1. VIX option pricing through nonaffine GARCH dynamics and semianalytical formula. (2024). Zhang, Yuanyuan ; Wang, QI ; Liu, Junting.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1189-1223.

   Full description at Econpapers || Download paper

2. A GARCH model with two volatility components and two driving factors. (2024). Ballestra, Luca Vincenzo ; Tezza, Christian ; D'Innocenzo, Enzo.
   In: Papers.
   RePEc:arx:papers:2410.14585.

   Full description at Econpapers || Download paper

1. Andersen, T. ; Bollerslev, T. ; Diebold, F. ; Labys, P. Modeling and forecasting realized volatility. 2003 Econometrica. 71 579-625

2. Babaoğlu, K. ; Christoffersen, P. ; Heston, S. ; Jacobs, K. Option valuation with volatility components, fat tails, and nonmonotonic pricing kernels. 2017 Rev. Asset Pricing Stud.. 8 183-231
   Paper not yet in RePEc: Add citation now
   

3. Bali, T. Testing the empirical performance of stochastic volatility models of the short-term interest rate. 2000 J. Financ. Quant. Anal.. 35 191-215

4. Barone-Adesi, G. ; Engle, R. ; Mancini, L. A GARCH option pricing model with filtered historical simulation. 2008 Rev. Financ. Stud.. 21 1223-1258

5. Bekaert, G. ; Hoerova, M. The VIX, the variance premium and stock market volatility. 2014 J. Econometrics. 183 181-192

6. Bekaert, G. ; Hoerova, M. ; Duca, M.Lo. Risk, uncertainty and monetary policy. 2013 J. Monet. Econ.. 60 771-788

7. Bollerslev, T. Generalized autoregressive conditional heteroskedasticity. 1986 J. Econometrics. 31 307-327

8. Breton, M. ; Frutos, J. Option pricing under GARCH processes using PDE methods. 2010 Oper. Res.. 58 1148-1157

9. Broadie, M. ; Chernov, M. ; Johannes, M. Model specification and risk premia: Evidence from futures options. 2007 J. Finance. 62 1453-1490

10. Campbell, J. ; Hentschel, L. No news is good news: An asymmetric model of changing volatility in stock returns. 1992 J. Financ. Econ.. 31 281-318

11. Chernov, M. ; Ghysels, E. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation. 2000 J. Financ. Econ.. 56 407-458

12. Christoffersen, P. ; Dorion, C. ; Jacobs, K. ; Wang, Y. Volatility components, affine restrictions, and nonnormal innovations. 2010 J. Bus. Econ. Stat.. 28 483-502

13. Christoffersen, P. ; Elkamhi, R. ; Feunou, B. ; Jacobs, K. Option value with conditional heteroskedasticity and nonnormality. 2010 Rev. Financ. Stud.. 23 2139-2183
    Paper not yet in RePEc: Add citation now
    

14. Christoffersen, P. ; Feunou, B. ; Jacobs, K. ; Meddahi, N. The economic value of realized volatility: Using high-frequency returns for option valuation. 2014 J. Financ. Quant. Anal.. 49 663-697

15. Christoffersen, P. ; Heston, S. ; Jacobs, K. Capturing option anomalies with a variance-dependent pricing kernel. 2013 Rev. Financ. Stud.. 26 1963-2006

16. Christoffersen, P. ; Heston, S. ; Jacobs, K. Option valuation with conditional skewness. 2006 J. Econometrics. 131 253-284

17. Christoffersen, P. ; Jacobs, K. Which GARCH model for option valuation?. 2004 Manage. Sci.. 50 1204-1221

18. Christoffersen, P. ; Jacobs, K. ; Ornthanalai, C. GARCH option valuation: Theory and evidence. 2013 J. Deriv.. 21 8-41
    Paper not yet in RePEc: Add citation now
    

19. Christoffersen, P. ; Jacobs, K. ; Ornthanalai, C. ; Wang, Y. Option valuation with long-run and short-run volatility components. 2008 J. Financ. Econ.. 90 272-297

