1. Kim, Suk-Joong & Sheen, Jeffrey, 2000. "International linkages and macroeconomic news effects on interest rate volatility -- Australia and the US," Pacific-Basin Finance Journal, Elsevier, vol. 8(1), pages 85-113, March. [Downloadable!] (restricted)
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   • Kim, S.-J. & Sheen, J., 1998. "International Linkages and Macroeconomic News Effects in Interest Rate Volatility -Australia and the US," Papers 98-11, Sydney - Department of Economics.
2. Hagerud, Gustaf E., 1997. "Modeling Nordic Stock Returns with Asymmetric GARCH models," Working Paper Series in Economics and Finance 164, Stockholm School of Economics. [Downloadable!]
3. Lobo, Bento J. & Tufte, David, 1998. "Exchange Rate Volatility: Does Politics Matter?," Journal of Macroeconomics, Elsevier, vol. 20(2), pages 351-365, April. [Downloadable!] (restricted)
4. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290. [Downloadable!] (restricted)
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   • Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
5. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April. [Downloadable!] (restricted)
6. Scholes, Myron & Williams, Joseph, 1977. "Estimating betas from nonsynchronous data," Journal of Financial Economics, Elsevier, vol. 5(3), pages 309-327, December. [Downloadable!] (restricted)
7. Fountas, S. & Karanasos, M. & Karanassou, M., 2000. "GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Department of Economics 47, National University of Ireland, Galway - Department of Economics.
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   • Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, 2000. "A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Working Papers 414, Queen Mary, University of London, Department of Economics. [Downloadable!]
   • Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, . "A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Discussion Papers 00/24, Department of Economics, University of York. [Downloadable!]
8. Allan D. Brunner & David P. Simon, 1995. "Excess returns and risk at the long end of the Treasury market: an EGARCH-M approach," International Finance Discussion Papers 522, Board of Governors of the Federal Reserve System (U.S.).
9. Karim Abadir, 1999. "An introduction to hypergeometric functions for economists," Econometric Reviews, Taylor and Francis Journals, vol. 18(3), pages 287-330. [Downloadable!] (restricted)
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   • Abadir, K.M., 1995. "An Introduction to Hypergeometric Functions for Economists," Discussion Papers 95/10, University of Exeter, School of Business and Economics.
10. Lee, Jung-Hee & Brorsen, B Wade, 1997. "A Non-nested Test of GARCH vs. EGARCH Models," Applied Economics Letters, Taylor and Francis Journals, vol. 4(12), pages 765-68, December. [Downloadable!] (restricted)
11. Kim, Dongcheol & Kon, Stanley J, 1994. "Alternative Models for the Conditional Heteroscedasticity of Stock Returns," Journal of Business, University of Chicago Press, vol. 67(4), pages 563-98, October. [Downloadable!] (restricted)
12. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March. [Downloadable!] (restricted)
13. C. Hafner, . "Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models," Sonderforschungsbereich 373 1997-18, Humboldt Universitaet Berlin.
14. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis. [Downloadable!]
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    • Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December. [Downloadable!] (restricted)
15. Menelaos Karanasos & J. Kim, . "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York. [Downloadable!]
16. Donaldson, R. Glen & Kamstra, Mark, 1997. "An artificial neural network-GARCH model for international stock return volatility," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 17-46, January. [Downloadable!] (restricted)
17. Booth, G. Geoffrey & Martikainen, Teppo & Tse, Yiuman, 1997. "Price and volatility spillovers in Scandinavian stock markets," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 811-823, June. [Downloadable!] (restricted)
18. Tse, Yiuman, 1998. "International transmission of information: evidence from the Euroyen and Eurodollar futures markets," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 909-929, December. [Downloadable!] (restricted)
19. Hu, Michael Y. & Jiang, Christine X. & Tsoukalas, Christos, 1997. "The European exchange rates before and after the establishment of the European Monetary System," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(3), pages 235-253, October. [Downloadable!] (restricted)
20. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June. [Downloadable!] (restricted)
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    • Zhuanxin Ding & Clive Granger & Robert Engle, 1992. "A Long Memory Property of Stock Market Returns and a New Model," University of California at San Diego, Economics Working Paper Series 92-21, Department of Economics, UC San Diego.
21. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 41-66. [Downloadable!] (restricted)
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    • Andrew W. Lo & A. Craig MacKinlay, 1989. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
22. Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999. "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 91(1), pages 61-87, July. [Downloadable!] (restricted)
23. Koutmos, Gregory & Booth, G Geoffrey, 1995. "Asymmetric volatility transmission in international stock markets," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 747-762, December. [Downloadable!] (restricted)
24. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348. [Downloadable!] (restricted)
25. Joe Appiah-Kusi & Gioia M Pescetto, 1998. "Volatility and Volatility Spill-overs in Emerging Markets: The case of the African Stock Markets," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 2(2), pages 171-185, Winter.
26. St. Pierre, Eileen F., 1998. "Estimating EGARCH-M models: Science or art?," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 167-180. [Downloadable!] (restricted)
27. Partha Deb, 1996. "Finite sample properties of maximum likelihood and quasi-maximum likelihood estimators of egarch models," Econometric Reviews, Taylor and Francis Journals, vol. 15(1), pages 51-68. [Downloadable!] (restricted)

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1. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004. [Downloadable!]
2. Liudas Giraitis & Remigijus Leipus & Peter M Robinson & Donatas Surgailis, 2003. "LARCH, Leverage and Long Memory," STICERD - Econometrics Paper Series /2003/460, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]