1. Meese, Richard A & Rose, Andrew K, 1991. "An Empirical Assessment of Non-linearities in Models of Exchange Rate Determination," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 603-19, May. [Downloadable!] (restricted)
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   • Richard A. Meese & Andrew K. Rose, 1989. "An empirical assessment of non-linearities in models of exchange rate determination," International Finance Discussion Papers 367, Board of Governors of the Federal Reserve System (U.S.).
2. 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.
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. W. H"Ardle & A. Tsybakov & L. Yang, . "Nonparametric Vector Autoregression," Sonderforschungsbereich 373 1996-61, Humboldt Universitaet Berlin.
5. E. Severance-Lossin & S. Sperlich, . "Estimation of Derivatives for Additive Separable Models," Sonderforschungsbereich 373 1995-60, Humboldt Universitaet Berlin.
6. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March. [Downloadable!] (restricted)
7. O. B. Linton & W. H"Ardle, . "Estimation of Additive Regression Models with Links," Sonderforschungsbereich 373 1995-48, Humboldt Universitaet Berlin.
8. Hardle, W. & Tsybakov, A., 1997. "Local polynomial estimators of the volatility function in nonparametric autoregression," Journal of Econometrics, Elsevier, vol. 81(1), pages 223-242, November. [Downloadable!] (restricted)
9. P. Bossaerts & C. Hafner & W. H"Ardle, . "Foreign Exchange Rates Have Surprising Volatility," Sonderforschungsbereich 373 1996-68, Humboldt Universitaet Berlin.
10. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-59, October.
    Other versions:
    • Robert F. Engle & Gloria Gonzalez-Rivera, 1990. "Semiparametric Arch Models," University of California at San Diego, Economics Working Paper Series 89-17r, Department of Economics, UC San Diego.
11. W. H"Ardle & O. Linton, . "Nonparametric Regression," Sonderforschungsbereich 373 1995-29, Humboldt Universitaet Berlin.

Cited by:
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1. W. Kim & O. Linton, . "A Local Instrumental Estimation Method for Generalized Additive Volatility Models," Sonderforschungsbereich 373 2000-86, Humboldt Universitaet Berlin.
2. Woocheol Kim & Oliver Linton, 2003. "A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models," STICERD - Econometrics Paper Series /2003/456, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
   Other versions:
   • Woocheol Kim & Oliver Linton, 2004. "A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models," FMG Discussion Papers dp509, Financial Markets Group. [Downloadable!] (restricted)
3. Francesco Audrino & Peter Bühlmann, 2007. "Splines for Financial Volatility," University of St. Gallen Department of Economics working paper series 2007 2007-11, Department of Economics, University of St. Gallen. [Downloadable!]
4. Siegfried Heiler, 1999. "A Survey on Nonparametric Time Series Analysis," Finance 9904005, EconWPA. [Downloadable!]
5. Oliver Linton & E. Mammen & J. Nielsen, 1997. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions," Cowles Foundation Discussion Papers 1160, Cowles Foundation, Yale University. [Downloadable!]
   Other versions:
   • Oliver Linton & Enno Mammen & N Nielsen, 2000. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions," STICERD - Econometrics Paper Series /2000/386, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
6. W. H"Ardle & L. Yang, . "Nonparametric Time Series Model Selection," Sonderforschungsbereich 373 1996-53, Humboldt Universitaet Berlin.
7. W. Härdle & R. Tschernig, . "Flexible Time Series Analysis," Sonderforschungsbereich 373 2000-51, Humboldt Universitaet Berlin.
8. Siegfried Heiler, 1999. "A Survey on Nonparametric Time Series Analysis," CoFE Discussion Paper 99-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
9. W. Kim, . "Kernel Estimation of Functional Coefficients in Nonparametric ARX Time Series Models," Sonderforschungsbereich 373 2001-101, Humboldt Universitaet Berlin.
10. R. Tschernig, . "Nonlinearities in German Unemployment Rates: A Nonparametric Analysis," Sonderforschungsbereich 373 1996-45, Humboldt Universitaet Berlin.
11. Oliver Linton & Pedro Gozalo, 1995. "Testing Additivity in Generalized Nonparametric Regression Models," Cowles Foundation Discussion Papers 1106, Cowles Foundation, Yale University. [Downloadable!]
12. Oliver Linton & Enno Mammen, 2003. "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series /2003/453, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]