This document has not been cited yet.

1. Aı̈t-Sahalia, Y., 2004. Disentangling diffusion from jumps. Journal of Financial Economics 74, 487–528.
   Paper not yet in RePEc: Add citation now
   
2. Aıt-Sahalia, Y., Hansen, L., Scheinkman, J., 2003. Operator methods for continuoustime markov models. Handbook of Financial Econometrics. Amsterdam: North-Holland. Forthcoming.
   Paper not yet in RePEc: Add citation now
   
3. Aalen, O. O., Gjessing, H. K., 2004. Survival models based on the Ornstein-Uhlenbeck process. Lifetime data analysis 10 (4), 407–423.
   Paper not yet in RePEc: Add citation now
   
4. Aldous, D., 1989. Probability approximations via the Poisson clumping heuristic. Vol. 77. Springer-Verlag, New York.
   Paper not yet in RePEc: Add citation now
   

5. Andersen, T. G., Bollerslev, T., 1998b. Deutsch mark-dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies. Journal of Finance 53, 219–265.

6. Andersen, T. G., Bollerslev, T., Dobrev, D., 2007. No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise: Theory and testable distributional implications. Journal of Econometrics 138 (1), 125–180.

7. Andersen, T. G., Dobrev, D., Schaumburg, E., 2012. Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics 169 (1), 75–93.

8. Andersen, T., Bollerslev, T., 1998. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International Economic Review, 885–905.

9. Arnold, L., 1974. Stochastic differential equations. A Wiley-Interscience publication. Wiley.
   Paper not yet in RePEc: Add citation now
   

10. Balvers, R., Wu, Y., Gilliland, E., 2000. Mean reversion across national stock markets and parametric contrarian investment strategies. The Journal of Finance 55 (2), 745–772.

11. Bandi, F. M., Russell, J. R., 2005. On the finite sample properties of kernel-based integrated variance estimators. Unpublished paper, Graduate School of Business, University of Chicago.
    Paper not yet in RePEc: Add citation now
    

12. Bandi, F. M., Russell, J. R., 2006. Separating microstructure noise from volatility. Journal of Financial Economics 79 (3), 655–692.

13. Barndorff-Nielsen, O. E., Shephard, 2002. Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Journal Of The Royal Statistical Society Series B 64 (2), 253–280.

14. Barndorff-Nielsen, O. E., Shephard, N., 2001. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 63 (2), 167–241.

15. Barndorff-Nielsen, O. E., Shephard, N., 2004. Power and bipower variation with stochastic volatility and jumps (with discussion). Journal of Financial Econometrics 2 (1), 1–37.

16. Bekaert, G., Hodrick, R. J., 1992. Characterizing predictable components in excess returns on equity and foreign exchange markets. The Journal of Finance 47 (2), 467–509.

17. Bessembinder, H., Chan, K., 1992. Time-varying risk premia and forecastable returns in futures markets. Journal of Financial Economics 32 (2), 169–193.

18. Boudt, K., Croux, C., Laurent, S., 2011. Robust estimation of intraweek periodicity in volatility and jump detection. Journal of Empirical Finance 18 (2), 353–367.

19. Boudt, K., Laurent, S., Lunde, A., Quaedvlieg, R., Sauri, O., 2017. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. Journal of Econometrics 196 (2), 347–367.

20. Campbell, J. Y., Ammer, J., 1993. What moves the stock and bond markets? A variance decomposition for long-term asset returns. The Journal of Finance 48 (1), 3–37.

21. Campbell, J. Y., Hamao, Y., 1992. Predictable stock returns in the United States and Japan: A study of long-term capital market integration. The Journal of Finance 47 (1), 43–69.

22. Chaudhuri, K., Wu, Y., 2003. Random walk versus breaking trend in stock prices: Evidence from emerging markets. Journal of Banking and Finance 27 (4), 575–592.

23. Christensen, K., Oomen, R., Renò, R., 2016. The drift burst hypothesis. Tech. rep., Department of Economics and Business Economics, Aarhus University.

24. Dumitru, A., Urga, G., 2012. Identifying jumps in financial assests: a comparison between nonparametric jump tests. Journal of Business and Economic Statistics 30, 242–255.

25. Etienne, X. L., Irwin, S. H., Garcia, P., 2014. Bubbles in food commodity markets: Four decades of evidence. Journal of International Money and Finance 42, 129–155.

