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DateTitle Authors
2008 Models for time-varying moments using maximum entropy applied to a generalized measure of volatilityHerrmann, Klaus
2004 Finite sample of the Durbin-Watson test against fractionally integrated disturbancesKleiber, Christian / Krämer, Walter
2008 Multifractality and long-range dependence of asset returns: The scaling behaviour of the Markov-switching multifractal model with lognormal volatility componentsLiu, Ruipeng / Di Matteo, Tiziana / Lux, Thomas
2002 Simultaneously Modelling Conditional Heteroskedasticity and Scale ChangeFeng, Yuanhua
2013 A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominanceCorradi, Valentina / Swanson, Norman
2013 Density and conditional distribution based specification analysisDuong, Diep / Swanson, Norman
2013 Diffusion index model specification and estimation using mixed frequency datasetsKihwan, Kim / Swanson, Norman
1996 Mean Reversion in EMS Exchange RatesMizrach, Bruce
2013 Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures MarketsCavalierea, Giuseppe / Ørregard Nielsen, Morten / Taylor, A. M. Robert
2009 Monetary policy implementation and overnight rate persistenceNautz, Dieter / Scheithauer, Jan

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