Multi-Step estimation of Multivariate GARCH models , Proceedings of the
International ICSC Symposium: Advanced Computing in Financial Markets, June 2001.
An Ordering Experiment , Journal of Economic Behavior and Organization with A. Norman, et al.,February 2003, pp. 249-262.
On the Computational Complexity of Consumer Decision Rules , 2003, with A. Norman, et. al., Computational Economics, Vol 23, March 2004, pp 173-192.
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns , 2006, with L. Cappiello and R. Engle, Journal of Financial Econometrics Vol. 4, pp. 537-572.
Evaluating Volatility and Correlation Forecasts (joint with Andrew J. Patton), Handbook of Financial Time Series, 2009, (T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.)), Springer Verlag
Optimal Combinations of Realised Volatility Estimators (joint with Andrew J. Patton) International Journal of Forecasting, 2009, 25:2, 218--238.
Nuisance parameters, composite likelihoods and a panel of GARCH models Statistica Sinica, 2011, 21, 307--329.
Realising the future: forecasting with high-frequency-based volatility (HEAVY) models (joint with Neil Shephard), Journal of Applied Econometrics, 2010, 25:2, 197--231.
Multivariate high-frequency-based volatility (HEAVY) models (joint with D. Noureldin and N. Shephard), Journal of Applied Econometrics, 2011, Preprint phase.
Forecasting High Dimensional Covariance Matrices Handbook of Volatility Models and Their Applications, 2012 (Bauwens, L. Hafner, C. and Laurent, S. eds.) Wiley. Preprint phase.