On the Predictability of Realized Volatility Using Feasible GLS
Rui Menezes, Sónia R. Bentes
Journal Of Asian Economics, vol. 28, 2013, p. 58-66.

On the Globalization of Stock Markets: An Application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 Countries
Andreia Dionísio, Rui Menezes, Hossein Hassani
Quarterly Review Of Economics And Finance, vol. 52, 2012, p. 369-384.