Fomby, Thomas B. (contributor); Terrell, Dek (contributor) - 2006
A multivariate heavy-tailed distribution for ARCH/GARCH residuals / Dimitris N. Politis -- A portmanteau test for multivariate GARCH when the conditional mean is an ECM : theory and empirical applications / Chor-yiu Sin -- Sampling frequency and window length trade-offs in data-driven volatility...