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GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics. (2001). Engle, Robert.
In: Journal of Economic Perspectives.
RePEc:aea:jecper:v:15:y:2001:i:4:p:157-168.

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  3. How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O.
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  25. Foreign Institutional Investments (FIIs) and the Saudi Stock Market: What Drives Foreign Institutions to Invest?. (2022). Alhussayen, Hanan Mohammed.
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  28. How far is too far for volatility transmission?. (2022). Karali, Berna ; Yang, Yao.
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  39. Time series analysis of Cryptocurrency returns and volatilities. (2021). Malladi, Rama ; Dheeriya, Prakash L.
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  43. Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. (2021). Mohammed, Walid Abass.
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  79. Estimating the volatility of Bitcoin using GARCH models. (2019). Gyamerah, Samuel Asante.
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  82. Behaviour of Johannesburg Stock Exchange All Share Index Returns - An Asymmetric GARCH and News Impact Effects Approach. (2018). Owusu Junior, Peterson ; Korkpoe, Carl H.
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  84. Effective energy commodities’ risk management: Econometric modeling of price volatility. (2018). HALKOS, GEORGE ; Tzirivis, Apostolos.
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  85. A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index. (2018). Giouvris, Evangelos ; Alsheikhmubarak, Abdulilah Ibrahim.
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  90. Forecasting Volatility: Evidence from the Saudi Stock Market. (2018). Kao, Robert ; al Rahahleh, Naseem.
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  91. Investor sentiment and the mean-variance relationship: European evidence. (2018). Wang, Wenzhao.
    In: Research in International Business and Finance.
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  92. Relationships between Chinese stock market and its index futures market: Evaluating the impact of QFII scheme. (2018). Ahmed, Abdullahi ; Huo, Rui.
    In: Research in International Business and Finance.
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  93. Capital market consequences of cultural influences on earnings: The case of cross-listed firms in the U.S. stock market. (2018). Wijayana, Singgih ; Gray, Sidney J.
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  94. The mean–variance relation and the role of institutional investor sentiment. (2018). Wang, Wenzhao.
    In: Economics Letters.
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  95. Determining the embedding parameters governing long-term dynamics of copper prices. (2018). Hitch, Michael ; Tapia, Carlos A ; Saydam, Serkan ; Shishko, Robert ; Coulton, Jeff ; Sammut, Claude.
    In: Chaos, Solitons & Fractals.
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  96. The Impact of Oil Price Volatility to Oil and Gas Company Stock Returns and Emerging Economies. (2018). Ulusoy, Veysel ; Ozdurak, Caner .
    In: International Journal of Energy Economics and Policy.
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  97. Modeling the Volatility and Forecasting the Stock Price of the German Stock Index (DAX30). (2018). Nguyen, Tristan ; Mai, Thi Thanh.
    In: International Journal of Economics and Financial Research.
    RePEc:arp:ijefrr:2018:p:72-92.

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  99. A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison). (2017). Rabinovitz, Yedidya.
    In: International Journal of Financial Engineering (IJFE).
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  100. Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods. (2017). Xiao, Shuang ; Jia, Yunjing ; Li, Guo.
    In: Asia-Pacific Journal of Operational Research (APJOR).
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  101. Is CAViaR model really so good in Value at Risk forecasting? Evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GARCH-st(1,1), QML-GARCH(. (2017). Chlebus, Marcin ; Buczyski, Mateusz.
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  102. EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk. (2017). Chlebus, Marcin ; Marcin, Chlebus.
    In: Central European Economic Journal.
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  103. Inflation and Stock Market Returns Volatility: Evidence from the Nigerian Stock Exchange 1995Q1-2016Q4: An E-GARCH Approach. (2017). Iorember, Paul ; Usar, Terzungwe ; Sokpo, Joseph.
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  104. The Bell Curve of Intelligence, Economic Growth and Technological Achievement: How Robust is the Cross-Country Evidence?. (2017). Burhan, Nik Ahmad Sufian ; Selamat, Muhamad Rosli ; Rosli, Muhamad Ridhwan ; Razak, Razli Che.
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  105. Monetary policy independence reconsidered: evidence from six non-euro members of the European Union. (2017). Gabrisch, Hubert.
    In: Empirica.
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  106. Estimating Financial Volatility with High-Frequency Returns. (2017). Vo, Long.
    In: Journal of Finance and Economics Research.
    RePEc:gei:jnlfer:v:2:y:2017:i:2:p:84-114.

