1. Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?. (2025). Zhang, Xueer ; Chiu, Chienliang ; Hung, Juicheng.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:45:y:2025:i:4:p:326-342.

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2. Time-varying predictability of TAIEX volatility. (2025). Pan, Ging-Ginq ; Shiu, Yung-Ming ; Wu, Tu-Cheng.
   In: Review of Derivatives Research.
   RePEc:kap:revdev:v:28:y:2025:i:2:d:10.1007_s11147-025-09212-9.

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3. From fair price to fair volatility: Towards an Efficiency-Consistent Definition of Financial Risk. (2025). Pianese, Augusto ; Frezza, Massimiliano ; Angelini, Daniele ; Bianchi, Sergio.
   In: Papers.
   RePEc:arx:papers:2508.11649.

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4. Foundation Time-Series AI Model for Realized Volatility Forecasting. (2025). Magris, Martin ; Pasricha, Puneet ; Goel, Anubha ; Kanniainen, Juho.
   In: Papers.
   RePEc:arx:papers:2505.11163.

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5. A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger.
   In: Papers.
   RePEc:arx:papers:2012.02708.

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6. Volatility forecasts by clustering: Applications for VaR estimation. (2024). Wang, Zijin ; Liu, Peng ; Chen, Peimin ; Wu, Chunchi.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003320.

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7. Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set. (2024). Wang, Gang-Jin ; Zeng, Zhi-Jian ; Li, Zhao-Chen ; Zhu, You ; Gong, Jue ; Xie, Chi.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:93:y:2024:i:pb:p:673-711.

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8. The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets: A regime weighted measure and its forecast inference. (2024). Uddin, Gazi ; Hao, Zhu Shi ; Sheng, Lin Wen ; Sen, Ding.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004805.

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9. Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam.
   In: Accounting and Finance.
   RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128.

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10. Application of Copula Methods in Financial Risk Management: Case of the Zimbabwe Stock Exchange and the Victoria Falls Stock Exchange.. (2024). Basvi, Brian.
    In: International Journal of Research and Scientific Innovation.
    RePEc:bjc:journl:v:11:y:2024:i:5:p:674-695.

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11. Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea.
    In: Papers.
    RePEc:arx:papers:2412.09517.

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12. HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco.
    In: Papers.
    RePEc:arx:papers:2406.08041.

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13. Modeling skewness in portfolio choice. (2023). Markellos, Raphael ; Le, Trung H ; Kourtis, Apostolos.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:43:y:2023:i:6:p:734-770.

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14. Forecasting swap rate volatility with information from swaptions. (2023). Liu, Xiaoxi ; Xie, Jinming.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:43:y:2023:i:4:p:455-479.

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15. Does the tail risk index matter in forecasting downside risk?. (2023). Hung, Juicheng ; Yang, Jimmy J ; Liu, Hungchun.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3451-3466.

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16. Stock exchange volatility forecasting under market stress with MIDAS regression. (2023). Kors, Murat ; Karan, Mehmet Baha.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:1:p:295-306.

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17. Forecasting VIX: the illusion of forecast evaluation criteria. (2023). Degiannakis, Stavros ; Kafousaki, Eleftheria.
    In: Economics and Business Letters.
    RePEc:ove:journl:aid:18848.

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18. Asymmetric spillover of geopolitical risk and oil price volatility: A global perspective. (2023). Wang, Yudong ; Zhang, Zhikai ; Li, Bin.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723004129.

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19. Improving variance forecasts: The role of Realized Variance features. (2023). Tzavalis, Elias ; Rompolis, Leonidas ; Papantonis, Ioannis.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237.

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20. Threats to central bank independence and exchange rate volatility: High-frequency identification with Trump’s Fed tweets. (2023). Liu, Yifan ; Popova, Ivilina.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000156.

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21. Forecasting European stock volatility: The role of the UK. (2023). Gao, Xiang ; Gu, Chen.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002442.

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22. The impact of the Russian-Ukrainian war on global financial markets. (2023). Muradoglu, Yaz ; Muradolu, Yaz Gulnur ; Pappas, Vasileios ; Sivaprasad, Sheeja ; Izzeldin, Marwan ; Petropoulou, Athina.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:87:y:2023:i:c:s105752192300114x.

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23. Volatility measurement with pockets of extreme return persistence. (2023). Andersen, Torben ; Li, Yingying ; Todorov, Viktor ; Zhou, BO.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:2:s0304407620303924.

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24. Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario. (2023). Zhou, Xiangjing ; Xu, Wen ; Lu, Ran ; Zeng, Hongjun.
    In: Economic Analysis and Policy.
    RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1465-1481.

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25. Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Tzavalis, Elias ; Papantonis, Ioannis ; Elias, Tzavalis ; Leonidas, Rompolis ; Ioannis, Papantonis ; Orestis, Agapitos.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8.

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26. Forecasting swap rate volatility with information from swaptions. (2023). Liu, Xiaoxi ; Xie, Jinming.
    In: BIS Working Papers.
    RePEc:bis:biswps:1068.

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27. Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana.
    In: Papers.
    RePEc:arx:papers:2212.11833.

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28. Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model. (2022). Zhang, Yaojie ; Wei, YU ; Tang, Yusui ; Ma, Feng.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4770-4783.

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29. Forecasting stock market (realized) volatility in the United Kingdom: Is there a role of inequality?. (2022). GUPTA, RANGAN ; Demirer, Riza ; Yeganegi, Mohammad Reza ; Hassani, Hossein.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2146-2152.

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30. A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market: Evidence from over a century of data. (2022). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:1:p:384-400.

