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2. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2015). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
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3. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2014). Vacha, Lukas ; Baruník, Jozef.
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4. Price Jumps on European Stock Markets. (2013). Novotny, Jan ; Kočenda, Evžen ; Hanousek, Jan ; Koenda, Even.
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5. Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics. (2012). Audrino, Francesco ; Knaus, Simon .
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6. Efficient and feasible inference for the components of financial variation using blocked multipower variation. (2012). Sheppard, Kevin ; Shephard, Neil ; Mykland, Per A..
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7. Efficient and feasible inference for the components of financial variation using blocked multipower variation. (2012). Sheppard, Kevin ; Shephard, Neil ; Mykland, Per A..
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8. Financial Risk Measurement for Financial Risk Management. (2012). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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9. Econometric modeling of exchange rate volatility and jumps. (2012). Neely, Christopher ; Laurent, Sébastien ; Erdemlioglu, Deniz.
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10. The Effects of Oil Price Uncertainty on the Macroeconomy. (2012). Jo, Soojin.
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11. Common intraday periodicity. (2011). Palm, Franz ; Laurent, Sébastien ; Hecq, Alain.
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12. The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures. (2011). Koopman, Siem Jan ; Scharth, Marcel.
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13. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Christoffersen, Peter F..
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14. Do jumps help in forecasting the density of returns?. (2011). Chevallier, Julien ; Ielpo, Florian ; Sevi, Benoit.
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15. The ECB Monetary Policy and the Current Financial Crisis. (2011). Cleanthous, Lena ; Karamanou, Pany ; Theodosiou, Marina ; Kleanthous, Lena ; Zikes, Filip.
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16. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Christoffersen, Peter F..
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17. Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes. (2010). Maillet, Bertrand ; Medecin, Jean-Philippe R..
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18. Jump Distribution Characteristics: Evidence from European Stock Markets. (2010). Ane, Thierry ; Metais, Carole.
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19. Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim.
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1. Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh.
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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.

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3. 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.

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4. Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
   In: Papers.
   RePEc:arx:papers:1602.05489.

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5. Jumps and Information Asymmetry in the US Treasury Market. (2016). Urga, Giovanni ; DUMITRU, ANA-MARIA.
   In: EconStor Preprints.
   RePEc:zbw:esprep:130148.

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6. Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Hu, Yujia ; Audrino, Francesco.
   In: Econometrics.
   RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253.

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7. On the relationship between conditional jump intensity and diffusive volatility. (2016). Li, Gang ; Zhang, Chu.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:37:y:2016:i:c:p:196-213.

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8. A reexamination of stock return predictability. (2016). Jacewitz, Stefan ; Choi, Yongok ; Park, Joon Y.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:192:y:2016:i:1:p:168-189.

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9. Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; LECOURT, Christelle ; Laurent, Sébastien.
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:100:y:2016:i:c:p:383-400.

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10. The Drift Burst Hypothesis. (2016). Oomen, Roel ; Reno, Roberto ; Christensen, Kim.
    In: CREATES Research Papers.
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11. The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements. (2015). Yao, Wenying ; Tian, Jing.
    In: Working Papers.
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12. Cojumps in Chinas spot and stock index futures markets. (2015). Yue, Mengqi ; Zhao, Hua ; Wang, Hao.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:35:y:2015:i:pb:p:541-557.

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13. Macroannouncements, bond auctions and rating actions in the European government bond spreads. (2015). Urga, Giovanni ; Boffelli, Simona.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:53:y:2015:i:c:p:148-173.

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14. Which continuous-time model is most appropriate for exchange rates?. (2015). Neely, Christopher ; Laurent, Sébastien ; Erdemlioglu, Deniz.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s256-s268.

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15. Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach. (2015). JAWADI, Fredj ; Louhichi, Wael ; Cheffou, Abdoulkarim Idi.
    In: Journal of Financial Markets.
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16. The economic value of volatility timing with realized jumps. (2015). Nolte, Ingmar ; Xu, QI.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:34:y:2015:i:c:p:45-59.

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17. Collective synchronization and high frequency systemic instabilities in financial markets. (2015). Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo ; Lillo, Fabrizio.
    In: Papers.
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18. Estimating the spot covariation of asset prices: Statistical theory and empirical evidence. (2014). Malec, Peter ; Hautsch, Nikolaus ; Reiss, Markus ; Bibinger, Markus.
    In: CFS Working Paper Series.
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19. Multi-jumps. (2014). Renò, Roberto ; Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey.
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20. Review of the Stochastic Properties of CO2 Futures Prices. (2014). Chevallier, Julien.
    In: Working Papers.
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21. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence. (2014). Malec, Peter ; Hautsch, Nikolaus ; Reiss, Markus ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
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22. Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013. (2014). Darné, Olivier ; Charles, Amelie.
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23. System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies. (2014). Gnabo, Jean-Yves ; Hvozdyk, Lyudmyla ; Lahaye, Jerome.
    In: Journal of International Money and Finance.
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24. The intra-day impact of communication on euro-dollar volatility and jumps. (2014). LECOURT, Christelle ; Gnabo, Jean-Yves ; Erdemlioglu, Deniz ; Dewachter, Hans.
    In: Journal of International Money and Finance.
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25. Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013. (2014). Darné, Olivier ; CHARLES, Amelie.
    In: Journal of Banking & Finance.
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26. Cojumps in stock prices: Empirical evidence. (2014). Shackleton, Mark ; Taylor, Stephen J. ; Gilder, Dudley.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:443-459.

