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1. Gita Persand & Chris Brooks & Simon P. Burke, 2003. "Multivariate GARCH models: software choice and estimation issues," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 725-734. [Downloadable!]
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   • Chris Brooks & Simon Burke & Gita Persand, 2003. "Multivariate GARCH Models: Software Choice and Estimation Issues," ICMA Centre Discussion Papers in Finance icma-dp2003-07, Henley Business School, Reading University. [Downloadable!]
2. H. Wong & W. Li, 2002. "Detecting and Diagnostic Checking Multivariate Conditional Heteroscedastic Time Series Models," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(1), pages 45-59, March. [Downloadable!] (restricted)
3. Gabriele Fiorentini & Giorgio Calzolari, 1997. "-A Tobit Model With Garch Errors," Working Papers. Serie AD 1997-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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   • Giorgio Calzolari & Gabriele Fiorentini, 1998. "A tobit model with garch errors," Econometric Reviews, Taylor and Francis Journals, vol. 17(1), pages 85-104. [Downloadable!] (restricted)
4. Drew Creal & Siem Jan Koopman & André Lucas, 2008. "A General Framework for Observation Driven Time-Varying Parameter Models," Tinbergen Institute Discussion Papers 08-108/4, Tinbergen Institute. [Downloadable!]
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   • Drew Creal & Siem Jan Koopman & Andre Lucas, 2009. "A General Framework for Observation Driven Time-Varying Parameter Models," Global COE Hi-Stat Discussion Paper Series gd08-038, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
5. 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!]
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   • 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!]
6. Jurgen A. Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Papers 2003-W20, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
7. Ph.H.B.F. Franses & D.J.C. van Dijk, 1999. "Outlier detection in the GARCH (1,1) model," Econometric Institute Report 155, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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   • Franses, P.H. & Van Dijk, D., 1999. "Outlier Detection in the GARCH(1,1) Model," Papers 9926/a, Erasmus University of Rotterdam - Econometric Institute.
8. P. S. Sephton, 2000. "Financial analysis package for GAUSS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 433-438. [Downloadable!]
9. McCullough, B D, 1999. "Econometric Software Reliability: EViews, LIMDEP, SHAZAM and TSP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 191-202, March-Apr. [Downloadable!]
10. Jurgen A. Doornik & Marius Ooms, 2000. "Multimodality and the GARCH Likelihood," Econometric Society World Congress 2000 Contributed Papers 0798, Econometric Society. [Downloadable!]
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    • Jurgen A. Doornik and Marius Ooms, 2001. "Multimodality and the GARCH Likelihood," Computing in Economics and Finance 2001 76, Society for Computational Economics.
11. C. R. McKenzie & Sumiko Takaoka, 2007. "EViews 5.1," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(6), pages 1145-1152. [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!]
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    • 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. 131(1-2), pages 579-609. [Downloadable!] (restricted)
13. B. D. McCullough & H. D. Vinod, 2003. "Verifying the Solution from a Nonlinear Solver: A Case Study," American Economic Review, American Economic Association, vol. 93(3), pages 873-892, June. [Downloadable!]
14. Peter Winker & Dietmar Maringer, 2009. "The convergence of estimators based on heuristics: theory and application to a GARCH model," Computational Statistics, Springer, vol. 24(3), pages 533-550, August. [Downloadable!] (restricted)
15. Alicia Pérez Alonso, 2006. "A Bootstrap Approach To Test The Conditional Symmetry In Time Series Models," Working Papers. Serie AD 2006-18, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
16. Stefan Lundbergh & Timo Teräsvirta, 1999. "Evaluating GARCH Models," Tinbergen Institute Discussion Papers 99-008/4, Tinbergen Institute. [Downloadable!]
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    • Lundbergh, Stefan & Teräsvirta, Timo, 1998. "Evaluating GARCH models," Working Paper Series in Economics and Finance 292, Stockholm School of Economics, revised 03 May 1999.
    • Lundbergh, Stefan & Terasvirta, Timo, 2002. "Evaluating GARCH models," Journal of Econometrics, Elsevier, vol. 110(2), pages 417-435, October. [Downloadable!] (restricted)
17. Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," Working Paper Series in Economics and Finance 649, Stockholm School of Economics, revised 24 Jan 2007. [Downloadable!]
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    • Tomoaki Nakatani & Timo Terasvirta, 2009. "Testing for volatility interactions in the Constant Conditional Correlation GARCH model," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 147-163, 03. [Downloadable!] (restricted)
18. repec:bep:sndecm:11:2007:1:1434-1434 is not listed on IDEAS
19. Visser, Marcel P., 2008. "Garch Parameter Estimation Using High-Frequency Data," MPRA Paper 9076, University Library of Munich, Germany. [Downloadable!]
20. Marco J. Lombardi & Giampiero M. Gallo, 2002. "Analytic Hessian Matrices and the Computation of FIGARCH Estimates," Econometrics Working Papers Archive wp2002_03, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]