1. A hybrid model for intraday volatility prediction in Bitcoin markets. (2025). Selvaraju, N ; Bera, Koushik.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:78:y:2025:i:c:s106294082500066x.

   Full description at Econpapers || Download paper

2. Forecasting Chinese stock market volatility with high-frequency intraday and current return information. (2024). Wang, Yuyao ; Han, Yang ; Wu, Xinyu ; Zhao, AN.
   In: Pacific-Basin Finance Journal.
   RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002099.

   Full description at Econpapers || Download paper

3. New evidence on market response to public announcements in the presence of microstructure noise. (2022). Serra, Teresa ; Bian, Siyu ; Irwin, Scott ; Garcia, Philip.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:298:y:2022:i:2:p:785-800.

   Full description at Econpapers || Download paper

4. Realized Measures to Explain Volatility Changes over Time. (2020). Floros, Christos ; Gkillas, Konstantinos ; Konstantatos, Christoforos ; Tsagkanos, Athanasios.
   In: JRFM.
   RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:125-:d:371152.

   Full description at Econpapers || Download paper

5. Do High-frequency-based Measures Improve Conditional Covariance Forecasts?. (2019). Dumitrescu, Elena Ivona ; Banulescu-Radu, Denisa.
   In: LEO Working Papers / DR LEO.
   RePEc:leo:wpaper:2709.

   Full description at Econpapers || Download paper

6. Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

   Full description at Econpapers || Download paper

7. Do We Need High Frequency Data to Forecast Variances?. (2016). Laurent, Sébastien ; Hurlin, Christophe ; Candelon, Bertrand ; BANULESCU-RADU, Denisa.
   In: Post-Print.
   RePEc:hal:journl:hal-01448237.

   Full description at Econpapers || Download paper

8. Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

   Full description at Econpapers || Download paper

9. Modeling interest rate volatility: A Realized GARCH approach. (2015). Hamori, Shigeyuki ; Tian, Shuairu.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:61:y:2015:i:c:p:158-171.

   Full description at Econpapers || Download paper

10. A martingale decomposition of discrete Markov chains. (2015). Hansen, Peter.
    In: Economics Letters.
    RePEc:eee:ecolet:v:133:y:2015:i:c:p:14-18.

    Full description at Econpapers || Download paper

11. A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. (2015). Hansen, Peter ; Archakov, Ilya ; HOREL, GUILLAUME ; Lunde, Asger.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-19.

    Full description at Econpapers || Download paper

12. Do We Need Ultra-High Frequency Data to Forecast Variances?. (2014). Laurent, Sébastien ; Hurlin, Christophe ; Candelon, Bertrand ; BANULESCU-RADU, Denisa.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01078158.

    Full description at Econpapers || Download paper

13. Integer-valued L�vy processes and low latency financial econometrics. (2012). Shephard, Neil ; Barndorff-Nielsen, Ole E. ; Pollard, David G..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:4:p:587-605.

    Full description at Econpapers || Download paper

14. Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices. (2012). Xiu, Dacheng ; Shephard, Neil.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:604.

    Full description at Econpapers || Download paper

15. Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices. (2012). Shephard, Neil ; Xiu, Dacheng.
    In: Economics Papers.
    RePEc:nuf:econwp:1204.

    Full description at Econpapers || Download paper

16. Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter.
    In: Economics Working Papers.
    RePEc:eui:euiwps:eco2012/26.

    Full description at Econpapers || Download paper

17. Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter.
    In: CREATES Research Papers.
    RePEc:aah:create:2012-44.

    Full description at Econpapers || Download paper

18. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2011). Hansen, Peter Reinhard ; Barndorff-Nielsen, Ole E. ; Shephard, Neil ; Lunde, Asger.
    In: Post-Print.
    RePEc:hal:journl:peer-00815564.

    Full description at Econpapers || Download paper

19. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2011). Shephard, Neil ; Hansen, Peter ; Lunde, Asger ; Barndorff-Nielsen, Ole E..
    In: Post-Print.
    RePEc:hal:journl:hal-00815564.

    Full description at Econpapers || Download paper

20. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2011). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole E..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:162:y:2011:i:2:p:149-169.

    Full description at Econpapers || Download paper

21. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2010). Loretan, Mico ; Hjalmarsson, Erik ; CHIQUOINE, BENJAMIN ; CHABOUD, ALAIN P..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:2:p:212-240.

    Full description at Econpapers || Download paper

22. Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Huang, Zhuo ; Hansen, Peter ; Shek, Howard Howan .
    In: CREATES Research Papers.
    RePEc:aah:create:2010-13.

    Full description at Econpapers || Download paper

23. Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error. (2010). Lunde, Asger ; Hansen, Peter.
    In: CREATES Research Papers.
    RePEc:aah:create:2010-08.