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31. To jump or not to jump: momentum of jumps in crude oil price volatility prediction. (2022). Zhang, Yaojie ; Wang, Yudong ; Wei, YU ; Ma, Feng.
    In: Financial Innovation.
    RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00360-7.

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32. Performance of advanced stock price models when it becomes exotic: an empirical study. (2022). Schoutens, Wim ; Stier, Hauke ; Junike, Gero.
    In: Annals of Finance.
    RePEc:kap:annfin:v:18:y:2022:i:1:d:10.1007_s10436-021-00396-2.

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33. The Informational Content of High-Frequency Option Prices. (2022). Begin, Jean-Franois ; Gauthier, Genevieve ; Amaya, Diego.
    In: Management Science.
    RePEc:inm:ormnsc:v:68:y:2022:i:3:p:2166-2201.

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34. Modeling Realized Variance with Realized Quarticity. (2022). Kawakatsu, Hiroyuki.
    In: Stats.
    RePEc:gam:jstats:v:5:y:2022:i:3:p:50-880:d:909009.

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35. Is Jump Robust Two Times Scaled Estimator Superior among Realized Volatility Competitors?. (2022). Arneric, Josip ; Uljak, Maria ; Igman, Ante.
    In: Mathematics.
    RePEc:gam:jmathe:v:10:y:2022:i:12:p:2124-:d:841883.

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36. Asymmetric volatility dynamics in cryptocurrency markets on multi-time scales. (2022). Kakinaka, Shinji ; Umeno, Ken.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922001404.

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37. Liquidity in the global currency market. (2022). Santucci de Magistris, Paolo ; Ranaldo, Angelo.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:146:y:2022:i:3:p:859-883.

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38. Partial moment momentum. (2022). Leung, Henry ; Gao, Yang ; Satchell, Stephen.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:135:y:2022:i:c:s0378426621003125.

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39. Jumps in stock prices: New insights from old data. (2022). Medeiros, Marcelo ; Johnson, James A ; Paye, Bradley S.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:60:y:2022:i:c:s1386418122000039.

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40. The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei.
    In: Energy.
    RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021526.

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41. Policy Evaluation and Temporal-Difference Learning in Continuous Time and Space: A Martingale Approach. (2022). Jia, Yanwei ; Yu, Xun.
    In: Papers.
    RePEc:arx:papers:2108.06655.

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42. VIX futures and its closed‐form pricing through an affine GARCH model with realized variance. (2021). Wang, Zerong.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:1:p:135-156.

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43. Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach. (2021). Kuang, Wei.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:8:p:1398-1419.

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44. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2021). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:3:p:416-438.

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45. Estimation for high-frequency data under parametric market microstructure noise. (2021). Potiron, Yoann ; Clinet, Simon.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:73:y:2021:i:4:d:10.1007_s10463-020-00762-3.

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46. Measuring the Jump Risk Contribution under Market Microstructure Noise – Evidence from Chinese Stock Market. (2021). Zhao, Xujie ; Yu, Chao.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2021:i:1:p:32-47.

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47. New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?. (2021). Tanaka, Katsuyuki ; Hamori, Shigeyuki ; Higashide, Takuo ; Kinkyo, Takuji.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:215-:d:551574.

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48. How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin. (2021). Ahmed, Walid.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001748.

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49. Asymmetric and time-frequency spillovers among commodities using high-frequency data. (2021). Vo, Xuan Vinh ; Shahzad, Syed Jawad Hussain ; Caporin, Massimiliano ; Arif, Muhammad ; Naeem, Muhammad Abubakr ; Hasan, Mudassar.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309879.

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50. Currency returns and downside risk: Debt, volatility, and the gap from benchmark values. (2021). Stillwagon, Josh ; Cavusoglu, Nevin ; Goldberg, Michael D.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:68:y:2021:i:c:s0164070421000161.

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51. Stock market volatility forecasting: Do we need high-frequency data?. (2021). Výrost, Tomáš ; Molnár, Peter ; Lyócsa, Štefan ; Vrost, Toma ; Lyocsa, Tefan ; Molnar, Peter.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:3:p:1092-1110.

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52. Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information. (2021). Wei, YU ; Li, Yan ; Ma, Feng ; Liang, Chao.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000922.

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53. Modelling the volatility of TOCOM energy futures: A regime switching realised volatility approach. (2021). Marsh, Ian W ; Huang, Chih-Yueh ; Alizadeh, Amir H.
    In: Energy Economics.
    RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319302063.

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54. President’s Tweets, US-China economic conflict and stock market Volatility: Evidence from China and G5 countries. (2021). Nishimura, Yusaku ; Sun, Bianxia.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:58:y:2021:i:c:s106294082100125x.

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55. Jump Interdependencies: Stochastic linkages among international stock markets. (2021). Kshatriya, Saranya ; Prasanna, Krishna.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000528.

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56. Trumps tweets: Sentiment, stock market volatility, and jumps. (2021). Nishimura, Yusaku ; Dong, Xuyi ; Sun, Bianxia.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:44:y:2021:i:3:p:497-512.

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57. Forward indifference valuation and hedging of basis risk under partial information. (2021). Tahvildari, Mahan.
    In: Papers.
    RePEc:arx:papers:2101.00251.

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58. Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2021). Hu, Junjie ; Hardle, Wolfgang Karl ; Kuo, Weiyu.
    In: Papers.
    RePEc:arx:papers:1912.05228.

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59. Uncertainty and the volatility forecasting power of option‐implied volatility. (2020). Seo, Sung Won ; Kim, Junsik ; Jeon, Byounghyun.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1109-1126.

