1. Central bank policies and financial markets: Lessons from the euro crisis. (2024). Nedeljkovic, Milan ; Mody, Ashoka.
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2. Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura.
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3. Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process. (2022). Pianese, Augusto ; Bianchi, Sergio ; Frezza, Massimiliano.
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4. Monitoring procedures for strict stationarity based on the multivariate characteristic function. (2022). Pretorius, Charl ; Meintanis, Simos G ; Lee, Sang Yeol.
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5. Estimating the market risk of clean energy technologies companies using the expected shortfall approach. (2021). Pradhan, Ashis ; Tiwari, Aviral Kumar.
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   RePEc:eee:renene:v:177:y:2021:i:c:p:95-100.

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6. Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation. (2020). Lapshin, Victor ; Makushkin, Mikhail.
   In: Applied Econometrics.
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7. A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network. (2020). Liu, Xiyuan ; Cai, Zongwu.
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8. Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit. (2019). Shahzad, Syed Jawad Hussain ; Roubaud, David ; Bekiros, Stelios ; Hussain, Syed Jawad ; Hernandez, Jose Arreola ; Arreolahernandez, Jose ; Raza, Naveed.
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9. Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie.
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10. Spillovers from oil to precious metals: Quantile approaches. (2019). Ur, Mobeen ; Hussain, Syed Jawad ; Jammazi, Rania.
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11. Central Bank Policies and Financial Markets: Lessons from the Euro Crisis. (2018). Nedeljkovic, Milan ; Mody, Ashoka.
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12. Oil volatility and sovereign risk of BRICS. (2018). Shahzad, Syed Jawad Hussain ; Roubaud, David ; Bouri, Elie ; Raza, Naveed ; Hussain, Syed Jawad.
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13. Central Bank Policies and Financial Markets: Lessons from the Euro Crisis. (2018). Nedeljkovic, Milan ; Mody, Ashoka.
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14. Measuring the systemic importance of banks. (2017). Sakellaris, Plutarchos ; Moratis, George.
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15. Topics in nonparametric identification and estimation. (2016). Hubner, Stefan.
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16. The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective. (2016). Caporin, Massimiliano ; Bonaccolto, Giovanni.
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17. Factorisable Sparse Tail Event Curves. (2015). Härdle, Wolfgang ; Chao, Shih-Kang ; Yuan, Ming ; Hardle, Wolfgang K.
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18. VAR for VaR: Measuring tail dependence using multivariate regression quantiles. (2015). Manganelli, Simone ; Kim, Tae-Hwan ; White, Halbert.
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19. VAR for VaR: measuring tail dependence using multivariate regression quantiles. (2015). Manganelli, Simone ; Kim, Tae-Hwan ; White, Halbert.
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20. Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method. (2014). Du, Shaofu ; Luo, Kebing ; Ye, Wuyi.
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21. L-moments skewness and kurtosis as measures of regional convergence and cohesion. (2014). Kopczewska, Katarzyna.
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22. Un modelo GARCH con asimetria condicional autorregresiva para modelar series de tiempo: Una aplicacion para los rendimientos del Indice de Precios y Cotizaciones de la BMV. (2013). Ruiz-Porras, Antonio ; Duran-Vazquez, Rocio ; Lorenzo-Valdes, Arturo .
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23. VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles. (2012). Manganelli, Simone ; Kim, Tae-Hwan ; White, Habert .
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24. Un modelo GARCH con asimetría condicional autorregresiva para modelar series de tiempo: Una aplicación para el Indice de Precios y Cotizaciones. (2012). Ruiz-Porras, Antonio.
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25. Bias Transmission and Variance Reduction in Two-Stage Quantile Regression. (2012). MULLER, Christophe ; Kim, Tae-Hwan.
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26. Robust estimation of covariance and its application to portfolio optimization. (2012). Kim, Tae-Hwan ; Huo, Lijuan .
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27. Estimation of SEM with GARCH errors. (2012). Roko, Ilir ; Krishnakumar, Jaya ; Kabili, Andi.
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28. Tails of Inflation Forecasts and Tales of Monetary Policy. (2012). Idier, Julien ; Andrade, Philippe ; Ghysels, E..
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29. Bias Transmission and Variance Reduction in Two-Stage Quantile Regression. (2012). MULLER, Christophe ; Kim, Tae-Hwan.
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30. The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis. (2011). Santos, Carlos.
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31. Regresión del cuantil aplicada al modelo de redes neuronales artificiales. Una aproximación de la estructura CAViaR para el mercado de valores colombi. (2011). Londoño, Charle ; Llondoo, Charle Augusto .
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32. VAR for VaR: measuring systemic risk using multivariate regression quantiles.. (2010). Manganelli, Simone ; Kim, Tae-Hwan ; White, Halbert.
