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2. Investors’ expectations around quantitative easing: does liquidity injection affect European banks equally?. (2022). Pugliese, Amedeo ; Parbonetti, Antonio ; Longo, Sara.
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3. Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts. (2021). Chlebus, Marcin ; Lis, Szymon.
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4. The New Standardised Approach as a Credible Fallback. (2021). Rossignolo, Adrian F.
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5. A New Semiparametric Mirrored Historical Simulation Value-At-Risk Model. (2020). Brzakovi, Omislav D ; Filipovi, Luka ; Radivojevi, Nikola.
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6. Basel IV A gloomy future for Expected Shortfall risk models. Evidence from the Mexican Stock Market. (2019). Rossignolo, Adrian F.
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7. Incorporating Sustainability Considerations into Lending Decisions and the Management of Bad Loans: Evidence from Greece. (2018). Skouloudis, Antonis ; Khan, Nadeem ; Anagnostopoulos, Theodosios ; Evangelinos, Konstantinos.
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8. An integrated macro?financial risk?based approach to the stressed capital requirement. (2017). Liu, Xiaochun.
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9. Hull-White’s value at risk model: case study of Baltic equities market. (2017). Radivojevi, Nikola ; Dj, Djurdjica ; Uri, Nikola V.
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10. Zmiennosc cen na globalnym rynku surowcow a ryzyko banku. (2017). Wlodarczyk, Bogdan.
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11. An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun.
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12. Do country-level financial structures explain bank-level CDS spreads?. (2017). Sousa, Ricardo ; Mallick, Sushanta ; Benbouzid, Nadia.
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13. Has the uniformity of banking regulation within the European Union restricted rather than encouraged sectoral development?. (2017). Corbet, Shaen ; Larkin, Charles.
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14. The new hybrid value at risk approach based on the extreme value theory. (2016). Cvjetkovic, Milena ; Stepanov, Saa ; Radivojevic, Nikola .
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15. Does Basel II affect the market valuation of discretionary loan loss provisions?. (2016). Heinen, Andréas ; Linder, Stefan ; Porumb, Vlad-Andrei ; Hamadi, Malika.
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2. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta .
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3. A comparison of implied and realized volatility in the Nordic power forward market. (2015). Molnár, Peter ; Haugom, Erik ; Westgaard, Sjur ; Molnar, Peter ; Birkelund, Ole Henrik ; Opdal, Martin .
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4. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
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5. Parametric Inference and Dynamic State Recovery from Option Panels. (2012). Andersen, Torben ; Fusari, Nicola ; Todorov, Viktor.
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6. A nonparametric GARCH model of crude oil price return volatility. (2012). Suardi, Sandy ; Hou, Aijun .
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7. A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices volatility forecasting models. (2012). Xu, Bing ; Ouenniche, Jamal.
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8. Liquidity and Market Microstructure Noise: Evidence from the Pekao Data. (2010). Doman, Magorzata .
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9. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
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10. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2008). Racicot, François-Éric ; Coen, Alain ; Theoret, Raymond.
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11. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
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12. Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian.
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13. Modeling Financial Return Dynamics by Decomposition. (2007). Gospodinov, Nikolay ; Anatolyev, Stanislav.
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14. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
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15. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
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16. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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17. Asymmetry, Loss Aversion and Forecasting. (2004). Bond, Shaun A. ; Satchell, Stephen E..
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18. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
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19. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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20. El índice VIX para la predicción de la volatilidad: un estudio internacional.. (2004). Rubio, Javier Giner ; Marrero, Sandra Morini.
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21. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
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24. Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
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25. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
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26. Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics. (2002). Neely, Christopher ; Weller, Paul A..
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27. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
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28. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
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29. Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
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30. Analytic Evaluation of Volatility Forecasts. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
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34. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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36. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics. (2001). Neely, Christopher ; Weller, Paul A..
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39. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
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41. Risque de modèle de volatilité. (2001). Renault, Eric ; Alami, Ali .
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42. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
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46. Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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48. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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49. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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50. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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