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EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. (). Sorensen, Bent ; Andersen, Torben ; Chung, Hyung-Jin.
In: Computing in Economics and Finance 1997.
RePEc:sce:scecf7:6.

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  96. The inflation and inflation uncertainty relationship for Turkey: a dynamic framework. (2011). YILDIRIM, JULIDE ; Yalcin, Yeliz ; Berument, Hakan.
    In: Empirical Economics.
    RePEc:spr:empeco:v:41:y:2011:i:2:p:293-309.

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  97. Migration flows, structural change, and growth convergence: A panel data analysis of Italian regions. (2011). Capasso, Salvatore ; Carillo, Maria Rosaria ; Desiano, Rita ; De Siano, Rita .
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  98. Fiscal Policy Discretion, Private Spending, and Crisis Episodes. (2011). Sousa, Ricardo ; Furceri, Davide ; Agnello, Luca.
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  99. Privatization and Globalization: an Empirical Analysis. (2011). Cosset, Jean-Claude ; Valery, Pascale ; Debab, Nassima ; Boubakri, Narjess.
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  100. Estimating the agglomeration benefits of transport investments: some tests for stability. (2011). Graham, Daniel ; Dender, Kurt .
    In: Transportation.
    RePEc:kap:transp:v:38:y:2011:i:3:p:409-426.

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  101. A Comparison of Alternative Forecast Models of REIT Volatility. (2011). Zhou, Jian ; Kang, Zhixin .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:42:y:2011:i:3:p:275-294.

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  102. Fourth order pseudo maximum likelihood methods. (2011). Holly, Alberto ; Rockinger, Michael.
    In: Post-Print.
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  103. Fourth order pseudo maximum likelihood methods. (2011). Monfort, Alain ; Holly, Alberto ; Rockinger, Michael.
    In: Post-Print.
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  104. Earnings Growth and Movements in Self-Reported Health. (2011). Halliday, Timothy.
    In: Working Papers.
    RePEc:hai:wpaper:201117.

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  105. Oil and stock market volatility: A multivariate stochastic volatility perspective. (2011). Vo, Minh .
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:5:p:956-965.

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  106. Firm level return–volatility analysis using dynamic panels. (2011). Yamagata, Takashi ; Smith, L. Vanessa.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:5:p:847-867.

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  107. The role of time-varying jump risk premia in pricing stock index options. (2011). Yun, Jaeho.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:5:p:833-846.

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  108. Fourth order pseudo maximum likelihood methods. (2011). Rockinger, Michael ; Monfort, Alain ; Holly, Alberto.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:278-293.

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  109. Nonparametric model validations for hidden Markov models with applications in financial econometrics. (2011). Zhao, Zhibiao.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:225-239.

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  110. state-observation sampling and the econometrics of learning models. (2011). Calvet, Laurent ; Czellar, Veronika .
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  111. Fourth Order Pseudo Maximum Likelihood Methods. (2011). Rockinger, Michael ; Monfort, Alain ; Holly, Alberto ; Alberto HOLLY ; Alain MONFORT ; Michael ROCKINGER, .
    In: Working Papers.
    RePEc:crs:wpaper:2011-05.

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  112. Volatility models. (2011). Laurent, Sébastien ; Hafner, Christian ; Bauwens, Luc.
    In: CORE Discussion Papers.
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  113. Fiscal Policy Discretion, Private Spending, and Crisis Episodes. (2011). Sousa, Ricardo ; Furceri, Davide ; Agnello, Luca ; R. M, Sousa., .
    In: Working papers.
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  114. A Stochastic Volatility Model with Conditional Skewness. (2011). Feunou, Bruno ; Tedongap, Romeo.
    In: Staff Working Papers.
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  115. Hedging of time discrete auto-regressive stochastic volatility options. (2011). del Castillo, Joan ; Ortega, Juan-Pablo.
    In: Papers.
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  116. Relative forecasting performance of volatility models: Monte Carlo evidence. (2010). Lux, Thomas ; Morales-Arias, Leonardo .
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  117. Recovering the moments of information flow and the normality of asset returns. (2010). Murphy, Anthony ; Izzeldin, Marwan.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:20:y:2010:i:10:p:761-769.

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  118. Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian). (2010). Tsyplakov, Alexander.
    In: Quantile.
    RePEc:qnt:quantl:y:2010:i:8:p:69-122.

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  119. Large sample properties of the three-step euclidean likelihood estimators under model misspecification. (2010). Dovonon, Prosper.
    In: MPRA Paper.
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  120. Flight to Liquidity and Global Equity Returns. (2010). Sarkissian, Sergei ; Goyenko, Ruslan .
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  121. Revealing the arcane: an introduction to the art of stochastic volatility models. (2010). Tsyplakov, Alexander.
    In: MPRA Paper.
    RePEc:pra:mprapa:25511.

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  122. Stock and Bond Relationships in Asia. (2010). Johansson, Anders.
    In: Working Paper Series.
    RePEc:hhs:hacerc:2010-014.

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  123. GMM estimation of the number of latent factors: With application to international stock markets. (2010). Perez, M. Fabricio ; Ahn, Seung.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:783-802.

