1. Robert F. Engle & Jeffrey R. Russell, 1994. "Forecasting Transaction Rates: The Autoregressive Conditional Duration Model," NBER Working Papers 4966, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Simone Manganelli & Robert F. Engle, 2001. "Value at risk models in finance," Working Paper Series 075, European Central Bank. [Downloadable!]
3. S. Chen & W. Härdle & T. Kleinow, . "An Empirical Likelihood Goodness-of-Fit Test for Time Series," Sonderforschungsbereich 373 2001-1, Humboldt Universitaet Berlin.
   Other versions:
   • Song Xi Chen & Wolfgang Härdle & Ming Li, 2003. "An empirical likelihood goodness-of-fit test for time series," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 65(3), pages 663-678. [Downloadable!] (restricted)
4. Rama Cont & Jean-Philippe Bouchaud, 1997. "Herd behavior and aggregate fluctuations in financial markets," Science & Finance (CFM) working paper archive 500028, Science & Finance, Capital Fund Management. [Downloadable!]
5. Viviana Fernández, 2003. "Extreme Value Theory: Value at Risk and Returns Dependence Around the World," Documentos de Trabajo 161, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
6. Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal. [Downloadable!]
7. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University. [Downloadable!]
8. Robert F. Engle & Gary G.J. Lee, 1993. "Long Run Volatility Forecasting for Individual Stocks in a One Factor Model," University of California at San Diego, Economics Working Paper Series 93-30, Department of Economics, UC San Diego. [Downloadable!]
9. María Concepcion Ausin & Pedro Galeano, 2005. "Bayesian Estimation Of The Gaussian Mixture Garch Model," Statistics and Econometrics Working Papers ws053605, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
10. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    Other versions:
    • Stanislav Anatolyev & Dmitry Shakin, 2007. "Trade intensity in the Russian stock market: dynamics, distribution and determinants," Applied Financial Economics, Taylor and Francis Journals, vol. 17(2), pages 87-104, January. [Downloadable!] (restricted)
11. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    Other versions:
    • Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," NBER Working Papers 10423, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," CFS Working Paper Series 2004/11, Center for Financial Studies. [Downloadable!]
    • Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," Scandinavian Journal of Economics, Blackwell Publishing, vol. 106(2), pages 165-185, 06. [Downloadable!] (restricted)
12. Geert Bekaert & Campbell R. Harvey, 1997. "Emerging Equity Market Volatility," NBER Working Papers 5307, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, vol. 43(1), pages 29-77, January. [Downloadable!] (restricted)
13. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus. [Downloadable!]
14. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," NBER Working Papers 7488, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-060, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    • Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian," Center for Financial Institutions Working Papers 00-29, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
15. Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
    • Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Multivariate GARCH models," Working Paper Series in Economics and Finance 669, Stockholm School of Economics, revised 18 Jan 2008. [Downloadable!]
16. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
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    • Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June. [Downloadable!] (restricted)
17. W. H"Ardle & A. Tsybakov & L. Yang, . "Nonparametric Vector Autoregression," Sonderforschungsbereich 373 1996-61, Humboldt Universitaet Berlin.
18. De Arce Borda, R., 2004. "20 años de modelos ARCH: una visión de conjunto de las distintas variantes de la familia/20 Years of Arch Modelling: a Survey of Different Models in the Family," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 27, Abril. [Downloadable!] (restricted)
19. H. L"Utkepohl, . "Statistische Modellierung von Volatilit"aten," Sonderforschungsbereich 373 1996-70, Humboldt Universitaet Berlin.
20. C. Hafner & H. Herwartz, . "Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis," Sonderforschungsbereich 373 1999-58, Humboldt Universitaet Berlin.
    Other versions:
    • Hafner, Christian M. & Herwartz, Helmut, 2001. "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 1-34, March. [Downloadable!] (restricted)
21. Rama CONT & Jean-Philippe BOUCHAUD, 1997. "Herd behavior and aggregate fluctuations in financial markets," Finance 9712008, EconWPA, revised 30 Dec 1997. [Downloadable!]
22. P. Bossaerts & W. H"Ardle & C. Hafner, . "A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series," Sonderforschungsbereich 373 1995-45, Humboldt Universitaet Berlin.
23. Jose A. Lopez & Christian A. Walter, 2000. "Evaluating covariance matrix forecasts in a value-at-risk framework," Working Papers in Applied Economic Theory 2000-21, Federal Reserve Bank of San Francisco. [Downloadable!]
24. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July. [Downloadable!] (restricted)
25. Helmut Herwartz, 2006. "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer, vol. 90(1), pages 89-104, March. [Downloadable!] (restricted)
26. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," CORE Discussion Papers 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
27. Rama Cont & Jean-Philippe Bouchaud, 1997. "Herd behavior and aggregate fluctuations in financial markets," Quantitative Finance Papers cond-mat/9712318, arXiv.org, revised Jan 1998. [Downloadable!]
28. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]
29. Jin, Hyun-Joung, 2008. "A Long Memory Conditional Variance Model for International Grain Markets," Journal of Rural Development/Nongchon-Gyeongje, Korea Rural Economic Institute, vol. 31(2), May. [Downloadable!]