26. Fama, E. F., French, K. R., 1988. Permanent and temporary components of stock prices. Journal of Political Economy 96 (2), 246–273.

27. Gutierrez, L., 2012. Speculative bubbles in agricultural commodity markets. European Review of Agricultural Economics 40 (2), 217–238.
    Paper not yet in RePEc: Add citation now
    

28. Hansen, L. P., Scheinkman, J. A., 1995. Back to the future: Generating moment implications for continuous-time markov processes. Econometrica: Journal of the Econometric Society, 767–804.

29. Homm, U., Breitung, J., 2012. Testing for speculative bubbles in stock markets: a comparison of alternative methods. Journal of Financial Econometrics 10 (1), 198–231.
    Paper not yet in RePEc: Add citation now
    

30. Lee, S. S., Hannig, J., 2010. Detecting jumps from levy jump diffusion processes. Journal of Financial Economics 96, 271–290.

31. Lee, S. S., Mykland, P. A., 2008. Jumps in financial markets: A new nonparametric test and jump dynamics. Review of Financial Studies 21 (6), 2535–2563.

32. Lee, S. S., Mykland, P. A., 2012. Jumps in equilibrium prices and market microstructure noise. Journal of Econometrics 168 (2), 396–406.

33. Lo, A. W., MacKinlay, A. C., 1988. Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies 1 (1), 41–66.

34. Lo, A. W., Wang, J., 1995. Implementing option pricing models when asset returns are predictable. The Journal of Finance 50 (1), 87–129.

35. Mancini, C., 2009. Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps. Scandinavian Journal of Statistics 36, 270–296.

36. Mancini, C., Calvori, F., 2012. Jumps. In: Bauwens, L., Hafner, C., Laurent, S. (Eds.), Handbook of Volatility Models and Their Applications. Wiley.
    Paper not yet in RePEc: Add citation now
    
37. Maronna, R. A., Martin, D. R., Yohai, V. J., 2006. Robust Statistics: Theory and Methods. Wiley.
    Paper not yet in RePEc: Add citation now
    

38. Meddahi, N., 2002. A theoretical comparison between integrated and realized volatility. Journal of Applied Econometrics 17 (5), 479–508.

39. Mutangi, K., Matarise, D. F., 2011. On how to find the norming constants for the maxima of a folded normally distributed variable. Journal of Statistical Research.
    Paper not yet in RePEc: Add citation now
    
40. Nelson, D. B., 1991. ARCH models as diffusion approximations. Journal of Econometrics 45, 7–38.
    Paper not yet in RePEc: Add citation now
    

41. Nicolato, E., Venardos, E., 2003. Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type. Mathematical Finance 13 (4), 445–466.

42. Park, S., Linton, O., 2011. Realized volatility: Theory and application. In: Bauwens, L., Hafner, C., Laurent, S. (Eds.), Handbook of Volatility Models and Their Applications. Wiley.
    Paper not yet in RePEc: Add citation now
    

43. Phillips, P. C., 1987. Time series regression with a unit root. Econometrica, 277–301.

44. Phillips, P. C., Magdalinos, T., 2007. Limit theory for moderate deviations from a unit root. Journal of Econometrics 136 (1), 115–130.

45. Phillips, P. C., Shi, S., 2017. Detecting financial collapse and ballooning sovereign risk. Cowles Foudation Discussion Paper No. 3010.

46. Phillips, P. C., Shi, S., Yu, J., 2015. Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review 56 (4), 1043– 1078.
    Paper not yet in RePEc: Add citation now
    

47. Phillips, P. C., Wu, Y., Yu, J., 2011. Explosive behavior in the 1990s NASDAQ: When did exuberance escalate asset values? International Economic Review 52 (1), 201–226.

48. Phillips, P. C., Yu, J., 2011. Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics 2 (3), 455–491.

49. Podolskij, M., Vetter, M., 2009. Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps. Bernoulli 15 (3), 634–658.
    Paper not yet in RePEc: Add citation now
    

50. Shi, S., Song, Y., 2016. Identifying speculative bubbles using an infinite hidden Markov model. Journal of Financial Econometrics 14 (1), 159–184.

51. Taylor, S., Xu, X., 1997. The incremental volatility information in one million foreign exchange quotations. Journal of Empirical Finance 4, 317–340.