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1. The Impact of the Choice of Risk and Dispersion Measure on Procyclicality. (2020). Kratz, Marie ; Brautigam, Marcel.
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2. Structural-break models under mis-specification: implications for forecasting. (2013). SEO, MYUNG HWAN ; Koo, Boonsoo .
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3. Maximum likelihood estimation and uniform inference with sporadic identification failure. (2013). Cheng, Xu ; Andrews, Donald ; Andrews, Donald W. K., .
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4. The functional central limit theorem for ARMA–GARCH processes. (2013). Lee, O..
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5. Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity. (2012). Guggenberger, Patrik ; Andrews, Donald ; Andrews, Donald W. K., .
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6. When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models. (2011). Prono, Todd.
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7. Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model. (2011). Prono, Todd ; Todd, Prono .
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8. Subsampling high frequency data. (2011). Kalnina, Ilze.
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9. Semiparametrically weighted robust estimation of regression models. (2011). Cizek, Pavel.
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10. Pricing Central Tendency in Volatility. (2011). Khrapov, Stanislav.
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11. Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise. (2011). Varneskov, Rasmus Tangsgaard .
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12. VAR for VaR: measuring systemic risk using multivariate regression quantiles.. (2010). Manganelli, Simone ; Kim, Tae-Hwan ; White, Halbert.
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13. Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model. (2010). Prono, Todd ; Todd, Prono .
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14. Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator. (2010). pittis, nikitas ; Kourogenis, Nikolaos.
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15. Uniform Asymptotic Normality in Stationary and Unit Root Autoregression. (2010). Sul, Donggyu ; Phillips, Peter ; Han, Chirok ; Peter C. B. Phillips, .
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16. Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity. (2010). Guggenberger, Patrik ; Andrews, Donald ; Donald W. K. Andrews, .
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17. On the weak laws of large numbers for arrays of random variables. (2009). Meng, Yanjiao ; Lin, Zhengyan .
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18. Central limit theorems and uniform laws of large numbers for arrays of random fields. (2009). Prucha, Ingmar ; Jenish, Nazgul .
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19. Adaptive estimation of autoregressive models with time-varying variances. (2008). Xu, Ke-Li ; Phillips, Peter.
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20. Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity. (2008). Guggenberger, Patrik ; Andrews, Donald.
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21. Wavelet based time-varying vector autoregressive modelling. (2007). Amaro, Edson ; Morettin, Pedro A. ; Arantes, Paula R. ; Sato, Joao R..
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22. Nonparametric Econometrics: Theory and Practice. (2006). Racine, Jeffrey Scott ; Li, QI.
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23. Testing for Breaks Using Alternating Observations. (2006). Iglesias, Emma ; Bunzel, Helle.
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24. Bootstrap testing for the null of no cointegration in a threshold vector error correction model. (2006). SEO, MYUNG HWAN.
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25. Adaptive Estimation of Autoregressive Models with Time-Varying Variances. (2006). Xu, Ke-Li ; Phillips, Peter.
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26. Adaptive Estimation of Autoregressive Models with Time-Varying Variances. (2006). Xu, Ke-Li ; Phillips, Peter.
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27. Asymptotic properties of OLS estimates in autoregressions with bounded or slowly growing deterministic trends. (2005). Mynbaev, Kairat.
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28. A smooth permanent surge process. (2004). Gonzalez, Andres.
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29. Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. (2004). Kilian, Lutz ; Goncalves, Silvia.
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30. Comparing dynamic equilibrium models to data: a Bayesian approach. (2004). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus.
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31. Maximum likelihood and the bootstrap for nonlinear dynamic models. (2004). White, Halbert ; Goncalves, Silvia.
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33. A Test of the Martingale Hypothesis. (2004). Whang, Yoon-Jae ; Park, Joon.
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34. A Quantilogram Approach to Evaluating Directional Predictability. (2004). Whang, Yoon-Jae ; LINTON, OLIVER.
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35. Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form. (2003). Kilian, Lutz ; Goncalves, Silvia ; Gonalves, Silvia.
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36. Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form. (2003). Kilian, Lutz ; Goncalves, Silvia.
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37. Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form. (2003). Kilian, Lutz ; Goncalves, Silvia.
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38. Comparing dynamic equilibrium economies to data. (2001). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus.
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39. S-estimation of nonlinear regression models with dependent and heterogeneous observations. (2001). White, Halbert ; Sakata, Shinichi.
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40. The Bootstrap of the Mean for Dependent Heterogeneous Arrays. (2001). Goncalves, Silvia.
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41. Estimation of Copula Models for Time Series of Possibly Different Length. (2001). Patton, Andrew.
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42. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles. (2000). Manganelli, Simone ; Engle, Robert.
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44. CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles. (1999). Manganelli, Simone ; Engle, Robert.
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