- Aı̈t-Sahalia, Y. and J. Jacod (2009). Testing for jumps in a discretely observed process. The Annals of Statistics 37(1), 184–222.
Paper not yet in RePEc: Add citation now
Aı̈t-Sahalia, Y. and J. Jacod (2012). Analyzing the spectrum of asset returns: Jump and volatility components in high frequency data. Journal of Economic Literature 50(4), 1007–1050.
Aı̈t-Sahalia, Y., J. Fan, and D. Xiu (2010). High frequency covariance estimates with noisy and asynchronous financial data. Journal of the American Statistical Association 105(492), 1504–1517.
Andersen, T. G., D. Dobrev, and E. Schaumburg (2012). Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics 169(1), 75–93.
Andersen, T. G., T. Bollerslev, and D. Dobrev (2007). No-arbitrage semi- martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications. Journal of Econometrics 138(1), 125–180.
Andersen, T. G., T. Bollerslev, and F. X. Diebold (2007). Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility. Review of Economics and Statistics 89(4), 701–720.
Andersen, T. G., T. Bollerslev, P. Frederiksen, and M. Ørregaard Nielsen (2010). Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns. Journal of Applied Econometrics 25(2), 233–261.
Andersen, T., T. Bollerslev, F. Diebold, and P. Labys (2003). Modeling and forecasting realized volatility. Econometrica 2(71), 579–625.
Antoniou, I. and K. Gustafson (1999). Wavelets and stochastic processes. Mathematics and Computers in Simulation 49(1-2), 81–104.
- Barndorff-Nielsen, O. and N. Shephard (2004a). Econometric analysis of realized covariation: High frequency based covariance, regression, and correlation in financial economics. Econometrica 72(3), 885–925.
Paper not yet in RePEc: Add citation now
- Barndorff-Nielsen, O. and N. Shephard (2004b). Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics 2(1), 1–48.
Paper not yet in RePEc: Add citation now
Barndorff-Nielsen, O. and N. Shephard (2006). Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics 4(1), 1–30.
Barndorff-Nielsen, O., P. Hansen, A. Lunde, and N. Shephard (2011). Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. Journal of Econometrics 162(2), 149–169.
Barunik, J. and L. Vacha (2015). Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. Quantitative Finance 15(8), 1347– 1364.
Barunik, J., T. Krehlik, and L. Vacha (2016). Modeling and forecasting exchange rate volatility in time-frequency domain. European Journal of Operational Reseach 251(1), 329–340.
Bibinger, M. and L. Winkelmann (2015). Econometrics of co-jumps in high-frequency data with noise. Journal of Econometrics 184(2), 361–378.
Bollerslev, T., T. H. Law, and G. Tauchen (2008). Risk, jumps, and diversification. Journal of Econometrics 144(1), 234–256.
- Daubechies, I. (1992). Ten lectures on wavelets. SIAM.
Paper not yet in RePEc: Add citation now
- Donoho, D. L. and I. M. Johnstone (1994). Ideal spatial adaptation by wavelet shrinkage. Biometrica 81(3), 425–455.
Paper not yet in RePEc: Add citation now
Dovonon, P., S. Gonçalves, U. Hounyo, and N. Meddahi (2014). Bootstrapping high-frequency jump tests. Discussion paper, Toulouse School of Economics.
- Epps, T. W. (1979). Comovements in stock prices in the very short run. Journal of the American Statistical Association 74(366a), 291–298.
Paper not yet in RePEc: Add citation now
Fan, J. and Y. Wang (2007). Multi-scale jump and volatility analysis for highfrequency financial data. Journal of the American Statistical Association 102(480), 1349–1362.
- Gençay, R., F. Selçuk, and B. Whitcher (2002). An Introduction to Wavelets and Other Filtering Methods in Finance and Economics. Academic Press.
Paper not yet in RePEc: Add citation now
Gençay, R., F. Selçuk, and B. Whitcher (2005). Multiscale systematic risk. Journal of International Money and Finance 24(1), 55–70.
Gilder, D., M. B. Shackleton, and S. J. Taylor (2014). Cojumps in stock prices: Empirical evidence. Journal of Banking & Finance 40, 443–459.
Gnabo, J.-Y., L. Hvozdyk, and J. Lahaye (2014). System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies. Journal of International Money and Finance 48, 147–174.
Griffin, J. and R. Oomen (2011). Covariance measurement in the presence of nonsynchronous trading and market microstructure noise. Journal of Econometrics 160(1), 58–68.