    Full description at Econpapers || Download paper

1. Andersen, T. G., Bollerslev, T., Diebold, F. X. & Ebens, H. (2001), `The distribution of realized stock return volatility, Journal of Financial Economics 61, 43-76.

2. Andersen, T. G., Bollerslev, T., Diebold, F. X. & Labys, p. (2001), `The distribution of exchange rate volatility, Journal of the American Statistical Association 96, 42-55. Correction published in 2003, volume 98, page 501.
   Paper not yet in RePEc: Add citation now
   

3. Andersen, T., Dobrev, D. & Schaumburg, E. (2008), `Duration-based volatility estimation, working paper.

4. Bandi, F. M. & Russell, J. R. (2006), `Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations, working paper.
   Paper not yet in RePEc: Add citation now
   

5. Bandi, F. M. & Russell, J. R. (2008), `Microstructure noise, realized variance, and optimal sampling, Review of Economic Studies 75, 339-369.

6. Barndorff-Nielsen, 0. E. & Shephard, N. (2002), `Econometric analysis of realised volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical Society, Series B 64, 253-280.

7. Barndorff-Nielsen, 0. E. & Shephard, N. (2004), `Power and bipower variation with stochastic volatility and jumps (with discussion), Journal of Financial Econometrics 2, 1-48.

8. Barndorff-Nielsen, 0. E. & Shephard, N. (2005), How accurate is the asymptotic approximation to the distribution of realised volatility?, in D. W. K. Andrews & J. H. Stock, eds, `Identification and Inference for Econometric Models. A Festschrift in Honour of T.J. Rothenberg, Cambridge University Press, Cambridge, pp. 306-331.

9. Barndorff-Nielsen, 0. E., Hansen, P. R., Lunde, A. & Shephard, N. (2008a), `Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise, Econometrica . Forthcoming.

10. Barndorff-Nielsen, 0. E., Hansen, P. R., Lunde, A. & Shephard, N. (2008b), `Multivariate realised kernels: consistent positive semin-definite estimators of the covariation of equity prices with noise and nonsynchronous trading, working paper.
    Paper not yet in RePEc: Add citation now
    

11. Barndorff-Nielsen, 0. E., Hansen, P. R., Lunde, A. & Shephard, N. (2008c), `Realised kernels in practice: Trades and quotes, forthcoming in Econometrics Journal Barndorff-Nielsen, 0. E., Hansen, P. R., Lunde, A. & Shephard, N. (2008d), `Subsampling realised kernels, Journal of Econometrics. Forthcoming.

12. Barndorff-Nielsen, 0. E., Kinnebrock, S. & Shephard, N. (2008), `Measuring downside risk - realised semivariance , working paper.

13. Basawa, I. & Green, T. (1990), `Asymptotic bootstrap validity for finite Markov chains., Communications in Statistics: Theory and Methods 19(4), 1493-1510.
    Paper not yet in RePEc: Add citation now
    
14. Bremaud, P. (1999), Markov chains: Gibbs fields, Monte Carlo Simulation, and Queues, Springer.
    Paper not yet in RePEc: Add citation now
    
15. Campbell, J. Y., Lo, A. W. & Mackinlay, A. C. (1997), The Econometrics of Financial Markets, Princeton University Press, Princeton, New Jersey.
    Paper not yet in RePEc: Add citation now
    

16. Christensen, K. & Podolskij, M. (2007), `Asymptotic theory for range-based estimation of integrated volatility of a continuous semi-martingale, Journal of Econometrics 141, 323-349.

17. Christensen, K., Oomen, R. C. & Podolskij, M. (2008), `Realised quantile-based estimation of the integrated variance, working paper.

18. Delattre, S. & Jacod, J. (1997), `A central limit theorem for normalized functions of the increments of a diffusion process in the presence of round off errors, Bernoulli 3, 1-28.
    Paper not yet in RePEc: Add citation now
    
19. Derman, C. (1956), `Some asymptotic distribution theory for markov chains with a denumerable number of states, Biometrika 43(3/4), 285-294.
    Paper not yet in RePEc: Add citation now
    
20. Dub, M. (1997), Random Iterative Models, Springer.
    Paper not yet in RePEc: Add citation now
    

21. Goncalves, S. & Meddahi, N. (2006), `Box-cox transforms for realized volatility. Unpublished working paper.

22. Goncalves, S. & Meddahi, N. (2008), `Bootstrapping realized volatility, Econometrica . Forthcoming.

23. Griffin, J. & Oomen, R. (2006), `Sampling returns for realized variance calculations: tick time or transaction time?, Forthcoming in Econometric Reviews Hansen, P. R., Large, J. & Lunde, A. (2008), `Moving average-based estimators of integrated variance, Econometric Reviews . forthcoming.

