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Cointegration and predictability of asset prices
Caporale, Guglielmo Maria, (1998)
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F., (1995)
Special issue on non-linear forecasting of financial time series
Mills, Terence C., (1996)
Unit root testing using covariates : some theory and evidence
Caporale, Guglielmo Maria, (1999)
Excess returns in the EMS : do "weak" currencies still exit after the widening of the fluctuation bands?
Caporale, Guglielmo Maria, (1994)
Modelling the Sterling-Deutschemark exchange rate : non-linear dependence and thick tails