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60. Volatility and jump risk in option returns. (2020). Lin, Hai ; guo, biao.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1767-1792.

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61. Cholesky–ANN models for predicting multivariate realized volatility. (2020). Bucci, Andrea.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:6:p:865-876.

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62. Realized density estimation using intraday prices. (2020). Arneric, Josip ; Josip, Arneri.
    In: Croatian Review of Economic, Business and Social Statistics.
    RePEc:vrs:crebss:v:6:y:2020:i:1:p:1-9:n:1.

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63. Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data. (2020). Mancino, Maria Elvira ; Scotti, S ; Toscano, G.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:27:y:2020:i:4:p:288-316.

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64. Extracting the global stochastic trend from non-synchronous data on the volatility of financial indices. (2020). Погорелова, Полина ; Peresetsky, Anatoly ; Pogorelova, Polina.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0387.

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65. Dispersion Trading Based on the Explanatory Power of S&P 500 Stock Returns. (2020). Schneider, Lucas ; Stubinger, Johannes.
    In: Mathematics.
    RePEc:gam:jmathe:v:8:y:2020:i:9:p:1627-:d:416291.

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66. Garch Model Test Using High-Frequency Data. (2020). Li, Yuan ; Zhang, Xingfa ; Xiong, Qiang ; Deng, Chunliang.
    In: Mathematics.
    RePEc:gam:jmathe:v:8:y:2020:i:11:p:1922-:d:438733.

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67. The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2020). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo.
    In: Working Papers.
    RePEc:fip:feddwp:1902.

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68. Forecasting value at risk with intra-day return curves. (2020). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:3:p:1023-1038.

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69. Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators. (2020). Hung, Jui-Cheng ; Yang, Jimmy J ; Liu, Hung-Chun.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300620.

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70. Trading volume and realized higher-order moments in the Australian stock market. (2020). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303403.

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71. The effect of return jumps on herd behavior. (2020). Wanidwaranan, Phasin ; Padungsaksawasdi, Chaiyuth.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020300599.

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72. Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio. (2020). Roberts, Stephen ; Zohren, Stefan ; Lim, Bryan.
    In: Papers.
    RePEc:arx:papers:2002.02008.

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73. Double Deep Q-Learning for Optimal Execution. (2020). Jaimungal, Sebastian ; Ho, Franco ; Ning, Brian.
    In: Papers.
    RePEc:arx:papers:1812.06600.

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74. Estimation for high-frequency data under parametric market microstructure noise. (2020). Potiron, Yoann ; Clinet, Simon.
    In: Papers.
    RePEc:arx:papers:1712.01479.

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75. New Evidence on the Portfolio Balance Approach to Currency Returns. (2019). Stillwagon, Josh ; Cavusoglu, Nevin ; Goldberg, Michael D.
    In: Working Papers Series.
    RePEc:thk:wpaper:89.

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76. Cholesky-ANN models for predicting multivariate realized volatility. (2019). Bucci, Andrea.
    In: MPRA Paper.
    RePEc:pra:mprapa:95137.

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77. Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500. (2019). Schneider, Lucas ; Stubinger, Johannes.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:51-:d:218983.

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78. The asymmetric effect of equity volatility on credit default swap spreads. (2019). Hyun, Jung-Soon ; Lee, Hwang Hee.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:98:y:2019:i:c:p:125-136.

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79. Volatility tail risk under fractionality. (2019). Santucci de Magistris, Paolo ; Morelli, Giacomo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302298.

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80. The information content of short-term options. (2019). Symeonidis, Lazaros ; Oikonomou, Ioannis ; Simen, Chardin Wese ; Stancu, Andrei.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118303057.

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81. Comparison of range-based volatility estimators against integrated volatility in European emerging markets. (2019). Sorić, Petar ; Arneric, Josip ; Matkovi, Mario.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:28:y:2019:i:c:p:118-124.

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82. Modeling intraday volatility of European bond markets: A data filtering application. (2019). Zhang, Hanyu ; Dufour, Alfonso.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:63:y:2019:i:c:p:131-146.

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83. Fat-finger event and risk-taking behavior. (2019). Meng, Juanjuan ; Liu, Yu-Jane ; Jin, Miao.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:53:y:2019:i:c:p:126-143.

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84. Mixed interval realized variance: A robust estimator of stock price volatility. (2019). Vasnev, Andrey ; Sutton, Maxwell ; Gerlach, Richard.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:11:y:2019:i:c:p:43-62.

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85. Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:209:y:2019:i:2:p:289-337.

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86. Random coefficient continuous systems: Testing for extreme sample path behavior. (2019). Yu, Jun ; Tao, Yubo ; Phillips, Peter.
    In: Journal of Econometrics.
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87. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
    In: Papers.
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88. Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2019). Lee, Kyungsub ; Ki, Byoung.
    In: Papers.
    RePEc:arx:papers:1908.05089.

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89. Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon.
    In: Papers.
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90. Measuring Inflation Expectations Uncertainty Using High‐Frequency Data. (2018). Chan, Joshua ; Song, Yong.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:50:y:2018:i:6:p:1139-1166.

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91. Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei.
    In: PhD Thesis.
    RePEc:uts:finphd:39.

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92. The Role of Liquidity in Financial Intermediation. (2018). Su, Fei.
    In: PhD Thesis.
    RePEc:uts:finphd:38.

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93. Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei.
    In: PhD Thesis.
    RePEc:uts:finphd:2-2018.

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94. S&P500 volatility analysis using high-frequency multipower variation volatility proxies. (2018). Chin, CHEONG ; Lee, Min Cherng.
    In: Empirical Economics.
    RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1345-z.

