Real time detection of structural breaks in GARCH models. - Zhongfang He; John M. Maheu (Comput. Stat. Data Anal., 2010)

CFEnetwork: The Annals of Computational and Financial Econometrics: 2nd Issue. - Erricos John Kontoghiorghes; Herman K. van Dijk; David A. Belsley; Tim Bollerslev; Francis X. Diebold; Jean-Marie Dufour; Robert F. Engle; Andrew Harvey; Siem Jan Koopman; Hashem Pesaran; Peter C. B. Phillips; Richard J. Smith; et al. (Comput. Stat. Data Anal., 2014)

Special issue on Bayesian econometrics. - Luc Bauwens; Gary Koop; John M. Maheu; Yasuhiro Omori (Comput. Stat. Data Anal., 2016)