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2. Multi-kernel property in high-frequency price dynamics under Hawkes model. (2024). Kyungsub, Lee.
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4. A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy. (2021). Malevergne, Yannick ; DA FONSECA, José.
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5. Optimal market-Making strategies under synchronised order arrivals with deep neural networks. (2021). Choi, So Eun ; Lee, Kyungsub ; Jang, Hyun Jin ; Zheng, Harry.
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6. Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach. (2020). Lee, Kyungsub ; Jang, Hyun Jin.
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7. Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach. (2020). Lee, Kyungsub ; Jang, Hyun Jin.
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8. Cojumps and asset allocation in international equity markets. (2019). Nguyen, Duc Khuong ; AROURI, Mohamed ; Msaddek, Oussama ; Pukthuanthong, Kuntara.
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9. Cojumps and Asset Allocation in International Equity Markets. (2018). Nguyen, Duc Khuong ; M'SADDEK, Oussama ; AROURI, Mohamed ; Msaddek, Oussama ; el Hedi, Mohamed ; Pukthuanthong, Kuntara.
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1. Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Lyocsa, Tefan ; Todorova, Neda.
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2. Bayesian Dynamic Modeling of High-Frequency Integer Price Changes. (2018). Koopman, Siem Jan ; Barra, Istvan.
   In: Tinbergen Institute Discussion Papers.
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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. High-Frequency Jump Analysis of the Bitcoin Market. (2017). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien.
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5. Bayesian Nonparametric Estimation of Ex-post Variance. (2016). Maheu, John ; Liu, Jia ; Griffin, Jim.
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6. Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect. (2016). Sebastião, Helder ; Godinho, Pedro ; Brito, Rui ; Sebastio, Helder.
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   RePEc:gmf:wpaper:2016-13..

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7. A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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8. Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (2016). LINTON, OLIVER ; Park, Sujin ; Hong, Seok Young.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:191:y:2016:i:2:p:325-347.

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9. Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. (2015). Lucas, Andre ; Koopman, Siem Jan ; Lit, Rutger.
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10. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). Asai, Manabu ; McAleer, Michael.
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11. Difference based estimators and infill statistics. (2015). Leon, Jose ; Ludea, Carenne .
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12. Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas. (2015). Kalnina, Ilze.
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13. Inference for nonparametric high-frequency estimators with an application to time variation in betas. (2015). Kalnina, Ilze.
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14. Relative liquidity and future volatility. (2015). Rheinlander, Thorsten ; Fryzlewicz, Piotr ; Valenzuela, Marcela ; Zer, Ilknur.
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    RePEc:eee:finmar:v:24:y:2015:i:c:p:25-48.

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15. Validity of Edgeworth expansions for realized volatility estimators. (2015). Veliyev, Bezirgen ; Hounyo, Ulrich.
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16. Relative Liquidity and Future Volatility. (2014). Rheinlander, Thorsten ; Fryzlewicz, Piotr ; Valenzuela, Marcela ; Zer, Ilknur.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2014-45.

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17. CAPM with fuzzy returns and hypothesis testing. (2014). SADEFO KAMDEM, Jules ; Moussa, Mbairadjim A. ; Terraza, M. ; Shapiro, A. F..
    In: Insurance: Mathematics and Economics.
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18. A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data. (2014). Tang, Cheng Yong ; Liu, Cheng.
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19. Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns. (2014). SADEFO KAMDEM, Jules ; Moussa, Mbairadjim A. ; Terraza, M..
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20. Extended stochastic volatility models incorporating realised measures. (2014). de Jongh, P. J. ; Venter, J. H..
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21. Modeling CAC40 Volatility Using Ultra-high Frequency Data. (2013). Floros, Christos ; Degiannakis, Stavros.
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22. Econometrics of co-jumps in high-frequency data with noise. (2013). Bibinger, Markus ; Winkelmann, Lars.
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23. Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing. (2013). Mykland, Per A. ; Bibinger, Markus.
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24. Adaptive Realized Kernels. (2013). Kotchoni, Rachidi ; Carrasco, Marine.
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25. Some limit theorems for Hawkes processes and application to financial statistics. (2013). Hoffmann, Marc ; Delattre, S. ; Muzy, J. F. ; Bacry, E..
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26. Modeling CAC40 volatility using ultra-high frequency data. (2013). Floros, Christos ; Degiannakis, Stavros.
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27. Macroeconomic determinants of stock volatility and volatility premiums. (2013). Mele, Antonio ; Corradi, Valentina ; Distaso, Walter.
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28. The leverage effect puzzle: Disentangling sources of bias at high frequency. (2013). Fan, Jianqing ; Ait-Sahalia, Yacine.
    In: Journal of Financial Economics.
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29. Volatility and Liquidity Costs. (2013). Chaker, Selma.
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30. Financial Risk Measurement for Financial Risk Management. (2012). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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31. Capital asset pricing model with fuzzy returns and hypothesis testing. (2012). SADEFO KAMDEM, Jules ; Terraza, Michel ; Shapiro, Arnold F. ; Moussa, Alfred Mbairadjim.
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32. An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory. (2012). Bibinger, Markus.
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33. International market links and volatility transmission. (2012). Fernandes, Marcelo ; Corradi, Valentina ; Distaso, Walter.
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34. Jump-robust volatility estimation using nearest neighbor truncation. (2012). Andersen, Torben ; Schaumburg, Ernst ; Dobrev, Dobrislav.
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35. Jumps in equilibrium prices and market microstructure noise. (2012). Lee, Suzanne S. ; Mykland, Per A..
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36. On the estimation of integrated covariance matrices of high dimensional diffusion processes. (2012). Li, Yingying ; Zheng, Xinghua.
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37. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data. (2012). Ait-Sahalia, Yacine ; Yacine Aït-Sahalia, ; Jacod, Jean.
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38. Predictive Inference for Integrated Volatility. (2011). Swanson, Norman ; Distaso, Walter ; Corradi, Valentina.
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39. On the Approximate Maximum Likelihood Estimation for Diffusion Processes. (2011). Chen, Song Xi ; Chang, Jinyuan.
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40. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Christoffersen, Peter F..
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41. The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency. (2011). Fan, Jianqing ; Ait-Sahalia, Yacine.
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42. Subsampling high frequency data. (2011). Kalnina, Ilze.
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43. Estimating covariation: Epps effect, microstructure noise. (2011). Zhang, Lan.
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44. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Christoffersen, Peter F..
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45. Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices. (2011). Varneskov, Rasmus Tangsgaard.
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46. Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise. (2011). Varneskov, Rasmus Tangsgaard.
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47. Detecting jumps from Lévy jump diffusion processes. (2010). Lee, Suzanne S. ; Hannig, Jan.
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48. Bayesian analysis of structural credit risk models with microstructure noises. (2010). Yu, Jun ; Huang, Shirley J..
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49. Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises. (2009). Yu, Jun ; Huang, Shirley J..
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50. .

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