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95. Forecasting Stock Market (Realized) Volatility in the United Kingdom: Is There a Role for Economic Inequality?. (2018). GUPTA, RANGAN ; Demirer, Riza ; Yeganegi, Mohammad Reza ; Hassani, Hossein.
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96. Uncertainty and Economic Activity: A Multi-Country Perspective. (2018). Rebucci, Alessandro ; Pesaran, Mohammad ; Cesa-Bianchi, Ambrogio.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:24325.

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97. Asymmetric semi-volatility spillover effects in EMU stock markets. (2018). cipollini, andrea ; Muzzioli, Silvia ; Caloia, Francesco Giuseppe.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:57:y:2018:i:c:p:221-230.

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98. High-frequency volatility connectedness between the US crude oil market and Chinas agricultural commodity markets. (2018). Ji, Qiang ; Luo, Jiawen.
    In: Energy Economics.
    RePEc:eee:eneeco:v:76:y:2018:i:c:p:424-438.

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99. Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:206:y:2018:i:1:p:103-142.

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100. 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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101. Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets. (2018). Tsutsui, Yoshiro ; Nishimura, Yusaku ; Hirayama, Kenjiro.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:69:y:2018:i:c:p:237-248.

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102. Uncertainty and Economic Activity: A Multi-Country Perspective. (2018). Rebucci, Alessandro ; Pesaran, Mohammad ; Cesa-Bianchi, Ambrogio.
     In: CEPR Discussion Papers.
     RePEc:cpr:ceprdp:12713.

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103. Uncertainty and Economic Activity: A Multi-Country Perspective. (2018). Rebucci, Alessandro ; Pesaran, Mohammad ; Cesa-Bianchi, Ambrogio.
     In: CESifo Working Paper Series.
     RePEc:ces:ceswps:_6910.

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104. Neural Network Approach in Forecasting Realized Variance Using High-Frequency Data. (2018). Arneric, Josip ; Wen, Teai Juin ; Tea, Poklepovi ; Josip, Arneri.
     In: Business Systems Research.
     RePEc:bit:bsrysr:v:9:y:2018:i:2:p:18-34:n:3.

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105. Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon.
     In: Papers.
     RePEc:arx:papers:1701.01185.

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106. Improving (E)GARCH forecasts with robust realized range measures: Evidence from international markets. (2017). Accioly, Victor Bello ; de Melo, Beatriz Vaz.
     In: Journal of Economics and Finance.
     RePEc:spr:jecfin:v:41:y:2017:i:4:d:10.1007_s12197-017-9386-x.

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107. Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets. (2017). Tsutsui, Yoshiro ; Nishimura, Yusaku ; Hirayama, Kenjiro.
     In: Discussion Papers in Economics and Business.
     RePEc:osk:wpaper:1701.

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108. Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis. (2017). Kumar, Dilip.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:49:y:2017:i:c:p:149-167.

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109. Option-implied expectations in commodity markets and monetary policy. (2017). Dotsis, George ; Triantafyllou, Athanasios.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:77:y:2017:i:c:p:1-17.

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110. Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Yang, KE ; Tian, Fengping.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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111. Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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112. Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Zheng, Tingguo ; Li, Shaoyu.
     In: The North American Journal of Economics and Finance.
     RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

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113. Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung.
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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114. Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour. (2017). Tao, Yubo.
     In: Cowles Foundation Discussion Papers.
     RePEc:cwl:cwldpp:3014.

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115. Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour. (2017). Yu, Jun ; Tao, Yubo ; Phillips, Peter.
     In: Cowles Foundation Discussion Papers.
     RePEc:cwl:cwldpp:2114.

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116. Gauging market dynamics using trade repository data: the case of the Swiss franc de-pegging. (2017). Vasios, Michalis ; Shreyas, Ujwal ; Joseph, Andreas ; Cielinska, Olga ; Tanner, John.
     In: Bank of England Financial Stability Papers.
     RePEc:boe:finsta:0041.

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117. Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging. (2017). Shreyas, Ujwal ; Cielinska, Olga ; Vasios, Michalis ; Tanner, John ; Joseph, Andreas.
     In: IFC Bulletins chapters.
     RePEc:bis:bisifc:43-23.

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118. Inference from the futures: ranking the noise cancelling accuracy of realized measures. (2017). Mirone, Giorgio.
     In: CREATES Research Papers.
     RePEc:aah:create:2017-24.

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119. Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?. (2016). Winker, Peter ; Fischer, Henning ; Blancofernandez, Angela .
     In: Journal of Forecasting.
     RePEc:wly:jforec:v:35:y:2016:i:2:p:113-146.

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120. Heterogeneous Market Hypothesis Evaluations using Various Jump-Robust Realized Volatility. (2016). Chin, CHEONG ; Cherng, Lee Min ; Ching, Grace Lee ; Cheong, Chin Wen.
     In: Journal for Economic Forecasting.
     RePEc:rjr:romjef:v::y:2016:i:4:p:50-64.

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121. Bayesian Nonparametric Estimation of Ex-post Variance. (2016). Maheu, John ; Liu, Jia ; Griffin, Jim.
     In: MPRA Paper.
     RePEc:pra:mprapa:71220.

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122. Forecasting stock market volatility using Realized GARCH model: International evidence. (2016). Sharma, Prateek.
     In: The Quarterly Review of Economics and Finance.
     RePEc:eee:quaeco:v:59:y:2016:i:c:p:222-230.

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123. A boosting approach to forecasting the volatility of gold-price fluctuations under flexible loss. (2016). Risse, Marian ; Pierdzioch, Christian ; Rohloff, Sebastian.
     In: Resources Policy.
     RePEc:eee:jrpoli:v:47:y:2016:i:c:p:95-107.

