Journal Article

Della Corte, Pasquale, Sarno, Lucio and Tsiakas, Ilias (2011) Spot and forward volatility in foreign exchange. Journal of Financial Economics, Volume 100 (Number 3). pp. 496-513. doi:10.1016/j.jfineco.2011.01.007

Della Corte, Pasquale, Sarno, Lucio and Tsiakas, Ilias (2009) An economic evaluation of empirical exchange rate models. Review of Financial Studies, Vol.22 (No.9). pp. 3491-3530. doi:10.1093/rfs/hhn058

Tsiakas, Ilias (2008) Overnight information and stochastic volatility : a study of European and US stock exchanges. Journal of Banking & Finance, Vol.32 (No.2). pp. 251-268. doi:10.1016/j.jbankfin.2007.03.008

Book Item

Della Corte, Pasquale and Tsiakas, Ilias (2012) Statistical and economic methods for evaluating exchange rate predictability. In: James, J. and Sarno, Lucio and Marsh, I.W., (eds.) Handbook of exchange rates. Wiley Handbooks in Financial Engineering and Econometrics (Chapter 8). Wiley-Blackwell Publishing Ltd., pp. 239-283. ISBN 978-0-470-76883-9

Working or Discussion Paper

Della Corte, Pasquale, Sarno, Lucio and Tsiakas, Ilias (2007) An economic evaluation of empirical exchange rate models. Discussion Paper. London: Centre for Economic Policy Research (Great Britain). Discussion paper (Centre for Economic Policy Research (Great Britain)) (No.659).

Tsiakas, Ilias (2004) Is seasonal heteroscedasticity real? An international perspective. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).

Tsiakas, Ilias (2004) Periodic stochastic volatility and fat tails. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. Working papers (Warwick Business School. Financial Econometrics Research Centre) (No.04-).