Baillie, Richard and William P. Osterberg, (1998), Central bank intervention and overnight uncovered interest rate parity, No 9823, Working Papers (Old Series), Federal Reserve Bank of Cleveland

Bauwens, Luc; Dagfinn Rime and Genaro Sucarrat, (2005), Exchange Rate Volatility and the Mixture of Distribution Hypothesis, No 2005043, Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques

Bauwens, Luc and Genaro Sucarrat, (2006), General to Specific Modelling of Exchange Rate Volatility: a Forecast Evaluation, No 2006013, Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques

Beaulieu, Marie-Claude, (1995), Rendements boursiers et inflation, L'Actualité Economique, 71, (4), 455-480

Bekaert, Geert; Campbell Harvey and Christian Lundblad, (2005), Liquidity and Expected Returns: Lessons From Emerging Markets, No 11413, NBER Working Papers, National Bureau of Economic Research, Inc

Black, Angela and David McMillan, (2004), Long run trends and volatility spillovers in daily exchange rates, Applied Financial Economics, 14, (12), 895-907

Bohl, Martin T. and Janusz Brzeszczynski, (2005), Do Institutional Investors Destabilize Stock Prices? Evidence from an Emerging Market, No 0501, CERT Discussion Papers, Centre for Economic Reform and Transformation, Heriot Watt University

Bollerslev, Tim and Eric Ghysels, (1994), On Periodic Autogressive Conditional Heteroskedasticity, CIRANO Working Papers, CIRANO

Bontemps, Christian and Nour Meddahi, (2002), Testing Normality: A GMM Approach, CIRANO Working Papers, CIRANO

Campa, Jose and P. H. Kevin Chang, (1997), The Forecasting Ability of Correlations Implied in Foreign Exchange Options, No 5974, NBER Working Papers, National Bureau of Economic Research, Inc

Campbell, Sean D. and Canlin Li, (2004), Alternative estimates of the presidential premium, No 2004-69, Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

Campbell, Sean D. and Francis Diebold, (2003), Weather Forecasting for Weather Derivatives, No 10141, NBER Working Papers, National Bureau of Economic Research, Inc

Canarella, Giorgio; Stephen Miller and Stephen K. Pollard, (2008), Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience, No 2008-49, Working papers, University of Connecticut, Department of Economics

Canarella, Giorgio; Stephen Miller and Stephen Pollard, (2009), Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience, No 0905, Working Papers, University of Nevada, Las Vegas , Department of Economics

Caporale, Guglielmo Maria; Christos Ntantamis; Theologos Pantelidis and Nikitas Pittis, (2004), The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification. A Monte Carlo Study, No 156, Economics Series, Institute for Advanced Studies

Carvalho, Ana Filipa; Jose Sa da Costa and Jose Assis Lopes, (2006), A systematic modelling strategy for futures markets volatility, Applied Financial Economics, 16, (11), 819-833

Chan, K.C.; G. Karolyi and René Stulz, (1992), Global Financial Markets and the Risk Premium on U.S. Equity, No 4074, NBER Working Papers, National Bureau of Economic Research, Inc

Chen, Li and H. Vincent Poor, (2003), Credit Risk Modeling and the Term Structure of Credit Spreads, Finance, University Library of Munich, Germany

Cho, Young-Hye and Robert Engle, (1999), Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks, No 7330, NBER Working Papers, National Bureau of Economic Research, Inc

Christiansen, Charlotte, (2001), Long Maturity Forward Rates, No 01-12, Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies

Christiansen, Charlotte, (2002), Regime Switching in the Yield Curve, No 02-13, Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies

Christiansen, Charlotte, (2003), Multivariate Term Structure Models with Level and Heteroskedasticity Effects, No 02-19, Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies

Christiansen, Charlotte, (2003), Volatility-Spillover E ffects in European Bond Markets, No 03-8, Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies

Christiansen, Charlotte, (2005), Decomposing European bond and equity volatility, No F-2004-01, Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies

Christiansen, Charlotte, (2007), Decomposing European Bond and Equity Volatility, CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

Christiansen, Charlotte and Jesper Lund, (2002), Revisiting the shape of the yield curve: the effect of interest rate volatility, No 02-3, Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies

Clements, Michael and Nick Taylor, (2003), Evaluating interval forecasts of high-frequency financial data, Journal of Applied Econometrics, 18, (4), 445-456

Cotter, John, (2005), Tail behaviour of the euro, Applied Economics, 37, (7), 827-840

Davis, Nicole and Ali Kutan, (2003), Inflation and output as predictors of stock returns and volatility: international evidence, Applied Financial Economics, 13, (9), 693-700

de Gracia, F. Pérez and J. Cuñado; J. Gómez, (2004), Financial Liberalization and Emerging Stock Market Volatility, No 124, Computing in Economics and Finance 2004, Society for Computational Economics