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124. Dynamic conditional copula correlation and optimal hedge ratios with currency futures. (2016). Kotkatvuori-Ornberg, Juha .
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:47:y:2016:i:c:p:60-69.

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125. Realized hedge ratio: Predictability and hedging performance. (2016). Skintzi, Vasiliki ; Markopoulou, Chrysi E ; Refenes, Apostolos-Paul N.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:45:y:2016:i:c:p:121-133.

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126. Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef.
     In: European Journal of Operational Research.
     RePEc:eee:ejores:v:251:y:2016:i:1:p:329-340.

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127. Impacts of implied volatility on stock price realized jumps. (2016). Huang, Alex.
     In: Economic Systems.
     RePEc:eee:ecosys:v:40:y:2016:i:4:p:622-630.

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128. Estimating dynamic equilibrium models using mixed frequency macro and financial data. (2016). van der Wel, Michel ; Posch, Olaf ; Christensen, Bent Jesper.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:194:y:2016:i:1:p:116-137.

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129. Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. (2016). Baruník, Jozef ; Hlinkova, Michaela ; Barunik, Jozef.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514.

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130. Testing the lag structure of assets’ realized volatility dynamics. (2015). Camponovo, Lorenzo ; Audrino, Francesco ; Roth, Constantin .
     In: Economics Working Paper Series.
     RePEc:usg:econwp:2015:01.

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131. Improving Markov switching models using realized variance. (2015). Maheu, John ; Liu, Jia.
     In: MPRA Paper.
     RePEc:pra:mprapa:71120.

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132. US Monetary Policy and the Global Financial Cycle. (2015). Rey, Helene ; Miranda-Agrippino, Silvia.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:21722.

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133. Volatility Forecast in Crises and Expansions. (2015). Pypko, Sergii.
     In: JRFM.
     RePEc:gam:jjrfmx:v:8:y:2015:i:3:p:311-336:d:53754.

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134. Forecasting stock index volatility with GARCH models: international evidence. (2015). Sharma, Prateek.
     In: Studies in Economics and Finance.
     RePEc:eme:sefpps:v:32:y:2015:i:4:p:445-463.

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135. Estimating the price impact of trades in a high-frequency microstructure model with jumps. (2015). Rockinger, Michael ; Jondeau, Eric ; Lahaye, Jerome.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s205-s224.

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136. Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data. (2015). Fengler, Matthias ; Audrino, Francesco.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:61:y:2015:i:c:p:46-63.

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137. 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.

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138. Its all about volatility of volatility: Evidence from a two-factor stochastic volatility model. (2015). Santucci de Magistris, Paolo ; Grassi, Stefano.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:30:y:2015:i:c:p:62-78.

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139. Smile from the past: A general option pricing framework with multiple volatility and leverage components. (2015). Bormetti, Giacomo ; Corsi, Fulvio ; Majewski, Adam A..
     In: Journal of Econometrics.
     RePEc:eee:econom:v:187:y:2015:i:2:p:521-531.

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140. Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances. (2015). MONEVA, JOSE ; Salvador, M. ; Ortas, E..
     In: The North American Journal of Economics and Finance.
     RePEc:eee:ecofin:v:31:y:2015:i:c:p:27-51.

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141. Evaluation of realized multi-power variations in minimum variance hedging. (2015). Hung, Jui-Cheng.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:51:y:2015:i:c:p:672-679.

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142. Forecasting gains of robust realized variance estimators: evidence from European stock markets. (2015). Sharma, Prateek.
     In: Economics Bulletin.
     RePEc:ebl:ecbull:eb-15-00042.

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143. World Asset Markets and the Global Financial Cycle. (2015). Rey, Helene ; Miranda-Agrippino, Silvia.
     In: CEPR Discussion Papers.
     RePEc:cpr:ceprdp:10936.

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144. Exponential Smoothing, Long Memory and Volatility Prediction. (2015). Proietti, Tommaso.
     In: CREATES Research Papers.
     RePEc:aah:create:2015-51.

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145. Unbalanced Regressions and the Predictive Equation. (2015). Ventosa-Santaulària, Daniel ; Vera-Valdés, J. Eduardo ; Vera-Valdes, Eduardo J. ; Ventosa-Santaularia, Daniel ; Osterrieder, Daniela.
     In: CREATES Research Papers.
     RePEc:aah:create:2015-09.

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146. Volatility Forecasts: Do Volatility Estimators and Evaluation Methods Matter?. (2014). Hung, Juicheng ; Jiang, Iming ; Wang, Chuansan.
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:34:y:2014:i:11:p:1077-1094.

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147. Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA. (2014). Ziegelmann, Flavio A. ; Santos, Douglas G..
     In: Journal of Forecasting.
     RePEc:wly:jforec:v:33:y:2014:i:4:p:284-299.

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148. Forecasting with the Standardized Self-Perturbed Kalman Filter. (2014). Santucci de Magistris, Paolo ; Grassi, Stefano ; Nonejad, Nima.
     In: Studies in Economics.
     RePEc:ukc:ukcedp:1405.

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149. Estimation of Long Memory in Integrated Variance. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo.
     In: Econometric Reviews.
     RePEc:taf:emetrv:v:33:y:2014:i:7:p:785-814.

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150. Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise. (2014). Fang, Yue ; Zhao, Xujie ; Yu, Chao ; Zhang, BO.
     In: MPRA Paper.
     RePEc:pra:mprapa:63293.

