1. Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?. (2025). Zhang, Xueer ; Chiu, Chienliang ; Hung, Juicheng.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:45:y:2025:i:4:p:326-342.

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2. Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility. (2025). Qiao, Gaoxiu ; Cui, Wanmei ; Zhou, Yijie ; Liang, Chao.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:45:y:2025:i:1:p:23-46.

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3. Forecasting Realized Volatility: The Choice of Window Size. (2025). Zhang, Yaojie ; Feng, Yuqing.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:44:y:2025:i:2:p:692-705.

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4. Forecasting Chinese Stock Market Volatility With Volatilities in Bond Markets. (2025). Zhang, Yaojie ; He, Mengxi ; Lei, Likun.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:44:y:2025:i:2:p:547-555.

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5. The implications of non‐synchronous trading in G‐7 financial markets. (2025). Kenourgios, Dimitris ; Dimitriou, Dimitrios ; Tsioutsios, Alexandros ; Simos, Theodore.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:30:y:2025:i:1:p:689-709.

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6. Assessing the Risk of Bitcoin Futures Market: New Evidence. (2025). Dutta, Anupam.
   In: Annals of Data Science.
   RePEc:spr:aodasc:v:12:y:2025:i:2:d:10.1007_s40745-024-00517-4.

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7. Forecasting portfolio variance: a new decomposition approach. (2025). Zhang, Dayong ; Yu, BO ; Ji, Qiang.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:348:y:2025:i:1:d:10.1007_s10479-023-05546-5.

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8. Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh.
   In: Computational Economics.
   RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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9. Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets. (2025). Song, Yuping ; Zhu, Min ; Zheng, Xin.
   In: Computational Economics.
   RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10633-1.

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10. Warp speed price moves: Jumps after earnings announcements. (2025). Veliyev, Bezirgen ; Timmermann, Allan ; Christensen, Kim.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000182.

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11. Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

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12. Model specification for volatility forecasting benchmark. (2025). Zhang, Yaojie ; He, Mengxi ; Wen, Danyan ; Wang, Yudong.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007828.

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13. Forecasting volatility of China’s crude oil futures based on hybrid ML-HAR-RV models. (2025). Zhu, Tingting ; Ma, Xiaoqing.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000683.

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14. Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina.
    In: Papers.
    RePEc:arx:papers:2503.19767.

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15. Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone.
    In: Papers.
    RePEc:arx:papers:2501.17490.

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16. Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?. (2024). Zhang, Yaojie ; Wang, Yudong ; Feng, Yuqing.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:43:y:2024:i:3:p:567-582.

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17. Forecasting the volatility of crude oil futures: A time‐dependent weighted least squares with regularization constraint. (2024). Wang, Yudong ; Hao, Xianfeng ; Geng, Qianjie.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:43:y:2024:i:2:p:309-325.

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18. Dynamic Realized Minimum Variance Portfolio Models. (2024). Oh, Minseog ; Kim, Donggyu.
    In: Working Papers.
    RePEc:ucr:wpaper:202421.

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19. Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data. (2024). Fan, Jianqing ; Shin, Minseok ; Kim, Donggyu.
    In: Working Papers.
    RePEc:ucr:wpaper:202419.

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20. Intraday spillovers in high-order moments among main cryptocurrency markets: the role of uncertainty indexes. (2024). Kang, Sang Hoon ; Ko, Hee-Un ; Kumar, Anoop S ; Mensi, Walid.
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:14:y:2024:i:2:d:10.1007_s40822-024-00263-1.

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21. Forecasting the equity premium using weighted regressions: Does the jump variation help?. (2024). Zhang, Yaojie ; Wang, Yudong.
    In: Empirical Economics.
    RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02521-8.

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22. A note on the Gumbel convergence for the Lee and Mykland jump tests. (2024). Vidal, Joo Pedro ; Ruas, Joo Pedro.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011868.

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23. Dynamic connectedness in the higher moments between clean energy and oil prices. (2024). Pham, Linh ; Hao, Wei.
    In: Energy Economics.
    RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006959.

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24. Can the sentiment of the official media predict the return volatility of the Chinese crude oil futures?. (2024). Gan, Shiqi ; Xu, Zhiwei ; Xiong, Yujie ; Hua, Xia.
    In: Energy Economics.
    RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006753.

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25. Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model. (2024). Xu, Zijian ; Li, Pan ; Cao, Jiawei ; Wu, Hanlin.
    In: Energy Economics.
    RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002962.

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26. High-frequency realized stochastic volatility model. (2024). Watanabe, Toshiaki ; Nakajima, Jouchi.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000938.

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27. Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng.
    In: Statistica Neerlandica.
    RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

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28. Impact of crude oil volatility jumps on sustainable investments: Evidence from India. (2023). Uddin, Gazi ; PARK, DONGHYUN ; Ghosh, Sajal ; Kanjilal, Kakali ; Dutta, Anupam.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1450-1468.

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29. A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information. (2023). Chevallier, Julien ; M. I. M. Wahab, ; Ma, Feng.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:1:p:60-75.

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30. Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions. (2023). Yang, Xin ; Chen, Shan ; Liu, Hong ; Huang, Chuangxia.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1201-1213.

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31. Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia. (2023). Ahmed, Shakeel ; Khan, Muhammad Zeb ; Maqsood, Huma ; Zada, Hassan.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00417-w.

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32. The effect of intraday periodicity on realized volatility measures. (2023). Golosnoy, Vasyl ; Kellermann, Janosch ; Dette, Holger.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:86:y:2023:i:3:d:10.1007_s00184-022-00875-0.

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33. Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets. (2023). Pham, Linh ; Hanif, Waqas ; Kang, Sang Hoon ; Ko, Hee-Un.
    In: Financial Innovation.
    RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00474-6.

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34. High-frequency realized stochastic volatility model. (2023). Watanabe, Toshiaki ; Nakajima, Jouchi.
    In: Discussion paper series.
    RePEc:hit:hiasdp:hias-e-127.

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35. Does climate policy uncertainty affect Chinese stock market volatility?. (2023). Chen, Zhonglu ; Zhang, LI ; Weng, Chen.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:84:y:2023:i:c:p:369-381.

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36. Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market. (2023). Liao, Xiaosai ; Ma, Huan ; Zhang, Chuanhai.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000161.

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37. The volatility of natural resources implications for sustainable development: Crude oil volatility prediction based on the multivariate structural regime switching. (2023). Tang, Yusui ; Ma, Feng.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003239.

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38. How do stock prices respond to the leading economic indicators? Analysis of large and small shocks. (2023). Chen, Zhonglu ; Liu, Jing.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006079.

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39. Forecasting global stock market volatilities in an uncertain world. (2023). Wang, Gang-Jin ; Zeng, Zhi-Jian ; Li, Zhao-Chen ; Zhang, Ting ; Xie, Chi.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136.

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40. Higher-order moments and co-moments contribution to spillover analysis and portfolio risk management. (2023). NEKHILI, Ramzi ; Bouri, Elie.
    In: Energy Economics.
    RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000944.

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41. The contribution of jump signs and activity to forecasting stock price volatility. (2023). Bu, Ruijun ; Hizmeri, Rodrigo ; Tsionas, Mike ; Izzeldin, Marwan ; Murphy, Anthony.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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42. Volatility measurement with pockets of extreme return persistence. (2023). Andersen, Torben ; Li, Yingying ; Todorov, Viktor ; Zhou, BO.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:2:s0304407620303924.

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43. Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:234:y:2023:i:1:p:53-81.

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44. Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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45. Volatility models for stylized facts of high‐frequency financial data. (2023). Kim, Donggyu ; Shin, Minseok.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:44:y:2023:i:3:p:262-279.

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46. Dynamic Realized Minimum Variance Portfolio Models. (2023). Kim, Donggyu ; Oh, Minseog.
    In: Papers.
    RePEc:arx:papers:2310.13511.

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47. Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX. (2022). Wang, LU ; Jiang, Gongyue ; Qiao, Gaoxiu ; Ma, Feng.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1518-1548.

