• NEP-ALL-1999-05-03 (All new papers)
• NEP-ETS-1999-05-03 (Econometric Time Series)

1. Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996. "Analytic Derivatives and the Computation of GARCH Estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 399-417, July-Aug.. [Downloadable!] (restricted)
   Other versions:
   • Fiorentini,G. & Calzolari,G. & Panattoni,L., 1995. "Analytic Derivatives and the Computation of Garch Estimates," Papers 9519, Centro de Estudios Monetarios Y Financieros-.
2. Sentana, Enrique, 1995. "Quadratic ARCH Models," Review of Economic Studies, Blackwell Publishing, vol. 62(4), pages 639-61, October. [Downloadable!] (restricted)
   Other versions:
   • Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
3. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
   Other versions:
   • Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
4. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March. [Downloadable!] (restricted)
   Other versions:
   • Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
5. Eitrheim, Oyvind & Terasvirta, Timo, 1996. "Testing the adequacy of smooth transition autoregressive models," Journal of Econometrics, Elsevier, vol. 74(1), pages 59-75, September. [Downloadable!] (restricted)
   Other versions:
   • Eitrheim, Øyvind & Teräsvirta, Timo, 1995. "Testing the Adequacy of Smooth Transition Autoregressive Models," Working Paper Series in Economics and Finance 56, Stockholm School of Economics.
6. 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)
7. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
8. Lundbergh, Stefan & Teräsvirta, Timo, 1998. "Modelling economic high-frequency time series with STAR-STGARCH models," Working Paper Series in Economics and Finance 291, Stockholm School of Economics. [Downloadable!]
9. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June. [Downloadable!] (restricted)
   Other versions:
   • Chien-Fu Jeff Lin & Timo Terasvirta, 1991. "Testing the Constancy of Regression Parameters Against Continuous Structural Change," University of California at San Diego, Economics Working Paper Series 91-26, Department of Economics, UC San Diego.
10. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
11. 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)
    Other versions:
    • 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!]
12. 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)

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1. Meitz, Mika & Saikkonen, Pentti, 2006. "Stability of nonlinear AR-GARCH models," Working Paper Series in Economics and Finance 632, Stockholm School of Economics. [Downloadable!]
   Other versions:
   • Mika Meitz & Pentti Saikkonen, 2007. "Stability of nonlinear AR-GARCH models," Economics Series Working Papers 328, University of Oxford, Department of Economics. [Downloadable!]
   • Mika Meitz & Pentti Saikkonen, 2008. "Stability of nonlinear AR-GARCH models," Journal of Time Series Analysis, Blackwell Publishing, vol. 29(3), pages 453-475, 05. [Downloadable!] (restricted)
2. Luis Fernando Melo Velandia & Oscar Reinaldo Becerra Camargo, 2005. "Medidas De Riesgo, Caracteristicas Y Técnicas De Medición: Una Aplicación Del Var Y El Es A La Tasa Interbancaria De Colombia," BORRADORES DE ECONOMIA 003198, BANCO DE LA REPÚBLICA. [Downloadable!]
   Other versions:
   • Luis Fernando Melo Velandia & Oscar reinaldo Becerra Camargo, . "Medidas de Riesgo, Características y Técnicas de Medición: Una Aplicación del VAR y el ES a la Tasa Interbancaria de Colombia," Borradores de Economia 343, Banco de la Republica de Colombia. [Downloadable!]
3. 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!]
4. Pentti Saikkonen & Markku Lanne, 2004. "A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns," Econometric Society 2004 North American Summer Meetings 469, Econometric Society. [Downloadable!]
5. Todd Prono, 2006. "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers 07-1, Federal Reserve Bank of Boston. [Downloadable!]
6. Malmsten, Hans, 2004. "Evaluating exponential GARCH models," Working Paper Series in Economics and Finance 564, Stockholm School of Economics, revised 03 Sep 2004. [Downloadable!]
7. Mika Meitz & Pentti Saikkonen, 2008. "Parameter Estimation in Nonlinear AR-GARCH Models," Economics Working Papers ECO2008/25, European University Institute. [Downloadable!]
