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