1. Tail Behavior and Almost Sure Growth Rate of Superpositions of Ornstein–Uhlenbeck-type Processes. (2025). Kevei, Pter ; Grahovac, Danijel.
   In: Journal of Theoretical Probability.
   RePEc:spr:jotpro:v:38:y:2025:i:1:d:10.1007_s10959-024-01374-w.

   Full description at Econpapers || Download paper

1. Adler, R. ; Taylor, J.E. . 2007 En : Random Fields and Geometry. Springer Science:
   Paper not yet in RePEc: Add citation now
   
2. Adler, R.J. The Geometry of Random Fields. 1981 John Wiley & Sons: New York
   Paper not yet in RePEc: Add citation now
   
3. Barndorff-Nielsen, O.E. ; Schmiegel, J. Lévy-based tempo-spatial modelling with applications to turbulence. 2004 Uspekhi Mat. Nauk. 159 63-90
   Paper not yet in RePEc: Add citation now
   

4. Barndorff-Nielsen, O.E. ; Shephard, N. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. 2001 J. R. Stat. Soc. Ser. B Stat. Methodol.. 63 167-241

5. Benth, F.E. ; Pircalabu, A. A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures. 2018 Appl. Math. Finance. 25 36-65

6. Cline, D.B.H. Convolution tails, product tails and domains of attraction. 1986 Probab. Theory Related Fields. 72 529-557
   Paper not yet in RePEc: Add citation now
   
7. Cline, D.B.H. Convolutions of distributions with exponential and subexponential tails. 1987 J. Aust. Math. Soc. A. 43 347-365
   Paper not yet in RePEc: Add citation now
   
8. Embrechts, P. ; Goldie, C.M. ; Veraverbeke, N. Subexponentiality and infinite divisibility. 1979 Z. Wahrscheinlichkeitstheor. Verwandte Geb.. 49 335-347
   Paper not yet in RePEc: Add citation now
   
9. Embrechts, P. ; Klüppelberg, C. ; Mikosch, T. . 1997 En : Modelling Extremal Events for Insurance and Finance. Springer: New York
   Paper not yet in RePEc: Add citation now
   
10. Fasen, V. Extremes of regularly varying Lévy-driven mixed moving average processes. 2005 Adv. Appl. Probab.. 37 993-1014
    Paper not yet in RePEc: Add citation now
    
11. Jakubowski, A. ; Soja-Kukieła, N. Managing local dependencies in asymptotic theory for maxima of stationary random fields. 2019 Extremes. 22 293-315
    Paper not yet in RePEc: Add citation now
    

12. Jónsdóttir, K.Y. ; Rønn-Nielsen, A. ; Mouridsen, K. ; Jensen, E.B.V. Lévy-based modelling in brain imaging. 2013 Scand. J. Stat.. 40 511-529

13. Krengel, U. . 1985 En : Ergodic Theorems. Walter de Gruyter: Berlin
    Paper not yet in RePEc: Add citation now
    
14. Leadbetter, M.R. ; Lindgren, G. ; Rootzen, H. . 1983 En : Extremes and Related Properties of Random Sequences and Processes. Springer Verlag:
    Paper not yet in RePEc: Add citation now
    

15. Molchanov, I. ; Strokorb, K. Max-stable random sup-measures with comonotonic tail dependence. 2016 Stochastic Process. Appl.. 126 2835-2859

16. Owada, T. ; Samorodnitsky, G. Maxima of long memory stationary symmetric α–stable processes, and self-similar processes with stationary max-increments. 2015 Bernoulli. 21 1575-1599
    Paper not yet in RePEc: Add citation now
    
17. Pakes, A.G. Convolution equivalence and infinite divisibility. 2004 J. Appl. Probab.. 41 407-424
    Paper not yet in RePEc: Add citation now
    
18. Potthoff, J. Sample properties of random fields. I. Separability and measurability. 2009 Commun. Stoch. Anal.. 3 143-153
    Paper not yet in RePEc: Add citation now
    
19. Rajput, B.S. ; Rosinski, J. Spectral representations of infinitely divisible processes. 1989 Probab. Theory Related Fields. 82 451-487
    Paper not yet in RePEc: Add citation now
    
20. Resnick, S.I. . 2008 En : Extreme Values, Regular Variation and Point Processes. Springer: New York
    Paper not yet in RePEc: Add citation now
    
21. Rootzen, H. Extremes of moving averages of stable processes. 1978 Ann. Probab.. 6 847-869
    Paper not yet in RePEc: Add citation now
    
22. Rosinski, J. ; Samorodnitsky, G. Distributions of subadditive functionals of sample paths of infinitely divisible processes. 1993 Ann. Probab.. 21 996-1014
    Paper not yet in RePEc: Add citation now
    