De Raaij, Gabriela and Burkhard Raunig, (2005), Evaluating density forecasts from models of stock market returns, The European Journal of Finance, 11, (2), 151-166

Diamandis, Panayiotis; Georgios Kouretas and Leonidas Zarangas, (2006), Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis, No 0602, Working Papers, University of Crete, Department of Economics

Diez de los Rios, Antonio, (2003), Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets, No E2003/51, Economic Working Papers at Centro de Estudios Andaluces, Centro de Estudios Andaluces

Duan, Jin-Chuan and Kris Jacobs, (2001), Short and Long Memory in Equilibrium Interest Rate Dynamics, CIRANO Working Papers, CIRANO

Engle, Robert, (2001), GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics, Journal of Economic Perspectives, 15, (4), 157-168

Engle, Robert and Joshua Rosenberg, (1998), Testing the Volatility Term Structure using Option Hedging Criteria, New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-

Engle, Robert and Victor K. Ng, (1991), Measuring and Testing the Impact of News on Volatility, No 3681, NBER Working Papers, National Bureau of Economic Research, Inc

Ewing, Bradley and William L Seyfried, (2003), Modeling The Philips Curve: A Time-Varying Volatility Approach, Applied Econometrics and International Development, 3, (2)

Fornari, Fabio and Antonio Mele, (2000), Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations, No 2000-12, THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

Fornari, Fabio and Antonio Mele, (2001), Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations, No 396, Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area

Fountas, Stilianos; Alexandra Ioannidis and Menelaos Karanasos, (2004), Inflation, inflation uncertainty, and a common European Monetary Policy, Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group

Ganapolsky, Eduardo J. J. and Sergio Schmukler, (1998), The impact of policy announcements and news on capital markets: crisis management in Argentina during the Tequila Effect, No 1951, Policy Research Working Paper Series, The World Bank

Gregoriou, Andros; Alexandros Kontonikas and N. Tsitsianis, (2004), Does the day of the week effect exist once transaction costs have been accounted for? Evidence from the UK, Applied Financial Economics, 14, (3), 215-220

Guo, Hui and Robert Savickas, (2006), The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries, No 2006-036, Working Papers, Federal Reserve Bank of St. Louis

Hadsell, Lester, (2006), A TARCH examination of the return volatility-volume relationship in electricity futures, Applied Financial Economics, 16, (12), 893-901

Haerdle, Wolfgang; Helmut Herwartz and Volodia Spokoiny, (2000), Time Inhomogeneous Multiple Volatility Modelling, No 1429, Econometric Society World Congress 2000 Contributed Papers, Econometric Society

Hansson, Björn and Peter Hördahl, (2005), Forecasting variance using stochastic volatility and GARCH, The European Journal of Finance, 11, (1), 33-57

Harvey, Campbell; Geert Bekaert and Christian Lundblad, (2006), Liquidity and Expected Returns: Lessons from Emerging Markets, No 5946, CEPR Discussion Papers, C.E.P.R. Discussion Papers

Hayo, Bernd and Ali Kutan, (2001), Investor Panic, IMF Actions, and Emerging Stock Market Returns and Volatility, International Finance, University Library of Munich, Germany

Hayo, Bernd and Ali Kutan, (2002), The Impact of News, Oil Prices, and International Spillovers on Russian Financial Markets, Finance, University Library of Munich, Germany

Hayo, Bernd and Ali Kutan, (2004), The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets, Finance, University Library of Munich, Germany

Hayo, Bernd and Ali Kutan, (2004), The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets, William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan

Henry, Ólan and Sandy Suardi, (2004), Testing for a Level Effect in Short-Term Interest Rates, No 924, Department of Economics - Working Papers Series, The University of Melbourne

Hillebrand, Eric and Gunther Schnabl, (2003), The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection, Departmental Working Papers, Department of Economics, Louisiana State University

Iglesias, Emma and Jean-Marie Dufour, (2004), Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors, No 161, Econometric Society 2004 North American Summer Meetings, Econometric Society

Issler, João, (1999), Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version), No 347, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

Ito, Takatoshi; Robert Engle and Wen-Ling Lin, (1990), Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination, No 3504, NBER Working Papers, National Bureau of Economic Research, Inc

Ito, Takatoshi and Wen-Ling Lin, (1993), Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets, No 4592, NBER Working Papers, National Bureau of Economic Research, Inc

Kamstra, Mark; Lisa Kramer and Maurice Levi, (2003), Winter Blues: A SAD Stock Market Cycle, American Economic Review, 93, (1), 324-343

Kanas, Angelos, (2005), Pure contagion effects in international banking: The case of BCCIÂ’s failure, Journal of Applied Economics, 8, 101-123

Kao, Chihwa, (2001), Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates, No 34, Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University