20. Corradi, V. Reconsidering the continuous time limit of the garch(1, 1) process. 2000 J. Econometrics. 96 145-153

21. Corrado, C. The hidden martingale restriction in Gram–Charlier option prices. 2007 J. Futures Mark.. 27 517-534
    Paper not yet in RePEc: Add citation now
    

22. Corrado, C. ; Su, T. Skewness and kurtosis in S & P 500 index returns implied by option prices. 1996 J. Financial Res.. 19 175-192

23. Dorion, C. Option valuation with macro-finance variables. 2016 J. Financ. Quant. Anal.. 51 1359-1389

24. Duan, J. Augmented GARCH(p,q) process and its diffusion limit. 1997 J. Econometrics. 79 97-127

25. Duan, J. The GARCH option pricing model. 1995 Math. Finance. 5 13-32

26. Duan, J. ; Gauthier, G. ; Sasseville, C. ; Simonato, J. Approximating the GJR-GARCH and EGARCH option pricing models analytically. 2006 J. Comput. Finance. 9 41-69
    Paper not yet in RePEc: Add citation now
    
27. Duan, J. ; Gauthier, G. ; Simonato, J. An analytical approximation for the GARCH option pricing model. 1999 J. Comput. Finance. 2 75-116
    Paper not yet in RePEc: Add citation now
    

28. Engle, R. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. 1982 Econometrica. 50 987-1008

29. Engle, R. ; Ghysels, E. ; Sohn, B. Stock market volatility and macroeconomic fundamentals. 2013 Rev. Econ. Stat.. 95 776-797

30. Engle, R. ; Lee, G. A permanent and transitory component model of stock return volatility. 1999 En : Engle, R. ; White, H. Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive W.J. Granger. Oxford University Press:

31. Engle, R. ; Ng, V. Measuring and testing the impact of news on volatility. 1993 J. Finance. 48 1749-1778

32. Engle, R. ; Rangel, J. The spline-GARCH model for low-frequency volatility and its global macroeconomic causes. 2008 Rev. Financ. Stud.. 21 1187-1222

33. Evans, L. Partial differential equations: Second edition. 2010 Wadsworth Brooks/Cole Math.. 19 211-223
    Paper not yet in RePEc: Add citation now
    

34. Figlewski, S. Forecasting volatility. 1997 Financial Markets, Inst. Instrum.. 6 1-88

35. Filipović, D. ; Mayerhofer, E. ; Schneider, P. Density approximations for multivariate affine jump-diffusion processes. 2013 J. Econometrics. 176 93-111

36. Glosten, L. ; Jagannathan, R. ; Runkle, D. On the relation between the expected value and the volatility of the nominal excess return on stocks. 1993 J. Finance. 48 1779-1801

37. Hall, P. The Bootstrap and Edgeworth Expansion. 2013 Springer Science and Business Media:
    Paper not yet in RePEc: Add citation now
    

38. Heston, S. A closed-form solution for options with stochastic volatility with applications to bond and currency options. 1993 Rev. Financ. Stud.. 6 327-343

39. Heston, S. ; Nandi, S. A closed-form GARCH option valuation model. 2000 Rev. Financ. Stud.. 13 585-625

40. Heston, S. ; Rossi, A. A spanning series approach to options. 2017 Rev. Asset Pricing Stud.. 7 2-42

41. Hsieh, K. ; Ritchken, P. An empirical comparison of GARCH option pricing models. 2005 Rev. Deriv. Res.. 8 129-150

42. Huang, Z. ; Wang, T. ; Hansen, P. Option pricing with the realized GARCH model: An analytical approximation approach. 2017 J. Futures Mark.. 37 328-358

43. Hull, J. ; White, A. The pricing of options on assets with stochastic volatilities. 1987 J. Finance. 42 281-300

44. Jarrow, R. ; Rudd, A. Approximate option valuation for arbitrary stochastic processes. 1982 J. Financ. Econ.. 10 347-369

45. Jondeau, E. ; Rockinger, M. Gram–Charlier densities. 2001 J. Econom. Dynam. Control. 25 1457-1483
    Paper not yet in RePEc: Add citation now
    

