- [1] Abhyankar, A.H. (1995): Return and volatility dynamics in the FT-SE 100 stock index and stock index futures markets. Journal of Futures Markets, 15(4), 457-488.
Paper not yet in RePEc: Add citation now
- [10] Barrucci, E. and R. Ren (2002b): On measuring volatility of diïusion processes with high frequency data. Economics Letters, 74, 371-378.
Paper not yet in RePEc: Add citation now
- [11] Barrucci, E., M. Mancino and R. Ren (2000): Volatility estimate via Fourier analysis. Finanza Computazionale, Atti della Scuola Estiva 2000, Universit Caâ Foscari, Venezia, 273-291.
Paper not yet in RePEc: Add citation now
[12] Bollerslev, T., R.Y. Chou and K.F. Kroner (1992): ARCH modeling in ïnance: a review of the theory and empirical evidence. Journal of Econometrics, 52, 5-59.
- [13] Bollerslev, T., R.F. Engle and D.B. Nelson (1994): ARCH models. Handbook of Econometrics Volume IV, in Engle and McFadden eds, North Holland Press.
Paper not yet in RePEc: Add citation now
[14] Brandt, M.W. and F.X. Diebold (2003): A no-arbitrage approach to range-based estimation of return covariances and correlations. Working Paper 03-013, Penn Institute for Economic Research, Philadelphia.
[15] Calvo, S. and C.M. Reinhart (1996): Capital ïows to Latin America: is there evidence of contagion eïects? Private Capital Flows to Emerging Markets, in Calvo, Goldstein and Hochreitter eds, Institute for International Economics, Washington.
[16] Caporale, G.M., A. Cipollini and N. Spagnolo (2005): Testing for contagion: a conditional correlation analysis, Journal of Empirical Finance, 12(3), 476-489.
- [17] Caramazza, F., L. Ricci and R. Salgado (1999): Trade and ïnancial contagion in currency crises. IMF Working Paper.
Paper not yet in RePEc: Add citation now
[18] Chan, K. and A. Karolyi (1991): Intraday Volatility in the Stock Index and Stock Index Futures Markets. Review of Financial Studies, 4, 657-684.
[19] Chan, K., A. Karolyi, F. Longstaï and A. Sanders (1992): An empirical comparison of alternative models of the short-term interest rate. Journal of Finance, 47(3), 1209-1227.
- [2] Andersen, T.G. and T. Bollerslev (1998a): Deutche Mark-Dollar volatility: intraday activity patterns, macroeconomics announcements and longer run dependencies. Journal of Finance, 53, 219-265.
Paper not yet in RePEc: Add citation now
[20] Cohen, K.J., G.A. Hawawini, S.F. Maier, R.A. Schwartz and D.K. Whitcomb (1983): Friction in the trading process and the estimation of systematic risk. Journal of Financial Economics, 12, 263-278.
[21] Cox, J., J. Ingersoll and S. Ross (1985): A theory of the term structure of interest rates. Econometrica, 53, 385-406.
[22] Dacorogna, M.M., R. Genay, U.A. Mller, R.B. Olsen and O.V. Pictet (2001): An Introduction to High-Frequency Finance. Academic Press, San Diego, CA.
[23] Dornbusch, R., Y.C. Park and S. Claessens (2000): Contagion: understanding how it spreads. The World Bank Research Observer, 15(2), 177-197.
[24] Drost, F.C. and B.J.M Werker (1996): Closing the GARCH gap: continuous time GARCH modeling. Journal of Econometrics, 74, 31-57.
[25] Dungey, M., R.A. Fry and V.L. Martin (2004): Currency market contagion in the Asia-Paciïc region. Australian Economic Papers, 43(4), 379-395.
[26] Dungey, M., R.A. Fry and V.L. Martin (2003): Equity transmission mechanisms from Asia to Australia: interdependence or contagion? Australian Journal of Management, 28(2), 157-182.
- [27] Eichengreen, B., A. Rose and C. Wyplosz (1996): Contagious currency crisis. NBER Working Paper W5681.
Paper not yet in RePEc: Add citation now
[28] Ellis, L. and E. Lewis (2001): The response of ïnancial markets in Australia and New Zealand to news about the Asian crisis. RBA Research Discussion Papers RDP2001-03, Reserve Bank of Australia.
- [29] Epps, T. (1979): Comovements in stock prices in the very short run. Journal of the American Statistical Association, 74, 291-298.
Paper not yet in RePEc: Add citation now
- [3] Andersen, T.G. and T. Bollerslev (1998b): Answering the skeptics: yes, standard volatility models do provide accurate forecasts. International Econimic Review, 39, 885-905.
Paper not yet in RePEc: Add citation now
- [30] Forbes, K.J and R. Rigobon (2001): Measuring contagion: conceptual and empirical issues. International Financial Contagion, in Claessens and Forbes eds, Kluwer Academic Publishers.
Paper not yet in RePEc: Add citation now
[31] Forbes, K.J and R. Rigobon (2002): No contagion, only interdependence: measuring stock market comovements. Journal of Finance, 57(5), 2223-2261.