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  107. FDI Inflows, Price and Exchange Rate Volatility: New Empirical Evidence from Latin America. (2017). To, Nguyen Cong ; Bianco, Silvia Dal.
    In: IJFS.
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  108. Determinants of power spreads in electricity futures markets: A multinational analysis. (2017). Spodniak, Petr ; Bertsch, Valentin.
    In: Papers.
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  109. New evidence on stock market reaction to dividend announcements in India. (2017). Kumar, Satish.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pa:p:327-337.

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  110. Volatility Spillovers from Australias major trading partners across the GFC. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:47:y:2017:i:c:p:159-175.

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  111. Day of the week effect in paper submission/acceptance/rejection to/in/by peer review journals. II. An ARCH econometric-like modeling. (2017). ausloos, marcel ; Fronczak, Agata ; Nedic, Olgica ; Dekanski, Aleksandar ; Mrowinski, Maciej J.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:468:y:2017:i:c:p:462-474.

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  112. Transmission of financial stress in Europe: The pivotal role of Italy and Spain, but not Greece. (2017). Johnson, Christian ; Gonzalez-Hermosillo, Brenda .
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:90:y:2017:i:c:p:49-64.

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  113. Mean-variance versus naïve diversification: The role of mispricing. (2017). Yan, Cheng ; Zhang, Huazhu .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:48:y:2017:i:c:p:61-81.

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  114. Diversifying away the risk of war and cross-border political crisis. (2017). , Ayman ; Nolte, Sandra ; Wisniewski, Tomasz Piotr .
    In: Energy Economics.
    RePEc:eee:eneeco:v:64:y:2017:i:c:p:494-510.

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  115. Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

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  116. Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect. (2017). Ahmed, Abdullahi ; Huo, Rui.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:61:y:2017:i:c:p:260-272.

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  117. FINANCIAL PERFORMANCE AND THE BUSINESS RISK IN AGRICULTURAL SECTOR OF ROMANIA. (2017). Vasile, Burja ; Camelia, Burja .
    In: Annals - Economy Series.
    RePEc:cbu:jrnlec:y:2017:v:3:p:75-82.

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  118. Fund Volatility Index using equity market state prices. (2017). O'Neill, Michael J ; Smith, Tom ; Liu, Zhangxin.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:57:y:2017:i:3:p:837-853.

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  119. Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices. (2017). Darabi, Roya ; Ghorashi, Felor .
    In: Asian Journal of Economic Modelling.
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  120. Day of the Week Effect in biotechnology stocks: An Application of the GARCH processes. (2017). Chatterjee, Swarnankur.
    In: Papers.
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  121. Export Instability and Economic Growth in Nigeria: A Time Series Analysis. (2017). Oladipo, Olajide S.
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  122. DAY-OF-THE-WEEK EFFECT IN US BIOTECHNOLOGY STOCKS — DO POLICY CHANGES AND ECONOMIC CYCLES MATTER?. (2016). Chatterjee, Swarnankur ; Hubble, Amy .
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  123. Volatility Spillovers in the Spanish Food Marketing Chain: The Case of Tomato. (2016). serra, teresa ; Sidhoum, Amer Ait.
    In: Agribusiness.
    RePEc:wly:agribz:v:32:y:2016:i:1:p:45-63.

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  124. EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk. (2016). Chlebus, Marcin.
    In: Working Papers.
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  125. Spread and Liquidity Issues: A markets comparison. (2016). Bor, Bricelj ; Sebastjan, Straek.
    In: Naše gospodarstvo/Our economy.
    RePEc:vrs:ngooec:v:62:y:2016:i:1:p:3-11:n:1.

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  126. The transmission from equity markets to commodity markets in crises periods. (2016). Pying, Joseph Chang ; Tzeng, Kae-Yih .
    In: Applied Economics.
    RePEc:taf:applec:v:48:y:2016:i:48:p:4666-4689.

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  127. IMPACT OF THE GLOBAL FINANCIAL CRISES ON THE MAJOR ASIAN COUNTRIES AND USA STOCK MARKETS AND INTER-LINKAGES AMONG THEM. (2016). Adas, Cenk Gokce .
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  128. Pricing Efficiency in CNX Nifty Index Options Using the Black–Scholes Model: A Comparative Study of Alternate Volatility Measures. (2016). .
    In: Margin: The Journal of Applied Economic Research.
    RePEc:sae:mareco:v:10:y:2016:i:2:p:281-304.

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  129. A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models: Evidence from the Johannesburg stock exchange. (2016). Huang, Chun-Sung ; Panulo, Barry ; Mwangi, Patrick ; Elenjical, Timmy.
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  130. Entwicklungslinien in der Portfoliotheorie und im Asset Management. (2016). , Wallmeier.
    In: Die Unternehmung - Swiss Journal of Business Research and Practice.
    RePEc:nms:untern:10.5771/0042-059x-2016-4-407.

