| Title | Authors | Year | JEL Codes |
|---|
| Heterogeneous Autoregressions in Short T Panel Data Models | Pesaran, M. H., Yang, L. | [2023] | C22 C23 C46 |
| Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data | Bu, R., Li, D., Linton, O., Wang, H.
| [2022] | C10 C14 C22 |
| Conditional Heteroskedasticity in the Volatility of Asset Returns | Ding, Y.
| [2021] | C22 C32 C53 C58 G17 |
| Score-Driven Time Series Models | Harvey, A. | [2021] | C22 C32 |
| Regime Switching Models for Directional and Linear Observations | Harvey, A. and Palumbo, D. | [2021] | C22 C32 |
| Time Series Modeling of Epidemics: Leading Indicators, Control Groups and Policy Assessment | Harvey, A. C. | [2021] | C22 C32 |
| Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility | Ding, Y. | [2021] | C22 C32 C53 C58 |
| Spatial and Spatio-temporal Engle-Granger representations, Networks and Common Correlated Effects | Bhattacharjee, A., Ditzen, J. and Holly, S. | [2020] | C21 C22 C23 R3 |
| Diffusion Limits of Real-Time GARCH | Ding, Y. | [2020] | C22 C32 C58 |
| Emerging Markets and the Conditional CAPM | Ahmed, M. F. and Satchell, S. | [2019] | C22 G11 G15 |
| Modeling directional (circular) time series | Harvey, A. C., Hurn, S., Thiele, S. | [2019] | C22 |
| Quantilograms under Strong Dependence | Lee, L., Linton, O., Whang, Y-J. | [2019] | C22 |
| Nonparametric Predictive Regressions for Stock Return Prediction | Cheng, T., Gao, J., Linton, O. | [2019] | C14 C22 G17 |
| Some Dynamic and Steady-State Properties of Threshold Autoregressions with Applications to Stationarity and Local Explosivity | Ahmed, M. F. and Satchell, S. | [2019] | C22 C32 C53 |
| Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information | Koo, B., La Vecchia, D., Linton, O. | [2019] | C13 C14 C22 G12 |
| Dynamic Tobit models | Harvey, A. C., Liao, Y. | [2019] | C22 C24 |
| High Dimensional Semiparametric Moment Restriction Models | Dong, C., Gao, J., Linton, O. | [2018] | C12 C14 C22 C30 |
| A Semiparametric Intraday GARCH Model | Malec, P. | [2016] | C14 C22 C53 C58 |
| Asymptotic Theory for Beta-t-GARCH | Ito, R. | [2016] | C22 C58 |
| Spline-DCS for Forecasting Trade Volume in High-Frequency Finance | Ito, R. | [2016] | C22 C51 C53 C58 G12 |
| Modeling the Interactions between Volatility and Returns | Harvey, A. C. and Lange, R.-J. | [2015] | C22 G15 |
| Testing against Changing Correlation | Harvey, A. C. and Thiele, S. | [2014] | C14 C22 F36 |
| Two EGARCH models and one fat tail | Caivano, M. and Harvey, A. C. | [2013] | C22 G17 |
| Time series models with an EGB2 conditional distribution | Caivano, M. and Harvey, A. C. | [2013] | C22 G17 |
| Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data | Ito, R. | [2013] | C22 C51 C53 C58 G01 G12 |
| Filtering with heavy tails | Harvey, A. C. and Luati, A. | [2012] | C22 |
| The Dyanamic Location/Scale Model: with applications to intra-day financial data | Andres, P. and Harvey, A. C. | [2012] | C22 G10 |
| EGARCH models with fat tails, skewness and leverage | Harvey, A. C. and Sucarrat, G. | [2012] | C22 G17 |
| Optimal Forecasts in the Presence of Structural Breaks (Updated 14 November 2011) | Pesaran, M. H., Pick, A. and Pranovich, M. | [2011] | C22 C53 |
| Market Integration, Efficiency, and Interconnectors: The Irish Single Electricity Market | Nepal, R. and Jamasb, T. | [2011] | L94 C22 D02 G1 |
| Exponential Conditional Volatility Models | Harvey, A. C. | [2010] | C22 G17 |
