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2. Oil-stock nexus: the role of oil shocks for GCC markets. (2022). McMillan, David G ; Ziadat, Salem Adel.
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3. On the higher-order moment interdependence of stock and commodity markets: A wavelet coherence analysis. (2022). Ahmed, Walid.
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4. Detecting signed spillovers in global financial markets: A Markov-switching approach. (2022). Kangogo, Moses ; Volkov, Vladimir.
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5. Dynamic Commodity Portfolio Management: A Regime-switching VAR Model. (2021). Biswal, Pratap Chandra ; Singhal, Shelly.
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6. The Incidence of Spillover Effects during the Unconventional Monetary Policies Era. (2021). Domianello, Luca Scaffidi ; Lacava, Demetrio.
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7. Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic. (2021). Alshami, Abdullah ; Elgammal, Mohammed M.
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8. From Shanghai to Sydney: Chinese stock market influences on Australia. (2021). Burdekin, Richard ; Tao, Ran.
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9. Financial Integration in the GCC Region: Market Size Versus National Effects. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Arin, Kerim ; Kyriacou, Kyriacos.
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10. Inter- and intra-regional stock market relations for the GCC bloc. (2020). Herbst, Patrick ; Ziadat, Salem Adel ; McMillan, David G.
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11. How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics. (2020). Wang, Xinyu ; Vivian, Andrew ; Sirichand, Kavita ; Tan, Xueping.
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12. Political tensions, stock market dependence and volatility spillover: Evidence from the recent intra-GCC crises. (2019). Charfeddine, Lanouar ; al Refai, Hisham.
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13. On the dynamic interactions between energy and stock markets under structural shifts: Evidence from Egypt. (2017). Ahmed, Walid.
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14. Causes and consequences of energy price shocks on petroleum-based stock market using the spillover asymmetric multiplicative error model. (2017). Khalifa, Ahmed ; Bertuccelli, Pietro ; Alsarhan, Abdulwahab A.
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15. Financial integration in small Islands: The case of Cyprus. (2017). YAYA, MEHMET ; Kutan, Ali ; Balcilar, Mehmet.
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16. Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon.
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17. Pairs trading: The performance of a stochastic spread model with regime switching-evidence from the S&P 500. (2016). Yang, Jen-Wei ; Chang, Chia-Chien ; Shyu, So-De ; Tsai, Shu-Yu .
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18. Dynamic spillovers between Nigerian, South African and international equity markets. (2016). Shuaibu, Mohammed ; Fowowe, Babajide .
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19. Volatility transmission across currencies and commodities with US uncertainty measures. (2016). Otranto, Edoardo ; Khalifa, Ahmed ; Ramchander, Sanjay ; Hammoudeh, Shawkat.
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20. An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries. (2015). Ghassan, Hassan ; Balli, Faruk ; Alhajhoj, Hassan R. ; Basher, Syed Abul.
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21. An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries. (2015). Ghassan, Hassan ; Balli, Faruk ; Basher, Syed ; Abul, Basher Syed .
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22. An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries. (2015). Ghassan, Hassan ; Balli, Faruk ; Basher, Syed ; Hajhoj, Hassan Rafdan .
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23. Equity premia and state-dependent risks. (2015). Normandin, Michel ; Bouaddi, Mohammed ; Larocque, Denis.
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24. Asymmetry in return and volatility spillover between Chinas interbank and exchange T-bond markets. (2015). Jin, Xiaoye.
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25. Co-movement between sharia stocks and sukuk in the GCC markets: A time-frequency analysis. (2015). Hammoudeh, Shawkat ; Aloui, Chaker ; ben Hamida, Hela .
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26. Regional and global spillovers and diversification opportunities in the GCC equity sectors. (2015). Demirer, Riza ; Balcilar, Mehmet ; Hammoudeh, Shawkat.
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27. Oil prices and MENA stock markets: new evidence from nonlinear and asymmetric causalities during and after the crisis period. (2014). Nguyen, Duc Khuong ; Hammoudeh, Shawkat ; El Montasser, Ghassen ; Ajmi, Ahdi Noomen ; El-Montasser, Ghassen .
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28. Oil prices and MENA stock markets:New evidence from nonlinear and asymmetric causalities during and after the crisis period. (2014). Nguyen, Duc Khuong ; El Montasser, Ghassen ; Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat.
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1. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
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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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22. Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models. (2003). .
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23. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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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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31. Testing Normality: A GMM Approach. (2002). Meddahi, Nour ; Bontemps, Christian.
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32. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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33. Detecting Multiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
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34. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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35. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
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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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37. Modelling Scale-Consistent VaR with the Truncated Lévy Flight. (2001). Wolff, Christian ; Lehnert, Thorsten.
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38. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
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39. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
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40. Nonlinear Features of Realized FX Volatility. (2001). McCurdy, Tom ; Maheu, John.
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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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43. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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44. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
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45. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results. (2000). Ghysels, Eric ; Andreou, Elena.
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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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47. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think. (1999). Diebold, Francis ; Brandt, Michael ; Alizadeh, Sassan.
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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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