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48. Forecasting realized volatility: New evidence from time‐varying jumps in VIX. (2022). Das, Debojyoti ; Dutta, Anupam.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2165-2189.

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49. Forecasting international equity market volatility: A new approach. (2022). Zhang, Yaojie ; Li, Yan ; Ma, Feng ; Liang, Chao.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:7:p:1433-1457.

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50. Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models. (2022). Lu, Xinjie ; Wang, Jiqian ; Liu, Jing ; Ma, Feng.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:4:p:853-868.

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51. Forecasting Bitcoin volatility: A new insight from the threshold regression model. (2022). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi ; Wen, Danyan.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:3:p:633-652.

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52. Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach. (2022). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi ; Wen, Danyan.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:2:p:230-251.

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53. Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model. (2022). Zhang, Yaojie ; Wei, YU ; Tang, Yusui ; Ma, Feng.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4770-4783.

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54. Global equity market volatility forecasting: New evidence. (2022). Wei, YU ; Lei, Likun ; Ma, Feng ; Liang, Chao.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:1:p:594-609.

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55. Volatility forecasting revisited using Markov‐switching with time‐varying probability transition. (2022). Chen, Zhonglu ; Wang, Jiqian ; Ma, Feng ; Liang, Chao.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1387-1400.

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56. To jump or not to jump: momentum of jumps in crude oil price volatility prediction. (2022). Zhang, Yaojie ; Wang, Yudong ; Wei, YU ; Ma, Feng.
    In: Financial Innovation.
    RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00360-7.

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57. United States Oil Fund volatility prediction: the roles of leverage effect and jumps. (2022). Liao, Yin ; Ma, Feng ; Liang, Chao ; Zhu, BO.
    In: Empirical Economics.
    RePEc:spr:empeco:v:62:y:2022:i:5:d:10.1007_s00181-021-02093-5.

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58. Bias-optimal vol-of-vol estimation: the role of window overlapping. (2022). Recchioni, Maria Cristina ; Toscano, Giacomo.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:45:y:2022:i:1:d:10.1007_s10203-021-00349-4.

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59. Financial modelling, risk management of energy instruments and the role of cryptocurrencies. (2022). Shahbaz, Muhammad ; Nasir, Muhammad Ali ; Duc, Toan Luu ; Ullah, Subhan.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-020-03680-y.

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60. Is Jump Robust Two Times Scaled Estimator Superior among Realized Volatility Competitors?. (2022). Arneric, Josip ; Uljak, Maria ; Igman, Ante.
    In: Mathematics.
    RePEc:gam:jmathe:v:10:y:2022:i:12:p:2124-:d:841883.

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61. Co-Jumps, Co-Jump Tests, and Volatility Forecasting: Monte Carlo and Empirical Evidence. (2022). Peng, Weijia ; Yao, Chun.
    In: JRFM.
    RePEc:gam:jjrfmx:v:15:y:2022:i:8:p:334-:d:874107.

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62. Geopolitical risk and oil price volatility: Evidence from Markov-switching model. (2022). Li, Tao ; Zeng, Qing ; Qian, Lihua.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:81:y:2022:i:c:p:29-38.

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63. Evaluating influential nodes for the Chinese energy stocks based on jump volatility spillover network. (2022). Deng, Yunke ; Yang, Xin ; Zhao, Xian ; Huang, Chuangxia.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:78:y:2022:i:c:p:81-94.

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64. Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin. (2022). GUPTA, RANGAN ; Gkillas, Konstantinos ; Bouri, Elie ; Roubaud, David.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:84:y:2022:i:c:p:398-406.

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65. Forecasting Chinas crude oil futures volatility: How to dig out the information of other energy futures volatilities?. (2022). Zhang, Yaojie ; He, Mengxi ; Xing, LU ; Jin, Daxiang.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722002987.

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66. The Correlation Risk Premium: International Evidence. (2022). Kosowski, Robert ; Faria, Gonçalo ; Wang, Tianyu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:136:y:2022:i:c:s0378426621003502.

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67. Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models. (2022). Klein, Tony ; Ji, Qiang ; Luo, Jiawen ; Hou, Chenghan.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:38:y:2022:i:1:p:51-73.

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68. Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect. (2022). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002137.

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69. News-based sentiment and bitcoin volatility. (2022). Sapkota, Niranjan.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001454.

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70. Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors. (2022). Downing, Gareth ; Semeyutin, Artur.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000503.

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71. An oil futures volatility forecast perspective on the selection of high-frequency jump tests. (2022). Liao, Yin ; Lu, Xinjie ; Ma, Feng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:116:y:2022:i:c:s014098832200487x.

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72. Forecasting oil and gold volatilities with sentiment indicators under structural breaks. (2022). GUPTA, RANGAN ; Demirer, Riza ; Ji, Qiang ; Luo, Jiawen.
    In: Energy Economics.
    RePEc:eee:eneeco:v:105:y:2022:i:c:s014098832100596x.

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73. Assessing the impact of jumps in an option pricing model: A gradient estimation approach. (2022). Volk-Makarewicz, Warren ; Borovkova, Svetlana ; Heidergott, Bernd.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:298:y:2022:i:2:p:740-751.

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74. Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps. (2022). Zhang, Zhiyuan ; Li, Yingying ; Liu, Guangying.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:229:y:2022:i:2:p:422-451.

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75. News and intraday jumps: Evidence from regularization and class imbalance. (2022). Caporin, Massimiliano ; Poli, Francesco.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000900.

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76. Out-of-sample prediction of Bitcoin realized volatility: Do other cryptocurrencies help?. (2022). Zhang, Yaojie ; Yi, Yongsheng ; He, Mengxi.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200081x.

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77. The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Zhang, YI ; Chen, Yajiao ; Zhou, Long ; Liu, Fang.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432.

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78. Overnight GARCH-It\^o Volatility Models. (2022). Kim, Donggyu ; Wang, Yazhen.
    In: Papers.
    RePEc:arx:papers:2102.13467.

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79. Stock market tail risk, tail risk premia, and return predictability. (2021). Suh, Sangwon ; Yoon, Sunjoong.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1569-1596.

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80. Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump. (2021). Zhang, Xuhui ; Li, Xiafei ; Bai, Lan ; Wei, Guiwu.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:8:p:1501-1523.

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81. Forecasting US stock market volatility: How to use international volatility information. (2021). Zhang, Yaojie ; Wang, Yudong ; Ma, Feng.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:5:p:733-768.

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82. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2021). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:3:p:416-438.

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83. Realized volatility forecasting and volatility spillovers: Evidence from Chinese non‐ferrous metals futures. (2021). Xin, Yang ; Su, Xingze ; Chang, Xiaohui ; Wang, Donghua.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2713-2731.

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84. Realized Volatility, Jump and Beta: evidence from Canadian Stock Market. (2021). Gajurel, Dinesh ; Chowdhury, Biplob.
    In: Applied Economics.
    RePEc:taf:applec:v:53:y:2021:i:55:p:6376-6397.

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85. Nonparametric Inference of Jump Autocorrelation. (2021). Kwok, Simon Sai Man.
    In: Working Papers.
    RePEc:syd:wpaper:2020-09.

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86. Can the Baidu Index predict realized volatility in the Chinese stock market?. (2021). Shen, Dehua ; Zhang, Wei ; Yan, Kai.
    In: Financial Innovation.
    RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00216-y.

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87. Estimation for high-frequency data under parametric market microstructure noise. (2021). Potiron, Yoann ; Clinet, Simon.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:73:y:2021:i:4:d:10.1007_s10463-020-00762-3.

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88. Beta-Adjusted Covariance Estimation. (2021). Vanduffel, Steven ; Boudt, Kris ; Sauri, Orimar ; Dragun, Kirill.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:21/1010.

