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2. An Empirical Analysis of Behavioral Finance in the Saudi Stock Market: Evidence of Overconfidence Behavior. (2020). Alarfaj, Omar ; Alsabban, Soleman.
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3. Dynamic market participation and endogenous information aggregation. (2018). Yu, Edison.
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4. Ambiguities in valuing information technology firms: Do internet searches help?. (2018). Chang, Young Bong ; Kwon, Youngok .
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5. Wealth Distribution and Social Mobility in the US: A Quantitative Approach. (2015). Bisin, Alberto ; Benhabib, Jess ; Luo, MI.
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6. Capital and risk in commercial banking: A comparison of capital and risk-based capital ratios. (2015). Hogan, Thomas.
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7. Returns-to-scale and the equity premium puzzle. (2013). Dunbar, Geoffrey.
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8. Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities. (2007). Spencer, Peter ; Kizys, Renatas.
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9. Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy. (2007). Li, Tao.
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10. The Bad Government: A Source of Uncertainty and Business Fluctuations. (2004). Harashima, Taiji.
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11. A More Realistic Endogenous Time Preference Model and the Slump in Japan. (2004). Harashima, Taiji.
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12. The Impact of Political Risk on the Volatility of Stock Returns: the Case of Canada. (2002). Essaddam, Mohamed ; Cosset, Jean-Claude ; Beaulieu, Marie-Claude .
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14. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk. (2000). Lettau, Martin ; Campbell, John ; Malkiel, Burton G. ; Xu, Yexiao .
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15. Cross-sectional variations in the degree of global integration: the case of Russian equities. (2000). Sarkissian, Sergei ; Fedorov, Pavel.
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1. DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions. (2022). Zohren, Stefan ; Moreno-Pino, Fernando.
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2. Semi-Parametric Forecasting of Realized Volatility. (2011). Hurn, Stan ; Clements, Adam ; Becker, Ralf.
   In: Studies in Nonlinear Dynamics & Econometrics.
   RePEc:bpj:sndecm:v:15:y:2011:i:3:n:1.

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3. Measuring bond market liquidity: devising a composite aggregate liquidity score. (2010). Choudhry, Moorad .
   In: Applied Financial Economics.
   RePEc:taf:apfiec:v:20:y:2010:i:12:p:955-973.

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4. Forecasting realized volatility models:the benefits of bagging and nonlinear specifications. (2007). Medeiros, Marcelo ; Hillebrand, Eric.
   In: Textos para discussão.
   RePEc:rio:texdis:547.

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5. Are combination forecasts of S&P 500 volatility statistically superior?. (2007). Clements, Adam ; Becker, Ralf.
   In: NCER Working Paper Series.
   RePEc:qut:auncer:2007-92.

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6. The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach. (2006). Mayoral, Laura ; Gadea, María.
   In: International Journal of Central Banking.
   RePEc:ijc:ijcjou:y:2006:q:1:a:2.

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7. An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets. (2005). Pasquariello, Paolo ; Kallberg, Jarl G..
   In: The Journal of Business.
   RePEc:ucp:jnlbus:v:78:y:2005:i:1:p:169-212.

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8. Uncovering long memory in high frequency UK futures. (2005). cotter, john.
   In: The European Journal of Finance.
   RePEc:taf:eurjfi:v:11:y:2005:i:4:p:325-337.

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9. GARCH model with cross-sectional volatility: GARCHX models. (2005). Hwang, Soosung ; Satchell, Steve E..
   In: Applied Financial Economics.
   RePEc:taf:apfiec:v:15:y:2005:i:3:p:203-216.

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10. The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach. (2005). Mayoral, Laura ; Gadea, María.
    In: MPRA Paper.
    RePEc:pra:mprapa:815.

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11. Uncovering Long Memory in High Frequency UK Futures. (2004). cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3525.

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12. Conditional covariances and direct central bank interventions in the foreign exchange markets. (2004). Beine, Michel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:6:p:1385-1411.

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13. Structural change and long-range dependence in volatility of exchange rates: either, neither or both?. (2004). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:11:y:2004:i:5:p:629-658.

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14. A Range-Based GARCH Model for Forecasting Volatility. (2003). Mapa, Dennis.
    In: MPRA Paper.
    RePEc:pra:mprapa:21323.

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15. Market Volatility As a Financial Soundness Indicator; An Application to Israel. (2003). Schumacher, Liliana B ; Morales, Armando Mendez.
    In: IMF Working Papers.
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16. Long Memory int the R$/US$ Exchange Rate: A Robust Analysis. (2003). Laurini, Márcio.
    In: Finance Lab Working Papers.
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17. The benefit of information reduction for trading strategies. (2002). Schittenkopf, Christian ; Dorffner, Georg .
    In: Applied Economics.
    RePEc:taf:applec:v:34:y:2002:i:7:p:917-930.

