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The econometrics of financial markets. (1996). pagan, adrian.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

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  92. A new structural stochastic volatility model of asset pricing and its stylized facts. (2016). Pruna, Radu T ; Jennings, Nicholas R ; Polukarov, Maria.
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  93. A detailed heterogeneous agent model for a single asset financial market with trading via an order book. (2016). Navarro, Roberto Mota ; Ridaura, Hern'An Larralde .
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  94. A Critical Review of the Main Approaches on Financial Market Dynamics Modelling. (2015). LUCIAN, PASCA .
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    RePEc:vrs:joheec:v:2:y:2015:i:2:p:151-167:n:4.

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  95. The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30. (2015). Li, Youwei ; He, Xuezhong.
    In: Research Paper Series.
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  96. Kalman filter-based modelling and forecasting of stochastic volatility with threshold. (2015). Gurung, Bishal ; Prajneshu, ; Ghosh, Himadri .
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:42:y:2015:i:3:p:492-507.

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  97. A simple nonparametric test for the existence of finite moments. (2015). Fedotenkov, Igor.
    In: MPRA Paper.
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  98. Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions. (2015). Assaf, Ata.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:29:y:2015:i:c:p:30-45.

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  99. Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders. (2015). Kaizoji, Taisei ; Saichev, Alexander ; Leiss, Matthias ; Sornette, Didier.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:112:y:2015:i:c:p:289-310.

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  100. Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis. (2015). Treepongkaruna, Sirimon ; Do, Hung Xuan ; Brooks, Robert.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:28:y:2015:i:c:p:24-37.

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  101. The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:380-393.

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  102. Long memory and level shifts in REITs returns and volatility. (2015). Assaf, Ata.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:172-182.

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  103. Testing of a market fraction model and power-law behaviour in the DAX 30. (2015). Li, Youwei ; He, Xuezhong.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:31:y:2015:i:c:p:1-17.

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  104. Power law scaling and “Dragon-Kings” in distributions of intraday financial drawdowns. (2015). Sornette, Didier ; Filimonov, Vladimir.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:74:y:2015:i:c:p:27-45.

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  105. Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk. (2015). Ruiz, Esther ; Hotta, Luiz ; Trucos, Carlos .
    In: DES - Working Papers. Statistics and Econometrics. WS.
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  106. Quantile Correlations: Uncovering temporal dependencies in financial time series. (2015). Schmitt, Thilo A ; Guhr, Thomas ; Dette, Holger ; Schafer, Rudi .
    In: Papers.
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  107. Observability of Market Daily Volatility. (2015). Petroni, Filippo ; Serva, Maurizio .
    In: Papers.
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  108. Power law scaling and Dragon-Kings in distributions of intraday financial drawdowns. (2015). Sornette, Didier ; Filimonov, Vladimir .
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  109. Leverage effect in energy futures. (2014). Krištoufek, Ladislav.
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  110. THE IMPLICATIONS OF TRADER COGNITIVE ABILITIES ON STOCK MARKET PROPERTIES. (2014). Hudson, Robert ; Soufian, Mona ; Manahov, Viktor.
    In: Intelligent Systems in Accounting, Finance and Management.
    RePEc:wly:isacfm:v:21:y:2014:i:1:p:1-18.

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  111. Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong ; Chiarella, Carl ; Remco C. J. Zwinkels, ; Remco C. J. Zwinkels, .
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    RePEc:uts:rpaper:344.

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  112. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
    RePEc:uts:finphd:13.

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  113. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
    RePEc:uts:finphd:1-2014.

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  114. Rock around the clock: an agent-based model of low- and high-frequency trading. (2014). Roventini, Andrea ; Napoletano, Mauro ; Fagiolo, Giorgio ; Leal, Sandrine Jacob.
    In: Sciences Po publications.
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  115. Hedging Effectiveness of Applying Constant and Time-Varying Hedge Ratios: Evidence from Taiwan Stock Index Spot and Futures. (2014). Chen, Dar-Hsin ; Tseng, Chun-Yi ; Bin, Leo .
    In: Journal of Risk & Control.
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  116. Leverage effect in energy futures. (2014). Krištoufek, Ladislav.
    In: Energy Economics.
    RePEc:eee:eneeco:v:45:y:2014:i:c:p:1-9.

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  117. High-order moments and extreme value approach for value-at-risk. (2014). Chien, Chang-Cheng Chang ; Kao, Wei-Shun ; Lin, Chu-Hsiung ; Changchien, Chang-Cheng .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:421-434.

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  118. Theoretical and empirical estimates of mean–variance portfolio sensitivity. (2014). Palczewski, Andrzej.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:234:y:2014:i:2:p:402-410.

