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2. Day of the week effect on the cryptomarket: A high-frequency asymmetric multifractal analysis. (2025). Tabak, Benjamin Miranda ; Kristjanpoller, Werner.
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5. Exploring crisis-driven return spillovers in APEC stock markets: A frequency dynamics analysis. (2024). Kumari, Vineeta ; Kakran, Shubham ; Bajaj, Parminder Kaur ; Sidhu, Arpit.
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1. A Dynamic Conditional Approach to Portfolio Weights Forecasting. (2020). Gallo, Giampiero ; Cipollini, Fabrizio ; Palandri, Alessandro.
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2. Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Kim, Donggyu ; Wang, Yazhen ; Song, Xinyu.
   In: Papers.
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3. 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.
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4. Ambiguous Correlation. (2018). Halevy, Yoram ; Epstein, Larry.
   In: Microeconomics.ca working papers.
   RePEc:ubc:pmicro:yoram_halevy-2017-2.

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5. Do co-jumps impact correlations in currency markets?. (2018). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
   In: Journal of Financial Markets.
   RePEc:eee:finmar:v:37:y:2018:i:c:p:97-119.

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6. Estimating the integrated volatility using high-frequency data with zero durations. (2018). Liu, Zhi ; Kong, Xin-Bing ; Jing, Bing-Yi.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:204:y:2018:i:1:p:18-32.

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7. Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. (2018). Kim, Donggyu ; Wang, Yazhen ; Kong, Xin-Bing ; Li, Cui-Xia.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:203:y:2018:i:1:p:69-79.

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8. Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:202:y:2018:i:2:p:178-195.

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9. Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon.
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10. Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann.
    In: Papers.
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11. Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Chen, Richard Y ; Mykland, Per A.
    In: Papers.
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12. The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility. (2017). Li, W K ; Ng, F C.
    In: Journal of Business & Economic Statistics.
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13. Time endogeneity and an optimal weight function in pre-averaging covariance estimation. (2017). Koike, Yuta.
    In: Statistical Inference for Stochastic Processes.
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14. LARGE DEVIATIONS OF THE REALIZED (CO-)VOLATILITY VECTOR. (2017). Guillin, Arnaud ; Samoura, Yacouba ; Djellout, Hacene .
    In: Post-Print.
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15. Estimation of the realized (co-)volatility vector: Large deviations approach. (2017). Samoura, Yacouba ; Djellout, Hacene ; Guillin, Arnaud.
    In: Stochastic Processes and their Applications.
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16. Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Xiu, Dacheng ; Ait-Sahalia, Yacine.
    In: Journal of Econometrics.
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17. Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil.
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18. Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A.
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19. Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich.
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20. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Boudt, Kris ; Sauri, Orimar ; Lunde, Asger.
    In: Journal of Econometrics.
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21. Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
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22. Asymptotic theory for large volatility matrix estimation based on high-frequency financial data. (2016). Kim, Donggyu ; Wang, Yazhen ; Zou, Jian.
    In: Stochastic Processes and their Applications.
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23. Sparse PCA-based on high-dimensional Itô processes with measurement errors. (2016). Kim, Donggyu ; Wang, Yazhen.
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24. Intra-day realized volatility for European and USA stock indices. (2016). Floros, Christos ; Degiannakis, Stavros.
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25. Copula structured M4 processes with application to high-frequency financial data. (2016). Zhang, Zhengjun ; Zhu, Bin.
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26. Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Xiu, Dacheng ; Ait-Sahalia, Yacine.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

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27. A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin.
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28. Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (2016). LINTON, OLIVER ; Park, Sujin ; Hong, Seok Young.
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29. Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps. (2016). Ho, Michael ; Xin, Jack.
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30. Estimation of integrated quadratic covariation with endogenous sampling times. (2016). Potiron, Yoann ; Mykland, Per.
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31. Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
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32. Intra-Day Realized Volatility for European and USA Stock Indices. (2015). Floros, Christos ; Degiannakis, Stavros.
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33. Functional stable limit theorems for quasi-efficient spectral covolatility estimators. (2015). Altmeyer, Randolf ; Bibinger, Markus.
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34. Econometrics of co-jumps in high-frequency data with noise. (2015). Bibinger, Markus ; Winkelmann, Lars.
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35. Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence. (2014). Malec, Peter ; Hautsch, Nikolaus ; Reiss, Markus ; Bibinger, Markus.
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36. Functional stable limit theorems for efficient spectral covolatility estimators. (2014). Altmeyer, Randolf ; Bibinger, Markus.
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37. LARGE DEVIATIONS OF THE REALIZED (CO-)VOLATILITY VECTOR. (2014). Samoura, Yacouba ; Djellout, Hacene ; Guillin, Arnaud.
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38. Large and moderate deviations of realized covolatility. (2014). Samoura, Yacouba ; Djellout, Hacene .
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39. Quasi-likelihood analysis for nonsynchronously observed diffusion processes. (2014). Ogihara, Teppei ; Yoshida, Nakahiro.
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40. Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling. (2014). Koike, Yuta.
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41. A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data. (2014). Tang, Cheng Yong ; Liu, Cheng.
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42. Covariance estimation using high-frequency data: Sensitivities of estimation methods. (2014). Veka, Steinar ; Westgaard, Sjur ; Lien, Gudbrand ; Haugom, Erik.
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43. Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Vander Elst, Harry ; Veredas, David.
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44. Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Elst, Harry Vander ; Veredas, David.
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45. Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading. (2014). Hounyo, Ulrich.
    In: CREATES Research Papers.
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46. Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. (2014). Quaedvlieg, Rogier ; Laurent, Sébastien ; Boudt, Kris ; Lunde, Asger.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-05.

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47. The leverage effect puzzle: Disentangling sources of bias at high frequency. (2013). Fan, Jianqing ; Ait-Sahalia, Yacine.
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48. Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. (2012). Corsi, Fulvio ; Audrino, Francesco ; Peluso, Stefano.
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49. An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory. (2012). Bibinger, Markus.
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50. Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices. (2011). Liao, Yin ; Anderson, Heather.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2011-9.

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