1. Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February. [Downloadable!] (restricted)
2. Christian M. Hafner, 2003. "Fourth Moment Structure of Multivariate GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 1(1), pages 26-54.
3. BAUWENS, Luc & LAURENT, SŽbastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
   Other versions:
   • Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
4. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38. [Downloadable!] (restricted)
5. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-27, July. [Downloadable!] (restricted)
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   • Drost, F.C. & Nijman, T.E., 1992. "Temporal Aggregation of Garch Processes," Papers 9240, Tilburg - Center for Economic Research.
   • Drost, F.C. & Nijman, T.E., 1990. "Temporal Aggregation Of Garch Processes," Papers 9066, Tilburg - Center for Economic Research.
6. Renault, Eric & Sekkat, Khalid & Szafarz, Ariane, 1998. "Testing for spurious causality in exchange rates," Journal of Empirical Finance, Elsevier, vol. 5(1), pages 47-66, January. [Downloadable!] (restricted)
   Other versions:
   • Renault, Eric & SEKKAT, Khalid & SZAFARZ, Ariane, . "Testing for spurious causality in exchange rates," ULB Institutional Repository info:hdl:2013/709, ULB -- Universite Libre de Bruxelles.
   • SEKKAT, Khalid & Renault, Eric & SZAFARZ, Ariane, . "Testing for spurious causality in exchange rates," ULB Institutional Repository info:hdl:2013/7334, ULB -- Universite Libre de Bruxelles.
7. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February. [Downloadable!]
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   • Robert F. Engle & Kenneth F. Kroner previously & Yoshihisa Baba & Dennis F. Kraft, 1993. "Multivariate Simultaneous Generalized ARCH," University of California at San Diego, Economics Working Paper Series 89-57r, Department of Economics, UC San Diego. [Downloadable!]
8. Drost, Feike C. & Werker, Bas J. M., 1996. "Closing the GARCH gap: Continuous time GARCH modeling," Journal of Econometrics, Elsevier, vol. 74(1), pages 31-57, September. [Downloadable!] (restricted)
9. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
10. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-36, January.
11. repec:cup:etheor:v:11:y:1995:i:1:p:122-50 is not listed on IDEAS
12. Diebold, Francis X & Nerlove, Marc, 1989. "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar.. [Downloadable!] (restricted)
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    • Francis X. Diebold & Marc Nerlove, 1986. "The dynamics of exchange rate volatility: a multivariate latent factor ARCH model," Special Studies Papers 205, Board of Governors of the Federal Reserve System (U.S.).
13. Renault, E. & Szafarz, A., 1991. "True Versus Spurious Instantaneous Causality," Papers 9103, Universite Libre de Bruxelles - C.E.M.E..
    Other versions:
    • Renault, Eric & SZAFARZ, Ariane, 1991. "True versus spurious instantaneous causality," ULB Institutional Repository 9103, ULB -- Universite Libre de Bruxelles.
14. Nijman, Theo & Sentana, Enrique, 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87. [Downloadable!] (restricted)
    Other versions:
    • Nijman, T. & Sentana, E., 1993. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes," Papers 9312, Tilburg - Center for Economic Research.
    • Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers 9419, Centro de Estudios Monetarios Y Financieros-.

Cited by:
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1. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
   Other versions:
   • BAUWENS, Luc & LAURENT, SŽbastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
2. Andrea, SILVESTRINI, 2005. "Temporal aggregaton of univariate linear time series models," Discussion Papers (ECON - Département des Sciences Economiques) 2005044, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
   Other versions:
   • SILVESTRINI, Andrea & VEREDAS, David, 2005. "Temporal aggregation of univariate linear time series models," CORE Discussion Papers 2005059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
3. Andrea Silvestrini & David Veredas, 2008. "Temporal aggregation of univariate and multivariate time series models: A survey," Temi di discussione (Economic working papers) 685, Bank of Italy, Economic Research Department. [Downloadable!]
   Other versions:
   • Andrea Silvestrini & David Veredas, 2008. "Temporal Aggregation Of Univariate And Multivariate Time Series Models: A Survey," Journal of Economic Surveys, Blackwell Publishing, vol. 22(3), pages 458-497, 07. [Downloadable!] (restricted)