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27. Volatility persistence in crude oil markets. (2014). Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
    In: Energy Policy.
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28. Estimating spot volatility with high-frequency financial data. (2014). Zu, Yang ; Boswijk, H. Peter.
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29. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence. (2014). Malec, Peter ; Hautsch, Nikolaus ; Reiss, Markus ; Bibinger, Markus.
    In: Cambridge Working Papers in Economics.
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30. Analysis of Spin Financial Market by GARCH Model. (2014). Takaishi, Tetsuya.
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31. A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data. (2013). Bos, Charles ; Janus, Pawel.
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32. Optimally thresholded realized power variations for Lévy jump diffusion models. (2013). Figueroa-Lopez, Jose E. ; Nisen, Jeffrey.
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33. The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks. (2013). Liao, Yin.
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34. Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility. (2013). Liu, Zhi ; Wang, Kent.
    In: Journal of Banking & Finance.
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35. Moment-based estimation of stochastic volatility. (2013). Bregantini, Daniele .
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36. Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach. (2013). SONG, ZHAOGANG ; Chen, Bin.
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37. Modeling and Forecasting Persistent Financial Durations. (2013). Baruník, Jozef ; Shenai, Nikhil ; Jozef Barun'ik, ; vZikevs, Filip .
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38. Jumps in Oil Prices: The Role of Economic News. (2013). Miao, Hong ; Elder, John ; Ramchander, Sanjay ; John Elder, Hong Miao,, .
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39. Do jumps mislead the FX market?. (2012). LECOURT, Christelle ; Laurent, Sébastien ; Gnabo, Jean-Yves.
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40. Large deviations of realized volatility. (2012). Otsu, Taisuke ; Kanaya, Shin.
    In: Stochastic Processes and their Applications.
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41. Modeling and measuring intraday overreaction of stock prices. (2012). Klner, Stefan ; Friedmann, Ralph ; Becker, Martin.
    In: Journal of Banking & Finance.
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42. On the volatility–volume relationship in energy futures markets using intraday data. (2012). Sévi, Benoît ; Chevallier, Julien.
    In: Energy Economics.
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43. Jump-robust volatility estimation using nearest neighbor truncation. (2012). Andersen, Torben ; Schaumburg, Ernst ; Dobrev, Dobrislav.
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    RePEc:eee:econom:v:169:y:2012:i:1:p:75-93.

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44. Jumps in equilibrium prices and market microstructure noise. (2012). Lee, Suzanne S. ; Mykland, Per A..
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45. On the volatility-volume relationship in energy futures markets using intraday data. (2012). Chevallier, Julien ; Sevi, Benoit.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/6887.

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46. Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper. (2011). Miao, Hong ; Khalifa, Ahmed ; Ramchander, Sanjay ; Ahmed A. A. Khalifa, .
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47. Intraday jumps and US macroeconomic news announcements. (2011). Evans, Kevin P..
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48. Robust estimation of intraweek periodicity in volatility and jump detection. (2011). Laurent, Sébastien ; Boudt, Kris ; Croux, Christophe.
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    RePEc:eee:empfin:v:18:y:2011:i:2:p:353-367.

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49. A martingale approach for testing diffusion models based on infinitesimal operator. (2011). SONG, ZHAOGANG.
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50. High-frequency returns, jumps and the mixture of normals hypothesis. (2011). Fleming, Jeff ; Paye, Bradley S..
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51. Threshold bipower variation and the impact of jumps on volatility forecasting. (2010). Renò, Roberto ; Pirino, Davide ; Corsi, Fulvio ; Reno, Roberto.
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    RePEc:eee:econom:v:159:y:2010:i:2:p:276-288.

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52. Were Stocks during the Financial Crisis More Jumpy: A Comparative Study. (2010). Novotny, Jan.
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53. Spot Variance Path Estimation and its Application to High Frequency Jump Testing. (2009). Koopman, Siem Jan ; Bos, Charles ; Janus, Pawel.
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54. Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav.
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55. Distribution and Dynamics of Central-European Exchange Rates: Evidence from Intraday Data. (2009). Bubak, Vit ; Ike, Filip.
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56. Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav.
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57. Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, GUILLAUME .
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58. Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns. (2008). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per.
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59. Realized volatility. (2008). Benzoni, Luca ; Andersen, Torben.
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60. .

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61. Too much cocited documents. This list is not complete

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