23. Rønn-Nielsen, A. ; Jensen, E.B.V. Central limit theorem for mean and variogram estimators in Lévy-based models. 2019 J. Appl. Probab.. 56 209-222
    Paper not yet in RePEc: Add citation now
    
24. Rønn-Nielsen, A. ; Jensen, E.B.V. Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure. 2016 J. Appl. Probab.. 53 244-261
    Paper not yet in RePEc: Add citation now
    
25. Samorodnitsky, G. . 2016 En : Stochastic Processes and Long Range Dependence. Springer: Switzerland
    Paper not yet in RePEc: Add citation now
    
26. Samorodnitsky, G. ; Taqqu, M. . 1994 En : Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance. Chapman & Hall: New York
    Paper not yet in RePEc: Add citation now
    
27. Samorodnitsky, G. ; Wang, Y. Extremal theory for long range dependent infinitely divisble processes. 2019 Ann. Probab.. 47 2529-2562
    Paper not yet in RePEc: Add citation now
    

28. Samorodnitsky, G. ; Wang, Y. Extreme value theory for long range dependent stable random fields. 2020 J. Theoret. Probab.. 33 1894-1918

29. Sato, K. . 1999 En : Lévy Processes and Infinitely Divisible Distributions. Cambridge University Press:
    Paper not yet in RePEc: Add citation now
    
30. Schneider, R. Convex Bodies: The Bruun–Minkowski Theory. 1993 Cambridge University Press:
    Paper not yet in RePEc: Add citation now
    
31. Soja-Kukieła, N. On maxima of stationary fields. 2019 J. Appl. Probab.. 56 1217-1230
    Paper not yet in RePEc: Add citation now
    
32. Stehr, M. ; Rønn-Nielsen, A. Extreme value theory for spatial random fields – with applications to a Lévy-driven field. 2021 Extremes. 24 753-795
    Paper not yet in RePEc: Add citation now
    
33. Stehr, M. ; Rønn-Nielsen, A. Tail asymptotics of an infinitely divisible space-time model with convolution equivalent Lévy measure. 2021 J. Appl. Probab.. 58 42-67
    Paper not yet in RePEc: Add citation now
    

1. Is volatility clustering of asset returns asymmetric?. (2015). Xu, Dinghai ; Ning, Cathy ; Wirjanto, Tony S..
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:52:y:2015:i:c:p:62-76.

   Full description at Econpapers || Download paper

2. Calibrating the Italian smile with time-varying volatility and heavy-tailed models. (2014). Fabozzi, Frank ; Rachev, Svetlozar T. ; Bianchi, Michele Leonardo.
   In: Temi di discussione (Economic working papers).
   RePEc:bdi:wptemi:td_944_14.

   Full description at Econpapers || Download paper

3. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20080011.

   Full description at Econpapers || Download paper

4. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2008). Racicot, François-Éric ; Theoret, Raymond ; Coen, Alain.
   In: International Advances in Economic Research.
   RePEc:kap:iaecre:v:14:y:2008:i:1:p:112-124:10.1007/s11294-008-9134-2.

   Full description at Econpapers || Download paper

5. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2008). Loretan, Mico ; Hjalmarsson, Erik ; CHIQUOINE, BENJAMIN ; Chaboud, Alain.
   In: BIS Working Papers.
   RePEc:bis:biswps:249.

   Full description at Econpapers || Download paper

6. Modelling Electricity Prices with Forward Looking Capacity Constraints. (2008). Figueroa, Marcelo ; Cartea, Álvaro ; Geman, Helyette.
   In: Birkbeck Working Papers in Economics and Finance.
   RePEc:bbk:bbkefp:0802.

   Full description at Econpapers || Download paper

7. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2007). Loretan, Mico ; Hjalmarsson, Erik ; CHIQUOINE, BENJAMIN ; Chaboud, Alain.
   In: International Finance Discussion Papers.
   RePEc:fip:fedgif:905.

   Full description at Econpapers || Download paper

8. Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility. (2006). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz.
   In: The Warwick Economics Research Paper Series (TWERPS).
   RePEc:wrk:warwec:777.

   Full description at Econpapers || Download paper

9. Realized Volatility and Asymmetries in the A.S.E. Returns. (2006). Thomakos, Dimitrios ; Koubouros, Michail.
   In: Finance.
   RePEc:wpa:wuwpfi:0507012.

   Full description at Econpapers || Download paper

10. Realized Volatility and Asymmetries in the A.S.E. Returns. (2006). Thomakos, Dimitrios ; Koubouros, Michail.
    In: Finance.
    RePEc:wpa:wuwpfi:0504009.