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  131. Foreign Official Holdings of U.S Treasuries, Stock Effect and the Economy: A DSGE Approach. (2016). Francois, John.
    In: 2016 Papers.
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  132. Athens game of chicken or the conditional dependence between the Greek banks. (2016). Derbali, Abdelkader ; Hallara, Slaheddine ; Sy, Aida.
    In: International Journal of Economics and Accounting.
    RePEc:ids:ijecac:v:7:y:2016:i:1:p:1-26.

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  133. Assessing the Exchange Rate Volatility as an External Shock to Chinese Economy. (2016). Azimi, Mohammad Naim.
    In: International Journal of Economics and Finance.
    RePEc:ibn:ijefaa:v:8:y:2016:i:5:p:277-285.

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  134. Volatility Spillovers Across User-Generated Content and Stock Market Performance. (2016). Franses, Philip Hans ; van Dieijen, M ; Tellis, G J ; Borah, A.
    In: ERIM Report Series Research in Management.
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  135. On the choice of GARCH parameters for efficient modelling of real stock price dynamics. (2016). Pokhilchuk, K A ; Savelev, S E.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:448:y:2016:i:c:p:248-253.

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  136. Revisiting calendar anomalies: Three decades of multicurrency evidence. (2016). Kumar, Satish.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:86:y:2016:i:c:p:16-32.

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  137. Volatility spillovers between oil prices and the stock market under structural breaks. (2016). Ewing, Bradley ; Malik, Farooq .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:29:y:2016:i:c:p:12-23.

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  138. GARCH models, tail indexes and error distributions: An empirical investigation. (2016). Sopov, Boril ; Horvath, Roman.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:37:y:2016:i:c:p:1-15.

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  139. Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility. (2016). Talmi, Jonathan ; Ehrmann, Michael.
    In: Staff Working Papers.
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  140. Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices. (2016). Ghorashi, Felor ; Darabi, Roya .
    In: Asian Journal of Economic Modelling.
    RePEc:asi:ajemod:2016:p:44-48.

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  141. Model Risk in Financial Markets:From Financial Engineering to Risk Management. (2015). Tunaru, Radu.
    In: World Scientific Books.
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  142. The Dynamic Effect of ExchangeRate Volatility on Turkish Exports: Parsimonious Error-Correction Model Approach. (2015). Demirhan, Erdal .
    In: Panoeconomicus.
    RePEc:voj:journl:v:62:y:2015:i:4:p:429-451.

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  143. Theoretical aspects concerning the use of the statistical-econometric instruments the analysis of the financial assets. (2015). Anghelache, Constantin.
    In: Romanian Statistical Review Supplement.
    RePEc:rsr:supplm:v:63:y:2015:i:9:p:44-48.

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  144. Forecasting the US CPI: Does Nonlinearity Matter?. (2015). GUPTA, RANGAN ; Alvarez-Diaz, Marcos.
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  145. Do call auctions curtail price volatility? Evidence from the National Stock Exchange of India. (2015). Camilleri, Silvio John.
    In: MPRA Paper.
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  146. Crisis Determination and Financial Contagion: An Analysis of the Hong Kong and Tokyo Stock Markets using an MSBVAR Approach. (2015). Troug, Haytem ; Murray, Matt.
    In: MPRA Paper.
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  147. Derivative Trading and Spot Market Volatility: Evidence from Indian Market. (2015). .
    In: International Journal of Innovation and Economic Development.
    RePEc:mgs:ijoied:v:1:y:2015:i:3:p:23-34.

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  148. Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?. (2015). Guidolin, Massimo ; Bernales, Alejandro.
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  149. Empirical Analysis on the USD/all Exchange Rate Volatility in Albanian Market: Preliminary Results. (2015). Di Liddo, Giuseppe ; Todri, Ardita .
    In: European Journal of Economics and Business Studies Articles.
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  150. An Investigation of the Month-of-The-Year Effect for the Sudanese Stock Market. (2015). Suliman, Suliman Zakaria .
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  151. Global transmission channels for international bank lending in the 2007–09 financial crisist. (2015). Lim, Jamus ; Adams-Kane, Jonathon ; Jia, Yueqing .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:56:y:2015:i:c:p:97-113.

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  152. Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?. (2015). Guidolin, Massimo ; Bernales, Alejandro.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:26:y:2015:i:c:p:1-37.

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  153. Uncertainty and episodes of extreme capital flows in the Euro Area. (2015). Schmidt, Torsten ; Zwick, Lina .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:48:y:2015:i:c:p:343-356.