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  119. Time Series Models for Business and Economic Forecasting. (2014). Franses, Philip Hans ; Opschoor, Anne ; van Dijk, Dick.
    In: Cambridge Books.
    RePEc:cup:cbooks:9780521520911.

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  120. Using an Artificial Financial Market for studying a Cryptocurrency Market. (2014). Marchesi, Michele ; Concas, Giulio ; Cocco, Luisanna .
    In: Papers.
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  121. Leverage effect in energy futures. (2014). Krištoufek, Ladislav ; Kristoufek, Ladislav.
    In: Papers.
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  122. Self-affinity in financial asset returns. (2014). Onali, Enrico ; Goddard, John.
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  123. Portfolio return distributions: Sample statistics with non-stationary correlations. (2014). CHETALOVA, DESISLAVA ; Guhr, Thomas ; Schmitt, Thilo A. ; Schafer, Rudi .
    In: Papers.
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  124. Ready for euro? Empirical study of the actual monetary policy independence in Poland. (2013). Mycielska, Dagmara ; Goczek, Lukasz.
    In: Working Papers.
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  125. Asymmetric returns, gradual bubbles and sudden crashes. (2013). Chia, Wai-Mun ; Zheng, Huanhuan ; Huang, Weihong.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:19:y:2013:i:5:p:420-437.

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  126. Effectiveness of volatility models in option pricing: evidence from recent financial upheavals. (2013). Singh, Vipul Kumar.
    In: Journal of Advances in Management Research.
    RePEc:eme:jamrpp:v:10:y:2013:i:3:p:352-375.

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  127. Econometric modeling of exchange rate volatility and jumps. (2013). Neely, Christopher J. ; Laurent, Sbastien ; Erdemlioglu, Deniz.
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  128. Scaling, stability and distribution of the high-frequency returns of the Ibex35 index. (2013). Gomez-Ullate, David ; Suarez-Garcia, Pablo .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:6:p:1409-1417.

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  129. Herd behaviour experimental testing in laboratory artificial stock market settings. Behavioural foundations of stylised facts of financial returns. (2013). Hudson, Robert ; Manahov, Viktor .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:19:p:4351-4372.

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  130. Analysis of non-stationary dynamics in the financial system. (2013). Houser, Daniel ; Rosen, Scott L. ; Guharay, Samar K. ; Thakur, Gaurav S. ; Goodman, Fred J..
    In: Economics Letters.
    RePEc:eee:ecolet:v:121:y:2013:i:3:p:454-457.

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  131. Understanding the dynamics of inflation volatility in Nigeria: A GARCH perspective. (2012). Omotosho, Babatunde ; Doguwa, Sani I.
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    RePEc:pra:mprapa:96125.

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  132. Analysis on Runs of Daily Returns in Istanbul Stock Exchange. (2012). Sensoy, Ahmet ; Åžensoy, Ahmet.
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  133. Variance Ratio Test of Random Walk for Foreign Trade: The Study in India during the Globalization Era of 1990s. (2012). Pradhan, Rudra Prakash .
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:3:y:2012:i:1:p:101-104.

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  134. Stylized facts of CO2 returns. (2012). Tornero, angel Pardo ; Martinez, Vicente Medina .
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  135. Agent-based risk management - A regulatory approach to financial markets. (2012). Theobald, Thomas.
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  136. Econometric modeling of exchange rate volatility and jumps. (2012). Neely, Christopher ; Laurent, Sébastien ; Erdemlioglu, Deniz.
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  137. Time-Varying Betas of Banking Sectors. (2012). Jánský, Ivo ; Benecká, Soňa ; Adam, Tomas ; Benecka, Sona ; Jansky, Ivo .
    In: Czech Journal of Economics and Finance (Finance a uver).
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  138. Kinetic models for socio-economic dynamics of speculative markets. (2012). Maldarella, Dario ; Pareschi, Lorenzo.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:3:p:715-730.

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  139. The level crossing and inverse statistic analysis of German stock market index (DAX) and daily oil price time series. (2012). Shayeganfar, F. ; Reza Rahimi Tabar, M., ; Holling, M. ; Peinke, J..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:1:p:209-216.

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  140. The endogenous dynamics of financial markets: Interaction and information dissemination. (2012). Xia, BingYing ; Hu, Sen ; Yang, Chunxia.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:12:p:3513-3525.

