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1.
Periodic Autoregressive Conditional Heteroskedasticity by Series: CRDE Discussion Paper
Material type: Text Text
Publication details: Montreal Universite De Montreal 1994
Availability: Items available for loan: IGIDR (1)Collection, call number: Chaier 1094.

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2.
Heterogeneous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns by Series: NBER working paper series
Material type: Text Text
Publication details: Cambridge, MA NBER 1996
Availability: Items available for loan: IGIDR (1)Collection, call number: WP 5752.

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3.
DM-DOLLAR volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies by Series: Working paper
Material type: Text Text
Publication details: Cambridge, MA NBER 1996
Availability: Items available for loan: IGIDR (1)Collection, call number: WP 5783.

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4.
Answering the critics: Yes, arch models do provide good volatility forecasts by Series: NBER Working Paper
Material type: Text Text
Publication details: Cambridge, MA NBER 1997
Availability: Items available for loan: IGIDR (1)Collection, call number: WP6023.

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5.
Testing for market microstructure effects in intraday volatility: a reassessment of the Tokyo FX experiment by Series: NBER Working Paper series
Material type: Text Text
Publication details: Cambridge, MA NBER 1998
Availability: Items available for loan: IGIDR (1)Collection, call number: WP 6666.

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6.
Modelling the persistence of conditional variances by Series:
Material type: Text Text
Publication details: 1986
Availability: Items available for loan: IGIDR (1).

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7.
Distribution of stock return volatility by Series: NBER Working Paper Series
Material type: Text Text
Publication details: Cambridge, MA NBER 2000
Availability: Items available for loan: IGIDR (1).

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8.

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