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  124. The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey. (2009). Xu, Dinghai.
    In: Working Papers.
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  125. An analytic approximation of the likelihood function for the Heston model volatility estimation problem. (2009). Atiya, Amir ; Wall, Steve .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:3:p:289-296.

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  126. Stochastic volatility and time-varying country risk in emerging markets. (2009). Johansson, Anders.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:15:y:2009:i:3:p:337-363.

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  127. Automated Likelihood Based Inference for Stochastic Volatility Models. (2009). Yu, Jun ; Skaug, Hans J..
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  128. Estimating continuous-time stochastic volatility models of the short-term interest rate: a comparison of the generalized method of moments and the Kalman filter. (2009). Sapp, Travis .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:33:y:2009:i:4:p:303-326.

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  129. A censored stochastic volatility approach to the estimation of price limit moves. (2009). Yang, Jimmy J. ; Hsieh, Ping-Hung .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:2:p:337-351.

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  130. Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models. (2009). Dufour, Jean-Marie ; Valery, Pascale .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:2:p:193-206.

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  131. The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework. (2009). YILDIRIM, JULIDE ; Yalcin, Yeliz ; Berument, Hakan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:6:p:1201-1207.

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  132. Simulated minimum Hellinger distance estimation of stochastic volatility models. (2009). Takada, Teruko.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:2390-2403.

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  133. Asymmetry in Stochastic Volatility Models: Threshold or Correlation?. (2009). Smith, Daniel.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:13:y:2009:i:3:n:1.

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  134. A Note on the Theme of Too Many Instruments. (2009). Roodman, David.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:71:y:2009:i:1:p:135-158.

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  135. Firm Level Volatility-Return Analysis using Dynamic Panels. (2008). Yamagata, Takashi ; Smith, L. Vanessa.
    In: Discussion Papers.
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  136. Time-Deformation Modeling Of Stock Returns Directed By Duration Processes. (2008). Wirjanto, Tony ; Feng, Dingan ; Peter X.-K. Song, ; Peter X.-K. Song, .
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  137. Econometric estimation in long-range dependent volatility models: Theory and practice. (2008). GAO, Jiti ; Casas, Isabel.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:72-83.

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  138. Simulation-based Estimation of Contingent-claims Prices. (2008). Yu, Jun ; Phillips, Peter ; JunYu, ; Peter C. B. Phillips, .
    In: Finance Working Papers.
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  139. Specification Testing in Models with Many Instruments. (2008). Gospodinov, Nikolay ; Anatolyev, Stanislav.
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  140. Stylized Facts and Discrete Stochastic Volatility Models. (2008). Sima, Alin .
    In: Advances in Economic and Financial Research - DOFIN Working Paper Series.
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  141. AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE. (2008). Pacurar, Maria .
    In: Journal of Economic Surveys.
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  142. Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments. (2008). .
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  143. Specification Testing in Models with Many Instruments. (2008). Gospodinov, Nikolay ; Anatolyev, Stanislav.
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  144. Modeling foreign exchange rates with jumps. (2007). McCurdy, Tom ; Maheu, John.
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  145. Nonlinear time series: semiparametric and nonparametric methods. (2007). GAO, Jiti.
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  146. Econometric estimation in long-range dependent volatility models: Theory and practice. (2007). GAO, Jiti ; Casas, Isabel.
    In: MPRA Paper.
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  147. Specification and estimation of discrete time quadratic stochastic volatility models. (2007). Kawakatsu, Hiroyuki .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:3:p:424-442.

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  148. Simulation-based Estimation of Contingent-claims Prices. (2007). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
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  149. Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices. (2007). Christoffersen, Peter ; Jacobs, Kris ; Mimouni, Karim.
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  150. The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility. (2006). Lux, Thomas.
    In: Economics Working Papers.
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  151. Technological and organizational changes as determinants of the skill bias: evidence from the Italian machinery industry. (2006). Vivarelli, Marco ; Santarelli, Enrico ; Piva, Mariacristina.
    In: Managerial and Decision Economics.
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  152. A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates. (2006). Mahieu, Ronald ; Tims, Ben .
    In: Econometric Reviews.
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  153. Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison. (2006). Yu, Jun ; JunYu, ; Meyer, Renate.
    In: Econometric Reviews.
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  154. Gamma stochastic volatility models. (2006). Abraham, Bovas ; Sivakumar, Ranjini ; Balakrishna, N..
    In: Journal of Forecasting.
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  155. The stochastic volatility in mean model and automation: Evidence from TSE. (2006). Assaf, Ata.
    In: The Quarterly Review of Economics and Finance.
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  156. On the estimation and comparison of short-rate models using the generalised method of moments. (2006). faff, robert ; Gray, Philip.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:11:p:3131-3146.