46. Kaeck, A. ; Alexander, C. Volatility dynamics for the S & P 500: Further evidence from non-affine, multi-factor jump diffusions. 2012 J. Bank. Financ.. 36 3110-3121

47. Kanniainen, J. ; Lin, B. ; Yang, H. Estimating and using GARCH models with VIX data for option valuation. 2014 J. Bank. Financ.. 43 200-211

48. Kat, H. ; Heynen, R. Volatility prediction: A comparison of the stochastic volatility, GARCH (1,1) and EGARCH (1,1) models. 1994 J. Deriv.. 2 50-65
    Paper not yet in RePEc: Add citation now
    
49. Mazzoni, T. Fast analytic option valuation with GARCH. 2010 J. Deriv.. 18 18-38
    Paper not yet in RePEc: Add citation now
    

50. Necula, C. ; Drimus, G. ; Farkas, W. A general closed form option pricing formula. 2019 Rev. Deriv. Res.. 22 1-40

51. Nelson, D. ARCH models as diffusion approximations. 1990 J. Econometrics. 45 7-38

52. Nelson, D. Conditional heteroskedasticity in asset returns: A new approach. 1991 Econometrica. 59 347-370

53. Nelson, D. ; Foster, D. Asymptotic filtering theory for univariate ARCH models. 1994 Econometrica. 62 1-41

54. Nowak, S. ; Andritzky, J. ; Jobst, A. ; Tamirisa, N. Macroeconomic fundamentals, price discovery and volatility dynamics in emerging bond markets. 2011 J. Bank. Financ.. 35 2584-2597

55. Ornthanalai, C. Lévy jump risk: Evidence from options and returns. 2014 J. Financ. Econ.. 112 69-90

56. Pagan, A. ; Schwert, G. Alternative models for conditional stock volatility. 1990 J. Econometrics. 45 267-290

57. Pan, J. The jump-risk premia implicit in options: Evidence from an integrated time-series study. 2002 J. Financ. Econ.. 63 3-50

58. Renault, E. Econometric models of option pricing errors. 1997 Econom. Soc. Monogr.. 28 223-278
    Paper not yet in RePEc: Add citation now
    

59. Ritchken, P. ; Trevor, R. Pricing options under generalized GARCH and stochastic volatility processes. 1999 J. Finance. 54 377-402

60. Santa-Clara, P. ; Yan, S. Crashes, volatility, and the equity premium: Lessons from S & P 500 options. 2010 Rev. Econ. Stat.. 92 435-451

61. Schwert, G. Why does stock market volatility change over time?. 1989 J. Finance. 44 1115-1153

62. Scott, L. Option pricing when the variance changes randomly: Theory, estimation, and an application. 1987 J. Financ. Quant. Anal.. 22 419-438

63. Sentana, E. Quadratic ARCH models. 1995 Rev. Econom. Stud.. 62 639-661

64. Stein, E. ; Stein, J. Stock price distributions with stochastic volatility: An analytic approach. 1991 Rev. Financ. Stud.. 4 727-752

65. Trolle, A. ; Schwartz, E. Unspanned stochastic volatility and the pricing of commodity derivatives. 2009 Rev. Financ. Stud.. 22 4423-4461

66. Wang, Q. ; Wang, Z. VIX futures and its closed-form pricing through an affine GARCH model with realized variance. 2021 J. Futures Mark.. 41 135-156
    Paper not yet in RePEc: Add citation now
    

67. Wang, Q. ; Wang, Z. VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. 2020 J. Bank. Financ.. 116 -

68. Wang, Q. ; Zhang, Q. ; Wang, Z. ; Zhang, Y. Analytical formula for pricing European options with stochastic volatility under the GARCH-PDE approximation. 2024 J. Deriv.. 4 NA-
    Paper not yet in RePEc: Add citation now
    

69. Wiggins, J. Option values under stochastic volatility: Theory and empirical estimates. 1987 J. Financ. Econ.. 19 351-372

70. Yang, H. ; Kanniainen, J. Jump and volatility dynamics for the S & P 500: Evidence for infinite-activity jumps with non-affine volatility dynamics from stock and option markets. 2017 Rev. Finance. 21 811-844

71. Zakoian, J. Threshold heteroskedastic models. 1994 J. Econom. Dynam. Control. 18 931-955

1. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

   Full description at Econpapers || Download paper

2. Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility. (2013). Das, Kuntal ; Shimatani, Takeshi ; Cheng, Ai-Ru.
   In: Working Papers in Economics.
   RePEc:cbt:econwp:13/19.