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  141. Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation. (2012). Vahid, Farshid ; Choi, Pilsun ; Choe, Kwang-il ; Nam, Kiseok.
    In: Pacific-Basin Finance Journal.
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  142. THE STYLIZED FACTS OF ASSET RETURNS AND THEIR IMPACT ON VALUE-AT-RISK MODELS. (2012). Iorgulescu, Filip ; Filip, IORGULESCU .
    In: Revista Economica.
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  143. Dynamic Linkages among Financial Markets in the Greater China Region: A Multivariate Asymmetric Approach. (2012). Zhang, Zhaoyong ; HO, Kin Yip.
    In: The World Economy.
    RePEc:bla:worlde:v:35:y:2012:i:4:p:500-523.

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  144. Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic.
    In: Quantitative Finance.
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  145. Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic.
    In: Quantitative Finance.
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  146. The impact on the pricing process of costly active management and performance chasing clients. (2011). Pellizzari, Paolo ; Casavecchia, Lorenzo ; Bird, Ron ; Woolley, Paul .
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:6:y:2011:i:1:p:61-82.

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  147. Volatility clustering and herding agents: does it matter what they observe?. (2011). Yamamoto, Ryuichi.
    In: Journal of Economic Interaction and Coordination.
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  148. A Note on institutional hierarchy and volatility in financial markets. (2011). Raddant, Matthias ; Milaković, Mishael ; Alfarano, Simone.
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  149. Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach. (2011). Urbig, Diemo ; Klein, Achim.
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  150. Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic.
    In: Post-Print.
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  151. Does volatility matter? Expectations of price return and variability in an asset pricing experiment. (2011). Pancotto, Francesca ; Devetag, Giovanna ; Bottazzi, Giulio.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:77:y:2011:i:2:p:124-146.

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  152. How accurate is the square-root-of-time rule in scaling tail risk: A global study. (2011). Yeh, Jin-Huei ; Cheng, Nick Ying-Pin ; Wang, Jying-Nan.
    In: Journal of Banking & Finance.
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  153. An analysis of the effect of noise in a heterogeneous agent financial market model. (2011). Zheng, Min ; Chiarella, Carl.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:1:p:148-162.

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  154. Econophysics: Bridges over a Turbulent Current. (2011). Chen, Shu-Heng ; Li, Sai-Ping.
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  155. Switching rates and the asymptotic behavior of herding models. (2010). Milaković, Mishael ; Irle, Albrecht ; Lux, Thomas ; Kauschke, Jonas .
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  156. Econometric analysis of microscopic simulation models. (2010). Li, Youwei ; Donkers, Bas ; Melenberg, Bertrand.
    In: Quantitative Finance.
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  157. The volatility of Australian traded goods prices. (2010). Woodland, Alan ; Sen, Kishti .
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  158. Univariate GARCH models: a survey (in Russian). (2010). Rossi, Eduardo.
    In: Quantile.
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  159. Some Further Evidence on the Behaviour of Stock Returns in India. (2010). HIREMATH, GOURISHANKAR ; Bandi, Kamaiah .
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  160. Stock volatility in the periods of booms and stagnations. (2010). Kaizoji, Taisei.
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  161. Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective. (2010). Wang, Yudong ; Wu, Chongfeng ; Wei, YU.
    In: Physica A: Statistical Mechanics and its Applications.
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  162. Do benchmark African equity indices exhibit the stylized facts?. (2010). Li, Youwei ; Opong, Kwaku K. ; Hamill, Philip A..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:21:y:2010:i:1:p:71-97.

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  163. A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market. (2009). Pellizzari, Paolo ; He, Xuezhong ; Chiarella, Carl.
    In: Research Paper Series.
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  164. Statistical properties of an experimental political futures market. (2009). Tai, Chung-Ching ; Wang, Sun-Chong ; Che, Shu-Heng ; Li, Sai-Ping.
    In: Quantitative Finance.
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  165. Does Volatility matter? Expectations of price return and variability in an asset pricing experiment. (2009). Pancotto, Francesca ; Devetag, Giovanna ; Bottazzi, Giulio.
    In: LEM Papers Series.
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  166. Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk. (2009). Assaf, A..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:3:p:109-116.

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  167. Extreme Value Theory and Value at Risk: Application to oil market. (2009). Trabelsi, Abdelwahed ; Marimoutou, Velayoudoum ; Raggad, Bechir .
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:4:p:519-530.

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  168. Modeling the price dynamics of CO2 emission allowances. (2009). Trueck, Stefan ; Benz, Eva ; Truck, Stefan.
    In: Energy Economics.
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  169. Asset prices, traders behavior and market design. (2009). Panchenko, Valentyn ; Anufriev, Mikhail.
    In: Journal of Economic Dynamics and Control.
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  170. Network structure and N-dependence in agent-based herding models. (2009). Milaković, Mishael ; Alfarano, Simone ; Milakovic, Mishael .
    In: Journal of Economic Dynamics and Control.
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  171. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
    In: Kiel Working Papers.
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  172. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
    In: Economics Working Papers.
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  173. Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto.
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  174. Heterogeneity, convergence, and autocorrelations. (2008). Li, Youwei ; He, Xuezhong.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79.

