GARCH stuff

• Estimation of GARCH models based on open, close, high, and low prices by Peter Lildholdt
• Software implementation and testing of GARCH models by G F Levy
• A comparison on GARCH parameter estimation: SVR versus ML by Ramya Ramakrishnan
• Properties and Estimation of GARCH(1,1) Model by Petra Posedel
• Comparison of ANFIS, ANN, GARCH and ARIMA Techniques to Exchange Rate Forecasting by Iranian Team
• Time Scaling for GARCH(1,1) and AR(1)-GARCH(1,1) Processes by Raymond Brummelhuis
• Support Vector Machines in Finance

ACD, High-Frequency Data

• Analysis of High Frequency Financial Data: Models, Methods and Software. Part II: Modeling and Forecasting Realized Variance Measures by Eric Zivot
• Analysis of High-Frequency Financial Data with S-Plus by Bingcheng Yan and Eric Zivot
• Analysis of High Frequency Financial Data by Robert Engle
• Modelling, Estimation and Visualization of Multivariate Dependence for High-frequency Data by Claudia Kluppelberg

Extreme Value Theory

• Extreme Value Theory in Finance by Claudia Kluppelberg
• A Conditional Extreme Value Volatility Estimator Based on High-Frequency Returns by Turan Bali

Other

• Optimal Execution of Portfolio Transactions by Robert Almgren and Neil Chriss
• An Anatomy of Trading Strategies by Jennifer Conrad and Gautam Kaul
• Technical Analysis in Financial Markets PhD thesis of P.F. van der Heijden
• Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates by Olsen & all