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18. Dealer liquidity in an auction market: evidence fom the London Stock Exchange. (2002). Payne, Richard ; Friederich, Sylvain .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24947.

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19. On measuring volatility and the GARCH forecasting performance. (2002). Renò, Roberto ; Barucci, Emilio ; Reno, Roberto.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:12:y:2002:i:3:p:183-200.

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20. A benchmark for measuring bias in estimated daily value at risk. (2002). Bollen, Bernard ; Moosa, Imad A..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:11:y:2002:i:1:p:85-100.

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21. Volatility estimation on the basis of price intensities. (2002). Hautsch, Nikolaus ; Gerhard, Frank .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:1:p:57-89.

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22. Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns. (2002). Christodoulakis, George ; Satchell, Stephen E..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:139:y:2002:i:2:p:351-370.

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23. Modelling daily value-at-risk using realized volatility and arch type models. (2001). Laurent, Sébastien ; Giot, Pierre .
    In: Research Memorandum.
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24. Financial econometrics: Past developments and future challenges. (2001). Bollerslev, Tim.
    In: Journal of Econometrics.
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25. Properties of the sample autocorrelations in autoregressive stochastic volatllity models. (2001). Ruiz, Esther ; Perez, Ana .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws011208.

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26. Outliers and conditional autoregressive heteroscedasticity in time series. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws010704.

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27. Modelos de memoria larga para series económicas y financieras. (2001). Ruiz, Esther ; Perez, Ana .
    In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
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28. Nonlinear Features of Realized FX Volatility. (2001). McCurdy, Tom ; Maheu, John.
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29. Testing and Comparing Value-at-Risk Measures. (2001). Inoue, Atsushi ; Hahn, Jinyong ; Christoffersen, Peter.
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30. Technical Analysis and Exchange Rate Dynamics. (2000). Schulmeister, Stephan.
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31. Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility. (2000). Koopman, Siem Jan ; Hol, Eugenie .
    In: Tinbergen Institute Discussion Papers.
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32. Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk. (2000). Lettau, Martin ; Campbell, John ; Malkiel, Burton G. ; Xu, Yexiao .
    In: NBER Working Papers.
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33. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
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34. Quantifying fluctuations in economic systems by adapting methods of statistical physics. (2000). Amaral, L. A. N., ; Plerou, V. ; Gopikrishnan, P. ; Stanley, H. E..
    In: Physica A: Statistical Mechanics and its Applications.
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35. Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations. (2000). Zinde-Walsh, Victoria ; Galbraith, John.
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36. Why is it so Difficult to Find an Effect of Exchange Rate Risk on Trade?. (2000). Klaassen, Franc.
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37. Forecasting returns and volatilities in GARCH processes using the bootstrap. (2000). Ruiz, Esther ; Pascual, Lorenzo ; Romo, Juan.
    In: DES - Working Papers. Statistics and Econometrics. WS.
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38. Temporal Aggregation of Volatility Models. (2000). Renault, Eric ; Meddahi, Nour.
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39. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results. (2000). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-19.

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40. Volatility Estimation on the Basis of Price Intensities. (1999). Hautsch, Nikolaus ; Gerhard, Frank .
    In: CoFE Discussion Papers.
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41. Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-29.

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42. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think. (1999). Diebold, Francis ; Brandt, Michael ; Alizadeh, Sassan.
    In: Center for Financial Institutions Working Papers.
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43. Why is it so Difficult to Find An Effect of Exchange Rate Risk on Trade?. (1999). Klaassen, F. J. G. M., ; Klaassen,F. J. G. M., .
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44. Why is it so Difficult to Find An Effect of Exchange Rate Risk on Trade?. (1999). Klaassen, Franc ; Klaassen,F. J. G. M., ; Klaassen, F. J. G. M., .
    In: Discussion Paper.
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45. Dispersion and Volatility in Stock Returns: An Empirical Investigation. (1999). Lettau, Martin ; Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7144.

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46. The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa. (1999). Kunst, Robert ; Jumah, Adusei.
    In: Economics Series.
    RePEc:ihs:ihsesp:73.

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47. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-060.

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48. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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49. Forecasting Multifractal Volatility. (1999). Fisher, Adlai ; Calvet, Laurent.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-017.

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50. Finite sample properties of a QML estimator of stochastic volatility models with long memory. (1999). Ruiz, Esther ; Perez, Ana .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:6360.

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