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  175. Empirical distributions of stock returns: Paris stock market, 1980-2003. (2008). Panas, Epaminondas ; Kanellopoulou, Stella .
    In: Applied Financial Economics.
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  176. Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK. (2008). Guidi, Francesco.
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  177. S&P Global Sector survivals: Momentum effects in sector indices underlying iShares. (2008). Kos, Hartwig ; Todorovic, Natasa.
    In: The Quarterly Review of Economics and Finance.
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  178. Heavy-tailed value-at-risk analysis for Malaysian stock exchange. (2008). cheong, chin.
    In: Physica A: Statistical Mechanics and its Applications.
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  179. The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR. (2008). Mo, Hengyong ; Tang, YI ; Bali, Turan G..
    In: Journal of Banking & Finance.
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  180. Estimation of an adaptive stock market model with heterogeneous agents. (2008). Amilon, Henrik.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:2:p:342-362.

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  181. Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution. (2008). Nam, Kiseok ; Choi, Pilsun .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:1:p:41-63.

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  182. Interpreting Value at Risk (VaR) forecasts. (2008). Gregory, Allan ; Reeves, Jonathan J..
    In: Economic Systems.
    RePEc:eee:ecosys:v:32:y:2008:i:2:p:167-176.

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  183. Quantifying and understanding the economics of large financial movements. (2008). Gabaix, Xavier ; Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran .
    In: Journal of Economic Dynamics and Control.
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  184. Sample period selection and long-term dependence: New evidence from the Dow Jones index. (2008). Ellis, Craig A ; Batten, Jonathan A ; Fethertson, Thomas A.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:36:y:2008:i:5:p:1126-1140.

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  185. Glossary to ARCH (GARCH). (2008). Bollerslev, Tim.
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  186. Rothschild–Stiglitzs definition of increasing risk and the relationship between volatility and risk premium. (2007). Kanniainen, Juho.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:16:y:2007:i:4:p:363-374.

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  187. The Stochastic Dynamics of Speculative Prices. (2007). Zheng, Min ; Chiarella, Carl.
    In: Research Paper Series.
    RePEc:uts:rpaper:208.

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  188. Fractional integration in the equity markets of MENA region. (2007). Assaf, A..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:9:p:709-723.

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  189. Stock return dynamics and stock market interdependencies. (2007). Tsouma, Ekaterini.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:10:p:805-825.

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  190. A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America. (2007). Canarella, Giorgio ; Pollard, Stephen .
    In: International Review of Economics.
    RePEc:spr:inrvec:v:54:y:2007:i:4:p:445-462.

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  191. Calculation of Stationary Random Sequences Extreme Values Characteristics and their Application to Determination of the Volatility of Russian and Foreign Financial Indices and Estimation of the Invest. (2007). Stikhova, Olga .
    In: Applied Econometrics.
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  192. Nonlinear Combination of Financial Forecast with Genetic Algorithm. (2007). Ozun, Alper ; Cifter, Atilla.
    In: MPRA Paper.
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  193. Social Simulation of Stock Markets: Taking It to the Next Level. (2007). Hoffmann, Arvid ; A. O. I. Hoffmann, ; Jager, W. ; von Eije, J. H..
    In: Journal of Artificial Societies and Social Simulation.
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  194. Long Memory Persistence in the Factor of Implied Volatility Dynamics. (2007). mungo, julius ; Härdle, Wolfgang ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
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  195. Rothschild-Stiglitzs definition of increasing risk and the relationship between volatility and risk premium. (2007). Kanniainen, Juho.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:16:y:2007:i:4:p:363-374.

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  196. Turnover activity in wealth portfolios. (2007). Milaković, Mishael ; Castaldi, Carolina ; Milakovic, Mishael .
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:63:y:2007:i:3:p:537-552.

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  197. An evolutionary game theory explanation of ARCH effects. (2007). Waters, George ; Parke, William R..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:7:p:2234-2262.

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  198. How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders. (2007). Consiglio, Andrea ; Russino, Annalisa.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:6:p:1910-1937.

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  199. A conditional extreme value volatility estimator based on high-frequency returns. (2007). Weinbaum, David ; Bali, Turan G..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:2:p:361-397.

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  200. Power-law behaviour, heterogeneity, and trend chasing. (2007). Li, Youwei ; He, Xuezhong.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:10:p:3396-3426.