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89. Revisiting the Kuznets Curve Hypothesis for Tunisia: Carbon Dioxide vs. Ecological Footprint. (2021). Inglesi-Lotz, Roula ; GUPTA, RANGAN ; Ajmi, Ahdi Noomen ; Gkillas, Konstantinos ; Vortelinos, Dimitrios ; Konstantatos, Christoforos.
    In: Working Papers.
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90. The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2021). Tsionas, Mike ; Hizmeri, Rodrigo ; Izzeldin, Marwan ; Murphy, Anthony ; Bu, Ruijun.
    In: Research Papers.
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91. Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets. (2021). Wong, Wing-Keung ; Hassan, Arshad ; Zada, Hassan.
    In: Economies.
    RePEc:gam:jecomi:v:9:y:2021:i:2:p:92-:d:576215.

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92. Harnessing the decomposed realized measures for volatility forecasting: Evidence from the US stock market. (2021). Wahab, M. I. M., ; Wang, Jiqian ; Ding, Hui ; Ma, Feng ; Lu, Botao.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:72:y:2021:i:c:p:672-689.

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93. Information content of liquidity and volatility measures. (2021). Kliber, Agata ; Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:563:y:2021:i:c:s0378437120307627.

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94. Jumps at ultra-high frequency: Evidence from the Chinese stock market. (2021). Liu, Zhi ; Zhang, Chuanhai.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19305402.

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95. Spillovers in higher moments and jumps across US stock and strategic commodity markets. (2021). Jalkh, Naji ; Bouri, Elie ; Xu, Yahua ; Lei, Xiaojie ; Zhang, Hongwei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000775.

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96. COVID-19, volatility dynamics, and sentiment trading. (2021). John, Kose ; Li, Jingrui.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001217.

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97. Volatility forecasting in European government bond markets. (2021). Ozbekler, Ali Gencay ; Triantafyllou, Athanasios ; Kontonikas, Alexandros.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:4:p:1691-1709.

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98. Multivariate volatility forecasts for stock market indices. (2021). Wilms, Ines ; Rombouts, Jeroen ; Croux, Christophe.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:2:p:484-499.

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99. FX market volatility modelling: Can we use low-frequency data?. (2021). Výrost, Tomáš ; Plíhal, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315907.

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100. Herding and market volatility. (2021). Liu, Xiaoquan ; Fei, Tianlun.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:78:y:2021:i:c:s105752192100209x.

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101. Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information. (2021). Wei, YU ; Li, Yan ; Ma, Feng ; Liang, Chao.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000922.

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102. Forecasting volatility using double shrinkage methods. (2021). Yang, Xiye ; Swanson, Norman ; Cheng, Mingmian.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:62:y:2021:i:c:p:46-61.

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103. Nonparametric estimation of jump diffusion models. (2021). Park, Joon Y ; Wang, Bin.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:222:y:2021:i:1:p:688-715.

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104. Volatility analysis with realized GARCH-Itô models. (2021). Kim, Donggyu ; Zhou, Yong ; Wang, Yazhen ; Song, Xinyu ; Cui, Xiangyu ; Yuan, Huiling ; Lu, Zhiping.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:222:y:2021:i:1:p:393-410.

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105. Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030.

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106. Social media sentiment, model uncertainty, and volatility forecasting. (2021). Xie, Tian ; Lehrer, Steven ; Zhang, Xinyu.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001450.

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107. Impacts of asymmetry on forecasting realized volatility in Japanese stock markets. (2021). Ota, Yasushi ; Maki, Daiki.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:101:y:2021:i:c:s026499932100122x.

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108. Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca.
     In: Temi di discussione (Economic working papers).
     RePEc:bdi:wptemi:td_1336_21.

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109. Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective. (2021). Kim, Donggyu ; Oh, Minseog.
     In: Papers.
     RePEc:arx:papers:2111.09655.

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110. Pattern recognition in micro-trading behaviors before stock price jumps: A framework based on multivariate time series analysis. (2021). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
     In: Papers.
     RePEc:arx:papers:2011.04939.

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111. Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2021). Zaoli, Silvia ; Mazzarisi, Piero ; Lillo, Fabrizio ; Campajola, Carlo.
     In: Papers.
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112. Bias optimal vol-of-vol estimation: the role of window overlapping. (2021). Recchioni, Maria Cristina ; Toscano, Giacomo.
     In: Papers.
     RePEc:arx:papers:2004.04013.

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113. Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2021). Hu, Junjie ; Hardle, Wolfgang Karl ; Kuo, Weiyu.
     In: Papers.
     RePEc:arx:papers:1912.05228.

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114. Uncertainty and the volatility forecasting power of option‐implied volatility. (2020). Seo, Sung Won ; Kim, Junsik ; Jeon, Byounghyun.
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1109-1126.

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115. Cryptocurrency volatility forecasting: A Markov regime‐switching MIDAS approach. (2020). Ma, Yuanhui ; M. I. M. Wahab, ; Liang, Chao.
     In: Journal of Forecasting.
     RePEc:wly:jforec:v:39:y:2020:i:8:p:1277-1290.

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116. Realized Semicovariances. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
     In: Econometrica.
     RePEc:wly:emetrp:v:88:y:2020:i:4:p:1515-1551.

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117. Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments. (2020). Kim, Jihyun ; Park, Joon ; Wang, Bin.
     In: TSE Working Papers.
     RePEc:tse:wpaper:124234.

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118. Realized volatility, jump and beta: evidence from Canadian stock market. (2020). Gajurel, Dinesh ; Chowdhury, Biplob.
     In: Working Papers.
     RePEc:tas:wpaper:35107.

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119. Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data. (2020). Mancino, Maria Elvira ; Scotti, S ; Toscano, G.
     In: Applied Mathematical Finance.
     RePEc:taf:apmtfi:v:27:y:2020:i:4:p:288-316.

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120. Optimal iterative threshold-kernel estimation of jump diffusion processes. (2020). Figueroa-Lopez, Jose E ; Nisen, Jeffrey ; Li, Cheng.
     In: Statistical Inference for Stochastic Processes.
     RePEc:spr:sistpr:v:23:y:2020:i:3:d:10.1007_s11203-020-09211-7.

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121. Realized volatility and jump testing in the Japanese electricity spot market. (2020). Zarraga, Ainhoa ; Muniain, Peru ; Ciarreta, Aitor.
     In: Empirical Economics.
     RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1577-6.

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122. Greek sovereign crisis and European exchange rates: effects of news releases and their providers. (2020). VORTELINOS, DIMITRIOS ; Floros, Christos ; Sariannidis, Nikolaos ; Gkillas, Konstantinos ; Garefalakis, Alexandros.
     In: Annals of Operations Research.
     RePEc:spr:annopr:v:294:y:2020:i:1:d:10.1007_s10479-019-03199-x.

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123. High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
     In: Monash Econometrics and Business Statistics Working Papers.
     RePEc:msh:ebswps:2020-3.

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124. Oil shocks and volatility jumps. (2020). Wohar, Mark ; GUPTA, RANGAN ; Gkillas, Konstantinos.
     In: Review of Quantitative Finance and Accounting.
     RePEc:kap:rqfnac:v:54:y:2020:i:1:d:10.1007_s11156-018-00788-y.

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125. Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging. (2020). Cai, Zongwu ; Mi, Xianhua ; Ma, Chaoqun.
     In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
     RePEc:kan:wpaper:202016.

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126. The contribution of intraday jumps to forecasting the density of returns. (2020). Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
     In: Post-Print.
     RePEc:hal:journl:halshs-02505861.

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127. The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe.
     In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
     RePEc:hal:cesptp:halshs-02505861.

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128. Risk Appetite and Jumps in Realized Correlation. (2020). Demirer, Riza ; Gkillas, Konstantinos ; Kountzakis, Christos ; Mavragani, Amaryllis.
     In: Mathematics.
     RePEc:gam:jmathe:v:8:y:2020:i:12:p:2255-:d:465632.

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129. The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2020). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo.
     In: Working Papers.
     RePEc:fip:feddwp:1902.