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  154. Economic analysis of the introduction of agricultural revenue insurance contracts in Spain using statistical copulas. (2015). serra, teresa ; Ahmed, Osama.
    In: Agricultural Economics.
    RePEc:bla:agecon:v:46:y:2015:i:1:p:69-79.

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  155. .

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  156. Volatility Spillovers from Australias Major Trading Partners across the GFC. (2014). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K..
    In: Tinbergen Institute Discussion Papers.
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  157. Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series. (2014). McAleer, Michael ; Allen, David ; Singh, Abhay K..
    In: Tinbergen Institute Discussion Papers.
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  158. On the relationship of implied, realized and historical volatility: evidence from NSE equity index options. (2014). Shaikh, Imlak ; Padhi, Puja.
    In: Journal of Business Economics and Management.
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  159. An empirical study on technical analysis: GARCH (1, 1) model. (2014). Chen, Nen-Jing ; Chuang, Rwei-Ju .
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:41:y:2014:i:4:p:785-801.

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  160. Carry Trade Activities: A Multivariate Threshold Model Analysis. (2014). Gubler, Matthias.
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  161. Portfolio Diversification Benefits of Islamic Stocks and Malaysia’s Major Trading Partners:MGARCH-DCC and Wavelet Correlation Approaches. (2014). Masih, Abul ; Rahim, Adam Mohamed .
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  162. Effects of Political Turmoil (Arab Spring) on Portfolio Diversification Benefits: Perspectives of the Moroccan Islamic Stock investors. (2014). Masih, Abul ; Rahim, Adam Mohamed .
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  163. Investigating Causality Effects in Return Volatility among Five Major Futures Markets in European Countries with a Mediterranean Connection. (2014). Grima, Simon ; Frank, Bezzina ; Ercan, ozen ; ozdemir, Letife ; Simon, Grima .
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  164. Short-Term External Debt and Foreign Exchange Rate Volatility in Emerging Economies: Evidence from the Korea Market. (2014). Sung, Taeyoon ; Young, KI ; Park, Danbee.
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:50:y:2014:i:s6:p:138-157.

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  165. Investigating Intraday Interdependence Between Gold, Silver and Three Major Currencies: the Euro, British Pound and Japanese Yen. (2014). Papadamou, Stephanos ; Markopoulos, Thomas.
    In: International Advances in Economic Research.
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  166. Analysis of common-cause and special-cause variation in the deterioration of transportation infrastructure: A field application of statistical process control for structural health monitoring. (2014). Corr, David J. ; Chen, Yikai ; Durango-Cohen, Pablo L..
    In: Transportation Research Part B: Methodological.
    RePEc:eee:transb:v:59:y:2014:i:c:p:96-116.

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  167. Internet information arrival and volatility of SME PRICE INDEX. (2014). Shen, Dehua ; Zhang, Yongjie ; Xiong, Xiong ; Jin, XI ; Feng, Lina .
    In: Physica A: Statistical Mechanics and its Applications.
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  168. Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests. (2014). Guidolin, Massimo ; Bernales, Alejandro.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:46:y:2014:i:c:p:326-342.

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  169. Discrete stochastic autoregressive volatility. (2014). Cordis, Adriana S. ; Kirby, Chris.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:43:y:2014:i:c:p:160-178.

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  170. SOX, corporate transparency, and the cost of debt. (2014). Hood, Frederick M. ; Andrade, Sandro C. ; Bernile, Gennaro.
    In: Journal of Banking & Finance.
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  171. Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data. (2014). Urquhart, Andrew ; McGroarty, Frank.
    In: International Review of Financial Analysis.
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  172. The influence of biofuels, economic and financial factors on daily returns of commodity futures prices. (2014). Algieri, Bernardina.
    In: Energy Policy.
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  173. Co-movement of Foreign Direct and Portfolio Investments in Central and Eastern Europe. (2014). Gözgör, Giray ; Erzurumlu, Yaman O..
    In: International Journal of Economics and Financial Issues.
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  174. Volatility Spillovers from Australias major trading partners across the GFC. (2014). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K..
    In: Working Papers in Economics.
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  175. Canadian Hog Supply Response: A Provincial Level Analysis. (2014). Rude, James ; Surry, Yves.
    In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie.
    RePEc:bla:canjag:v:62:y:2014:i:2:p:149-169.