52. Wang, X., Yu, J., 2016. Double asymptotics for explosive continuous time models. Journal of Econometrics 193, 35–53.

53. Zhou, Q., Yu, J., 2015. Asymptotic theory for linear diffusions under alternative sampling schemes. Economics Letters 128, 1–5.

1. On the intraday periodicity duration adjustment of high-frequency data. (2012). Wu, Zhengxiao.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:19:y:2012:i:2:p:282-291.

   Full description at Econpapers || Download paper

2. Á GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Market Index and the Sustainability Index. (2010). Sariannidis, Nikolaos ; Litinas, Nicolaos ; Giannarakis, Grigoris ; Konteos, George.
   In: European Research Studies Journal.
   RePEc:ers:journl:v:xiii:y:2010:i:1:p:129-142.

   Full description at Econpapers || Download paper

3. The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility. (2009). Laakkonen, Helinä ; Lanne, Markku.
   In: MPRA Paper.
   RePEc:pra:mprapa:23718.

   Full description at Econpapers || Download paper

4. The Influence of Actual and Unrequited Interventions. (2007). Dominguez, Kathryn ; Kathryn M. E. Dominguez, ; Panthaki, Freyan .
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12953.

   Full description at Econpapers || Download paper

5. The Impact of Macroeconomic News on Exchange Rate Volatility. (2007). Laakkonen, Helinä.
   In: Finnish Economic Papers.
   RePEc:fep:journl:v:20:y:2007:i:1:p:23-40.

   Full description at Econpapers || Download paper

6. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
   In: CREATES Research Papers.
   RePEc:aah:create:2007-25.

   Full description at Econpapers || Download paper

7. A systematic modelling strategy for futures markets volatility. (2006). da Costa, Jose Sa ; Lopes, Jose Assis ; Carvalho, Ana Filipa .
   In: Applied Financial Economics.
   RePEc:taf:apfiec:v:16:y:2006:i:11:p:819-833.

   Full description at Econpapers || Download paper

8. Price Impacts of Deals and Predictability of the Exchange Rate Movements. (2006). Ito, Takatoshi ; Hashimoto, Yuko.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12682.

   Full description at Econpapers || Download paper

9. Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System. (2006). Ito, Takatoshi ; Hashimoto, Yuko.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12413.

   Full description at Econpapers || Download paper

10. Intraday Linkages Across International Equity Markets. (2006). Hussain, Syed Mujahid ; Harju, Kari.
    In: Working Papers.
    RePEc:hhb:hanken:0516.

    Full description at Econpapers || Download paper

11. Intraday Seasonalities and Macroeconomic News Announcements. (2006). Hussain, Mujahid ; Harju, Kari.
    In: Working Papers.
    RePEc:hhb:hanken:0512.

    Full description at Econpapers || Download paper

12. Informed and strategic order flow in the bond markets. (2006). Vega, Clara ; Pasquariello, Paolo.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:874.

    Full description at Econpapers || Download paper

13. The yield curve as a predictor and emerging economies. (2006). Mehl, Arnaud.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006691.

    Full description at Econpapers || Download paper

14. Which news moves the euro area bond market?. (2006). Sebestyén, Szabolcs ; Sebestyen, Szabolcs ; Andersson, Magnus ; Hansen, Lars Jul .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006631.

    Full description at Econpapers || Download paper

15. Asymmetric Information in the Stock Market: Economic News and Co-movement. (2006). Vega, Clara ; Albuquerque, Rui.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5598.

    Full description at Econpapers || Download paper

16. What Defines News in Foreign Exchange Markets?. (2005). Dominguez, Kathryn ; Panthaki, Freyan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11769.

    Full description at Econpapers || Download paper

17. Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission. (2005). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11166.

    Full description at Econpapers || Download paper

18. Do Currency Markets Absorb News Quickly?. (2005). Lyons, Richard ; Evans, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11041.

    Full description at Econpapers || Download paper

19. CEE Banking Sector Co-Movement: Contagion or Interdependence?. (2005). lucey, brian ; Jokipii, Terhi.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp077.

    Full description at Econpapers || Download paper

20. Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach. (2005). Zarate-Solano, Hector ; Rodríguez N., Norberto ; Julio, Juan ; Rodriguez, Norberto.
    In: Borradores de Economia.
    RePEc:col:000094:002605.

