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Parametric and Nonparametric Volatility Measurement, Torben G. Andersen, T. Bollerslev and F. X. Diebold (July 2002).

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Estimating Functions for Discretely Sampled Diffusion-Type Models, Bo M. Bibby, M. Jacobsen and M. Sorensen (July 2004).

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Analysis of High Frequency Data, Robert F. Engle and J.R. Russell (October 2002).

Simulated Score Methods and Indirect Inference for Continuous-time Models, A. Ronald Gallant and G. Tauchen (March 2002).

The Econometrics of Option Pricing, Rene Garcia, E. Ghysels and E. Renault (August 2003).

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The Analysis of the Cross Section of Security Returns, Ravi Jagannathan, G. Skoulakis and Z. Wang (October 2002).

MCMC Methods for Continuous-Time Financial Econometrics, Michael Johannes and N. Polson (December 2003).

Measuring and Modeling Variation in the Risk-Return Tradeoff, Martin Lettau and S. C. Ludvigson (December 2003).

Stock Market Trading Volume, Andrew W. Lo and J. Wang (September 2001).

Option Pricing Bounds and Statistical Uncertainty, Per A. Mykland (September 2003).

Exotic Options and Levy Processes, Laurent Nguyen-Ngoc and M. Yor (January 2002).

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Instability and non-linearity in the EMU, Massimiliano Marcellino, IEP-Università Bocconi, IGIER and CEPR, Working Paper n.211, March 2002

Forecasting Chilean Industrial Production and Sales with Automated Procedures, Rmulo Chumacero, Banco Central de Chile, Documentos de Trabajo , Central Bank of Chile, Working Papers, N 260, Mayo 2004.

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