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  201. Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia. (2007). Lestano, Lestano ; Kuper, Gerard.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:18:y:2007:i:4:p:670-684.

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  202. The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey. (2007). Ozun, Alper ; Cifter, Atilla.
    In: Journal of BRSA Banking and Financial Markets.
    RePEc:bdd:journl:v:1:y:2007:i:1:p:7-34.

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  203. Agent-based Models of Financial Markets. (2007). Lux, Thomas ; Stauffer, D. ; Zschischang, E. ; Samanidou, E..
    In: Papers.
    RePEc:arx:papers:physics/0701140.

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  204. Asset Prices, Traders Behavior, and Market Design. (2007). Panchenko, Valentyn ; Anufriev, Mikhail.
    In: CeNDEF Working Papers.
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  205. Microscopic models of financial markets. (2006). Lux, Thomas ; Stauffer, Dietrich ; Zschischang, Elmar ; Samanidou, Egle.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:5162.

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  206. Canadian REITs and Stock Prices: Fractional Cointegration and Long Memory. (2006). Assaf, Ata.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
    RePEc:wsi:rpbfmp:v:09:y:2006:i:03:n:s0219091506000793.

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  207. Multivariate GARCH models: a survey. (2006). , Jeroen ; Laurent, Sebastien ; Bauwens, Luc.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:21:y:2006:i:1:p:79-109.

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  208. The Interplay Between the Thai and Several Other International Stock Markets. (2006). Valadkhani, Abbas ; Chancharat, Surachai ; Harvie, Charles.
    In: Economics Working Papers.
    RePEc:uow:depec1:wp06-18.

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  209. On microscopic simulation models of financial markets. (2006). Li, Youwei.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:ec2f852d-4a7f-47b1-99b8-4237331b7171.

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  210. The Econometric Analysis of Microscopic Simulation Models. (2006). Li, Youwei ; Donkers, Bas ; Melenberg, B ; Donkers, A. C. D., .
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:1beb5afd-1771-4e7b-a3ea-1cc962fc3b61.

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  211. The Econometric Analysis of Microscopic Simulation Models. (2006). Melenberg, Bertrand ; Li, Youwei ; Donkers, Bas ; Donkers, A. C. D., .
    In: Discussion Paper.
    RePEc:tiu:tiucen:1beb5afd-1771-4e7b-a3ea-1cc962fc3b61.

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  212. Asymmetry and downside risk in foreign exchange markets. (2006). Bond, Shaun ; Satchell, Stephen.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:12:y:2006:i:4:p:313-332.

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  213. An automated econometric decision support system: forecasts for foreign exchange trades. (2006). Schuster, Matthias ; Keber, Christian ; Brandl, Bernd.
    In: Central European Journal of Operations Research.
    RePEc:spr:cejnor:v:14:y:2006:i:4:p:401-415.

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  214. Multivariate GARCH models: a survey. (2006). Rombouts, Jeroen ; Laurent, Sébastien ; Bauwens, Luc.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:1:p:79-109.

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  215. Extreme Value Theory and Value at Risk : Application to Oil Market. (2006). Trabelsi, Abdelwahed ; Marimoutou, Velayoudom ; Raggad, Bechir .
    In: Working Papers.
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  216. Dependence and mean reversion in stock prices: The case of the MENA region. (2006). Assaf, A..
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:20:y:2006:i:3:p:286-304.

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  217. On the suitability of Yule process to stochastically model some properties of object-oriented systems. (2006). Marchesi, Michele ; Concas, Giulio ; Pinna, Sandro ; Serra, Nicola .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:370:y:2006:i:2:p:817-831.

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  218. Estimation of a simple agent-based model of financial markets: An application to Australian stock and foreign exchange data. (2006). Alfarano, Simone ; Wagner, Friedrich ; Lux, Thomas.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:370:y:2006:i:1:p:38-42.

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  219. Fat tails and multi-scaling in a simple model of limit order markets. (2006). Krause, Andreas.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:368:y:2006:i:1:p:183-190.

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  220. 25 years of time series forecasting. (2006). Hyndman, Rob ; Gooijer, Jan G..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:22:y:2006:i:3:p:443-473.

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  221. Clustering and psychological barriers in exchange rates. (2006). Izan, H. Y. ; Mitchell, Jason .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:16:y:2006:i:4:p:318-344.

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  222. Comparing downside risk measures for heavy tailed distributions. (2006). Jorgensen, Bjorn ; de Vries, Casper ; Danielsson, Jon ; Sarma, Mandira.
    In: Economics Letters.
    RePEc:eee:ecolet:v:92:y:2006:i:2:p:202-208.

