1. Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model. (2021). Linton, O ; Li, Y-N., ; Chen, J.
   In: Cambridge Working Papers in Economics.
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2. A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise. (2018). Zhang, Zhiyuan ; Li, Yingying.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:203:y:2018:i:2:p:187-222.

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3. Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Chen, Richard Y ; Mykland, Per A.
   In: Papers.
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4. Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A.
   In: Journal of Econometrics.
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5. Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu.
   In: Journal of Econometrics.
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6. Volatility inference in the presence of both endogenous time and microstructure noise. (2013). Zhang, Zhiyuan ; Li, Yingying ; Zheng, Xinghua.
   In: Stochastic Processes and their Applications.
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7. The leverage effect puzzle: Disentangling sources of bias at high frequency. (2013). Fan, Jianqing ; Ait-Sahalia, Yacine.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:109:y:2013:i:1:p:224-249.

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8. Testing for jumps in noisy high frequency data. (2012). Ait-Sahalia, Yacine ; At-Sahalia, Yacine ; Jacod, Jean.
   In: Journal of Econometrics.
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9. On the estimation of integrated covariance matrices of high dimensional diffusion processes. (2012). Li, Yingying ; Zheng, Xinghua.
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10. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data. (2012). Ait-Sahalia, Yacine ; Yacine Aït-Sahalia, ; Jacod, Jean.
    In: Journal of Economic Literature.
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11. A branching particle approximation to a filtering micromovement model of asset price. (2011). Zeng, Yong ; Xiong, Jie.
    In: Statistical Inference for Stochastic Processes.
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12. Ultra high frequency volatility estimation with dependent microstructure noise. (2011). Ait-Sahalia, Yacine ; Mykland, Per A. ; Zhang, Lan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:160-175.

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13. Quasi-maximum likelihood estimation of volatility with high frequency data. (2010). Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:235-250.

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14. Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection. (2010). Fan, Jianqing ; Li, Yingying ; Yu, KE.
    In: Papers.
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15. Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias ; Jacod, Jean.
    In: Stochastic Processes and their Applications.
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16. Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error. (2008). LINTON, OLIVER ; Kalnina, Ilze.
    In: Journal of Econometrics.
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17. Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution. (2008). Vetter, Mathias ; Podolskij, Mark ; Jacod, Jean.
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18. Microstructure noise in the continuous case: the pre-averaging approach. (2007). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias.
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19. Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9. (2007). Podolskij, Mark ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias ; Jacod, Jean.
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1. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

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2. 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.

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3. 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.

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4. A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities. (2012). Schorfheide, Frank ; Diebold, Francis ; Chen, Fei.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:18078.

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5. Announcements, financial operations or both? Generalizing central banks FX reaction functions. (2009). Gnabo, Jean-Yves ; Bernal, Oscar.
   In: Journal of the Japanese and International Economies.
   RePEc:eee:jjieco:v:23:y:2009:i:4:p:367-394.

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6. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20080011.

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

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9. Intervention Policy of the BoJ: A Unified Approach. (2007). LECOURT, Christelle ; Beine, Michel ; Bernal, Oscar ; Gnabo, Jean-Yves.
   In: CESifo Working Paper Series.
   RePEc:ces:ceswps:_1894.

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10. Are volatility estimators robust with respect to modeling assumptions?. (2007). Li, Yingying ; Mykland, Per A..
    In: Papers.
    RePEc:arx:papers:0709.0440.

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11. Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility. (2006). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz.
    In: The Warwick Economics Research Paper Series (TWERPS).
    RePEc:wrk:warwec:777.

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

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13. Simple (but Effective) Tests Of Long Memory Versus Structural Breaks. (2006). Shimotsu, Katsumi.
    In: Working Paper.
    RePEc:qed:wpaper:1101.

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14. Transmission of volatility and trading activity in the global interdealer foreign exchange market: evidence from electronic broking services (EBS) data. (2006). Wongswan, Jon ; Cai, Fang ; Howorka, Edward.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:863.

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15. 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.

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16. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-35.

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17. Comovements in volatility in the euro money market. (2006). MORANA, CLAUDIO ; Cassola, Nuno.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006703.

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18. Refined Inference on Long Memory in Realized Volatility. (2006). Phillips, Peter ; Lieberman, Offer.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1549.

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19. GMM Estimation for Long Memory Latent Variable Volatility and Duration Models. (2005). Deo, Rohit ; Chen, Willa.
    In: Econometrics.
    RePEc:wpa:wuwpem:0501006.

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20. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
    In: Research Paper Series.
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21. Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios.. (2005). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: ICER Working Papers.
    RePEc:icr:wpicer:23-2005.

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22. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0577.

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23. Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. (2005). Zhou, Hao.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-63.

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24. Why do Central Banks intervene secretly? preliminary evidence of the BoJ. (2005). Beine, Michel ; Bernal, Oscar.
    In: DULBEA Working Papers.
    RePEc:dul:wpaper:05-09rs.

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25. Exchange Rate Volatility and the Mixture of Distribution Hypothesis. (2005). Sucarrat, Genaro ; Rime, Dagfinn ; Bauwens, Luc ; Genaro, SUCARRAT ; Luc, Bauwens.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
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26. Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility. (2004). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: Working Papers.
    RePEc:upo:upopwp:20.

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27. Exchange-rate uncertainty and workers remittances. (2004). Pozo, Susan ; Higgins, Matthew L. ; Hysenbegasi, Alketa.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:6:p:403-411.

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28. Statistical Models for High Frequency Security Prices. (2004). Oomen, Roel.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:77.

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29. Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Corradi, Valentina.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:487.

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30. Regime Switching for Dynamic Correlations. (2004). Pelletier, Denis.
    In: Econometric Society 2004 North American Summer Meetings.
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31. Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Distaso, Walter ; Corradi, Valentina.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:273.

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32. Exchange rates and fundamentals: new evidence from real-time data. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
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33. 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.

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

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35. Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad. (2003). Valachy, Juraj ; Kočenda, Evžen.
    In: William Davidson Institute Working Papers Series.
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36. How is Macro News Transmitted to Exchange Rates?. (2003). Lyons, Richard ; Evans, Martin.
    In: NBER Working Papers.
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37. 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.

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38. Time Variation in the Tail Behaviour of Bund Futures Returns. (2002). Upper, Christian ; Werner, Thomas.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4190.

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39. Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates. (2002). Schuermann, Til ; Weiner, Scott M. ; Kuritzkes, Andrew.
    In: Center for Financial Institutions Working Papers.
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40. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

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41. 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.
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42. 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.

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43. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options. (2002). Zhang, Xibin ; Yu, Jun ; Yang, Zhenlin.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-17.

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44. 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.

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45. Information Content of Volatility Forecasts at Medium-term Horizons. (2002). Kisinbay, Turgut ; Galbraith, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-21.

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

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47. 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.

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48. Flexible multivariate GARCH modeling with an application to international stock markets. (2001). Wolf, Michael ; Santa-Clara, Pedro ; Ledoit, Olivier.
    In: Economics Working Papers.
    RePEc:upf:upfgen:578.

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

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50. Long Memory and Regime Switching. (2000). Inoue, Atsushi ; Diebold, Francis.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0264.

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