Multivariate extremes for models with constant conditional correlations

Non-stationarities in financial time series, the long range dependence and the IGARCH effects

Mikosch, Thomas, (2004)

Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?

Starica, Catalin, (2004)

Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?

Starica, Catalin, (2005)