Baillie, R. T., and R. J. Myers. “Bivariate GARCG Estimation of the Optimal Commodity Futures Hedge.” Journal of Applied Econometrics, 6 (April-June 1991), 109-124.
Bartram, S. M., S. J. Taylor, and Y. H. Wang. “The Euro and European Financial Market Integration.” (2005).
Bollerslev, T. "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics, 31 (1986), 307-327.
Bollerslev, T. “Modeling the Coherence in Short-Run Nominal Exchang Rates: A Multivariate Generalized ARCH Approach.” Review of Economics and Statistics, 72 (1990), 498-505.
Cecchetti, S.G., R.E. Cumby, and S. Figlewski. “Estimation of Optimal Hedge.” Review of Economics and Statistics, 50 (1988), 623-630.
Chen N.Y., R.Y. Chou, N. Liu, and G. Shyy. “Optimal Hedge Ratio of Commodity Futures Using Bivarite DCC-CARR and DCC-GARCH Models.” (2005)
Ederington, L. H. “The Hedging Performance of the New Futures Markets.” Journal of Finance, 34 (March 1979), 157-170.
Engle, R.F. “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica, 50 (1982), 987-1007.
Engle, R.F. “Dynamic Conditional Correlation- a Simple Class of Multivariate GARCH Models.” Journal of Business and Economic Statistics, 20 (2002), 339-350.
Engle, R.F. and C. W. J. Granger. “Cointegration and Error Correction: Representation, Estimation and Testing.” Econometrica, 55 (1987), 251-276.
Engle, R.F. and K.F. Kroner. “Multivariate Simultaneous Generalized ARCH,” Econometric Theory, 11 (1995), 122-150.
Engle, R.F. and K. Sheppard. “Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH.” Stern Finance Working Paper Series (2001), FIN-01-027.
Fama, E. F. “The Behavior of Stock Market Prices.” Journal of Business, 38 (1965), 34-105.
Figlewski, S. “hedging with Stock Index Futures: Theory and Application in a New Market.” Jounal of Futures Markets, 5 (July 1984), 183-199.
Ghosh A., “Hedging with Stock Index Futures: Estimation and Forecasting with Error Correction Model.” Journal of Futures Markets, vol. 1 (1993), 743-752.
Hansen, Bruce, 1994, Autoregressive conditional density estimation, International
Economic Review 35, 705-730.
Joe, H. “Multivariate Models and Dependence Concepts.” London, Chapman & Hall(1997).
Kroner, K. F., and J. Sultan. “Exchange Rate Volatility and Time Varying Hedge Ratios.” Pacific-Basin Capital Markets Research, Volume II, S. G. Rhee and R. P. Chang, eds. Amsterdam: Elsevier Science Publishers, North-Holland (1991), 397-412
Kroner, K. F., and J. Sultan. “Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures.” Journal of Finance and Quantitative analysis, Vol. 28, No. 4 (1993), 535-551.
Lee, C. F., Ed Bubnys and Y. Lin. “Stock Index Futures Hedge Ratios: Tests on Horizon Effects abd Functional Form.” Advances in Futures and Options, Vol. 2 (1987).
Myers, R.J. “Estimating Time-Varying Optimal Hedge Ratios on Futures Markets.” Journal of Futures Markets, 11 (1991), 39-53.
Nelsen, R. B. “An Introduction to Copulas.” New York, Springer (1999).
Newey, W. K. and McFadden D. “Large Sample Estimation and Hypothesis Testing.” In Engle, R. F. and McFadden eds. Handbook of Econometrics 4, North-Holland, Amsterdam (1994).
Patton, A. J. “Estimation of Multivariate Models for Time Series of Possibly Different Lengths.” LSE Working Paper (2004).
Patton, A. J. “Modeling Asymmetric Exchange Rate Dependence.” International Economic Review, forthcoming (2005).
White, H. “Estimation, Inference and Specification Analysis.” New York, Cambridge University Press (1994).