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2. The forecasting accuracy of implied volatility from ECX carbon options. (2014). Veld-Merkoulova, Yulia ; Viteva, Svetlana ; Campbell, Kevin.
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3. Foreign Exchange Volatility Is Priced in Equities. (2008). Neely, Christopher ; Guo, Hui ; Higbee, Jason .
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4. Year-end seasonality in one-month LIBOR derivatives. (2005). Neely, Christopher ; Winters, Drew B..
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   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002171.

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2. The Fourier–Malliavin Volatility (FMVol) MATLAB® library. (2024). Sanfelici, Simona ; Toscano, Giacomo.
   In: Mathematics and Computers in Simulation (MATCOM).
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3. A universal exponent governing foreign exchange rate risks. (2024). Grobys, Klaus.
   In: International Review of Financial Analysis.
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4. Prediction of realized volatility and implied volatility indices using AI and machine learning: A review. (2024). Westgaard, Sjur ; Risstad, Morten ; Isern, Hkon Ramon ; Gunnarsson, Elias Sovik ; Vigdel, Benjamin ; Kaloudis, Aristidis.
   In: International Review of Financial Analysis.
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5. Consistent Estimation of the High-Dimensional Efficient Frontier. (2024). Parolya, Nestor ; Hautsch, Nikolaus ; Okhrin, Yarema ; Bodnar, Taras.
   In: Papers.
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6. Correlation versus co-fractality: Evidence from foreign-exchange-rate variances. (2023). Grobys, Klaus.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000479.

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7. Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Mancino, Maria Elvira ; Mariotti, Tommaso ; Toscano, Giacomo.
   In: Papers.
   RePEc:arx:papers:2209.08967.

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8. Volatility Spillovers in a Long-Memory VAR: an Application to Energy Futures Returns. (2018). Perez-Laborda, Alejandro ; Lovcha, Yuliya.
   In: Working Papers.
   RePEc:urv:wpaper:2072/307362.

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9. Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models. (2017). Asai, Manabu ; Peiris, Shelton.
   In: JRFM.
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10. Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland. (2016). Molnár, Peter ; Lyócsa, Štefan ; Fedorko, Igor.
    In: Czech Journal of Economics and Finance (Finance a uver).
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11. Non‐stationary non‐parametric volatility model. (2012). Han, Heejoon ; Zhang, Shen.
    In: Econometrics Journal.
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12. Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects. (2012). Corsi, Fulvio ; Audrino, Francesco.
    In: Journal of Financial Econometrics.
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13. Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper. (2011). Miao, Hong ; Khalifa, Ahmed ; Ramchander, Sanjay ; Ahmed A. A. Khalifa, .
    In: Journal of Futures Markets.
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14. Modeling and forecasting realized range volatility. (2011). Caporin, Massimiliano ; Velo, Gabriel G..
    In: Marco Fanno Working Papers.
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    In: Economics of Security Working Paper Series.
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16. Financial Markets Modelling. (2009). Tsenkov, Vladimir.
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17. Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. (2009). Podolskij, Mark ; Christensen, Kim ; Kinnebrock, Silja .
    In: CREATES Research Papers.
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18. Forecasting volatility with outliers in GARCH models. (2008). CHARLES, Amelie.
    In: Journal of Forecasting.
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19. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2008). Loretan, Mico ; Hjalmarsson, Erik ; CHIQUOINE, BENJAMIN ; Chaboud, Alain.
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20. 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.
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21. The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
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22. Diversifikationseffekte durch Small und Mid Caps?. (2005). Borgsen, Sina ; Glaser, Markus.
    In: Sonderforschungsbereich 504 Publications.
    RePEc:xrs:sfbmaa:05-10.

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23. Forecasting Exchange Rate Volatility In The Presence Of Jumps. (2005). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Paper.
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24. Diversifikationseffekte durch small und mid caps? : Eine empirische Untersuchung basierend auf europäischen Aktienindizes. (2005). Borgsen, Sina ; Glaser, Markus.
    In: Papers.
    RePEc:mnh:spaper:2668.

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25. Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange. (2005). Duchesne, Pierre ; Dionne, Georges ; Pacurar, Maria.
    In: Cahiers de recherche.
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26. Technical trading and the volatility of exchange rates. (2004). Herz, Bernhard ; Bauer, Christian.
    In: Quantitative Finance.
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27. Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). Carnero, M. Angeles.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342.

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28. Nonlinear effects of exchange rate volatility on the volume of bilateral exports. (2004). Ozkan, Neslihan ; Caglayan, Mustafa ; Baum, Christopher.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:19:y:2004:i:1:p:1-23.

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29. Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?. (2004). Neely, Christopher.
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    RePEc:fip:fedlwp:2003-018.

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30. Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?. (2004). Neely, Christopher.
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31. The dynamics of stochastic volatility: evidence from underlying and options markets. (2003). Jones, Christopher S..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:181-224.

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

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33. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-23.

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34. A theoretical comparison between integrated and realized volatility. (2002). Meddahi, Nour.
    In: Journal of Applied Econometrics.
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35. Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics. (2002). Neely, Christopher ; Weller, Paul A..
    In: Review.
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36. Modeling daily realized futures volatility with singular spectrum analysis. (2002). Wang, Tao ; Thomakos, Dimitrios ; Wille, Luc T..
    In: Physica A: Statistical Mechanics and its Applications.
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37. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Anderson, Torben G..
    In: Working Papers.
    RePEc:ecl:upafin:02-1.

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38. Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports. (2002). Ozkan, Neslihan ; Caglayan, Mustafa ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:488.

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39. An Empirical Investigation of Continuous‐Time Equity Return Models. (2002). Benzoni, Luca ; Andersen, Torben.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:57:y:2002:i:3:p:1239-1284.

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40. Exchange Rate Effects on the Volume of Trade Flows: An Empirical Analysis Employing High-Frequency Data. (2001). Caglayan, Mustafa ; Baum, Christopher.
    In: Computing in Economics and Finance 2001.
    RePEc:sce:scecf1:85.

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41. An Empirical Investigation of Continuous-Time Equity Return Models. (2001). Benzoni, Luca ; Andersen, Torben ; Lund, Jesper .
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    RePEc:nbr:nberwo:8510.

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42. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics. (2001). Neely, Christopher ; Weller, Paul A..
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    RePEc:fip:fedlwp:2001-009.

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

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44. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:4:y:2000:i:3-4:p:159-179.

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45. Exchange Rate Effects on the Volume of Trade Flows: An Empirical Analysis Employing High-Frequency Data. (2000). Ozkan, Neslihan ; Caglayan, Mustafa ; Baum, Christopher.
    In: CeNDEF Workshop Papers, January 2001.
    RePEc:ams:cdws01:5b.1.

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