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6. Evidence of Stock Returns and Abnormal Trading Volume: A Threshold Quantile Regression Approach. (2016). Chen, Cathy W. S. ; Chiang, Thomas C.
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1. Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan.
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2. Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility. (2020). Abdelmalek, Wafa ; ben Hamida, Sana ; Abid, Fathi.
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3. A micro-to-macro approach to returns, volumes and waiting times. (2020). Petroni, Filippo ; D'Amico, Guglielmo.
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4. Design of High-Frequency Trading Algorithm Based on Machine Learning. (2019). Feng, Yutong ; Fang, Boyue.
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5. Does U.S. Macroeconomic News Make the South African Stock Market Riskier?. (2016). GUPTA, RANGAN ; Cakan, Esin.
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6. Models of Financial Return With Time-Varying Zero Probability. (2016). Sucarrat, Genaro ; Gronneberg, Steffen .
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7. Forecasting Covariance Matrices: A Mixed Approach. (2016). Halbleib, Roxana ; Voev, Valeri .
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8. CRIX or evaluating blockchain based currencies. (2016). Trimborn, Simon ; Härdle, Wolfgang ; Hardle, Wolfgang Karl.
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9. Value-at-Risk forecasts by a spatiotemporal model in Chinese stock market. (2016). Gong, PU ; Weng, Yingliang .
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10. Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance. (2015). McAleer, Michael ; Maasoumi, Esfandiar ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio.
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11. Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes. (2015). Aknouche, Abdelhakim.
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12. Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence. (2015). Bentes, Sonia R.
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13. Nonlinear GARCH model and 1/f noise. (2015). Kononovicius, A. ; Ruseckas, J..
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14. High and low or close to close prices? Evidence from the multifractal volatility. (2015). Ma, Feng ; Liu, Zhichao ; Long, Yujia .
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15. Financial time series modeling using the Hurst exponent. (2015). Anagnostopoulos, Christoforos ; Tzouras, Spilios ; McCoy, Emma .
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16. Sharia compliant gold investment in Malaysia: Hedge or safe haven?. (2015). Lean, Hooi Hooi ; Ghazali, Mohd Fahmi ; Bahari, Zakaria .
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17. Value at Risk of the main stock market indexes in the European Union (2000–2012). (2015). Iglesias, Emma.
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18. Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods. (2015). Bouri, Elie.
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19. Power transformations of absolute returns and long memory estimation. (2015). Dalla, Violetta.
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20. The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey. (2015). Cevik, Serhan ; Charap, Joshua .
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21. Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk. (2015). Ruiz, Esther ; Hotta, Luiz ; Trucos, Carlos .
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22. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
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23. Factor-Specific Productivity. (2014). Piper, Brian .
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24. Long memory dynamics for multivariate dependence under heavy tails. (2014). Lucas, Andre ; Koopman, Siem Jan ; Janus, Pawel.
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25. Volatility and dynamic conditional correlations of worldwide emerging and frontier markets. (2014). Lyócsa, Štefan ; Baumohl, Eduard.
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26. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. (2014). Floros, Christos ; Degiannakis, Stavros ; Dent, Pamela .
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27. EARLY WARNING SYSTEMS: ANÁLISE DE UMMODELO PROBIT DE CONTÁGIO DE CRISE DOS ESTADOS UNIDOS PARA O BRASIL(2000-2010). (2014). DA SILVA, CLAUDECI ; Couto, Joaquim Miguel ; MURILLO, HUGO AGUDELO .
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28. Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS. (2013). Zhang, Dongxiang ; Wang, Juan.
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29. Regional Equity Risk Premium Convergence: The case of Japan. (2013). GUESMI, Khaled.
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30. Economic effects by merger and acquisition types in the renewable energy sector: An event study approach. (2013). Heo, Eunnyeong ; Lee, Youah ; Yoo, Kyungjin .
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31. Modelling price dynamics: A hybrid truncated Lévy Flight–GARCH approach. (2013). Constantinides, A. ; Savelev, S. E..
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32. The Tunisian stock market index volatility: Long memory vs. switching regime. (2013). Charfeddine, Lanouar ; Ajmi, Ahdi Noomen.
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34. Stock market comovements in Central Europe: Evidence from the asymmetric DCC model. (2013). Horvath, Roman ; Gjika, Dritan .
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35. Fear sentiments and gold price: testing causality in-mean and in-variance. (2012). Yagil, Joseph ; Qadan, Mahmod .
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36. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
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37. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks. (2007). Ooms, Marius ; Koopman, Siem Jan ; Bos, Charles.
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38. The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts. (2007). Zhou, Chen ; Ravazzolo, Francesco ; Huurman, Christian .
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39. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
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40. NON-LINEARITY IN THE CANADIAN AND US LABOUR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS. (2007). Pelloni, Gianluigi ; Panagiotidis, Theodore.
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41. Detecting Some Dynamic Properties of the Euro/Dollar Exchange Rate. (2006). Osinska, Magdalena ; Matuszewska-Janica, Aleksandra ; Osiska, Magdalena.
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42. Common Volatility Trends in the Central and Eastern European Currencies and the Euro. (2006). Tamirisa, Natalia T ; Pramor, Marcus.
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43. Outlier Detection in GARCH Models. (2005). Ooms, Marius ; Doornik, Jurgen.
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44. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices. (2005). Ooms, Marius ; Koopman, Siem Jan ; Carnero, M. Angeles.
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45. Nonparametric Tests for Serial Independence Based on Quadratic Forms. (2005). Panchenko, Valentyn ; Diks, Cees.
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48. The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets. (1997). Ackert, Lucy.
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