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130. Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps: A study with economic significance analysis. (2020). Kumar, Dilip ; Zargar, Faisal Nazir.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:67:y:2020:i:c:p:25-41.

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131. Forecasting oil price volatility using high-frequency data: New evidence. (2020). Wei, YU ; Chen, Wang ; Liu, Jing ; Ma, Feng.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:66:y:2020:i:c:p:1-12.

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132. Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis. (2020). Kumar, Dilip ; Zargar, Faisal Nazir.
     In: The Quarterly Review of Economics and Finance.
     RePEc:eee:quaeco:v:77:y:2020:i:c:p:271-285.

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133. Forecasting volatility of the Chinese stock markets using TVP HAR-type models. (2020). Shang, Yue ; Zhang, Yifeng ; Wang, Yan ; Chen, Xiaodan ; Liu, Guangqiang.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319247.

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134. Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:104:y:2020:i:c:s0261560619300075.

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135. Forecasting global equity market volatilities. (2020). Zhang, Yaojie ; Liao, Yin ; Ma, Feng.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:36:y:2020:i:4:p:1454-1475.

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136. Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks. (2020). GUPTA, RANGAN ; Asai, Manabu.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:36:y:2020:i:3:p:933-948.

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137. The impact of sentiment and attention measures on stock market volatility. (2020). Ballinari, Daniele ; Audrino, Francesco ; Sigrist, Fabio.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:36:y:2020:i:2:p:334-357.

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138. Non-parametric quantile dependencies between volatility discontinuities and political risk. (2020). VORTELINOS, DIMITRIOS ; Vasiliadis, Lavrentios ; Gkillas, Konstantinos ; Boako, Gideon.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318303829.

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139. Which sentiment index is more informative to forecast stock market volatility? Evidence from China. (2020). Wei, YU ; Li, Yan ; Tang, Linchun ; Liang, Chao.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301964.

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140. Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642.

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141. Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung.
     In: Energy Economics.
     RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302875.

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142. Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence. (2020). Chevallier, Julien ; Huang, Yisu ; Wang, Jiqian ; Ma, Feng.
     In: Energy Economics.
     RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302371.

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143. Moments-based spillovers across gold and oil markets. (2020). Wang, Shixuan ; Lau, Chi Keung ; GUPTA, RANGAN ; Bonato, Matteo ; Marco, Chi Keung.
     In: Energy Economics.
     RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390.

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144. Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. (2020). Smyth, Russell ; Do, Hung ; Brooks, Robert ; Bissoondoyal-Bheenick, Emawtee.
     In: Energy Economics.
     RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300281.

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145. Risk appetite and oil prices. (2020). Idilbi-Bayaa, Yasmeen ; Qadan, Mahmoud.
     In: Energy Economics.
     RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303901.

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146. High-frequency jump tests: Which test should we use?. (2020). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:219:y:2020:i:2:p:478-487.

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147. Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Zhang, Yaojie ; Wei, YU ; Lei, Likun.
     In: The North American Journal of Economics and Finance.
     RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293.

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148. Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Wang, Tianyi ; Huang, Zhuo ; Liang, Fang.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157.

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149. Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. (2020). Zaoli, Silvia ; Mazzarisi, Piero ; Lillo, Fabrizio ; Campajola, Carlo.
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301901.

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150. The contribution of intraday jumps to forecasting the density of returns. (2020). Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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151. Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung.
     In: Cambridge Working Papers in Economics.
     RePEc:cam:camdae:2007.

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152. Decomposing the VIX: Implications for the predictability of stock returns. (2020). Jiang, Wanjun ; Chow, Victor K ; Li, Jingrui.
     In: The Financial Review.
     RePEc:bla:finrev:v:55:y:2020:i:4:p:645-668.

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153. Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks. (2020). Urquhart, Andrew ; Shen, Dehua ; Wang, Pengfei.
     In: European Financial Management.
     RePEc:bla:eufman:v:26:y:2020:i:5:p:1294-1323.

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154. The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki.
     In: Papers.
     RePEc:arx:papers:2006.00158.

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155. Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Scotti, Simone ; Toscano, Giacomo.
     In: Papers.
     RePEc:arx:papers:2004.04015.

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156. Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes. (2020). Jos'e E. Figueroa-L'opez, ; Nisen, Jeffrey ; Li, Cheng.
     In: Papers.
     RePEc:arx:papers:1811.07499.

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157. Estimation for high-frequency data under parametric market microstructure noise. (2020). Potiron, Yoann ; Clinet, Simon.
     In: Papers.
     RePEc:arx:papers:1712.01479.

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158. High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
     In: Papers.
     RePEc:arx:papers:1708.09520.

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159. Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Hu, Junjie ; Härdle, Wolfgang ; Kuo, Weiyu ; Hardle, Wolfgang Karl.
     In: IRTG 1792 Discussion Papers.
     RePEc:zbw:irtgdp:2019024.

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160. Forecasting the Realized Variance in the Presence of Intraday Periodicity. (2019). Hizmeri, Rodrigo ; DUMITRU, ANA-MARIA ; Izzeldin, Marwan.
     In: EconStor Preprints.
     RePEc:zbw:esprep:193631.

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161. Short-Run Bond Risk Premia. (2019). Mueller, Philippe ; Zhou, Hao ; Vedolin, Andrea.
     In: Quarterly Journal of Finance (QJF).
     RePEc:wsi:qjfxxx:v:09:y:2019:i:03:n:s2010139219500113.

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162. Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data. (2019). Mkinen, Ymir ; Gabbouj, Moncef ; Kanniainen, Juho ; Iosifidis, Alexandros.
     In: Quantitative Finance.
     RePEc:taf:quantf:v:19:y:2019:i:12:p:2033-2050.

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163. Second-order properties of thresholded realized power variations of FJA additive processes. (2019). Figueroa-Lopez, Jose E ; Nisen, Jeffrey.
     In: Statistical Inference for Stochastic Processes.
     RePEc:spr:sistpr:v:22:y:2019:i:3:d:10.1007_s11203-019-09198-w.

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164. A realized volatility approach to option pricing with continuous and jump variance components. (2019). Bormetti, Giacomo ; Corsi, Fulvio ; Alitab, Dario ; Majewski, Adam A.
     In: Decisions in Economics and Finance.
     RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00241-2.

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165. Challenges of integrated variance estimation in emerging stock markets. (2019). Matkovi, Mario ; Arneri, Josip.
     In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics.
     RePEc:rfe:zbefri:v:37:y:2019:i:2:p:713-739.

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166. Profitability of Trading in the Direction of Asset Price Jumps - Analysis of Multiple Assets and Frequencies. (2019). Ficura, Milan ; Fiura, Milan.
     In: Prague Economic Papers.
     RePEc:prg:jnlpep:v:2019:y:2019:i:4:id:703:p:385-401.

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167. Moments-Based Spillovers across Gold and Oil Markets. (2019). Wang, Shixuan ; Lau, Chi Keung ; GUPTA, RANGAN ; Bonato, Matteo ; Marco, Chi Keung.
     In: Working Papers.
     RePEc:pre:wpaper:201966.

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168. Time-Varying Relationship between Conventional and Unconventional Monetary Policies and Risk Aversion: International Evidence from Time- and Frequency-Domains. (2019). GUPTA, RANGAN ; Cuñado, Juncal ; Balcilar, Mehmet ; Gkillas, Konstantinos ; Bouri, Elie ; Roubaud, David.
     In: Working Papers.
     RePEc:pre:wpaper:201965.

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169. Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks. (2019). GUPTA, RANGAN ; Asai, Manabu.
     In: Working Papers.
     RePEc:pre:wpaper:201951.

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170. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). GUPTA, RANGAN ; Asai, Manabu.
     In: Working Papers.
     RePEc:pre:wpaper:201925.

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171. Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets. (2019). Chen, Hui ; Ni, Sophie X ; Joslin, Scott.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:25573.