   Other versions:
   • Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," CREATES Research Papers 2008-30, School of Economics and Management, University of Aarhus. [Downloadable!]
   • Mika Meitz & Pentti Saikkonen, 2008. "Parameter estimation in nonlinear AR-GARCH models," Economics Series Working Papers 396, University of Oxford, Department of Economics. [Downloadable!]
8. Meitz, Mika & Teräsvirta, Timo, 2004. "Evaluating models of autoregressive conditional duration," Working Paper Series in Economics and Finance 557, Stockholm School of Economics, revised 13 Dec 2004. [Downloadable!]
   Other versions:
   • Meitz, Mika & Terasvirta, Timo, 2006. "Evaluating Models of Autoregressive Conditional Duration," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 104-124, January. [Downloadable!] (restricted)
9. Meitz, Mika & Saikkonen, Pentti, 2004. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Working Paper Series in Economics and Finance 573, Stockholm School of Economics, revised 20 Apr 2007. [Downloadable!]
   Other versions:
   • Mika Meitz & Pentti Saikkonen, 2007. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Economics Series Working Papers 327, University of Oxford, Department of Economics. [Downloadable!]
10. Andreea Halunga & Chris D. Orme, 2007. "First order asymptotic theory for parametric misspecification tests of GARCH models," The School of Economics Discussion Paper Series 0721, Economics, The University of Manchester. [Downloadable!]
11. Andeaou, E. & Werker, B.J.M., 2004. "An alternative asymptotic analysis of residual-based statistics," Discussion Paper 56, Tilburg University, Center for Economic Research. [Downloadable!]
12. Timo Terasvirta, 2004. "A Time Series Model for an Exchange Rate in a Target Zone with Applications," Econometric Society 2004 Australasian Meetings 340, Econometric Society. [Downloadable!]
    Other versions:
    • Lundbergh, Stefan & Teräsvirta, Timo, 2003. "A time series model for an exchange rate in a target zone with applications," Working Paper Series in Economics and Finance 533, Stockholm School of Economics.
    • Lundbergh, Stefan & Terasvirta, Timo, 2006. "A time series model for an exchange rate in a target zone with applications," Journal of Econometrics, Elsevier, vol. 127(1-2), pages 579-609. [Downloadable!] (restricted)
13. Werker, B.J.M. & Andreou, E., 2003. "A simple asymptotic analysis of residual-based statistics," Discussion Paper 118, Tilburg University, Center for Economic Research. [Downloadable!]
14. Markku Lanne & Pentti Saikkonen, 2005. "Modeling Conditional Skewness in Stock Returns," Economics Working Papers ECO2005/14, European University Institute. [Downloadable!]
    Other versions:
    • Markku Lanne & Saikkonen Pentti, 2007. "Modeling Conditional Skewness in Stock Returns," European Journal of Finance, Taylor and Francis Journals, vol. 13(8), pages 691-704. [Downloadable!] (restricted)
15. Robert-Paul Berben & W. Jos Jansen, 2005. "Bond Market and Stock Market Integration in Europe," DNB Working Papers 060, Netherlands Central Bank, Research Department. [Downloadable!]
16. Juan Carlos Escanciano, 2006. "Joint Diagnostic Tests for Conditional Mean and Variance Specifications," Faculty Working Papers 02/06, School of Economics and Business Administration, University of Navarra. [Downloadable!]
17. Takayuki Shiohama, 2006. "Asymptotically Efficient Estimation of the Change Point for Semiparametric GARCH models," Discussion Paper Series a471, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
18. Amado, Cristina & Teräsvirta, Timo, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," Working Paper Series in Economics and Finance 691, Stockholm School of Economics. [Downloadable!]
    Other versions:
    • Cristina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," NIPE Working Papers 03/2008, NIPE - Universidade do Minho. [Downloadable!]
    • Christina Amado & Timo Teräsvirta, 2008. "Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure," CREATES Research Papers 2008-08, School of Economics and Management, University of Aarhus. [Downloadable!]