- Hayashi, T. and N. Yoshida (2005). On covariance estimation of non-synchronously observed diffusion processes. Bernoulli 11(2), 359–379.
Paper not yet in RePEc: Add citation now
Huang, X. and G. Tauchen (2005). The relative contribution of jumps to total price variance. Journal of Financial Econometrics 3(4), 456–499.
- Jacod, J. and V. Todorov (2009). Testing for common arrivals of jumps for discretely observed multidimensional processes. The Annals of Statistics 37(4), 1792–1838.
Paper not yet in RePEc: Add citation now
Jawadi, F., W. Louhichi, and A. I. Cheffou (2015). Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach. Journal of Financial Markets 26, 64–84.
Jiang, G, J. and C. Oomen, R (2008). Testing for jumps when asset prices are observed with noise - a swap variance approach. Journal of Econometrics 144(2), 352–370.
Lahaye, J., S. Laurent, and C. J. Neely (2011). Jumps, cojumps and macro announcements. Journal of Applied Econometrics 26(6), 893–921.
Lee, S. and P. A. Mykland (2008). Jumps in financial markets: a new nonparametric test and jump dynamics. The Review of Financial Studies 21, 2525–2563.
Lee, S. S. and J. Hannig (2010). Detecting jumps from lèvy jump diffusion processes. Journal of Financial Economics 96(2), 271–290.
- Mallat, S. (1998). A wavelet tour of signal processing. Academic Press.
Paper not yet in RePEc: Add citation now
Mancini, C. (2009). Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps. Scandinavian Journal of Statistics 36(2), 270–296.
Mancini, C. and F. Gobbi (2012). Identifying the brownian covariation from the co-jumps given discrete observations. Econometric Theory 28(02), 249–273.
NovotnyÃŒÂ, J., D. Petrov, and G. Urga (2015). Trading price jump clusters in foreign exchange markets. Journal of Financial Markets 24, 66–92.
- Percival, D. B. and A. T. Walden (2000). Wavelet Methods for Time series Analysis. Cambridge University Press.
Paper not yet in RePEc: Add citation now
- Percival, D. B. and H. Mofjeld (1997). Analysis of subtidal coastal sea level fluctuations using wavelets. Journal of the American Statistical Association 92(439), 886–880.
Paper not yet in RePEc: Add citation now
- Protter, P. (1992). Stochastic integration and differential equations: A new approach. New York: Springer-Verlag.
Paper not yet in RePEc: Add citation now
- Serroukh, A. and A. Walden (2000a). Wavelet scale analysis of bivariate time series i: motivation and estimation. Journal of Nonparametric Statistics 13(1), 1–36.
Paper not yet in RePEc: Add citation now
- Serroukh, A. and A. Walden (2000b). Wavelet scale analysisof bivariate time series ii: statistical properties for linear processes. Journal of Nonparametric Statistics 13(1), 37–56.
Paper not yet in RePEc: Add citation now
Varneskov, R. T. (2016). Flat-top realized kernel estimation of quadratic covariation with non-synchronous and noisy asset prices. Journal of Business & Economic Statistics 34(1), 1–22.
Voev, V. and A. Lunde (2007). Integrated covariance estimation using high-frequency data in the presence of noise. Journal of Financial Econometrics 5(1), 68–104.
- Wang, Y. (1995). Jump and sharp cusp detection via wavelets. Biometrika 82(2), 385–397.
Paper not yet in RePEc: Add citation now
- Whitcher, B., P. Guttorp, and D. B. Percival (1999). Mathematical background for wavelets estimators for cross covariance and cross correlation. 38, National Resource Centre for Supplementary Education.
Paper not yet in RePEc: Add citation now
- Whitcher, B., P. Guttorp, and D. B. Percival (2000). Wavelet analysis of covariance with application to atmosferic time series. Journal of Geophysical Research 105(D11), 941–962.
Paper not yet in RePEc: Add citation now
- Xue, Y., R. Gençay, and S. Fagan (2014). Jump detection with wavelets for highfrequency financial time series. Quantitative Finance 14(8), 1427–1444.
Paper not yet in RePEc: Add citation now
Zhang, L. (2011). Estimating covariation: Epps effect, microstructure noise. Journal of Econometrics 160(1), 33–47.
Zhang, L., P. Mykland, and Y. Aı̈t-Sahalia (2005). A tale of two time scales: Determining integrated volatility with noisy high frequency data. Journal of the American Statistical Association 100(472), 1394–1411.