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172. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). GUPTA, RANGAN ; Asai, Manabu ; McAleer, Michael.
     In: Energies.
     RePEc:gam:jeners:v:12:y:2019:i:17:p:3379-:d:263215.

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173. Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence. (2019). Swanson, Norman ; Cheng, Mingmian.
     In: Econometrics.
     RePEc:gam:jecnmx:v:7:y:2019:i:1:p:13-:d:213518.

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174. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). GUPTA, RANGAN ; Asai, Manabu.
     In: Econometric Institute Research Papers.
     RePEc:ems:eureir:115614.

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175. Forecasting the Chinese stock volatility across global stock markets. (2019). Zhang, Yaojie ; Liu, Jing ; Ma, Feng.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:525:y:2019:i:c:p:466-477.

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176. Liquidity and realized range-based volatility forecasting: Evidence from China. (2019). Xu, Yanyan ; Qiao, Gaoxiu ; Ma, Feng ; Huang, Dengshi.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:525:y:2019:i:c:p:1102-1113.

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177. Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng.
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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178. A novel cluster HAR-type model for forecasting realized volatility. (2019). Li, Zhenxiong ; Yao, Xingzhi ; Izzeldin, Marwan.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:35:y:2019:i:4:p:1318-1331.

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179. Forecast ranked tailored equity portfolios. (2019). Buncic, Daniel ; Stern, Cord.
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119301325.

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180. Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Zhang, Yaojie ; Chen, Yixiang ; Ma, Feng.
     In: Energy Economics.
     RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62.

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181. Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches. (2019). Zhang, Yaojie ; Wei, YU ; Ma, Feng.
     In: Energy Economics.
     RePEc:eee:eneeco:v:81:y:2019:i:c:p:1109-1120.

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182. Forecasting oil price volatility: Forecast combination versus shrinkage method. (2019). Zhang, Yaojie ; Wei, YU ; Jin, Daxiang.
     In: Energy Economics.
     RePEc:eee:eneeco:v:80:y:2019:i:c:p:423-433.

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183. Asymmetric volatility spillovers between oil and stock markets: Evidence from China and the United States. (2019). Xu, Weiju ; Chen, Wang ; Ma, Feng ; Zhang, Bing.
     In: Energy Economics.
     RePEc:eee:eneeco:v:80:y:2019:i:c:p:310-320.

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184. Optimum thresholding using mean and conditional mean squared error. (2019). Figueroa-Lopez, Jose E ; Mancini, Cecilia.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:208:y:2019:i:1:p:179-210.

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185. Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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186. Cojumps and asset allocation in international equity markets. (2019). Nguyen, Duc Khuong ; AROURI, Mohamed ; Msaddek, Oussama ; Pukthuanthong, Kuntara.
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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187. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
     In: Papers.
     RePEc:arx:papers:1912.07165.

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188. The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Yue, YE ; Kanniainen, Juho.
     In: Papers.
     RePEc:arx:papers:1901.02691.

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189. A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2019). Buccheri, Giuseppe ; Bormetti, Giacomo ; Corsi, Fulvio ; Lillo, Fabrizio.
     In: Papers.
     RePEc:arx:papers:1803.04894.

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190. Structural breaks and volatility forecasting in the copper futures market. (2018). Lin, Boqiang ; Gong, XU.
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:38:y:2018:i:3:p:290-339.

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191. Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates. (2018). Choi, Ji Eun ; Shin, Dong Wan.
     In: Journal of Forecasting.
     RePEc:wly:jforec:v:37:y:2018:i:6:p:691-704.

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192. Forecasting the volatility of crude oil futures using high-frequency data: further evidence. (2018). Wei, YU ; Chen, Wang ; Ma, Feng.
     In: Empirical Economics.
     RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1294-6.

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193. S&P500 volatility analysis using high-frequency multipower variation volatility proxies. (2018). Chin, CHEONG ; Lee, Min Cherng.
     In: Empirical Economics.
     RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1345-z.

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194. Time-Varying Risk Aversion and Realized Gold Volatility. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza.
     In: Working Papers.
     RePEc:pre:wpaper:201881.

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195. Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements. (2018). Suleman, Tahir ; Lau, Chi Keung ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Marco, Chi Keung.
     In: Working Papers.
     RePEc:pre:wpaper:201871.

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196. Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos.
     In: Working Papers.
     RePEc:pre:wpaper:201825.

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197. Volatility Jumps: The Role of Geopolitical Risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos.
     In: Working Papers.
     RePEc:pre:wpaper:201805.

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198. Forecast ranked tailored equity portfolios. (2018). Buncic, Daniel ; Stern, Cord.
     In: MPRA Paper.
     RePEc:pra:mprapa:90382.

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199. Cojumps and Asset Allocation in International Equity Markets. (2018). Nguyen, Duc Khuong ; M'SADDEK, Oussama ; AROURI, Mohamed ; Msaddek, Oussama ; el Hedi, Mohamed ; Pukthuanthong, Kuntara.
     In: MPRA Paper.
     RePEc:pra:mprapa:89938.

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200. Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
     In: Monash Econometrics and Business Statistics Working Papers.
     RePEc:msh:ebswps:2018-17.

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201. The Bias of Realized Volatility. (2018). Leschinski, Christian ; Becker, Janis.
     In: Hannover Economic Papers (HEP).
     RePEc:han:dpaper:dp-642.

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202. LARGE DEVIATIONS OF THE THRESHOLD ESTIMATOR OF INTEGRATED (CO-)VOLATILITY VECTOR IN THE PRESENCE OF JUMPS. (2018). Djellout, Hacene ; Jiang, Hui.
     In: Post-Print.
     RePEc:hal:journl:hal-01147189.

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203. Estimating spot volatility in the presence of infinite variation jumps. (2018). Liu, Zhi.
     In: Stochastic Processes and their Applications.
     RePEc:eee:spapps:v:128:y:2018:i:6:p:1958-1987.

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204. Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis. (2018). Wei, YU ; Zhang, Ting ; Tao, Qizhi ; Liu, Jiapeng.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:54:y:2018:i:c:p:143-153.

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205. Leverage effect, economic policy uncertainty and realized volatility with regime switching. (2018). Liu, Zhicao ; Duan, Yinying ; Chen, Wang ; Zeng, Qing.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:493:y:2018:i:c:p:148-154.

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206. Volatility jumps: The role of geopolitical risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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207. Forecasting realized volatility based on the truncated two-scales realized volatility estimator (TTSRV): Evidence from Chinas stock market. (2018). Ping, Yuan ; Li, Rui.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:25:y:2018:i:c:p:222-229.

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208. Estimating stochastic volatility with jumps and asymmetry in Asian markets. (2018). Saranya, K ; Prasanna, Krishna P.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:25:y:2018:i:c:p:145-153.

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209. The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU.
     In: Energy Economics.
     RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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210. Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Zhang, Yaojie ; Yang, KE ; Liu, Jing ; Ma, Feng.
     In: Energy Economics.
     RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330.

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211. Volatility in equity markets and monetary policy rate uncertainty. (2018). Roberts-Sklar, Matt ; Kaminska, Iryna.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:45:y:2018:i:c:p:68-83.

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212. Testing for jumps and jump intensity path dependence. (2018). Swanson, Norman ; Corradi, Valentina ; Silvapulle, Mervyn J.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

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213. Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Zhang, Yaojie ; Li, YU ; Liu, LI ; Ma, Feng.
     In: The North American Journal of Economics and Finance.
     RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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214. Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Chung, Richard ; Todorova, Neda ; Li, Bin ; Omura, Akihiro.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510.

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215. Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (2018). Oliva, Immacolata ; Reno, R.
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:94:y:2018:i:c:p:242-256.

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216. Time‐Varying Parameter Realized Volatility Models. (2017). Wang, Yudong ; Pan, Zhiyuan ; Wu, Chongfeng.
     In: Journal of Forecasting.
     RePEc:wly:jforec:v:36:y:2017:i:5:p:566-580.