   Full description at Econpapers || Download paper

3. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
   In: Papers.
   RePEc:arx:papers:1202.1854.

   Full description at Econpapers || Download paper

4. Exchange Rate Regime and Wage Determination in Central and Eastern Europe. (2008). Ziegler, Christina ; Schnabl, Gunther.
   In: CESifo Working Paper Series.
   RePEc:ces:ceswps:_2471.

   Full description at Econpapers || Download paper

5. Model Averaging in Risk Management with an Application to Futures Markets. (2008). Zaffaroni, Paolo ; Schleicher, Christoph ; Pesaran, Mohammad.
   In: Cambridge Working Papers in Economics.
   RePEc:cam:camdae:0808.

   Full description at Econpapers || Download paper

6. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
   In: Levine's Bibliography.
   RePEc:cla:levrem:321307000000000805.

   Full description at Econpapers || Download paper

7. Vector Multiplicative Error Models: Representation and Inference. (2006). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12690.

   Full description at Econpapers || Download paper

8. Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital. (2006). Pastor, Lubos ; Sinha, Meenakshi ; Swaminathan, Bhaskaran.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:11941.

   Full description at Econpapers || Download paper

9. NEW EVIDENCE ON EXPIRATION-DAY EFFECTS USING REALIZED VOLATILITY: AN INTRADAY ANALYSIS FOR THE SPANISH STOCK EXCHANGE. (2006). Lafuente, Juan Angel ; Illueca, Manuel ; Muoz, Manuel Illueca .
   In: Working Papers. Serie EC.
   RePEc:ivi:wpasec:2006-05.

   Full description at Econpapers || Download paper

10. Stock returns and volatility: pricing the short-run and long-run components of market risk. (2006). Rosenberg, Joshua ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:254.

    Full description at Econpapers || Download paper

11. Understanding stock return predictability. (2006). Guo, Hui ; Savickas, Robert.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-019.

    Full description at Econpapers || Download paper

12. Equity market volatility and expected risk premium. (2006). Zhang, Lu ; Guo, Hui ; Chen, Long.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-007.

    Full description at Econpapers || Download paper

13. Aggregate idiosyncratic volatility in G7 countries. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-027.

    Full description at Econpapers || Download paper

14. Refined Inference on Long Memory in Realized Volatility. (2006). Phillips, Peter ; Lieberman, Offer.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1549.

    Full description at Econpapers || Download paper

15. Unexpected volatility and intraday serial correlation. (2006). Bianco, Simone ; Roberto Ren'o, .
    In: Papers.
    RePEc:arx:papers:physics/0610023.

    Full description at Econpapers || Download paper

16. Limit theorems for bipower variation in financial econometrics. (2005). Shephard, Neil ; Graversen, Sven Erik ; Jacod, Jean.
    In: Economics Papers.
    RePEc:nuf:econwp:0506.

    Full description at Econpapers || Download paper

17. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:0505.

    Full description at Econpapers || Download paper

18. Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects. (2005). Kim, Jae ; Doucouliagos, Chris.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2005-22.

    Full description at Econpapers || Download paper

19. Idiosyncratic volatility, stock market volatility, and expected stock returns. (2005). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-028.

    Full description at Econpapers || Download paper

20. Oil price volatility and U.S. macroeconomic activity. (2005). Kliesen, Kevin ; Guo, Hui.
    In: Review.
    RePEc:fip:fedlrv:y:2005:i:nov:p:669-84:n:v.87no.6.