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  177. Groundnut Production and Climatic Variability: Evidence from Uganda. (2013). BRAVO-URETA, BORIS ; Li, Aizhen ; Puppala, Naveen ; Okello, David K. ; Deom, Carl M..
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  178. Uncertainty and Episodes of Extreme Capital Flows in the Euro Area. (2013). Schmidt, Torsten ; Zwick, Lina .
    In: Ruhr Economic Papers.
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  179. Exchange rate volatility and exchange rate uncertainty in Nigeria: a financial econometric analysis (1970- 2012). (2013). ifionu, Ebele ; nnamdi, Kelechi .
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  180. Short-Term Forecasting of Inflation in Bangladesh with Seasonal ARIMA Processes. (2013). akhter, tahsina.
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  181. Dynamics of Unemployment Insurance Claims: An Application of ARIMA-GARCH Models. (2013). Rich, Daniel ; Mohammadi, Hassan.
    In: Atlantic Economic Journal.
    RePEc:kap:atlecj:v:41:y:2013:i:4:p:413-425.

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  182. Economic effects by merger and acquisition types in the renewable energy sector: An event study approach. (2013). Heo, Eunnyeong ; Lee, Youah ; Yoo, Kyungjin .
    In: Renewable and Sustainable Energy Reviews.
    RePEc:eee:rensus:v:26:y:2013:i:c:p:694-701.

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  183. Modelling financial volatility in the presence of abrupt changes. (2013). Ross, Gordon J..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:2:p:350-360.

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  184. Modeling financial crisis period: A volatility perspective of Credit Default Swap market. (2013). Kim, Kyungwon .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:20:p:4977-4988.

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  185. Volatility spillovers from the Chinese stock market to economic neighbours. (2013). McAleer, Michael ; Allen, David ; Amram, Ron .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:238-257.

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  186. Leverage, balance-sheet size and wholesale funding. (2013). Terajima, Yaz ; Damar, Evren ; Meh, Cesaire A..
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:22:y:2013:i:4:p:639-662.

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  187. Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms. (2013). Wagner, Marcus ; Ziegler, Andreas ; Oberndorfer, Ulrich ; Schmidt, Peter.
    In: Journal of Environmental Economics and Management.
    RePEc:eee:jeeman:v:66:y:2013:i:3:p:497-509.

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  188. Do political parties foster business cycles? An examination of developed economies. (2013). Kim, Yoonbai ; Chang, Koyin ; Ying, Yung-Hsiang ; Tomljanovich, Marc.
    In: Journal of Comparative Economics.
    RePEc:eee:jcecon:v:41:y:2013:i:1:p:212-226.

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  189. Nonlinearity in investment grade Credit Default Swap (CDS) Indices of US and Europe: Evidence from BDS and close-returns tests. (2013). Madhavan, Vinodh.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:24:y:2013:i:3:p:266-279.

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  190. Financial Risk Measurement for Financial Risk Management. (2013). Andersen, Torben G ; Diebold, Francis X ; Christoffersen, Peter F ; Bollerslev, Tim.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1127-1220.

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  191. Biofuel-related price transmission literature: A review. (2013). Zilberman, David ; serra, teresa.
    In: Energy Economics.
    RePEc:eee:eneeco:v:37:y:2013:i:c:p:141-151.

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  192. No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options. (2013). Lee, Jae Wook ; Kim, Namhyoung .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:21:y:2013:i:c:p:36-53.

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  193. Integration of world leaders and emerging powers into the Malaysian stock market: A DCC-MGARCH approach. (2013). Lean, Hooi Hooi ; Teng, Kee Tuan .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:32:y:2013:i:c:p:333-342.

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  194. Estimating The Price Impact of the Victorian Terminal Gate Pricing Scheme. (2013). Davey, Alistair .
    In: Australian Economic Papers.
    RePEc:bla:ausecp:v:52:y:2013:i:1:p:19-37.

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  195. An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange. (2013). Bucevska, Vesna.
    In: Business Systems Research.
    RePEc:bit:bsrysr:v:4:y:2013:i:1:p:49-64.

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  196. Groundnut Production and Climatic Variability: Evidence from Uganda. (2013). BRAVO-URETA, BORIS ; Puppala, Naveen ; Deom, Carl ; Okello, David ; Li, Aizhen .
    In: Working Paper series.
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  197. Canadian Hog Supply Respose: A Provincial Level Analysis. (2013). Rude, James ; Surry, Yves.
    In: Working Papers.
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  198. IMF AND WORLD BANK ECONOMIC PROGRAMS ON INFLATION: RELEVANCE TO NEPAD. (2013). Sintim-Aboagye, Hermann.
    In: Review of Applied Economics.
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  199. Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?. (2012). Williams, John ; Reifschneider, David ; LAFORTE, JEANPHILIPPE ; Chung, Hess.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:44:y:2012:i:s1:p:47-82.