24. Hansen, P. R. & Lunde, A. (2006), `Realized variance and market microstructure noise, Journal of Business and Economic Statistics 24, 127-218. The 2005 Invited Address with Comments and Rejoinder.

25. Jacod, J., Li, Y., Mykland, P. A., Podolskij, M. & Vetter, M. (2008), `Microstructure noise in the continuous case: The pre-averaging approach, working paper.

26. Large, J. (2006), `Estimating quadratic variation when quoted prices jump by a constant increment, Journal of Econometrics. Forthcoming.

27. Li, Y. & Mykland, P. (2007), `Are volatility estimators robust to modelling assumptions?, Bernoulli 13, 601622.
    Paper not yet in RePEc: Add citation now
    
28. Li, Y. & Mykland, P. A. (2006), `Determining the volatility of a price process in the presence of rounding errors. Working paper.
    Paper not yet in RePEc: Add citation now
    

29. Maheu, J. M. & McCurdy, T. H. (2002), `Nonlinear features of realised FX volatility, Review of Economics and Statistics 84, 668-681.

30. Meddahi, N. (2002), `A theoretical comparison between integrated and realized volatilities, Journal of Applied Econometrics 17, 479-508.

31. Mykland, P. A. & Zhang, L. (2008), `Inference for continuous semimartingales observed at high frequency: A general approach, working paper.
    Paper not yet in RePEc: Add citation now
    
32. Phillips, P. C. & Yu, J. (2008), `Information loss in volatility measurement with fiat price trading, working paper.
    Paper not yet in RePEc: Add citation now
    
33. Russell, J. R. & Engle, R. F. (2006), `A discrete-state continuous-time model of financial transaction prices and times, Journal of Business and Economic Statistics Schweitzer, P. (1968), `Perturbation theory and finite markov chains, Journal of Applied Probability 5, 401413.
    Paper not yet in RePEc: Add citation now
    
34. Zhang, L. (2006), `Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach , Bernoulli 12, 1019-1043.
    Paper not yet in RePEc: Add citation now
    

35. Zhang, L., Mykland, P. A. & Ait-Sahalia, Y. (2005), `A tale of two time scales: Determining integrated volatility with noisy high frequency data, Journal of the American Statistical Association 100, 13941411.

36. Zhou, B. (1996), `High-frequency data and volatility in foreign-exchange rates, Journal of Business and Economic Statistics 14, 45-52.

1. Design of High-Frequency Trading Algorithm Based on Machine Learning. (2019). Feng, Yutong ; Fang, Boyue.
   In: Papers.
   RePEc:arx:papers:1912.10343.

   Full description at Econpapers || Download paper

2. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
   In: Papers.
   RePEc:arx:papers:1912.07165.

   Full description at Econpapers || Download paper

3. Intraday jumps in Chinas Treasury bond market and macro news announcements. (2015). Cui, Jing ; Zhao, Hua.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:39:y:2015:i:c:p:211-223.

   Full description at Econpapers || Download paper

4. Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility. (2013). Das, Kuntal ; Shimatani, Takeshi ; Cheng, Ai-Ru.
   In: Working Papers in Economics.
   RePEc:cbt:econwp:13/19.

   Full description at Econpapers || Download paper

5. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
   In: Papers.
   RePEc:arx:papers:1202.1854.

   Full description at Econpapers || Download paper

6. Automated Likelihood Based Inference for Stochastic Volatility Models. (2009). Yu, Jun ; Skaug, Hans J..
   In: Working Papers.
   RePEc:siu:wpaper:15-2009.

   Full description at Econpapers || Download paper

7. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
   In: Levine's Bibliography.
   RePEc:cla:levrem:321307000000000805.

   Full description at Econpapers || Download paper

8. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
   In: Research Paper Series.
   RePEc:uts:rpaper:175.

   Full description at Econpapers || Download paper

9. Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction. (2006). Capasso, Marco ; Alessi, Lucia.
   In: LEM Papers Series.
   RePEc:ssa:lemwps:2006/13.

   Full description at Econpapers || Download paper

10. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter.
    In: Economics Papers.
    RePEc:nuf:econwp:0603.

    Full description at Econpapers || Download paper

11. What drives volatility persistence in the foreign exchange market?. (2006). Hjalmarsson, Erik ; Berger, David ; Howorka, Edward ; Chaboud, Alain.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:862.

    Full description at Econpapers || Download paper

12. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:0505.

    Full description at Econpapers || Download paper

13. Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets. (2005). Schotman, Peter C ; Zalewska, Ania.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5352.

    Full description at Econpapers || Download paper

14. Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power. (2004). Kočenda, Evžen ; Briatka, Lubos .
    In: Econometrics.
    RePEc:wpa:wuwpem:0409001.

    Full description at Econpapers || Download paper

15. Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range. (2004). Corrado, Charles ; Truong, Cameron.
    In: Research Paper Series.
    RePEc:uts:rpaper:127.