    Full description at Econpapers || Download paper

21. Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets. (2005). Schotman, Peter C ; Zalewska, Ania.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5352.

    Full description at Econpapers || Download paper

22. A Feasible Central Limit Theory for Realised Volatility Under Leverage. (2004). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:043.

    Full description at Econpapers || Download paper

23. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales. (2004). Shephard, Neil ; Podolskij, Mark ; Graversen, Svend Erik ; Jacod, Jean.
    In: Economics Papers.
    RePEc:nuf:econwp:0429.

    Full description at Econpapers || Download paper

24. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise. (2004). Shephard, Neil ; Lunde, Asger ; Hansen, Peter.
    In: Economics Papers.
    RePEc:nuf:econwp:0428.

    Full description at Econpapers || Download paper

25. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10914.

    Full description at Econpapers || Download paper

26. A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1. (2004). Jagannathan, Ravi ; Ma, Tongshu ; Basak, Gopal K..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10447.

    Full description at Econpapers || Download paper

27. Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Zaffaroni, Paolo ; Pesaran, Mohammad ; D'Italia, Banca.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:101.

    Full description at Econpapers || Download paper

28. Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management. (2004). Wagner, Martin ; Schmidheiny, Kurt ; Hlouskova, Jaroslava.
    In: Cahiers de Recherches Economiques du Département d'économie.
    RePEc:lau:crdeep:04.10.

    Full description at Econpapers || Download paper

29. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2004). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-56.

    Full description at Econpapers || Download paper

30. Microstructure noise, realized volatility, and optimal sampling. (2004). Russell, Jeffrey R. ; Bandi, Federico M..
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:220.

    Full description at Econpapers || Download paper

31. Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility. (2004). Hurn, Stan ; Clements, Adam ; White, Scott I..
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:46.

    Full description at Econpapers || Download paper

32. The informational content of over-the-counter currency options. (2004). Mazzotta, Stefano ; Christoffersen, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004366.

    Full description at Econpapers || Download paper

33. Option Valuation with Long-run and Short-run Volatility Components. (2004). Wang, Yintian ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-56.

    Full description at Econpapers || Download paper

34. The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-20.

    Full description at Econpapers || Download paper

35. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-19.

    Full description at Econpapers || Download paper

36. The Informational Content of Over-the-Counter Currency Options. (2004). Mazzotta, Stefano.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-16.

    Full description at Econpapers || Download paper

37. Estimation Risk in Financial Risk Management. (2004). Goncalves, Silvia ; Gonalves, Silvia.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-15.

    Full description at Econpapers || Download paper

38. Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Zaffaroni, Paolo ; Pesaran, Mohammad.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1358.

    Full description at Econpapers || Download paper

39. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
    In: American Economic Review.
    RePEc:aea:aecrev:v:94:y:2004:i:3:p:405-420.

    Full description at Econpapers || Download paper

40. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: PIER Working Paper Archive.
    RePEc:pen:papers:03-013.

    Full description at Econpapers || Download paper

41. Econometrics of testing for jumps in financial economics using bipower variation. (2003). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0321.

    Full description at Econpapers || Download paper

42. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Graversen, Svend Erik .
    In: Economics Papers.
    RePEc:nuf:econwp:0319.

    Full description at Econpapers || Download paper

43. Power and bipower variation with stochastic volatility and jumps. (2003). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0318.

    Full description at Econpapers || Download paper

44. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9915.

    Full description at Econpapers || Download paper

45. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?. (2003). Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9875.

    Full description at Econpapers || Download paper

46. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9664.

    Full description at Econpapers || Download paper

47. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise. (2003). Ait-Sahalia, Yacine ; Mykland, Per A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9611.

    Full description at Econpapers || Download paper

48. Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-21.

    Full description at Econpapers || Download paper

49. Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-91.

    Full description at Econpapers || Download paper

50. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (). Diebold, Francis ; Brandt, Michael W. ; April, .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-15.

    Full description at Econpapers || Download paper

Report date: 2025-09-29 07:22:55 || Missing content? Let us know