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  200. Do Gulf Cooperation Countries equity markets waltz or tango to spillovers?. (2012). Williams, Oral ; Saadi Sedik, Tahsin.
    In: Macroeconomics and Finance in Emerging Market Economies.
    RePEc:taf:macfem:v:5:y:2012:i:2:p:213-227.

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  201. Does inflation have an impact on stock returns and volatility? Evidence from Nigeria and Ghana. (2012). ALIYU, Shehu ; Shehu Usman Rano Aliyu, ; Shehu Usman Rano Aliyu, .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:22:y:2012:i:6:p:427-435.

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  202. Risk Management in Trading and Investment Portfolios. (2012). .
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:11:y:2012:i:2:p:189-229.

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  203. Risk management in the energy markets and Value-at-Risk modelling: a Hybrid approach. (2012). Andriosopoulos, Kostas ; Nomikos, Nikos .
    In: RSCAS Working Papers.
    RePEc:rsc:rsceui:2012/47.

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  204. Indirect estimation of GARCH models with alpha-stable innovations. (2012). Parrini, Alessandro.
    In: MPRA Paper.
    RePEc:pra:mprapa:38544.

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  205. Financial Risk Measurement for Financial Risk Management. (2012). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18084.

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  206. Introduction to Quantifying Systemic Risk. (2012). Lo, Andrew W. ; Haubrich, Joseph G..
    In: NBER Chapters.
    RePEc:nbr:nberch:12066.

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  207. Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events?. (2012). Williams, John ; Reifschneider, David ; LAFORTE, JEANPHILIPPE ; Chung, Hess.
    In: Journal of Money, Credit and Banking.
    RePEc:mcb:jmoncb:v:44:y:2012:i::p:47-82.

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  208. Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests. (2012). Guidolin, Massimo ; Bernales, Alejandro.
    In: Working Papers.
    RePEc:igi:igierp:456.

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  209. Market Discipline Under A Politicised Multilateral Fiscal Rule - Lessons from the Stability and Growth Pact Debate. (2012). .
    In: Global Financial Markets Working Paper Series.
    RePEc:hlj:hljwrp:35-2012.

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  210. Daily pricing of emerging market sovereign CDS before and during the global financial crisis. (2012). Neuenkirch, Matthias ; Hayo, Bernd ; Fender, Ingo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:10:p:2786-2794.

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  211. Selectivity and timing performance of UK investment trusts. (2012). Su, Chen ; Joseph, Nathan L. ; Bangassa, Kenbata .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:5:p:1149-1175.

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  212. Switching to floating exchange rates, devaluations, and stock returns in MENA countries. (2012). cipollini, andrea ; Chortareas, Georgios ; Eissa, Mohamed Abdelaziz .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:21:y:2012:i:c:p:119-127.

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  213. Forecasting hourly electricity prices using ARMAX–GARCH models: An application to MISO hubs. (2012). Mohammadi, Hassan ; Loomis, David G. ; Hickey, Emily .
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:1:p:307-315.

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  214. Comparative Performance of Volatility Models for Oil Price. (2012). Salisu, Afees ; fasanya, Ismail.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2012-03-9.

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  215. Does Uncovered Interest Rate Parity Hold in Turkey?. (2012). olak, Olcay ; KARAHAN, Ozcan.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2012-04-2.

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  216. Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial. (2012). Cepeda-Cuervo, Edilberto ; Barossi-Filho, Milton ; Achcar, Jorge Alberto .
    In: REVISTA CUADERNOS DE ECONOMÍA.
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  217. Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions. (2012). Perote, Javier ; Iguez, Trino-Manuel .
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:74:y:2012:i:4:p:600-627.

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  218. How much do the neighbors pay? Economic costs of international gas disputes. (2012). Zadorozhna, Olha .
    In: IEFE Working Papers.
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  219. Modeling Financial Volatility in the Presence of Abrupt Changes. (2012). Ross, Gordon J..
    In: Papers.
    RePEc:arx:papers:1212.6016.

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  220. A Quarterly Econometric Model for Short-Term Forecasting of the U.S. Dairy Industry. (2012). Mosheim, Roberto .
    In: Technical Bulletins.
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  221. Biofuel-related price volatility literature: a review and new approaches. (2012). serra, teresa.
    In: 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil.
    RePEc:ags:iaae12:126057.

