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Modelling the Sterling-Deutschemark exchange rate : non-linear dependence and thick tails
Caporale, Guglielmo Maria, (1994)
Statistical aspects of ARCH and stochastic volatility
Shephard, Neil G., (1996)
Semiparametric estimation of seasonal long memory models : theory and an application to the modeling of exchange rates
Lobato, Ignacio N., (1997)
Predicting stock index volatility : can market volume help?
Brooks, Chris, (1998)
Linear and non-linear (non-)forecastability of high-frequency exchange rates
Brooks, Chris, (1997)
A double-threshold GARCH model for the French franc - Deutschmark exchange rate
Brooks, Chris, (2001)