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217. Forecasting REIT volatility with high-frequency data: a comparison of alternative methods. (2017). Zhou, Jian.
     In: Applied Economics.
     RePEc:taf:applec:v:49:y:2017:i:26:p:2590-2605.

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218. Value at risk forecasting for volatility index. (2017). Park, Seul-Ki ; Choi, Ji-Eun ; Shin, Dong Wan.
     In: Applied Economics Letters.
     RePEc:taf:apeclt:v:24:y:2017:i:21:p:1613-1620.

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219. Forecast comparison of volatility models on Russian stock market. (2017). Aganin, Artem.
     In: Applied Econometrics.
     RePEc:ris:apltrx:0331.

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220. Variance Risk Premia on Stocks and Bonds. (2017). Mueller, Philippe ; Sabtchevsky, Petar ; Whelan, Paul ; Vedolin, Andrea.
     In: 2017 Meeting Papers.
     RePEc:red:sed017:1161.

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221. Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
     In: Monash Econometrics and Business Statistics Working Papers.
     RePEc:msh:ebswps:2017-14.

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222. The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
     In: Documents de travail du Centre d'Economie de la Sorbonne.
     RePEc:mse:cesdoc:17006.

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223. The contribution of jumps to forecasting the density of returns. (2017). Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
     In: Post-Print.
     RePEc:hal:journl:halshs-01442618.

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224. The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe.
     In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
     RePEc:hal:cesptp:halshs-01442618.

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225. Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco.
     In: Econometrics.
     RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901.

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226. Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Li, Steven ; Chen, Langnan ; Yang, KE ; Tian, Fengping.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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227. Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

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228. Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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229. Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Yang, KE ; Tian, Fengping.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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230. Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Wahab, M. I. M., ; Ma, Feng ; Huang, Dengshi.
     In: Energy Economics.
     RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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231. Chasing volatility. (2017). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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232. Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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233. Forecasting the oil futures price volatility: A new approach. (2017). Chen, Wang ; Liu, Jing ; Ma, Feng ; Huang, Dengshi.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566.

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234. Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). Wei, YU ; Liu, Jing ; Ma, Feng.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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235. Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Muniainy, Peru ; Ciarreta, Aitor.
     In: ISER Discussion Paper.
     RePEc:dpr:wpaper:0991.

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236. High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F.
     In: Working Papers.
     RePEc:bol:bodewp:wp1099.

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237. Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Hounyo, Ulrich ; Podolskij, Mark ; Christensen, Kim.
     In: CREATES Research Papers.
     RePEc:aah:create:2017-30.

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238. Systemic co-jumps. (2016). Caporin, Massimiliano ; Kolokolov, Alexey ; Reno, Roberto.
     In: SAFE Working Paper Series.
     RePEc:zbw:safewp:149.

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239. An International Comparison of Implied, Realized, and GARCH Volatility Forecasts. (2016). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos.
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:36:y:2016:i:12:p:1164-1193.

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240. Modeling Realized Volatility Dynamics with a Genetic Algorithm. (2016). Ji, Ping ; Qu, Hui.
     In: Journal of Forecasting.
     RePEc:wly:jforec:v:35:y:2016:i:5:p:434-444.

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241. Forecasting the realized volatility in the Chinese stock market: further evidence. (2016). Chen, Yixiang ; Pu, Wang ; Ma, Feng.
     In: Applied Economics.
     RePEc:taf:applec:v:48:y:2016:i:33:p:3116-3130.

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242. Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael .
     In: Hannover Economic Papers (HEP).
     RePEc:han:dpaper:dp-571.

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243. The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective. (2016). Caporin, Massimiliano ; Bonaccolto, Giovanni.
     In: JRFM.
     RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:8-:d:73460.

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244. Market Microstructure Effects on Firm Default Risk Evaluation. (2016). Barsotti, Flavia ; Sanfelici, Simona.
     In: Econometrics.
     RePEc:gam:jecnmx:v:4:y:2016:i:3:p:31-:d:73546.

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245. Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Hu, Yujia ; Audrino, Francesco.
     In: Econometrics.
     RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253.

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246. Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods. (2016). Witzany, Jiří ; Ficura, Milan.
     In: Czech Journal of Economics and Finance (Finance a uver).
     RePEc:fau:fauart:v:66:y:2016:i:4:p:278-301.

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247. Incremental information of stock indicators. (2016). VORTELINOS, DIMITRIOS.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:41:y:2016:i:c:p:79-97.

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248. Price and volatility co-jumps. (2016). Renò, Roberto ; Reno, R ; Bandi, F M.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:119:y:2016:i:1:p:107-146.

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249. Forecasting realized volatility in a changing world: A dynamic model averaging approach. (2016). Wang, Yudong ; Wei, YU ; Ma, Feng ; Wu, Chongfeng.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:64:y:2016:i:c:p:136-149.

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250. Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.

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251. The impact of political risk on return, volatility and discontinuity: Evidence from the international stock and foreign exchange markets. (2016). Saha, Shrabani ; Vortelinos, Dimitrios I.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:17:y:2016:i:c:p:222-226.

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252. Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective. (2016). Trapin, Luca ; Bee, Marco ; Dupuis, Debbie J.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:36:y:2016:i:c:p:86-99.

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253. Managing risk with a realized copula parameter. (2016). Okhrin, Ostap ; Fengler, Matthias.
     In: Computational Statistics & Data Analysis.
     RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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254. Bootstrapping high-frequency jump tests. (2016). Goncalves, Silvia ; Dovonon, Prosper ; Hounyo, Ulrich ; Gonalves, Silvia ; Meddahi, Nour.
     In: CIRANO Working Papers.
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255. High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F.
     In: Working Papers.
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256. Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach. (2016). Hounyo, Ulrich ; Podolskij, Mark ; Christensen, Kim.
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257. Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael .
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     RePEc:aah:create:2016-17.

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258. Out‐of‐sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini‐futures markets. (2015). VORTELINOS, DIMITRIOS.
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259. Global Equity Market Volatility Spillovers: A Broader Role for the United States. (2015). Buncic, Daniel ; Gisler, Katja I. M., .
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260. Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility. (2015). Patton, Andrew ; Sheppard, Kevin.
     In: The Review of Economics and Statistics.
     RePEc:tpr:restat:v:97:y:2015:i:2:p:683-697.

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261. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). Asai, Manabu ; McAleer, Michael.
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262. Modelling systemic price cojumps with Hawkes factor models. (2015). Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo ; Corsi, Fulvio ; Lillo, Fabrizio ; Marmi, Stefano.
     In: Quantitative Finance.
     RePEc:taf:quantf:v:15:y:2015:i:7:p:1137-1156.

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263. Spot volatility estimation using delta sequences. (2015). Renò, Roberto ; Mattiussi, Vanessa ; Reno, Roberto ; Mancini, Cecilia.
     In: Finance and Stochastics.
     RePEc:spr:finsto:v:19:y:2015:i:2:p:261-293.

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264. Estimation of volatility measures using high frequency data (in Russian). (2015). Kalnina, Ilze ; Sizova, Natalia.
     In: Quantile.
     RePEc:qnt:quantl:y:2015:i:13:p:3-14.

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265. LARGE DEVIATIONS OF THE THRESHOLD ESTIMATOR OF INTEGRATED (CO-)VOLATILITY VECTOR IN THE PRESENCE OF JUMPS. (2015). Jiang, Hui ; Djellout, Hacene .
     In: Working Papers.
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266. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). Asai, Manabu.
     In: Econometric Institute Research Papers.
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267. Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets. (2015). Vortelinos, Dimitrios I.
     In: Review of Financial Economics.
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268. Modeling financial contagion using mutually exciting jump processes. (2015). Laeven, Roger ; Ait-Sahalia, Yacine ; Cacho-Diaz, Julio .
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:117:y:2015:i:3:p:585-606.

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269. Do negative and positive equity returns share the same volatility dynamics?. (2015). Palandri, Alessandro.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:58:y:2015:i:c:p:486-505.