Kenourgios, Dimitris; Aristeidis Samitas and Spyros Papathanasiou, (2005), The Day of the Week Effect Patterns on Stock Market Return and Volatility: Evidence for the Athens Stock Exchange, Finance, University Library of Munich, Germany

Kili, Rehim, (2004), On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange, Applied Financial Economics, 14, (13), 915-922

Kim, Dongcheol and Stanley J. Kon, (1999), Structural change and time dependence in models of stock returns, Journal of Empirical Finance, 6, (3), 283-308

Lafuente, Juan Angel and Manuel Illueca, (2006), NEW EVIDENCE ON EXPIRATION-DAY EFFECTS USING REALIZED VOLATILITY: AN INTRADAY ANALYSIS FOR THE SPANISH STOCK EXCHANGE, Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Lee, Cheng Few, (2020), Financial econometrics, mathematics, statistics, and financial technology: an overall view, Review of Quantitative Finance and Accounting, 54, (4), 1529-1578

Lee, Yoon-Jin and Yongmiao Hong, (2004), Specification Testing for Multivariate Time Series Volatility Models, No 696, Econometric Society 2004 Far Eastern Meetings, Econometric Society

León, Ángel; Javier Mencia and Enrique Sentana, (2005), Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation, Working Papers, CEMFI

Lim, Guay, (2005), Currency risk in excess equity returns: a multi time-varying beta approach, Journal of International Financial Markets, Institutions and Money, 15, (3), 189-207

Lin, Wen-Ling; Robert Engle and Takatoshi Ito, (1991), Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns, No 3911, NBER Working Papers, National Bureau of Economic Research, Inc

Linton, Oliver and Douglas Steigerwald, (1995), Adaptive Testing in ARCH Models, No 1105, Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

McMillan, David and Alan Speight, (2002), Temporal aggregation, volatility components and volume in high frequency UK bond futures, The European Journal of Finance, 8, (1), 70-92

McMillan, David and Alan Speight, (2006), Heterogeneous information flows and intra-day volatility dynamics: evidence from the UK FTSE-100 stock index futures market, Applied Financial Economics, 16, (13), 959-972

McNelis, Paul and Guay Lim, (1998), Parameterizing Currency Risk in the EMS: The Irish Pound and Spanish Peseta against the German Mark, International Finance, University Library of Munich, Germany

Meddahi, Nour and Eric Renault, (1998), Quadratic M-Estimators for ARCH-Type Processes, CIRANO Working Papers, CIRANO

Mencia, Javier and Enrique Sentana, (2004), Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations, Working Papers, CEMFI

Meneu, Vicente and Hipolit Torro, , Asymmetric covariance in sport-future markets, No 135, Studies on the Spanish Economy, FEDEA

Nautz, Dieter, (1998), Banks' demand for reserves when future monetary policy is uncertain, Journal of Monetary Economics, 42, (1), 161-183

Nautz, Dieter and Juergen Wolters, (1998), The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the US and Germany, No 1998,78, SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Noh, Jaesun; Robert Engle and Alex Kane, (1993), A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts, No 4520, NBER Working Papers, National Bureau of Economic Research, Inc

Pollard, Stephen K.; Sunil Sapra and Giorgio Canarella, (2007), Asymmetry and Spillover Effects in the North American Equity Markets, Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 1, 1-52

Poor, H. Vincent and Li Chen, (2003), Parametric Estimation of Quadratic Term Structure Models of Interest Rates, No 22, Computing in Economics and Finance 2003, Society for Computational Economics

Pynnönen, Seppo; Warren Hogan and Jonathan Batten, (2006), Dynamic equilibrium correction modelling of yen Eurobond credit spreads, The Institute for International Integration Studies Discussion Paper Series, IIIS

Reitz, Stefan and Mark Taylor, (2006), The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis, No 2006,08, Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

Reitz, Stefan and Mark Taylor, (2006), The Coordination Channel of Foreign Exchange Intervention, No 16, Computing in Economics and Finance 2006, Society for Computational Economics

Rosenberg, Joshua and Robert Engle, (2000), Empirical Pricing Kernels, New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-

Ruiz, Esther; M. Angeles Carnero and D. Pereira, (2004), Effects of Level Outliers on the Identification and Estimation of GARCH Models, No 21, Econometric Society 2004 Australasian Meetings, Econometric Society

Sartore, Domenico; Lucia Trevisan; Michele Trova and Francesca Volo, (2002), US dollar/Euro exchange rate: a monthly econometric model for forecasting, The European Journal of Finance, 8, (4), 480-501

Sentana, Enrique; Giorgio Calzolari and Gabriele Fiorentini, (2004), Indirect Estimation of Conditionally Heteroskedastic Factor Models, Working Papers, CEMFI

Shields, Kalvinder; Nilss Olekalns; Ólan Henry and Chris Brooks, (2003), Measuring the Response of Macroeconomic Uncertainty to Shocks, No 870, Department of Economics - Working Papers Series, The University of Melbourne