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  222. INVESTIGATING THE EVOLUTION OF RON/EUR EXCHANGE RATE: THE CHOICE OF APPROPRIATE MODEL. (2012). Marin, Erika ; SPATARU, Silvia ; Begu, Liviu-Stelian .
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  223. What Might Central Banks Lose or Gain in Case of Euro Adoption – A GARCH-Analysis of Money Market Rates for Sweden, Denmark and the UK. (2011). Gabrisch, Hubert ; Buscher, Herbert S.
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  224. Reducing Fuel Volatility - An Additional Benefit From Blending Bio-fuels?. (2011). Koeb, B. S. ; Bailis, R. E. ; M. W. J. L. Sanders, .
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  225. The impact of the financial crisis on the interbank money markets behavior. Evidence from several CEE transition economies. (2011). Mutu, Simona ; Göndör, Mihaela ; Bresfelean, Vasile ; Mihaela GÖNDÖR, ; Brefelean, Vasile Paul ; GoNDoR, Mihaela .
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  226. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
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  227. Empirical aspects of capital flight in Kenya, 1970-2009. (2011). Mudida, Robert.
    In: NCID Working Papers.
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  228. Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms. (2011). Ziegler, Andreas ; Wagner, Marcus ; Oberndorfer, Ulrich .
    In: MAGKS Papers on Economics.
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  229. Global and Regional Spillovers to GCC Equity Markets. (2011). Williams, Oral ; Sedik, Tahsin Saadi.
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  230. The Effect of Capital Flow Management Measures in Five Asian Economies on the Foreign Exchange Market. (2011). MatthewS. Yiu, .
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  231. Volatility of Remittances to Pakistan: What do the Data Tell?. (2011). Mughal, Mazhar ; Makhlouf, Farid.
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  232. Is a probabilistic modeling really useful in financial engineering?. (2011). Join, Cedric ; Fliess, Michel ; Hatt, Frederic .
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  233. Have we underestimated the likelihood and severity of zero lower bound events?. (2011). Williams, John ; Laforte, Jean-Philippe ; Chung, Hess ; Reifschneider, David .
    In: Working Paper Series.
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  234. Forecasting ridership for a metropolitan transit authority. (2011). Russell, Robert A. ; Chiang, Wen-Chyuan ; Urban, Timothy L..
    In: Transportation Research Part A: Policy and Practice.
    RePEc:eee:transa:v:45:y:2011:i:7:p:696-705.

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  235. Volatility spillovers between food and energy markets: A semiparametric approach. (2011). serra, teresa.
    In: Energy Economics.
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  236. Comprehensive evaluation of ARMA-GARCH(-M) approaches for modeling the mean and volatility of wind speed. (2011). Erdem, Ergin ; Shi, Jing ; Liu, Heping .
    In: Applied Energy.
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  237. Volatility models. (2011). Laurent, Sébastien ; Hafner, Christian ; Bauwens, Luc.
    In: CORE Discussion Papers.
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  238. Market Efficiency in the EU Emissions Trading Scheme. An outlook for the third trading period.. (2011). de Manuel, Mirzha ; Mirzha de Manuel Armendia, .
    In: Bruges European Economic Research Papers.
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  239. Time-series Modelling, Stationarity and Bayesian Nonparametric Methods. (2011). Martínez-Ovando, Juan Carlos ; Martinez-Ovando, Juan Carlos ; Walker, Stephen G..
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  240. Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin dun mod\`ele probabiliste en ing\enierie financi\`ere ?. (2011). Join, C'Edric ; Fliess, Michel ; Fr'ed'eric Hatt, .
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  241. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
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  242. Capitalizing on Partisan Politics? The Political Economy of Sector‐Specific Redistribution in Germany. (2010). Fuss, Roland ; ROLAND FÜSS, ; Bechtel, Michael M.
    In: Journal of Money, Credit and Banking.
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  243. The relationship between the Vietnam stock market and its major trading partners - TECM with bivariate asymmetric GARCH model. (2010). Su, Chi-Wei ; Chang, Hsu-Ling.
    In: Applied Economics Letters.
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  244. The impact of volatility on growth in China. (2010). Laurenceson, James ; Rodgers, Danielle .
    In: Frontiers of Economics in China.
    RePEc:spr:frecch:v:5:y:2010:i:4:p:527-536.