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151. Uncertainty and Economic Activity: A Global Perspective. (2014). Pesaran, Hashem M. ; Cesa-Bianchi, Ambrogio ; Rebucci, Alessandro.
     In: IDB Publications (Working Papers).
     RePEc:idb:brikps:86257.

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152. Uncertainty and Economic Activity: A Global Perspective. (2014). Rebucci, Alessandro ; Pesaran, Mohammad ; Cesa-Bianchi, Ambrogio.
     In: IDB Publications (Working Papers).
     RePEc:idb:brikps:6605.

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153. Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?. (2014). Jung, Robert ; Maderitsch, R..
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:47:y:2014:i:c:p:331-342.

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154. Forecasting gains of robust realized variance estimators: evidence from European stock markets. (2014). Sharma, Swati.
     In: Economics Bulletin.
     RePEc:ebl:ecbull:eb-14-00886.

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155. Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework. (2014). Scholtes, Nicolas ; Braione, Manuela.
     In: LIDAM Discussion Papers CORE.
     RePEc:cor:louvco:2014059.

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156. Uncertainty and Economic Activity: A Global Perspective. (2014). Rebucci, Alessandro ; Pesaran, Mohammad ; Cesa-Bianchi, Ambrogio.
     In: CESifo Working Paper Series.
     RePEc:ces:ceswps:_4736.

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157. Uncertainty and Economic Activity: A Global Perspective. (2014). Rebucci, Alessandro ; Pesaran, Mohammad ; Cesa-Bianchi, Ambrogio.
     In: Cambridge Working Papers in Economics.
     RePEc:cam:camdae:1407.

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158. NON-PARAMETRIC ESTIMATION OF HIGH-FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS. (2014). Li, Zeng ; Fang, Yue ; Zhao, Xujie ; Yu, Chao ; Zhang, BO.
     In: Journal of Time Series Analysis.
     RePEc:bla:jtsera:v:35:y:2014:i:6:p:572-591.

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159. Smile from the Past: A general option pricing framework with multiple volatility and leverage components. (2014). Corsi, Fulvio ; Bormetti, Giacomo ; Majewski, Adam Aleksander .
     In: Papers.
     RePEc:arx:papers:1404.3555.

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160. Indirect inference with time series observed with error. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo.
     In: CREATES Research Papers.
     RePEc:aah:create:2014-57.

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161. Forecasting with the Standardized Self-Perturbed Kalman Filter. (2014). Santucci de Magistris, Paolo ; Grassi, Stefano ; Nonejad, Nima.
     In: CREATES Research Papers.
     RePEc:aah:create:2014-12.

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162. .

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163. Its all about volatility of volatility: evidence from a two-factor stochastic volatility model. (2013). Santucci de Magistris, Paolo ; Grassi, Stefano.
     In: Studies in Economics.
     RePEc:ukc:ukcedp:1404.

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164. Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion. (2013). Valkeila, Esko ; Azmoodeh, Ehsan.
     In: Statistical Inference for Stochastic Processes.
     RePEc:spr:sistpr:v:16:y:2013:i:2:p:97-112.

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165. Testing Jumps via False Discovery Rate Control. (2013). Yen, Yu-Min.
     In: PLOS ONE.
     RePEc:plo:pone00:0058365.

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166. Adaptive Realized Kernels. (2013). Kotchoni, Rachidi ; Carrasco, Marine.
     In: Working Papers.
     RePEc:hal:wpaper:hal-00867967.

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167. A robust neighborhood truncation approach to estimation of integrated quarticity. (2013). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav.
     In: International Finance Discussion Papers.
     RePEc:fip:fedgif:1078.

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168. One Hundred Years of Oil Income and the Iranian Economy: A Curse or a Blessing?. (2013). Pesaran, Mohammad ; Mohaddes, Kamiar.
     In: Working Papers.
     RePEc:erg:wpaper:771.

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169. The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks. (2013). Liao, Yin.
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:23:y:2013:i:c:p:25-48.

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170. Indirect Inference in fractional short-term interest rate diffusions. (2013). Laurini, Márcio ; Hotta, Luiz.
     In: Mathematics and Computers in Simulation (MATCOM).
     RePEc:eee:matcom:v:94:y:2013:i:c:p:109-126.

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171. Realizing smiles: Options pricing with realized volatility. (2013). Corsi, Fulvio ; Fusari, Nicola ; la Vecchia, Davide.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:107:y:2013:i:2:p:284-304.

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172. Nonparametric realized volatility estimation in the international equity markets. (2013). VORTELINOS, DIMITRIOS ; Thomakos, Dimitrios.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:28:y:2013:i:c:p:34-45.

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173. Long memory and tail dependence in trading volume and volatility. (2013). Santucci de Magistris, Paolo ; Rossi, Eduardo.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:22:y:2013:i:c:p:94-112.

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174. Smile from the Past: A general option pricing framework with multiple volatility and leverage components. (2013). Bormetti, G. ; Corsi, F. ; Majewski, A. A..
     In: Working Papers.
     RePEc:cty:dpaper:13/11.

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175. One Hundred Years of Oil Income and the Iranian Economy: A Curse or a Blessing?. (2013). Pesaran, Mohammad ; Mohaddes, Kamiar.
     In: CESifo Working Paper Series.
     RePEc:ces:ceswps:_4118.

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176. One Hundred Years of Oil Income and the Iranian Economy: A curse or a Blessing. (2013). Pesaran, Mohammad ; Mohaddes, Kamiar.
     In: Cambridge Working Papers in Economics.
     RePEc:cam:camdae:1302.

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177. Pricing and Hedging Derivative Securities with Unknown Local Volatilities. (2013). Fendick, Kerry W..
     In: Papers.
     RePEc:arx:papers:1309.6164.