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  223. Volatility and Correlation Forecasting. (2006). Diebold, Francis X. ; Andersen, Torben G. ; Bollerslev, Tim ; Christoffersen, Peter F..
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:1-15.

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  224. The Impact of Stock Exchange Rules on Volatility and Error Transmission -- The Case of Frankfurt and Zurich Cross-Listed Equities. (2006). Katrakilidis, Constantinos ; Koulakiotis, Athanasios .
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2006:v:7:i:2:p:321-338.

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  225. CRISIS DE MERCADOS DE BONOS EMERGENTES Y CONTAGIO: DEPENDENCIA EXTREMA. (2006). Lopez, Diego Nicolas.
    In: DOCUMENTOS CEDE.
    RePEc:col:000089:002243.

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  226. Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques. (2005). Mergner, Sascha ; Bulla, Jan.
    In: Finance.
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  227. Long Memory, Heterogeneity and Trend Chasing. (2005). Li, Youwei ; He, Xuezhong.
    In: Research Paper Series.
    RePEc:uts:rpaper:148.

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  228. Heterogeneity, Profitability and Autocorrelations. (2005). Li, Youwei ; He, Xuezhong.
    In: Research Paper Series.
    RePEc:uts:rpaper:147.

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  229. 25 Years of IIF Time Series Forecasting: A Selective Review. (2005). Hyndman, Rob ; De Gooijer, Jan G..
    In: Tinbergen Institute Discussion Papers.
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  230. A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices. (2005). Consiglio, Andrea ; Lacagnina, Valerio ; Russino, Annalisa.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:5:y:2005:i:1:p:71-87.

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  231. Volatility Forecasting. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:05-011.

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  232. Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model. (2005). Lux, Thomas ; Alfarano, Simone.
    In: Computational Economics.
    RePEc:kap:compec:v:26:y:2005:i:1:p:19-49.

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  233. Estimation of an Adaptive Stock Market Model with Heterogeneous Agents. (2005). Amilon, Henrik.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0177.

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  234. Financial Market in the Laboratory, an Experimental Analysis of some Stylized Facts. (2005). Morone, Andrea.
    In: Papers on Strategic Interaction.
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  235. Comparing downside risk measures for heavy tailed distribution. (2005). Jorgensen, Bjorn ; de Vries, Casper ; Danielsson, Jon ; Sarma, Mandira.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24671.

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  236. Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information. (2005). GAO, Jiti ; Yao, Juan ; Alles, Lakshman.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:13:y:2005:i:2:p:225-245.

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  237. Slow boom, sudden crash. (2005). Veldkamp, Laura.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:124:y:2005:i:2:p:230-257.

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  238. Paramater estimation bias and volatility scaling in Black-Scholes option prices. (2005). Batten, Jonathan ; Ellis, Craig A..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:14:y:2005:i:2:p:165-176.

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  239. Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis. (2005). Worthington, Andrew ; Kay-Spratley, Adam ; Higgs, Helen .
    In: Energy Economics.
    RePEc:eee:eneeco:v:27:y:2005:i:2:p:337-350.

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  240. Sign Tests for Dependent Observations and Bounds for Path-Dependent Options. (2005). Ibragimov, Rustam ; Brown, Donald.
    In: Cowles Foundation Discussion Papers.
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  241. Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices. (2005). Kaizoji, Taisei.
    In: Papers.
    RePEc:arx:papers:physics/0506114.

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  242. A nonlinear structural model for volatility clustering. (2005). Hommes, Cars ; Gaunersdorfer, A..
    In: CeNDEF Working Papers.
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  243. Financial Market in the Laboratory. (2004). Morone, Andrea.
    In: Experimental.
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  244. Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment. (2004). He, Xuezhong ; Chiarella, Carl ; Wang, Duo.
    In: Research Paper Series.
    RePEc:uts:rpaper:142.

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  245. Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing. (2004). Gómez Biscarri, Javier ; Corzo, Teresa ; Santamaria, Teresa Corzo.
    In: Faculty Working Papers.
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  246. The Econometric Analysis of Microscopic Simulation Models. (2004). Li, Youwei ; Donkers, Bas.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:195.

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  247. Financial Liberalization and Emerging Stock Market Volatility. (2004). Gómez Biscarri, Javier ; J. Cuñado; J. Gómez, ; de Gracia, Prez F..
    In: Computing in Economics and Finance 2004.
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  248. LARCH, Leverage, and Long Memory. (2004). Giraitis, Liudas.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:2:y:2004:i:2:p:177-210.

