpaper:2000-05.

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  37. Exchange rate regime, volatility and international correlations on bond and stock markets. (1999). Bodart, Vincent ; Reding, Paul.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:18:y:1999:i:1:p:133-151.

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  38. Horizon Problems and Extreme Events in Financial Risk Management. (1998). Schuermann, Til ; Diebold, Francis ; Christoffersen, Peter.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:98-16.

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  39. Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management. (1998). Schuermann, Til ; Diebold, Francis ; Stroughair, John D..
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:98-10.

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  40. Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange. (1998). Okay, Nesrin.
    In: MPRA Paper.
    RePEc:pra:mprapa:52812.

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  41. Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think. (1997). Schuermann, Til ; Inoue, Atsushi ; Diebold, Francis ; Hickman, Andrew.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:97-34.

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  42. Monetary volatility and real output volatility: An empirical model of the financial transmission mechanism in Australia. (1997). Kearney, Colm ; Daly, Kevin.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:6:y:1997:i:2:p:77-95.

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  43. Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models. (1996). Schuermann, Til ; Diebold, Francis.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0194.

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