30. Nour Meddahi & Éric Renault, 1998. "Quadratic M-Estimators for ARCH-Type Processes," CIRANO Working Papers 98s-29, CIRANO. [Downloadable!]
31. W. H"Ardle & L. Yang, . "Nonparametric Time Series Model Selection," Sonderforschungsbereich 373 1996-53, Humboldt Universitaet Berlin.
32. Ricardo Cao & Alicia Heras & Angeles Saavedra, 2009. "The uncertainties about the relationships risk–return–volatility in the Spanish stock market," Computational Statistics, Springer, vol. 24(1), pages 113-126, February. [Downloadable!] (restricted)
33. Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers 1105, Cowles Foundation, Yale University. [Downloadable!]
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    • Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor and Francis Journals, vol. 19(2), pages 145-174. [Downloadable!] (restricted)
34. Jose A. Lopez, 1995. "Evaluating the predictive accuracy of volatility models," Research Paper 9524, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
    • Lopez, Jose A, 2001. "Evaluating the Predictive Accuracy of Volatility Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(2), pages 87-109, March.
35. 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!]
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    • Viviana Fernández, 2003. "Extreme Value Theory and Value at Risk," Documentos de Trabajo 154, Centro de Economía Aplicada, Universidad de Chile. [Downloadable!]
36. L. Yang & W. H"Ardle, . "Nonparametric Autoregression with Multiplicative Volatility and Additive Mean," Sonderforschungsbereich 373 1996-62, Humboldt Universitaet Berlin.
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    • L. Yang & W. Härdle & J. Nielsen, . "Nonparametric Autoregression with Multiplicative Volatility and Additive Mean," Sonderforschungsbereich 373 1998-107, Humboldt Universitaet Berlin.
37. Trino-Manuel Niguez & Javier Perote, 2004. "Forecasting the density of asset returns," STICERD - Econometrics Paper Series /2004/479, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
38. Enrique Sentana & Gabriele Fiorentini, 2007. "On The Efficiency And Consistency Of Likelihood Estimation In Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI. [Downloadable!]
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    • Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper Series 38-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]
39. Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management," Center for Financial Institutions Working Papers 98-10, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Other versions:
    • Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-081, New York University, Leonard N. Stern School of Business-.
40. Richard D. F. Harris & C. Coskun Küçüközmen & Fatih Yilmaz, 2004. "Skewness in the conditional distribution of daily equity returns," Applied Financial Economics, Taylor and Francis Journals, vol. 14(3), pages 195-202, February. [Downloadable!] (restricted)
41. Issler, João Victor, 1999. "Estimating and Forecasting the Volatility of Brazilian Finance Series Using Arch Models (Preliminary Version)," Economics Working Papers (Ensaios Economicos da EPGE) 347, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
42. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany. [Downloadable!]
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    • Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis, 2005. "Option Pricing: Real and Risk-Neutral Distributions," CoFE Discussion Paper 05-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
43. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
44. 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!]
45. Rockinger, M. & Jondeau, E., 2001. "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Documents de Travail 79, Banque de France. [Downloadable!]
46. Chihwa Kao, 2001. "Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates," Center for Policy Research Working Papers 34, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
47. Sean D. Campbell, 2002. "Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate," Working Papers 2002-26, Brown University, Department of Economics. [Downloadable!]
48. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," Center for Financial Institutions Working Papers 99-05, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Other versions:
    • Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-079, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    • Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," NBER Working Papers 6845, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
49. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336. [Downloadable!]
50. Jaesun Noh & Robert F. Engle & Alex Kane, 1994. "Forecasting Volatility and Option Prices of the S&P 500 Index," University of California at San Diego, Economics Working Paper Series 93-32r, Department of Economics, UC San Diego. [Downloadable!]
51. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
52. Philip Kostov & Ziping Wu & Seamus McErlean, 2004. "Do Chinese stock markets share common information arrival processes?," Econometrics 0410001, EconWPA. [Downloadable!]
53. Teruko Takada, 2001. "Nonparametric density estimation: A comparative study," Economics Bulletin, Economics Bulletin, vol. 3, pages 1-10. [Downloadable!]
54. 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!]
    Other versions:
    • Enno Mammen & Oliver Linton, 2004. "Estimating Semiparametric ARCH Models by Kernel Smoothing Methods," FMG Discussion Papers dp511, Financial Markets Group. [Downloadable!] (restricted)
55. Eduardo Acosta González & Fernando Fernández Rodríguez & Jorge Pérez Rodríguez, 2002. "Volatility bias in the GARCH model: a simulation study," Documentos de trabajo conjunto ULL-ULPGC 2002-02, Facultad de Ciencias Económicas de la ULPGC. [Downloadable!]
56. W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University. [Downloadable!]
57. Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient estimation in semiparametric GARCH models," Discussion Paper 38, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
    • Drost, Feike C. & Klaassen, Chris A. J., 1997. "Efficient estimation in semiparametric GARCH models," Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November. [Downloadable!] (restricted)

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