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  245. Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes. (2010). Matei, Marius.
    In: Working Papers of Institute for Economic Forecasting.
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  246. Univariate GARCH models: a survey (in Russian). (2010). Rossi, Eduardo.
    In: Quantile.
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  247. Capitalizing on Partisan Politics? The Political Economy of Sector-Specific Redistribution in Germany. (2010). Füss, Roland ; Bechtel, Michael ; ROLAND FÜSS, ; Fuss, Roland.
    In: Journal of Money, Credit and Banking.
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  248. Weather Effects in Transition. (2010). Coupé, Tom ; Zadorozhna, Olha ; Coupe, Tom.
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  249. Modeling and forecasting trading volume index: GARCH versus TGARCH approach. (2010). Anwar, Sajid ; Monimul Huq, Md., ; Sabiruzzaman, Md., ; Beg, Rabiul Alam .
    In: The Quarterly Review of Economics and Finance.
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  250. Compensating asynchrony effects in the calculation of financial correlations. (2010). Munnix, Michael C. ; Guhr, Thomas ; Schafer, Rudi .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:4:p:767-779.

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  251. Testing the evolving efficiency of Arab stock markets. (2010). Abdmoulah, Walid .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:19:y:2010:i:1:p:25-34.

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  252. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form. (2010). Peel, David ; Pavlidis, Efthymios ; Paya, Ivan.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:14:y:2010:i:3:n:3.

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  253. Deregulation of wholesale petrol prices: what happened to capital city petrol prices?. (2010). Davey, Alistair .
    In: Australian Journal of Agricultural and Resource Economics.
    RePEc:bla:ajarec:v:54:y:2010:i:1:p:81-98.

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  254. Deregulation of wholesale petrol prices: what happened to capital city petrol prices?. (2010). Davey, Alistair .
    In: Australian Journal of Agricultural and Resource Economics.
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  255. Long-Run Determinants of Japanese Exports to China and the United States: A Sectoral Analysis. (2009). rey, serge ; Jaussaud, Jacques.
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  256. An intellectual property-based corporate strategy: An R&D spend, patent, trademark, media communication, and market price innovation agenda. (2009). Daizadeh, Iraj.
    In: Scientometrics.
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  257. Long-Run Determinants of Japanese Exports to China and the United States: A Sectoral Analysis. (2009). rey, serge ; Jaussaud, Jacques.
    In: Working Papers.
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  258. An economic view of carbon allowances market. (2009). Guegan, Dominique ; Frunza, Marius-Cristian .
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  259. The wandering weekday effect in major stock markets. (2009). Chen, Catherine Huirong ; Doyle, John R..
    In: Journal of Banking & Finance.
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  260. The macroeconomic effects of oil price fluctuations on a small open oil-producing country: The case of Trinidad and Tobago. (2009). Lorde, Troy ; Jackman, Mahalia ; Thomas, Chrystol .
    In: Energy Policy.
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  261. Energy prices, volatility, and the stock market: Evidence from the Eurozone. (2009). Oberndorfer, Ulrich .
    In: Energy Policy.
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  262. Spillover effect: A study for major capital markets and Romania capital market. (2009). Belciuganu, Cristina .
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  263. MODELLING SOUTH AFRICAN CURRENCY CRISES AS STRUCTURAL CHANGES IN THE VOLATILITY OF THE RAND. (2009). Liu, Guangling ; Duncan, Andrew.
    In: South African Journal of Economics.
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  264. Testing the Evolving Efficiency of 11 Arab Stock Markets. (2009). Abdmoulah, Walid .
    In: API-Working Paper Series.
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  265. Exchange Rate Sensitivity of Fresh Tomatoes Imports from Mexico to the United States. (2009). Jaramillo-Villanueva, Jose Luis ; Sarker, Rakhal.
    In: 2009 Conference, August 16-22, 2009, Beijing, China.
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  266. Power transformation models and volatility forecasting. (2008). McKenzie, Michael D. ; Sadorsky, Perry.
    In: Journal of Forecasting.
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  267. Test of the Gaussian Copula on the Swedish Stock Market. (2008). Soderberg, Jonas .
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  268. Essays on the Namibian Economy. (2008). Humavindu, Michael N.
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  269. Day-of-the-week effects in Selected East Asian stock markets. (2008). Liew, Venus ; Chia, Ricky ; Syed Azizi Wafa Syed Khalid Wafa, ; Syed Azizi Wafa Syed Khalid Wafa, .
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  270. Measuring Equity Volatility: the case of Chilean Stock Index. (2008). Alfaro, Rodrigo ; Silva, Carmen Gloria .
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  271. OPPORTUNITIES AND COSTS OF PORTFOLIO DIVERSIFICATION IN SADCS SMALLEST EQUITY MARKETS. (2008). Hearn, Bruce ; Piesse, Jenifer.
    In: South African Journal of Economics.
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  272. New relationships: ethanol, corn, and gasoline volatility. (2008). Wetzstein, Michael ; Zhang, Zibin .
    In: Risk, Infrastructure and Industry Evolution Conference, June 24-25, 2008, Berkeley, California.
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