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Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price. (2016). Mykland, Per A ; Zhang, Lan.
In: Journal of Econometrics.
RePEc:eee:econom:v:194:y:2016:i:2:p:242-262.

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  1. 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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  2. An Efficient Multi-scale Leverage Effect Estimator under Dependent Microstructure Noise. (2025). Xiong, Ziyang ; Chen, Zhao ; Wang, Christina Dan.
    In: Papers.
    RePEc:arx:papers:2505.08654.

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  3. Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility. (2024). Christensen, Peter ; Bennedsen, Mikkel.
    In: Papers.
    RePEc:arx:papers:2403.12653.

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  4. Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander.
    In: Papers.
    RePEc:arx:papers:2403.00819.

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  5. Large Deviation Principles of Realized Laplace Transform of Volatility. (2022). Liu, Zhi ; Feng, Xinwei ; He, Lidan.
    In: Journal of Theoretical Probability.
    RePEc:spr:jotpro:v:35:y:2022:i:1:d:10.1007_s10959-020-01055-4.

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  6. 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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  7. The Observed Asymptotic Variance: Hard edges, and a regression approach. (2021). Mykland, Per A ; Zhang, Lan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:222:y:2021:i:1:p:411-428.

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  8. Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Neely, Christopher ; Bibinger, Markus ; Winkelmann, Lars.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

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  9. The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times. (2019). Mykland, Per A ; Zhang, Lan ; Chen, Dachuan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:1:p:101-119.

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  10. Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2018). Neely, Christopher ; Winkelmann, Lars ; Bibinger, Markus.
    In: IRTG 1792 Discussion Papers.
    RePEc:zbw:irtgdp:2018055.

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  11. Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Matei, Marius ; Erdemlioglu, Deniz ; Dungey, Mardi.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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  12. Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2017). Neely, Christopher ; Bibinger, Markus ; Winkelmann, Lars.
    In: Working Papers.
    RePEc:fip:fedlwp:2017-012.

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    RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

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  10. Time-varying continuous and jump betas: The role of firm characteristics and periods of stress. (2017). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:40:y:2017:i:c:p:1-19.

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  11. Realized stochastic volatility with general asymmetry and long memory. (2017). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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  12. A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation. (2017). Hounyo, Ulrich ; Varneskov, Rasmus T.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:198:y:2017:i:1:p:10-28.

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  13. 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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  14. Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
    In: Papers.
    RePEc:arx:papers:1602.05489.

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

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  16. Sand in the wheels or wheels in the sand? Tobin taxes and market crashes. (2016). Lichard, Tomáš ; Novotn, J ; Lavika, H.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:47:y:2016:i:c:p:328-342.

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  17. Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price. (2016). Mykland, Per A ; Zhang, Lan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:242-262.

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  18. Inference theory for volatility functional dependencies. (2016). Tauchen, George ; Todorov, Viktor ; Li, Jia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:193:y:2016:i:1:p:17-34.

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  19. Is it Brownian or fractional Brownian motion?. (2016). Xue, YI ; Genay, Ramazan ; Li, Meiyu.
    In: Economics Letters.
    RePEc:eee:ecolet:v:145:y:2016:i:c:p:52-55.

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  20. Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; LECOURT, Christelle ; Laurent, Sébastien.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:100:y:2016:i:c:p:383-400.

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  21. Bootstrapping high-frequency jump tests. (2016). Goncalves, Silvia ; Dovonon, Prosper ; Hounyo, Ulrich ; Gonalves, Silvia ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2016s-24.

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  22. Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-03.

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  23. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). Asai, Manabu ; McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150018.

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  24. The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements. (2015). Yao, Wenying ; Tian, Jing.
    In: Working Papers.
    RePEc:tas:wpaper:22662.

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  25. High frequency characterization of Indian banking stocks. (2015). Yao, Wenying ; Sayaeed, Mohammad Abu ; Dungey, Mardi.
    In: Working Papers.
    RePEc:tas:wpaper:22661.

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  26. Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes. (2015). Kostrzewski, Maciej.
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:7:y:2015:i:1:p:43-70.

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  27. Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency. (2015). Xiu, Dacheng ; Kalnina, Ilze.
    In: Cahiers de recherche.
    RePEc:mtl:montec:09-2015.

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  28. Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency. (2015). Xiu, Dacheng ; Kalnina, Ilze.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2015-05.

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  29. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). Asai, Manabu.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:78068.

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  30. Quantile estimation for Lévy measures. (2015). Trabs, Mathias.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:9:p:3484-3521.

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  31. Martingale optimal transport in the Skorokhod space. (2015). Dolinsky, Yan ; Soner, Mete H.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:10:p:3893-3931.

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  32. Which continuous-time model is most appropriate for exchange rates?. (2015). Neely, Christopher ; Laurent, Sébastien ; Erdemlioglu, Deniz.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s256-s268.

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  33. Option valuation with observable volatility and jump dynamics. (2015). Feunou, Bruno ; Jeon, Yoontae ; Christoffersen, Peter.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s101-s120.

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  34. Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction. (2015). Swanson, Norman ; Duong, Diep.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:606-621.

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  35. Learning, confidence, and option prices. (2015). Shaliastovich, Ivan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:1:p:18-42.

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  36. Option Valuation with Observable Volatility and Jump Dynamics. (2015). Feunou, Bruno ; Jeon, Yoontae ; Christoffersen, Peter.
    In: Staff Working Papers.
    RePEc:bca:bocawp:15-39.

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  37. A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation. (2015). Hounyo, Ulrich ; Varneskov, Rasmus T..
    In: CREATES Research Papers.
    RePEc:aah:create:2015-26.

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  38. Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data. (2014). Matei, Marius ; Treepongkaruna, Sirimon ; Dungey, Mardi.
    In: Working Papers.
    RePEc:tas:wpaper:18605.

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

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

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  41. Optimally sampled realized range-based volatility estimators. (2014). VORTELINOS, DIMITRIOS.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:30:y:2014:i:c:p:34-50.

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  42. Bayesian DEJD model and detection of asymmetric jumps. (2014). Kostrzewski, Maciej.
    In: Papers.
    RePEc:arx:papers:1404.2050.

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  43. Option Valuation with Observable Volatility and Jump Dynamics. (2014). Feunou, Bruno ; Jeon, Yoontae ; Christoffersen, Peter.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-07.

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  44. Equity portfolio diversification with high frequency data. (2013). Alexeev, Vitali ; Dungey, Mardi.
    In: Working Papers.
    RePEc:tas:wpaper:17316.

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  45. Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction. (2013). Swanson, Norman ; Duong, Diep.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201321.

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  46. Quantitative forward guidance and the predictability of monetary policy - A wavelet based jump detection approach -. (2013). Winkelmann, Lars.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-016.

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  47. Which continuous-time model is most appropriate for exchange rates?. (2013). Neely, Christopher ; Laurent, Sébastien ; Erdemlioglu, Deniz.
    In: Working Papers.
    RePEc:fip:fedlwp:2013-024.

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  48. Econometric modeling of exchange rate volatility and jumps. (2013). Laurent, Sbastien ; Erdemlioglu, Deniz ; Neely, Christopher J..
    In: Chapters.
    RePEc:elg:eechap:14545_16.

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  49. The leverage effect puzzle: Disentangling sources of bias at high frequency. (2013). Fan, Jianqing ; Ait-Sahalia, Yacine.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:1:p:224-249.

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  50. Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications. (2012). Zhylyevskyy, Oleksandr.
    In: Staff General Research Papers Archive.
    RePEc:isu:genres:35559.

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