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178. It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model. (2013). Santucci de Magistris, Paolo ; Grassi, Stefano.
     In: CREATES Research Papers.
     RePEc:aah:create:2013-03.

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179. Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. (2012). Corsi, Fulvio ; Audrino, Francesco ; Peluso, Stefano.
     In: Economics Working Paper Series.
     RePEc:usg:econwp:2012:02.

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180. Robust volatility forecasts in the presence of structural breaks. (2012). Kourouyiannis, Constantinos ; Ghysels, Eric ; Andreou, Elena.
     In: University of Cyprus Working Papers in Economics.
     RePEc:ucy:cypeua:08-2012.

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181. Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators. (2012). Hilliard, Jitka.
     In: Quantitative Finance.
     RePEc:taf:quantf:v:12:y:2012:i:1:p:49-60.

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182. Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model. (2012). Ceylan, Ozcan.
     In: GIAM Working Papers.
     RePEc:ris:giamwp:2012_004.

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183. Estimation of long memory in integrated variance. (2012). Santucci de Magistris, Paolo ; Rossi, Eduardo.
     In: DEM Working Papers Series.
     RePEc:pav:demwpp:017.

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184. Return and Volatility Spillovers between Japanese and Chinese Stock Markets FAn Analysis of Overlapping Trading Hours with High-frequency Data. (2012). Tsutsui, Yoshiro ; Nishimura, Yusaku ; Hirayama, Kenjiro.
     In: Discussion Papers in Economics and Business.
     RePEc:osk:wpaper:1201.

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185. Applications of the Characteristic Function Based Continuum GMM in Finance. (2012). Kotchoni, Rachidi.
     In: Post-Print.
     RePEc:hal:journl:hal-00867795.

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186. Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction. (2012). Liao, Yin.
     In: CAMA Working Papers.
     RePEc:een:camaaa:2012-26.

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187. Realized dual-betas for leading Australian stocks: An evaluation of the estimation methods and the effect of the sampling interval. (2012). Kim, Jae ; Brooks, Robert ; Nath, H. B..
     In: Mathematics and Computers in Simulation (MATCOM).
     RePEc:eee:matcom:v:83:y:2012:i:c:p:10-22.

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188. Applications of the characteristic function-based continuum GMM in finance. (2012). Kotchoni, Rachidi.
     In: Computational Statistics & Data Analysis.
     RePEc:eee:csdana:v:56:y:2012:i:11:p:3599-3622.

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189. Volatility forecasts evaluation and comparison. (2012). Violante, Francesco ; Laurent, Sébastien.
     In: LIDAM Reprints CORE.
     RePEc:cor:louvrp:2414.

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190. On the Correlation Structure of Microstructure Noise: A Financial Economic Approach. (2012). Strasser, Georg ; Diebold, Francis.
     In: Boston College Working Papers in Economics.
     RePEc:boc:bocoec:693.

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191. A Markov-switching multifractal approach to forecasting realized volatility. (2011). Morales-Arias, Leonardo ; Sattarhoff, Cristina ; Lux, Thomas.
     In: Kiel Working Papers.
     RePEc:zbw:ifwkwp:1737.

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192. Forecasting Equicorrelation. (2011). Smith, Daniel ; Coleman-Fenn, Christopher ; Clements, Adam.
     In: NCER Working Paper Series.
     RePEc:qut:auncer:2011_3.

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193. Modeling intraday volatility: A new consideration. (2011). Lam, K. P. ; Chu, Carlin C. F., .
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:21:y:2011:i:3:p:388-418.

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194. Realized jumps on financial markets and predicting credit spreads. (2011). Zhou, Hao ; Tauchen, George.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:160:y:2011:i:1:p:102-118.

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195. Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes. (2010). Maillet, Bertrand ; Medecin, Jean-Philippe R..
     In: Working Papers.
     RePEc:ven:wpaper:2010_10.

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196. Limited Information-Processing Capacity and Asymmetric Stock Correlations. (2010). Ceylan, Ozcan.
     In: MPRA Paper.
     RePEc:pra:mprapa:61587.

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197. Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps. (2010). Vahid, Farshid ; Liao, Yin ; Anderson, Heather.
     In: Monash Econometrics and Business Statistics Working Papers.
     RePEc:msh:ebswps:2010-11.

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198. Model Selection and Testing of Conditional and Stochastic Volatility Models. (2010). Caporin, Massimiliano ; McAleer, M. J..
     In: Econometric Institute Research Papers.
     RePEc:ems:eureir:20940.

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199. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2010). Loretan, Mico ; Hjalmarsson, Erik ; CHIQUOINE, BENJAMIN ; CHABOUD, ALAIN P..
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:17:y:2010:i:2:p:212-240.

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200. Modeling tick-by-tick realized correlations. (2010). Corsi, Fulvio ; Audrino, Francesco.
     In: Computational Statistics & Data Analysis.
     RePEc:eee:csdana:v:54:y:2010:i:11:p:2372-2382.

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201. The Limits to Minimum‐Variance Hedging. (2010). Harris, Richard ; Shen, Jian ; Stoja, Evarist.
     In: Journal of Business Finance & Accounting.
     RePEc:bla:jbfnac:v:37:y:2010:i:5-6:p:737-761.

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202. The Limits to Minimum-Variance Hedging. (2010). Stoja, Evarist ; Richard D. F. Harris, ; Shen, Jian.
     In: Journal of Business Finance & Accounting.
     RePEc:bla:jbfnac:v:37:y:2010-06:i:5-6:p:737-761.

