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1. On the Predictability of Stock Prices: A Case for High and Low Prices.. (2011). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano.
   In: Marco Fanno Working Papers.
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2. Forecasting stock market volatility conditional on macroeconomic conditions.. (2007). Clements, Adam ; Becker, Ralf.
   In: NCER Working Paper Series.
   RePEc:qut:auncer:2007-93.

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3. The Influence of Actual and Unrequited Interventions. (2007). Dominguez, Kathryn ; Kathryn M. E. Dominguez, ; Panthaki, Freyan .
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12953.

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4. Multivariate Realized Stock Market Volatility. (2007). Bauer, Gregory ; Vorkink, Keith.
   In: Staff Working Papers.
   RePEc:bca:bocawp:07-20.

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5. The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility. (2006). Lux, Thomas.
   In: Economics Working Papers.
   RePEc:zbw:cauewp:5164.

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6. Heterogeneous information flows and intra-day volatility dynamics: evidence from the UK FTSE-100 stock index futures market. (2006). McMillan, David G. ; Alan E. H. Speight, .
   In: Applied Financial Economics.
   RePEc:taf:apfiec:v:16:y:2006:i:13:p:959-972.

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7. Simple (but Effective) Tests Of Long Memory Versus Structural Breaks. (2006). Shimotsu, Katsumi.
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8. Testing Models of Low-Frequency Variability. (2006). Watson, Mark ; Mueller, Ulrich.
   In: NBER Working Papers.
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9. 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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10. 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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11. Tail behaviour of the euro. (2005). cotter, john.
    In: Applied Economics.
    RePEc:taf:applec:v:37:y:2005:i:7:p:827-840.

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12. What Defines News in Foreign Exchange Markets?. (2005). Dominguez, Kathryn ; Panthaki, Freyan .
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    RePEc:nbr:nberwo:11769.

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13. Federal Securities Regulations and Stock Market Returns. (2005). Liu, Tung ; Santoni, Gary ; Stone, Courtenay Cliff.
    In: Working Papers.
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14. The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility. (2004). Lux, Thomas.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:2442.

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15. Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997. (2004). Los, Cornelis ; Karuppiah, Jeyanthi .
    In: Finance.
    RePEc:wpa:wuwpfi:0409037.

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16. Estimating Long Memory in Volatility. (2004). Moulines, Eric ; Hurvich, Clifford ; Soulier, Philippe.
    In: Econometrics.
    RePEc:wpa:wuwpem:0412006.

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17. 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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18. On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange. (2004). .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:13:p:915-922.

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19. Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model. (2004). Dark, Jonathan.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-7.

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20. Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures. (2004). Dark, Jonathan.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-5.

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21. Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures. (2004). Dark, Jonathan.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-4.

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22. The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market. (2004). Wright, Jonathan ; Chernenko, Sergey ; Raj S. Krishnasami Iyer, ; Howorka, Edward ; Liu, David ; CHABOUD, ALAIN P..
    In: International Finance Discussion Papers.
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23. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-19.

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24. The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting. (2003). Lux, Thomas.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:1123.

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25. How wacky is the DAX? The changing structure of German stock market volatility. (2003). Werner, Thomas ; Stapf, Jelena.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4473.

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26. Testing of Nonstationary Cycles in Financial Time Series Data. (2003). Gil-Alana, Luis ; Depenya, Javier.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1503.

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27. The role of information in Hong Kong individual stock futures trading. (2003). Brooks, R. D. ; Mckenzie, M. D..
    In: Applied Financial Economics.
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28. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?. (2003). Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
    In: NBER Working Papers.
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29. A Multiple Indicators Model for Volatility Using Intra-Daily Data. (2003). Gallo, Giampiero ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10117.

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30. A Multiple Indicators Model For Volatility Using Intra-Daily Data.. (2003). Gallo, Giampiero ; Engle, Robert.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2003_07.

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31. 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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32. Temporal aggregation, volatility components and volume in high frequency UK bond futures. (2002). McMillan, David G. ; Alan E. H. Speight, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:8:y:2002:i:1:p:70-92.

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33. LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS. (2002). Wright, Jonathan.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:21:y:2002:i:4:p:397-417.

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34. GARCH-based Volatility Forecasts for Market Volatility Indices. (2002). Lombardi, Marco ; Gallo, Giampiero ; Cecconi, Massimiliano.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2002_06.

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35. Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes. (2002). Sun, Yixiao ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1366.

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36. 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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37. How accurate is the asymptotic approximation to the distribution of realised volatility?. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0116.

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38. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0104.

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39. 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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40. Modelos de memoria larga para series económicas y financieras. (2001). Ruiz, Esther ; Perez, Ana.
    In: DES - Documentos de Trabajo. Estadística y Econometría. DS.
    RePEc:cte:dsrepe:ds010101.

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41. The Distribution of Stock Return Volatility. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Ebens, Heiko.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-27.

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42. The Distribution of Stock Return Volatility. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Ebens, Heiko.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7933.

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43. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. (2000). Wright, Jonathan.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:685.

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44. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0843.

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45. Temporal Aggregation of Volatility Models. (2000). Renault, Eric ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-22.

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46. What a Difference a Day Makes: On the Common Market Microstructure of Trading Days. (1999). Pohlmeier, Winfried ; Gerhard, Frank ; Hess, Dieter.
    In: Finance.
    RePEc:wpa:wuwpfi:9904006.

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47. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think. (1999). Diebold, Francis ; Brandt, Michael ; Alizadeh, Sassan.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-28.

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48. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

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49. How Relevant is Volatility Forecasting for Financial Risk Management?. (1998). Diebold, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6844.

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50. How Relevant is Volatility Forecasting for Financial Risk Management?. (1997). Diebold, Francis.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:97-45.

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