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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.
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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.
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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.
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7. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
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8. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
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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.
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10. Are volatility estimators robust with respect to modeling assumptions?. (2007). Li, Yingying ; Mykland, Per A..
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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.
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12. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
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13. Simple (but Effective) Tests Of Long Memory Versus Structural Breaks. (2006). Shimotsu, Katsumi.
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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.
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15. What drives volatility persistence in the foreign exchange market?. (2006). Hjalmarsson, Erik ; Berger, David ; Howorka, Edward ; Chaboud, Alain.
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17. Comovements in volatility in the euro money market. (2006). MORANA, CLAUDIO ; Cassola, Nuno.
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    In: Cowles Foundation Discussion Papers.
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20. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
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22. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina.
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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.
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24. Why do Central Banks intervene secretly? preliminary evidence of the BoJ. (2005). Beine, Michel ; Bernal, Oscar.
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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.
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26. Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility. (2004). MORANA, CLAUDIO ; Beltratti, Andrea.
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27. Exchange-rate uncertainty and workers remittances. (2004). Pozo, Susan ; Higgins, Matthew L. ; Hysenbegasi, Alketa.
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28. Statistical Models for High Frequency Security Prices. (2004). Oomen, Roel.
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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.
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30. Regime Switching for Dynamic Correlations. (2004). Pelletier, Denis.
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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.
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32. Exchange rates and fundamentals: new evidence from real-time data. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
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33. Stochastic volatility models and the Taylor effect. (2004). Ruiz, Esther ; Perez, Ana ; Mora-Galan, Alberto.
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34. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
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35. Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad. (2003). Valachy, Juraj ; Kočenda, Evžen.
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36. How is Macro News Transmitted to Exchange Rates?. (2003). Lyons, Richard ; Evans, Martin.
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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.
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38. Time Variation in the Tail Behaviour of Bund Futures Returns. (2002). Upper, Christian ; Werner, Thomas.
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39. Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates. (2002). Schuermann, Til ; Weiner, Scott M. ; Kuritzkes, Andrew.
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40. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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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.
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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.
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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.
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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.
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45. Information Content of Volatility Forecasts at Medium-term Horizons. (2002). Kisinbay, Turgut ; Galbraith, John.
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46. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis.
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47. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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48. Flexible multivariate GARCH modeling with an application to international stock markets. (2001). Wolf, Michael ; Santa-Clara, Pedro ; Ledoit, Olivier.
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49. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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50. Long Memory and Regime Switching. (2000). Inoue, Atsushi ; Diebold, Francis.
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