    Full description at Econpapers || Download paper

21. Public information arrival and volatility persistence in financial markets. (2004). Janssen, Gust .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:10:y:2004:i:3:p:177-197.

    Full description at Econpapers || Download paper

22. Exchange-rate uncertainty and workers remittances. (2004). Pozo, Susan ; Higgins, Matthew L. ; Hysenbegasi, Alketa.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:6:p:403-411.

    Full description at Econpapers || Download paper

23. Trading collar, intraday periodicity and stock market volatility. (2004). Aradhyula, Satheesh ; Ergun, Tolga A..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:13:p:909-913.

    Full description at Econpapers || Download paper

24. Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates. (2004). Gau, Yin-Feng ; Hau, M..
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:11:y:2004:i:4:p:263-266.

    Full description at Econpapers || Download paper

25. Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System. (2004). Ito, Takatoshi ; Hashi, Yuko.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10856.

    Full description at Econpapers || Download paper

26. Volatility Comovement: A Multifrequency Approach. (2004). Fisher, Adlai ; Calvet, Laurent ; Thompson, Samuel B..
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0300.

    Full description at Econpapers || Download paper

27. Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model. (2004). Dark, Jonathan.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-7.

    Full description at Econpapers || Download paper

28. Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures. (2004). Dark, Jonathan.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-5.

    Full description at Econpapers || Download paper

29. Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures. (2004). Dark, Jonathan.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-4.

    Full description at Econpapers || Download paper

30. The Impact of the Japanese Banking Crisis on the Intraday FX Market. (2004). Hashimoto, Yuko.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:679.

    Full description at Econpapers || Download paper

31. Exchange rates and fundamentals: new evidence from real-time data. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004365.

    Full description at Econpapers || Download paper

32. Equal size, equal role? Interdependence between the euro area and the United States. (2004). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004342.

    Full description at Econpapers || Download paper

33. Equal size, equal role? Interest rate interdependence between the Euro area and the United States. (2003). Fratzscher, Marcel ; Ehrmann, Michael.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200346.

    Full description at Econpapers || Download paper

34. 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

35. How is Macro News Transmitted to Exchange Rates?. (2003). Lyons, Richard ; Evans, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9433.

    Full description at Econpapers || Download paper

36. 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

37. 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.

    Full description at Econpapers || Download paper

38. Macro Surprises And Short-Term Behaviour In Bond Futures. (2002). DURENARD, Eugene .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-03.

    Full description at Econpapers || Download paper

39. What can we learn about monetary policy transparency from financial market data?. (2001). Courtenay, Roger ; Clare, Andrew.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4152.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

41. 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

42. FX Trading and Exchange Rate Dynamics. (2001). Evans, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8116.

    Full description at Econpapers || Download paper

43. Assessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes. (2001). Courtenay, Roger ; Clare, Andrew.
    In: Bank of England working papers.
    RePEc:boe:boeewp:125.

    Full description at Econpapers || Download paper

44. How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?. (2000). Marsh, Ian ; Cheung, Yin-Wong ; Chinn, Menzie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7524.

    Full description at Econpapers || Download paper

45. Support for resistance: technical analysis and intraday exchange rates. (2000). Osler, Carol.
    In: Economic Policy Review.
    RePEc:fip:fednep:y:2000:i:jul:p:53-68:n:v.6no.2.

    Full description at Econpapers || Download paper

46. Modeling the Volatility In the Central Bank Reserves In An Emerging Market Setting. (1999). Salih, Aslihan ; Salman, Ferhan.
    In: Working Papers.
    RePEc:tcb:wpaper:9901.

    Full description at Econpapers || Download paper

47. The Market Microstructure of Central Bank Intervention. (1999). Dominguez, Kathryn.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7337.

    Full description at Econpapers || Download paper

48. Order Flow and Exchange Rate Dynamics. (1999). Lyons, Richard ; Evans, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7317.

    Full description at Econpapers || Download paper

49. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Working Papers in Applied Economic Theory.
    RePEc:fip:fedfap:99-09.

    Full description at Econpapers || Download paper

50. How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?. (1999). Marsh, Ian ; Cheung, Yin-Wong ; Chinn, Menzie.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2230.

    Full description at Econpapers || Download paper

Report date: 2025-09-05 07:15:13 || Missing content? Let us know