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  249. Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH. (2004). Gooijer, Jan G. ; Brännäs, Kurt.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:23:y:2004:i:3:p:155-171.

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  250. The term structure of commercial paper rates. (2004). Oliner, Stephen ; Downing, Chris .
    In: Finance and Economics Discussion Series.
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  251. LARCH, leverage, and long memory. (2004). Surgailis, Donatas ; Leipus, Remigijus ; Robinson, Peter M. ; Giraitis, Liudas.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:294.

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  252. An analysis of option pricing under systematic consumption risk using GARCH. (2004). Masih, Abul ; Georgievski, Alex ; Masih, A. Mansur M., .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:18:y:2004:i:2:p:151-171.

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  253. Do Markov-switching models capture nonlinearities in the data?. (2004). pagan, adrian ; Breunig, Robert.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:64:y:2004:i:3:p:401-407.

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  254. Structural changes in volatility and stock market development: Evidence for Spain. (2004). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Cuñado, Juncal ; Hidalgo, Fernando Perez de Gracia, ; Eizaguirre, Juncal Cunado.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:7:p:1745-1773.

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  255. The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach. (2004). Mazouz, Khelifa.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:11:y:2004:i:5:p:695-708.

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  256. Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market. (2004). Moh, Young-Kyu ; Mark, Nelson.
    In: Econometric Society 2004 Far Eastern Meetings.
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  257. Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model. (2004). Milunovich, George.
    In: Econometric Society 2004 Australasian Meetings.
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  258. Applied Time Series Econometrics. (2004). Lütkepohl, Helmut ; Krätzig, Markus.
    In: Cambridge Books.
    RePEc:cup:cbooks:9780521547871.

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  259. Price Common Volatility or Volume Common Volatility? Evidence from Taiwans Exchange Rate and Stock Markets. (2004). Chen, Shyh-Wei ; Shen, Chung-Hua.
    In: Asian Economic Journal.
    RePEc:bla:asiaec:v:18:y:2004:i:2:p:185-211.

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  260. Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach. (2003). He, Xuezhong.
    In: Research Paper Series.
    RePEc:uts:rpaper:95.

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  261. Estimation of an Adaptive Stock Market Model with Heterogeneous Agents. (2003). Amilon, Henrik.
    In: Research Paper Series.
    RePEc:uts:rpaper:107.

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  262. Volatility and Volume in Chinese Stock Markets. (2003). Copeland, Laurence ; Zhang, Biqiong.
    In: Journal of Chinese Economic and Business Studies.
    RePEc:taf:jocebs:v:1:y:2003:i:3:p:287-300.

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  263. An investigation of the unconditional distribution of South African stock index returns. (2003). Beelders, O..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:9:p:623-633.

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  264. Signal Extraction can Generate Volatility Clusters. (2003). McCulloch, J. Huston ; Bidarkota, Prasad.
    In: Computing in Economics and Finance 2003.
    RePEc:sce:scecf3:59.

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  265. A simple framework for analysing bull and bear markets. (2003). Sossounov, Kirill ; pagan, adrian.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:18:y:2003:i:1:p:23-46.

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  266. LARCH, leverage and long memory. (2003). Surgailis, Donatas ; Leipus, Remigijus ; Robinson, Peter M. ; Giraitis, Liudas.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:2020.

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  267. Time variation in the credit spreads on Australian Eurobonds. (2003). Hogan, Warren ; Batten, Jonathan.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:11:y:2003:i:1:p:81-99.

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  268. Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [. (2003). Lebaron, Blake.
    In: International Journal of Forecasting.
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  269. Modelling the implied probability of stock market movements. (2003). Scheicher, Martin ; Glatzer, Ernst .
    In: Working Paper Series.
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  270. LARCH, Leverage and Long Memory. (2003). Giraitis, Liudas ; Surgailis, Donatas ; Robinson, Peter M ; Leipus, Remigijus.
    In: STICERD - Econometrics Paper Series.
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  271. Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?. (2003). Malevergne, Yannick ; Sornette, D. ; Pisarenko, V. F..
    In: Papers.
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  272. Speculative bubbles and fat tail phenomena in a heterogeneous agent model. (2003). Kaizoji, Taisei.
    In: Papers.
    RePEc:arx:papers:nlin/0312040.

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  273. From Efficient Markets Theory to Behavioral Finance. (2003). Shiller, Robert.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:17:y:2003:i:1:p:83-104.

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  274. Asset Pricing with Observable Stochastic Discount Factors.. (2002). Wickens, Michael ; Smith, Peter.
    In: Discussion Papers.
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  275. Learning About Models and Their Fit to Data. (2002). pagan, adrian.
    In: International Economic Journal.
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  276. Time varying country risk: an assessment of alternative modelling techniques. (2002). faff, robert ; McKenzie, M. ; Brooks, R. D..
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:8:y:2002:i:3:p:249-274.