- [32] Milton, F., (1999): How Asia Fell. Hoover Digest No 2, Hoover Institution, Stanford University.
Paper not yet in RePEc: Add citation now
- [33] Hayashi, T and N. Yoshida (2005): On covariance estimation of non synchronously observed diïusion processes. Bernoulli, 11, 359-379.
Paper not yet in RePEc: Add citation now
[35] Heston, S.L. (1993): A closed-form solution for option with stochastic volatility with applications to bond and currency options. The Review of Financial Studies, 6(2), 327-343.
[36] Jiang, G.J. (1998): Nonparametric modeling of U.S. interest rate term structure dynamics and implications on the prices of derivative securities. Journal of Finance and Quantitative Analysis, 33(4), 465-497.
- [37] Karatzas, I. and S.E. Shreve (1991): Brownian Motion and Stochastic Calculus (2 ed.). Volume 113 of Graduate Texts in Mathematics, Springer-Verlag, Berlin.
Paper not yet in RePEc: Add citation now
[38] Kawaller, I. G., P.D. Koch and T.W. Koch (1987): The temporal relationship between S&P 500 futures and the S&P 500 index. Journal of Finance, 42, 1309-1329.
[39] King, M. and S.B. Wadhwani (1990): Transmission of volatility between stock markets. Review of Financial Studies, 3(1), 5-33.
[4] Andersen, T.G., T. Bollerslev, F.X. Diebold and P. Labys (2001): The Distribution of realized exchange rate volatility. Journal of American Statistical Association, 96, 42-55.
[40] Malliavin, P. and M. Mancino (2002): Fourier series method for measurement of multivariate volatilities. Finance and Stochastics, 6(1), 49-61.
- [41] Malliavin, P. and A. Thalmaier (2005): Stochastic Calculus of Variations in Mathematical Finance. Springer Finance.
Paper not yet in RePEc: Add citation now
- [42] Min, J.H. and M. Najand (1999): A further investigation of the lead-lag relationship between the spot market and stock index futures: early evidence from Korea. Journal of Futures Markets, 19(2), 217-232.
Paper not yet in RePEc: Add citation now
- [43] Najand, M., H. Rahaman and K. Yung (1992): Inter-currency transmission of volatility in foreign exchange futures. The Journal of Financial Markets, 12(6), 609-620.
Paper not yet in RePEc: Add citation now
[44] Nelson, D.B. (1990): ARCH models as diïusion approximations. Journal of Econometrics, 45, 7-38.
- [45] Oomen, R. (2002): Modeling realized variance when returns are serially correlated. Technical Report, Warwick Business School, University of Warwick.
Paper not yet in RePEc: Add citation now
[46] Pericoli, M. and M. Sbracia (2003): A primer on ïnancial contagion. Journal of Economic Surveys, 17(4), 571-608.
[47] Precup, O. and G. Iori (2005): Cross-correlation in the high-frequency domain. Forthcoming.
- [48] Priestley, M. (1979): Spectral Time Series Analysis. Wiley.
Paper not yet in RePEc: Add citation now
- [49] Ren, R. (2003): A closer look at the Epps eïect. International Journal of Theoretical and Applied Finance, 6(1), 87-102.
Paper not yet in RePEc: Add citation now
- [50] Shephard, N. (1996): Statistical aspects of ARCH and stochastic volatility. Likelihood, Time Series with Econometric and Other Application, in Cox, Hinkley and Barndorï-Nielsen eds, Chapman and Hall, London.
Paper not yet in RePEc: Add citation now
[51] Scholes, M and J. Williams (1977): Estimating betas from non synchronous data. Journal of Financial Economics, 5, 309-327.
- [52] Tai, C. (2003): Looking for Contagion in Currency Futures Markets. Journal of Futures Market, 23(10), 957-988.
Paper not yet in RePEc: Add citation now
- [53] Tse Y. (1999): Price discovery and volatility spillovers in the DJIA Index and futures Markets. Journal of Futures Markets, 19(8), 911-930.
Paper not yet in RePEc: Add citation now
[54] Vasicek, O. (1977): An equilibrium characterization of the term structure. Journal of Financial Economics, 5, 177-188.
[6] Baig, T. and I. Goldïjn (1998): Financial market contagion in the Asian Crisis. Working Paper 98-155, International Monetary Fund, Washington.
[7] Barndorï-Nielsen, O.E. and N. Shephard (2002): Estimating quadratic variation using realized variance. Journal of Applied Econometrics, 17, 457-477.
[8] Barndorï-Nielsen, O.E. and N. Shephard (2004): Econometric analysis of realized covariation: high frequency based covariance, regression and correlation in ïnancial economics. Econometrica, 27, 885-925.
- [9] Barrucci, E. and R. Ren (2002a): On measuring volatility and the GARCH forecasting performance. Journal of International Financial Markets, Institutions and Money, 12, 182-200.
Paper not yet in RePEc: Add citation now