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270. The information content of option-implied information for volatility forecasting with investor sentiment. (2015). Seo, Sung Won ; Kim, Junsik.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:50:y:2015:i:c:p:106-120.

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271. The economic value of volatility timing with realized jumps. (2015). Nolte, Ingmar ; Xu, QI.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:34:y:2015:i:c:p:45-59.

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272. Smile from the past: A general option pricing framework with multiple volatility and leverage components. (2015). Bormetti, Giacomo ; Corsi, Fulvio ; Majewski, Adam A..
     In: Journal of Econometrics.
     RePEc:eee:econom:v:187:y:2015:i:2:p:521-531.

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273. Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes. (2015). Patton, Andrew ; Liu, Lily ; Sheppard, Kevin.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:187:y:2015:i:1:p:293-311.

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274. Econometrics of co-jumps in high-frequency data with noise. (2015). Bibinger, Markus ; Winkelmann, Lars.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:184:y:2015:i:2:p:361-378.

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275. A global factor in variance risk premia and local bond pricing. (2015). Roberts-Sklar, Matt ; Kaminska, Iryna.
     In: Bank of England working papers.
     RePEc:boe:boeewp:0576.

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276. Collective synchronization and high frequency systemic instabilities in financial markets. (2015). Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo ; Lillo, Fabrizio.
     In: Papers.
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277. Inference from high-frequency data: A subsampling approach. (2015). Veliyev, Bezirgen ; Christensen, Kim ; Thamrongrat, Nopporn ; Podolskij, Mark.
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278. Unbalanced Regressions and the Predictive Equation. (2015). Ventosa-Santaulària, Daniel ; Vera-Valdés, J. Eduardo ; Vera-Valdes, Eduardo J. ; Ventosa-Santaularia, Daniel ; Osterrieder, Daniela.
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279. Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility. (2014). Baruník, Jozef ; Ike, Filip.
     In: FinMaP-Working Papers.
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280. Cenové skoky během finanční nejistoty: od intuice k regulační perspektivě. (2014). Novotny, Jan ; Hanousek, Jan.
     In: Politická ekonomie.
     RePEc:prg:jnlpol:v:2014:y:2014:i:1:id:936:p:32-48.

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281. Multi-jumps. (2014). Renò, Roberto ; Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey.
     In: MPRA Paper.
     RePEc:pra:mprapa:58175.

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282. Multi-jumps. (2014). Renò, Roberto ; Caporin, Massimiliano ; Kolokolov, Aleksey.
     In: Marco Fanno Working Papers.
     RePEc:pad:wpaper:0185.

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283. Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Sevi, Benoit.
     In: Working Papers.
     RePEc:ipg:wpaper:2014-53.

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284. Forecasting the volatility of crude oil futures using intraday data. (2014). ben Ali, Chiraz ; Lesage, Cedric.
     In: Working Papers.
     RePEc:ipg:wpaper:2014-053.

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285. The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited. (2014). Neely, Christopher ; Lahaye, Jerome.
     In: Working Papers.
     RePEc:fip:fedlwp:2014-034.

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286. System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies. (2014). Gnabo, Jean-Yves ; Hvozdyk, Lyudmyla ; Lahaye, Jerome.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:48:y:2014:i:pa:p:147-174.

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287. Fact or friction: Jumps at ultra high frequency. (2014). Christensen, Kim ; Oomen, Roel C. A., ; Podolskij, Mark.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:114:y:2014:i:3:p:576-599.

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288. Cojumps in stock prices: Empirical evidence. (2014). Shackleton, Mark ; Taylor, Stephen J. ; Gilder, Dudley.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:40:y:2014:i:c:p:443-459.

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289. Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Sevi, Benoit.
     In: European Journal of Operational Research.
     RePEc:eee:ejores:v:235:y:2014:i:3:p:643-659.

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290. The VIX, the variance premium and stock market volatility. (2014). Hoerova, Marie ; Bekaert, Geert.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:183:y:2014:i:2:p:181-192.

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291. The VIX, the variance premium and stock market volatility. (2014). Hoerova, Marie ; Bekaert, Geert.
     In: Working Paper Series.
     RePEc:ecb:ecbwps:20141675.

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292. Smile from the Past: A general option pricing framework with multiple volatility and leverage components. (2014). Corsi, Fulvio ; Bormetti, Giacomo ; Majewski, Adam Aleksander .
     In: Papers.
     RePEc:arx:papers:1404.3555.

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293. Additive modeling of realized variance: tests for parametric specifications and structural breaks. (2013). Fengler, Matthias ; Vogt, Michael ; Mammen, Enno.
     In: Economics Working Paper Series.
     RePEc:usg:econwp:2013:32.

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294. Modeling and forecasting realized volatility: getting the most out of the jump component. (2013). Liao, Yin ; Clements, Adam.
     In: NCER Working Paper Series.
     RePEc:qut:auncer:2013_5.

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295. The VIX, the Variance Premium and Stock Market Volatility. (2013). Hoerova, Marie ; Bekaert, Geert.
     In: NBER Working Papers.
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296. Optimally thresholded realized power variations for Lévy jump diffusion models. (2013). Figueroa-Lopez, Jose E. ; Nisen, Jeffrey.
     In: Stochastic Processes and their Applications.
     RePEc:eee:spapps:v:123:y:2013:i:7:p:2648-2677.

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297. Realizing smiles: Options pricing with realized volatility. (2013). Corsi, Fulvio ; Fusari, Nicola ; la Vecchia, Davide.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:107:y:2013:i:2:p:284-304.

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298. The information content of risk-neutral skewness for volatility forecasting. (2013). Byun, Suk Joon ; Kim, Junsik.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:23:y:2013:i:c:p:142-161.

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299. A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors. (2013). Kapetanios, George ; Atak, Alev.
     In: Economics Letters.
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300. The explanatory power of signed jumps for the risk-return tradeoff. (2013). Sévi, Benoît ; Baena, Cesar ; Sevi, Benoit.
     In: Economics Bulletin.
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301. Smile from the Past: A general option pricing framework with multiple volatility and leverage components. (2013). Bormetti, G. ; Corsi, F. ; Majewski, A. A..
     In: Working Papers.
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302. Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility. (2013). Baruník, Jozef ; Zikes, Filip.
     In: Papers.
     RePEc:arx:papers:1308.4276.

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303. Modelling systemic price cojumps with Hawkes factor models. (2013). Corsi, Fulvio ; Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo ; Lillo, Fabrizio.
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304. Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias.
     In: Economics Working Paper Series.
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305. Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling. (2012). Corsi, Fulvio.
     In: Journal of Business & Economic Statistics.
     RePEc:taf:jnlbes:v:30:y:2012:i:3:p:368-380.

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306. Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias.
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     RePEc:hum:wpaper:sfb649dp2012-034.

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307. Spot Volatility Estimation Using Delta Sequences. (2012). Renò, Roberto ; Mattiussi, Vanessa ; Reno, Roberto ; Mancini, Cecilia.
     In: Working Papers - Mathematical Economics.
     RePEc:flo:wpaper:2012-10.

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308. Estimation of Quarticity with High Frequency Data. (2012). Mancino, Maria Elvira ; Sanfelici, Simona.
     In: Working Papers - Mathematical Economics.
     RePEc:flo:wpaper:2011-06.

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309. Forecasting spot price volatility using the short-term forward curve. (2012). Haugom, Erik ; Ullrich, Carl J..
     In: Energy Economics.
     RePEc:eee:eneeco:v:34:y:2012:i:6:p:1826-1833.

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310. Time-varying leverage effects. (2012). Renò, Roberto ; Bandi, Federico M..
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     RePEc:eee:econom:v:169:y:2012:i:1:p:94-113.

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311. Jump-robust volatility estimation using nearest neighbor truncation. (2012). Andersen, Torben ; Schaumburg, Ernst ; Dobrev, Dobrislav.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:169:y:2012:i:1:p:75-93.