    Full description at Econpapers || Download paper

11. Nonparametric Density Estimation for Positive Time Series. (2006). Rombouts, Jeroen ; Bouezmarni, Taoufik.
    In: Cahiers de recherche.
    RePEc:iea:carech:0609.

    Full description at Econpapers || Download paper

12. A forecast comparison of volatility models: does anything beat a GARCH(1,1)?. (2005). Lunde, Asger ; Hansen, Peter.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:20:y:2005:i:7:p:873-889.

    Full description at Econpapers || Download paper

13. Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes. (2004). Wu, Liuren ; Huang, Jingzhi.
    In: Finance.
    RePEc:wpa:wuwpfi:0401002.

    Full description at Econpapers || Download paper

14. Testing for Mean Reversion in Processes of Ornstein-Uhlenbeck Type. (2004). Maller, R. ; Szimayer, A..
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:7:y:2004:i:2:p:95-113.

    Full description at Econpapers || Download paper

15. Multipower Variation and Stochastic Volatility. (2004). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0430.

    Full description at Econpapers || Download paper

16. 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

17. 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

18. Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations. (2004). Sentana, Enrique ; Mencia, Javier.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2004_0411.

    Full description at Econpapers || Download paper

19. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-25.

    Full description at Econpapers || Download paper

20. 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

21. Consistency Problems For Jump-Diffusion Models. (2003). Chen, Li ; Bayraktar, Erhan.
    In: Finance.
    RePEc:wpa:wuwpfi:0304003.

    Full description at Econpapers || Download paper

22. 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

23. 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

24. 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

25. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. (2003). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0312.

    Full description at Econpapers || Download paper

26. A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data. (2003). Ait-Sahalia, Yacine ; Mykland, Per A. ; Zhang, Lan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10111.

    Full description at Econpapers || Download paper

27. Option Valuation with Conditional Skewness. (2003). Heston, Steve ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-50.

    Full description at Econpapers || Download paper

28. Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?. (2002). Wu, Liuren ; Heidari, Massoud.
    In: Finance.
    RePEc:wpa:wuwpfi:0207013.

    Full description at Econpapers || Download paper

29. Time-Changed Levy Processes and Option Pricing. (2002). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0207011.

    Full description at Econpapers || Download paper

30. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

    Full description at Econpapers || Download paper

31. Power Variation and Time Change. (2002). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0224.

    Full description at Econpapers || Download paper

32. Measuring and forecasting financial variability using realised variance with and without a model. (2002). Shephard, Neil ; Nielsen, Bent ; Ysusi, Carla.
    In: Economics Papers.
    RePEc:nuf:econwp:0221.

    Full description at Econpapers || Download paper

33. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics. (2002). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0213.

    Full description at Econpapers || Download paper

34. Affine Processes and Application in Finance. (2002). Duffie, Darrell ; Schachermayer, W. ; Filipovic, D..
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0281.

    Full description at Econpapers || Download paper

35. 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

36. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options. (2002). Zhang, Xibin ; Yu, Jun ; Yang, Zhenlin.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-17.

    Full description at Econpapers || Download paper

37. Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. (2002). Bollerslev, Tim ; Forsberg, Lars.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:535-548.

    Full description at Econpapers || Download paper

38. Estimating quadratic variation using realized variance. (2002). Shephard, Neil.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:457-477.

    Full description at Econpapers || Download paper

39. 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

40. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

    Full description at Econpapers || Download paper

41. Comment on Garland B. Durham and A. Ronald Gallants Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes. (2001). Shephard, Neil ; Chib, Siddhartha.
    In: Economics Papers.
    RePEc:nuf:econwp:0126.

    Full description at Econpapers || Download paper

42. Some recent developments in stochastic volatility modelling. (2001). Shephard, Neil ; Nicolato, Elisa.
    In: Economics Papers.
    RePEc:nuf:econwp:0125.

    Full description at Econpapers || Download paper

43. Estimating quadratic variation using realised volatility. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0120.

    Full description at Econpapers || Download paper

44. Realised power variation and stochastic volatility models. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0118.

    Full description at Econpapers || Download paper

45. How accurate is the asymptotic approximation to the distribution of realised volatility?. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0116.

    Full description at Econpapers || Download paper

46. Normal modified stable processes. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0106.

    Full description at Econpapers || Download paper

47. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0104.

    Full description at Econpapers || Download paper

48. High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models. (2001). Diebold, Francis ; Alizadeh, Sassan ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8162.

    Full description at Econpapers || Download paper

49. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

    Full description at Econpapers || Download paper

50. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

    Full description at Econpapers || Download paper

Report date: 2025-09-30 02:31:04 || Missing content? Let us know