    Full description at Econpapers || Download paper

16. Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model. (2004). Medeiros, Marcelo ; Veiga, Alvaro.
    In: Textos para discussão.
    RePEc:rio:texdis:486.

    Full description at Econpapers || Download paper

17. A Feasible Central Limit Theory for Realised Volatility Under Leverage. (2004). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:043.

    Full description at Econpapers || Download paper

18. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise. (2004). Shephard, Neil ; Lunde, Asger ; Hansen, Peter.
    In: Economics Papers.
    RePEc:nuf:econwp:0428.

    Full description at Econpapers || Download paper

19. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10913.

    Full description at Econpapers || Download paper

20. Option Implied and Realised Measures of Variance. (2004). Panigirtzoglou, Nikolaos ; Lynch, Damien .
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:94.

    Full description at Econpapers || Download paper

21. Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?. (2004). Neely, Christopher.
    In: Working Papers.
    RePEc:fip:fedlwp:2002-017.

    Full description at Econpapers || Download paper

22. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2004). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-56.

    Full description at Econpapers || Download paper

23. Realized Variance and IID Market Microstructure Noise. (2004). Lunde, Asger ; Hansen, Peter.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:526.

    Full description at Econpapers || Download paper

24. Microstructure noise, realized volatility, and optimal sampling. (2004). Russell, Jeffrey R. ; Bandi, Federico M..
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:220.

    Full description at Econpapers || Download paper

25. Stochastic volatility models and the Taylor effect. (2004). Ruiz, Esther ; Perez, Ana ; Mora-Galan, Alberto.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws046315.

    Full description at Econpapers || Download paper

26. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-24.

    Full description at Econpapers || Download paper

27. El índice VIX para la predicción de la volatilidad: un estudio internacional.. (2004). Marrero, Sandra Morini ; Rubio, Javier Giner.
    In: Documentos de trabajo conjunto ULL-ULPGC.
    RePEc:can:series:2004-10.

    Full description at Econpapers || Download paper

28. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
    In: Econometrics.
    RePEc:wpa:wuwpem:0305004.

    Full description at Econpapers || Download paper

29. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Graversen, Svend Erik .
    In: Economics Papers.
    RePEc:nuf:econwp:0319.

    Full description at Econpapers || Download paper

30. Volatility puzzles: a unified framework for gauging return-volatility regressions. (2003). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-40.

    Full description at Econpapers || Download paper

31. Exchange Rates, Equity Prices and Capital Flows. (2003). Rey, Helene ; Hau, Harald.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3735.

    Full description at Econpapers || Download paper

32. There is a Risk-Return Tradeoff After All. (2003). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-26.

    Full description at Econpapers || Download paper

33. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2003). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:1:p:38-62.

    Full description at Econpapers || Download paper

34. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

    Full description at Econpapers || Download paper

35. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-23.

    Full description at Econpapers || Download paper

36. Measuring and forecasting financial variability using realised variance with and without a model. (2002). Shephard, Neil ; Nielsen, Bent ; Ysusi, Carla.
    In: Economics Papers.
    RePEc:nuf:econwp:0221.

    Full description at Econpapers || Download paper

37. Exchange Rate, Equity Prices and Capital Flows. (2002). Rey, Helene ; Hau, Harald.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9398.

    Full description at Econpapers || Download paper

38. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8959.

    Full description at Econpapers || Download paper

39. Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. (2002). Bollerslev, Tim ; Forsberg, Lars.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:535-548.

    Full description at Econpapers || Download paper

40. A theoretical comparison between integrated and realized volatility. (2002). Meddahi, Nour.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:479-508.

    Full description at Econpapers || Download paper

41. Insolvency or liquidity squeeze? Explaining very short-term corporate yield spreads. (2002). COVITZ, DAN ; Downing, Chris .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2002-45.

    Full description at Econpapers || Download paper

42. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-93.

    Full description at Econpapers || Download paper

43. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-02.

    Full description at Econpapers || Download paper

44. Local Whittle Analysis of Stationary Fractional Cointegration. (2002). Nielsen, Morten.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2002-8.

    Full description at Econpapers || Download paper

45. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

    Full description at Econpapers || Download paper

46. Realised power variation and stochastic volatility models. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0118.

    Full description at Econpapers || Download paper

47. How accurate is the asymptotic approximation to the distribution of realised volatility?. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0116.

    Full description at Econpapers || Download paper

48. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

    Full description at Econpapers || Download paper

49. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-71.

    Full description at Econpapers || Download paper

50. Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data. (2001). Nielsen, Morten ; Christensen, Bent Jesper.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2001-4.

    Full description at Econpapers || Download paper

Report date: 2025-10-04 05:39:37 || Missing content? Let us know