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  277. A non-linear time series approach to modelling asymmetry in stock market indexes. (2002). Storti, Giuseppe ; Amendola, Alessandra.
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  292. Examining Competition in Land Market: An Application of Event Study to Land Auctions in Hong Kong. (2001). Fu, Yuming ; Ching, Stephen .
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  307. Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos. (2001). Malevergne, Yannick ; Corcos, A. ; J. -P. Eckmann, ; Sornette, D. ; Malaspinas, A..
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  309. Slimming of power law tails by increasing market returns. (2001). Sornette, D..
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  39. Identifying business cycle turning points in real time. (2002). Piger, Jeremy ; Chauvet, Marcelle.
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  42. The Equity Premium and Structural Breaks. (2000). Stambaugh, Robert ; Pastor, Lubos.
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  43. A structural Time Series Model with Markov Switching.. (2000). Forbes, Catherine ; Shami, R. G..
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  44. A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market. (2000). Graflund, Andreas.
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  45. A Preference Regime Model of Bull and Bear Markets. (2000). St-Amour, Pascal ; Gordon, Stephen.
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  46. A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models. (1999). Nelson, Charles ; Kim, Chang-Jin.
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  47. Permanent and Transitory Nature of Recessions. (1999). Murray, Chris ; Kim, Chang-Jin.
    In: Discussion Papers in Economics at the University of Washington.
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  48. Adaptive polar sampling with an application to a Bayes measure of value-at-risk. (1999). van Dijk, Herman ; Bos, Charles ; Bauwens, Luc.
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  49. A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models. (1998). Nelson, Charles ; Kim, Chang-Jin.
    In: Working Papers.
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  50. Combining Panel Data Sets with Attrition and Refreshment Samples. (1998). Ridder, Geert ; Imbens, Guido ; Hirano, Keisuke ; Rubin, Donald B..
    In: NBER Technical Working Papers.
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  51. Filtering via simulation: auxiliary particle filters. (1997). Shephard, Neil ; Pitt, Michael K.
    In: Economics Papers.
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  52. Returns to contrarian investment strategies: Tests of naive expectations hypotheses. (1997). Dechow Patricia M., ; Sloan Richard G., .
    In: Journal of Financial Economics.
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  53. The determinants of realignment expectations under the EMS: Some empirical regularities. (1997). Giovannini, Alberto ; Chen, Zhaohui.
    In: European Economic Review.
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  54. The Long-Run U.S./U.K. Real Exchange Rate. (1996). Kim, Chang-Jin ; Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5777.

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  55. The econometrics of financial markets. (1996). pagan, adrian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

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  56. A REVIEW OF ALTERNATIVE EXPECTATIONS REGIMES IN COMMODITY MARKETS: SPECIFICATION, ESTIMATION, AND HYPOTHESIS TESTING USING STRUCTURAL MODELS. (1996). Love, H. ; Burton, Diana M..
    In: Agricultural and Resource Economics Review.
    RePEc:ags:arerjl:31417.

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  57. Testing aggregate neutrality with heterogeneous sectors. (1995). Landon, Stuart.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:17:y:1995:i:1:p:131-148.

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  58. Markov Chain Monte Carlo Simulation Methods in Econometrics. (1994). Greenberg, Edward ; Chib, Siddhartha .
    In: Econometrics.
    RePEc:wpa:wuwpem:9408001.

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  59. On risk, rational expectations, and efficient asset markets. (1994). Akbarian, Dara ; Guy V. G. Stevens, .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:478.

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  60. A time series model with periodic stochastic regime switching. (1993). Ghysels, Eric.
    In: Discussion Paper / Institute for Empirical Macroeconomics.
    RePEc:fip:fedmem:84.

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  61. Two-Step, Instrumental Variable and Maximum Likelihood Estimation of Multivariate Rational Expectations Models. (1988). Pesaran, M.
    In: UCLA Economics Working Papers.
    RePEc:cla:uclawp:493.

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  62. U.S. Monetary Policy Regimes and U.S.-Japan Financial Relations. (1986). Roley, Vance V..
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  63. Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression. (1983). Bernanke, Ben.
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  64. Are Real Interest Rates Equal Across Countries? An Empirical Investigation of International Parity Conditions. (1982). Mishkin, Frederic.
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  65. Does Anticipated Aggregate Demand Policy Matter? Further Econometric results.. (1981). Mishkin, Frederic.
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    RePEc:nbr:nberwo:0789.

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