| Issue Date | Title | Author(s) |
| 2-Aug-2005 | High Frequency Multiplicative Component GARCH | Engle, Robert F.; Sokalska, Magdalena E.; Chanda, Ananda |
| Sep-2004 | Individual Investor Sentiment and Stock Returns | Kaniel, Ron; Saar, Gideon; Titman, Sheridan |
| 25-Jul-2004 | Modelling Round-the-Clock Price Discovery for Cross-Listed Stocks using State Space Methods | Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André |
| Feb-2005 | Price Discovery in Tick Time | Frijnsy, Bart; Schotmanz, Peter |
| 8-Oct-2004 | The Properties of Automatic Gets Modelling | Hendry, David F.; Krolzig, Martin |
| 24-Jan-2005 | The Rise in Firm-Level Volatility: Causes and Consequences | Comin, Diego; Philippon, Thomas |
| 12-Aug-2005 | The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes | Engle, Robert F.; Rangel, J. Gonzalo |
| 13-May-2004 | Stochastic Skew in Currency Options | Carr, Peter; Wu, Liuren |
| 19-Mar-2004 | A Tale of Two Indices | Carr, Peter; Wu, Liuren |
| Oct-2005 | The Underlying Dynamics of Credit Correlations | Berd, Arthur; Engle, Robert; Voronov, Artem |
| Oct-2006 | Vector Multiplicative Error Models: Representation and Inference | Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. |
