Diagnostics for conditional heteroscedasticity models: some simulation results. - Albert K. Tsui (Math. Comput. Simul., 2004)

Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach. - Kin-Yip Ho; Albert K. Tsui; Zhaoyong Zhang (Math. Comput. Simul., 2009)