• NEP-ALL-2004-02-10 (All new papers)
• NEP-IFN-2002-02-15 (International Finance)
• NEP-PKE-2002-02-15 (Post Keynesian Economics)

1. Ajay Subramanian & Robert A. Jarrow, 2001. "The Liquidity Discount," Mathematical Finance, Blackwell Publishing, vol. 11(4), pages 447-474. [Downloadable!] (restricted)
2. Christian Andrew Johnson, 2000. "Métodos de Evaluación del Riesgo para Portafolios de Inversión," Working Papers Central Bank of Chile 67, Central Bank of Chile. [Downloadable!]
3. Simone Manganelli & Robert F. Engle, 2001. "Value at risk models in finance," Working Paper Series 075, European Central Bank. [Downloadable!]
4. Grossman, S.J. & Miller, M.H., 1988. "Liquidity And Market Structure," Papers 88, Princeton, Department of Economics - Financial Research Center.
   Other versions:
   • Sanford J. Grossman & Merton H. Miller, 1989. "Liquidity and Market Structure," NBER Working Papers 2641, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   • Grossman, Sanford J & Miller, Merton H, 1988. " Liquidity and Market Structure," Journal of Finance, American Finance Association, vol. 43(3), pages 617-37, July. [Downloadable!] (restricted)
5. Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September. [Downloadable!] (restricted)
6. Christian A. Johnson, 2000. "Un Modelo de Intervención Cambiaria," Working Papers Central Bank of Chile 90, Central Bank of Chile. [Downloadable!]
7. Huang, Roger D & Stoll, Hans R, 1997. "The Components of the Bid-Ask Spread: A General Approach," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(4), pages 995-1034.
8. Jeremy Berkowitz & James O'Brien, 2001. "How accurate are Value-at-Risk models at commercial banks?," Finance and Economics Discussion Series 2001-31, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
9. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March. [Downloadable!] (restricted)
   Other versions:
   • Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
10. Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-062, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Other versions:
    • Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management," Center for Financial Institutions Working Papers 99-06, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
11. Jón Daníelsson & Casper G. de Vries, 1998. "Value-at-Risk and Extreme Returns," Tinbergen Institute Discussion Papers 98-017/2, Tinbergen Institute. [Downloadable!]
    Other versions:
    • Jon Danielsson & Casper G. De Vries, 2000. "Value-at-Risk and Extreme Returns," Annales d'Economie et de Statistique, ADRES, issue 60, pages 11, Octobre-D. [Downloadable!]
12. Tim Bollerslev & Jeffrey M. Wooldridge, 1988. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers 505, Massachusetts Institute of Technology (MIT), Department of Economics.
13. Hols, Martien C A B & de Vries, Casper G, 1991. "The Limiting Distribution of Extremal Exchange Rate Returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(3), pages 287-302, July-Sept. [Downloadable!] (restricted)
14. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
15. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)

Cited by:
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1. Solange M. Berstein & Rómulo A. Chumacero, 2003. "Quantifying the Costs of Investment Limits for Chilean Pension Funds," Working Papers Central Bank of Chile 248, Central Bank of Chile. [Downloadable!]
   Other versions:
   • Solange M. Berstein & Rómulo A. Chumacero, 2006. "Quantifying the costs of investment limits for Chilean pension funds," Fiscal Studies, Institute for Fiscal Studies, vol. 27(1), pages 99-123, March.
2. Viviana Fernandez, 2003. "Extreme Value Theory and Value at Risk," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Economics Department, vol. 18(1), pages 57-85, June. [Downloadable!]
   Other versions:
   • Viviana Fernández, 2003. "Extreme Value Theory and Value at Risk," Documentos de Trabajo 154, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]