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Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills. (1988). Rothschild, Michael ; Engle, Robert.
In: NBER Technical Working Papers.
RePEc:nbr:nberte:0065.

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  1. A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets. (2004). van den Goorbergh, Rob.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:022.

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  2. Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation. (2004). Renault, Eric ; Doz, Catherine.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-37.

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  3. Tests for Breaks in the Conditional Co-movements of Asset Returns. (2002). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-59.

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  4. The Integration of Financial Markets and the Conduct of Monetary Policies: The Case of Canada and the United States. (1999). Normandin, Michel.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:67.

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  5. Maturity structure of term premia with time-varying expected returns. (1996). Hooker, Mark A..
    In: Working Papers.
    RePEc:fip:fedbwp:96-4.

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  6. Modeling Returns on the Term Structure of Treasury Interest Rates. (1995). Bekdache, Basma ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:288.

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  7. Volatiltiy and Links Between National Stock Markets. (1990). Wadhwani, Sushil ; Sentana, Enrique ; King, Mervyn .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3357.

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