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  157. Volatility and Correlation Forecasting. (2006). Diebold, Francis X. ; Andersen, Torben G. ; Bollerslev, Tim ; Christoffersen, Peter F..
    In: Handbook of Economic Forecasting.
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  158. Approaches to forecasting volatility: Models and their performances for emerging equity markets. (2006). Uberti, Mariacristina ; Pezzo, Rosanna.
    In: Chaos, Solitons & Fractals.
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  159. Deciding between GARCH and stochastic volatility via strong decision rules. (2006). Hafner, Christian ; Preminger, Arie.
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  160. DECIDING BETWEEN GARCH AND STOCHASTIC VOLATILITY VIA STRONG DECISION RULES. (2006). Preminger, Arie ; Hafner, Christian M..
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  161. GMM Estimation for Long Memory Latent Variable Volatility and Duration Models. (2005). Deo, Rohit ; Chen, Willa.
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  162. Forecasting variance using stochastic volatility and GARCH. (2005). Hördahl, Peter ; Hansson, Björn ; Hordahl, Peter.
    In: The European Journal of Finance.
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  163. Stochastic volatility forecasting and risk management. (2005). Sadorsky, Perry.
    In: Applied Financial Economics.
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  164. Volatility Forecasting. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
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  165. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Series Working Papers.
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  166. Stochastic volatility. (2005). Shephard, Neil.
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  167. Stochastic Volatility. (2005). Shephard, Neil.
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  168. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
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  169. External habit and the cyclicality of expected stock returns. (2005). Zhang, Harold ; Tallarini, Thomas.
    In: Finance and Economics Discussion Series.
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  170. Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures. (2005). Ramalho, Joaquim ; Joaquim J. S. Ramalho, .
    In: Studies in Nonlinear Dynamics & Econometrics.
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  171. The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility. (2004). Lux, Thomas.
    In: Economics Working Papers.
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  172. Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison. (2004). Yu, Jun ; Meyer, Renate.
    In: Working Papers.
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  173. On Leverage in a Stochastic Volatility Model. (2004). Yu, Jun.
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  174. A fractal forecasting model for financial time series. (2004). Richards, Gordon R..
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:23:y:2004:i:8:p:586-601.

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  175. Small sample properties of the GMM specification test based on the Hansen-Jagannathan distance. (2004). Ahn, Seung ; Gadarowski, Christopher .
    In: Journal of Empirical Finance.
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  176. A simple estimation method and finite-sample inference for a stochastic volatility model. (2004). Dufour, Jean-Marie ; Valery, Pascale .
    In: Econometric Society 2004 North American Summer Meetings.
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  177. Estimation of Stochastic Volatility Models : An Approximation to the Nonlinear State Space. (2004). Shimada, Junji ; Tsukuda, Yoshihiko.
    In: Econometric Society 2004 Far Eastern Meetings.
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  178. Estimation methods for stochastic volatility models: a survey. (2004). Ruiz, Esther ; Broto, Carmen.
    In: Journal of Economic Surveys.
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  179. Nonparametric Methods in Continuous-Time Finance: A Selective Review. (2003). Hong, Yongmiao ; CAI, ZONGWU.
    In: SFB 373 Discussion Papers.
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  180. The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting. (2003). Lux, Thomas.
    In: Economics Working Papers.
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  181. Validity of discrete-time stochastic volatility models in non-synchronous equity markets. (2003). Solibakke, Per Bjarte.
    In: The European Journal of Finance.
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  182. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole E..
    In: Economics Series Working Papers.
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  183. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
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  184. Comparing Conditional Variance Models: Theory and Empirical Evidence. (2003). Tondini, Giovanni ; Girardello, Paolo ; Nicolis, Orietta.
    In: Multinational Finance Journal.
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  185. A Range-Based Multivariate Model for Exchange Rate Volatility. (2003). Mahieu, Ronald ; Tims, B..
    In: ERIM Report Series Research in Management.
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  186. Univariate and multivariate stochastic volatility models: estimation and diagnostics. (2003). Richard, Jean-Francois ; Liesenfeld, Roman .
    In: Journal of Empirical Finance.
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  187. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
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  188. Simulation Monte Carlo methods in extended stochastic volatility models. (2002). Soukup, Toma ; imandl, Miroslav .
    In: Intelligent Systems in Accounting, Finance and Management.
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  189. Which Model for the Italian Interest Rates?. (2002). Renò, Roberto ; Castaldi, Carolina ; M. Gentile, R. Reno, ; Dosi, Giovanni.
    In: LEM Papers Series.
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  190. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Brandt, Michael W. ; Kang, Qiang .
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  191. Testing Normality : A GMM Approach. (2002). Meddahi, Nour ; Bontemps, Christian.
    In: Cahiers de recherche.
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  192. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options. (2002). Zhang, Xibin ; Yu, Jun ; Yang, Zhenlin.
    In: Monash Econometrics and Business Statistics Working Papers.
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  193. Comparing conditional variance models: Theory and empirical evidence. (2002). girardello, p..
    In: Departmental Working Papers.
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  194. Cross-sectional tests of deterministic volatility functions. (2002). Brandt, Michael W. ; Wu, Tao.
    In: Journal of Empirical Finance.
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  195. Modeling the interdependence of volatility and inter-transaction duration processes. (2002). Grammig, Joachim ; Wellner, Marc .
    In: Journal of Econometrics.
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