Some useful homepages:

Topics:

Financial Econometrics Books:

Campbell's homepage

Philip Hans Franses's homepage

Van Dijk's homepage

GARCH Volatility:

Applications to Inflation and Output Growth:

Grier's homepage

FIAPARCH Model:

Tse's homepage

Forecasting:

Multivariate FIGARCH Models:

Teyssiere's homepage

Stochastic Volatility:

Shephard's homepage

Threshold ARCH models:

Zakoian's homepage

Realized Volatility:

Diebold's homepage

Koopman's homepage

Variance Ratio:

Lo's homepage