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312. Stock Return and Cash Flow Predictability: The Role of Volatility Risk. (2012). Zhou, Hao ; Bollerslev, Tim ; Xu, Lai.
     In: CREATES Research Papers.
     RePEc:aah:create:2012-51.

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313. Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2011). Hu, Yujia ; Audrino, Francesco.
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314. Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests. (2011). Urga, Giovanni ; DUMITRU, ANA-MARIA.
     In: Journal of Business & Economic Statistics.
     RePEc:taf:jnlbes:v:30:y:2011:i:2:p:242-255.

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315. How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?. (2011). Veraart, Almut.
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     RePEc:spr:alstar:v:95:y:2011:i:3:p:253-291.

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316. The effect of infrequent trading on detecting price jumps. (2011). Mosler, Karl ; Schulz, Frowin .
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     RePEc:spr:alstar:v:95:y:2011:i:1:p:27-58.

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317. Short run bond risk premia. (2011). Mueller, Philippe ; Zhou, Hao ; Vedolin, Andrea.
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318. Do jumps help in forecasting the density of returns?. (2011). Chevallier, Julien ; Ielpo, Florian ; Sevi, Benoit.
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319. ELECTRICITY PRICES: A NONPARAMETRIC APPROACH. (2010). Pirino, Davide ; Reno, Roberto.
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     RePEc:wsi:ijtafx:v:13:y:2010:i:02:n:s0219024910005772.

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320. Profitability of Trading in the Direction of Asset Price Jumps - Analysis of Multiple Assets and Frequencies. (). Fiura, Milan.
     In: Prague Economic Papers.
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1. A general property for time aggregation. (2021). Alexander, Carol ; Rauch, Johannes.
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2. Currency jumps, Euribor-OIS spreads and the volatility skew: A study on the dollar-euro crash risk of 2007–2015. (2019). Wong, Alfred.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:29:y:2019:i:c:p:7-16.

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3. Latent jump diffusion factor estimation for commodity futures. (2018). Tang, Ke ; Medova, Elena ; Dempster, M. A. H., .
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4. Super-Exponential RE Bubble Model with Efficient Crashes. (2017). Kreuser, Jerome L ; Sornette, Didier.
   In: Swiss Finance Institute Research Paper Series.
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5. Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics II: Economic Implications. (2016). Perrakis, Stylianos ; Czerwonko, Michal.
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6. Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models. (2015). Cummins, Mark ; esposito, francesco paolo .
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7. The economic value of volatility timing with realized jumps. (2015). Nolte, Ingmar ; Xu, QI.
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8. The Convenience Yield and the Informational Content of the Oil Futures Price. (2015). Khalaf, Lynda ; Bernard, Jean-Thomas ; McMahon, Sebastien ; Jean-Thomas, Lynda Khalaf .
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9. Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks. (2014). PETITJEAN, Mikael ; Boudt, Kris.
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10. Partial information about contagion risk, self-exciting processes and portfolio optimization. (2014). Meinerding, Christoph ; Branger, Nicole ; Kraft, Holger.
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11. Optimally thresholded realized power variations for Lévy jump diffusion models. (2013). Figueroa-Lopez, Jose E. ; Nisen, Jeffrey.
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12. Price jumps in Visegrad-country stock markets: An empirical analysis. (2012). Novotny, Jan ; Hanousek, Jan.
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13. On the jump activity index for semimartingales. (2012). Liu, Zhi ; Kong, Xin-Bing ; Mykland, Per ; Jing, Bing-Yi.
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14. Jump risk, stock returns, and slope of implied volatility smile. (2011). Yan, Shu.
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15. Macroeconomic news, announcements, and stock market jump intensity dynamics. (2011). Rangel, Jose.
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16. An hour-ahead prediction model for heavy-tailed spot prices. (2011). Powell, Warren B. ; Kim, Jaeho.
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17. Statistical properties and economic implications of jump-diffusion processes with shot-noise effects. (2011). Moreno, Manuel ; Stute, Winfried ; Serrano, Pedro.
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18. Testing and detecting jumps based on a discretely observed process. (2011). Fan, Jianqing.
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19. Econometric analysis of jump-driven stochastic volatility models. (2011). Todorov, Viktor.
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20. Realized jumps on financial markets and predicting credit spreads. (2011). Zhou, Hao ; Tauchen, George.
    In: Journal of Econometrics.
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21. The Identification of Price Jumps. (2011). Novotny, Jan ; Kočenda, Evžen ; Hanousek, Jan ; Kocenda, Evzen.
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22. Detecting jumps from Lévy jump diffusion processes. (2010). Lee, Suzanne S. ; Hannig, Jan.
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23. First-passage probability, jump models, and intra-horizon risk. (2010). Bakshi, Gurdip ; Panayotov, George.
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    RePEc:eee:jfinec:v:95:y:2010:i:1:p:20-40.

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24. Threshold bipower variation and the impact of jumps on volatility forecasting. (2010). Renò, Roberto ; Pirino, Davide ; Corsi, Fulvio ; Reno, Roberto.
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    RePEc:eee:econom:v:159:y:2010:i:2:p:276-288.

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25. Realised quantile-based estimation of the integrated variance. (2010). Podolskij, Mark ; Christensen, Kim ; Oomen, Roel.
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    RePEc:eee:econom:v:159:y:2010:i:1:p:74-98.

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26. Nonparametric estimation for a class of Lévy processes. (2010). Chen, Song ; Hall, Peter ; Delaigle, Aurore.
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27. Matching and Saving in Continuous Time: Theory. (2010). Wälde, Klaus ; Walde, Klaus ; Bayer, Christian.
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28. Adoption Curves and Social Interactions. (2009). Durlauf, Steven ; Brock, William.
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29. Volatility Spreads and Expected Stock Returns. (2009). Bali, Turan G. ; Hovakimian, Armen.
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30. Distribution switching in financial time series. (2009). Fukuda, Kosei.
    In: Mathematics and Computers in Simulation (MATCOM).
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31. Structural estimation of jump-diffusion processes in macroeconomics. (2009). Posch, Olaf.
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32. Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics. (2009). Rangel, Jose.
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33. Skewness Premium with Lévy Processes. (2009). Fajardo, José ; Mordecki, Ernesto.
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34. Volatility forecasting: the jumps do matter. (2008). Renò, Roberto ; Corsi, Fulvio ; Reno, Roberto ; Pirino, Davide.
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:534.

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35. Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield. (2008). Khalaf, Lynda ; Bernard, Jean-Thomas ; McMahon, Sebastien ; Kichian, Maral.
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36. Testing for jumps when asset prices are observed with noise-a swap variance approach. (2008). Oomen, Roel ; Jiang, George J..
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    RePEc:eee:econom:v:144:y:2008:i:2:p:352-370.

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37. Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects. (2008). Moreno, Manuel ; Stute, Winfried ; Serrano, Pedro Jose.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb084912.

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38. An empirical comparison of continuous-time models of implied volatility indices. (2007). Skiadopoulos, George ; Dotsis, George ; Psychoyios, Dimitris.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:12:p:3584-3603.

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39. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
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40. The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps. (2006). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
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41. Skewness Premium with Lévy Processes. (2006). Fajardo, José ; Mordecki, Ernesto.
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42. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
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43. Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion. (2006). Khalaf, Lynda ; Bernard, Jean-Thomas ; McMahon, Sebastien ; Kichian, Maral.
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44. Forecasting Exchange Rate Volatility In The Presence Of Jumps. (2005). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
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45. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:240.

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46. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil.
    In: Economics Papers.
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47. Equivalent Martingale Measures and Lévy Processes. (2005). Fajardo, José.
    In: IBMEC RJ Economics Discussion Papers.
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48. Jump-diffusion processes and affine term structure models: additional closed-form approximate solutions, distributional assumptions for jumps, and parameter estimates. (2005). Durham, J. Benson.
    In: Finance and Economics Discussion Series.
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49. Econometrics of testing for jumps in financial economics using bipower variation. (2003). Shephard, Neil.
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50. .

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