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203. Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps. (2010). Vahid, Farshid ; Liao, Yin ; Anderson, Heather.
     In: ANU Working Papers in Economics and Econometrics.
     RePEc:acb:cbeeco:2010-520.

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204. Localized realized volatility modelling. (2009). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Chen, Ying ; Pigorsch, Uta.
     In: SFB 649 Discussion Papers.
     RePEc:zbw:sfb649:sfb649dp2009-003.

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205. Forecast Evaluation of Explanatory Models of Financial Variability. (2009). Sucarrat, Genaro.
     In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020).
     RePEc:zbw:ifweej:7594.

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206. Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons. (2009). Subbotin, Alexandre .
     In: Applied Econometrics.
     RePEc:ris:apltrx:0113.

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207. A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality. (2009). Taamouti, Abderrahim ; Rombouts, Jeroen ; Bouezmarni, Taoufik ; Jeroen V. K. Rombouts, .
     In: Cahiers de recherche.
     RePEc:lvl:lacicr:0927.

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208. Localized Realized Volatility Modelling. (2009). Chen, Ying ; Hardle, Wolfgang ; Pigorsch, Uta.
     In: SFB 649 Discussion Papers.
     RePEc:hum:wpaper:sfb649dp2009-003.

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209. Duration-Based Volatility Estimation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav.
     In: Global COE Hi-Stat Discussion Paper Series.
     RePEc:hst:ghsdps:gd08-034.

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210. A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects. (2009). Tauchen, George ; Bollerslev, Tim ; Kretschmer, Uta ; Pigorsch, Christian.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:150:y:2009:i:2:p:151-166.

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211. Functional modelling of volatility in the Swedish limit order book. (2009). Elezovic, Suad .
     In: Computational Statistics & Data Analysis.
     RePEc:eee:csdana:v:53:y:2009:i:6:p:2107-2118.

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212. A nonparametric copula based test for conditional independence with applications to granger causality. (2009). Taamouti, Abderrahim ; Rombouts, Jeroen ; Bouezmarni, Taoufik ; Jeroen V. K. Rombouts, .
     In: UC3M Working papers. Economics.
     RePEc:cte:werepe:we093419.

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213. A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality. (2009). Taamouti, Abderrahim ; Rombouts, Jeroen ; Bouezmarni, Taoufik.
     In: CIRANO Working Papers.
     RePEc:cir:cirwor:2009s-28.

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214. Modeling Jump and Continuous Components in the Volatility of Oil Futures. (2009). Tseng, Tseng-Chan ; Chung, Huimin ; Huang, Chin-Sheng.
     In: Studies in Nonlinear Dynamics & Econometrics.
     RePEc:bpj:sndecm:v:13:y:2009:i:3:n:5.

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215. Financial Markets Modelling. (2009). Tsenkov, Vladimir.
     In: Economic Thought journal.
     RePEc:bas:econth:y:2009:i:5:p:87-96.

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216. Measuring and modeling risk using high-frequency data. (2008). Härdle, Wolfgang ; Hautsch, Nikolaus ; Hardle, Wolfgang Karl ; Pigorsch, Uta.
     In: SFB 649 Discussion Papers.
     RePEc:zbw:sfb649:sfb649dp2008-045.

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217. On the correlation structure of microstructure noise in theory and practice. (2008). Strasser, Georg ; Diebold, Francis.
     In: CFS Working Paper Series.
     RePEc:zbw:cfswop:200832.

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218. International price discovery in the presence of market microstructure effects. (2008). Grammig, Joachim ; Peter, Franziska J..
     In: CFR Working Papers.
     RePEc:zbw:cfrwps:0810.

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219. Modeling Tick-by-Tick Realized Correlations. (2008). Corsi, Fulvio ; Audrino, Francesco.
     In: University of St. Gallen Department of Economics working paper series 2008.
     RePEc:usg:dp2008:2008-05.

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220. Do high-frequency measures of volatility improve forecasts of return distributions?. (2008). McCurdy, Thomas ; Maheu, John.
     In: Working Papers.
     RePEc:tor:tecipa:tecipa-324.

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221. Forecasting daily volatility with intraday data. (2008). Frijns, Bart ; Margaritis, Dimitris.
     In: The European Journal of Finance.
     RePEc:taf:eurjfi:v:14:y:2008:i:6:p:523-540.

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222. The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets. (2008). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
     In: Working Paper.
     RePEc:qed:wpaper:1181.

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223. Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure. (2008). Visser, Marcel.
     In: MPRA Paper.
     RePEc:pra:mprapa:11100.

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224. On the Correlation Structure of Microstructure Noise in Theory and Practice. (2008). Strasser, Georg ; Diebold, Francis.
     In: PIER Working Paper Archive.
     RePEc:pen:papers:08-038.

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225. 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.

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226. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2008). Theoret, Raymond ; Coen, Alain.
     In: International Advances in Economic Research.
     RePEc:kap:iaecre:v:14:y:2008:i:1:p:112-124.

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227. Specification analysis of structural credit risk models. (2008). Zhou, Hao ; Huang, Jingzhi.
     In: Finance and Economics Discussion Series.
     RePEc:fip:fedgfe:2008-55.

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228. Portfolio performance and the Euro: Prospects for new potential EMU members. (2008). Haselmann, Rainer ; Herwartz, Helmut.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:27:y:2008:i:2:p:314-330.

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229. Quarterly beta forecasting: An evaluation. (2008). HOOPER, VINCENT ; Ng, Kevin ; Reeves, Jonathan J..
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:24:y:2008:i:3:p:480-489.

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230. Finite sample accuracy and choice of sampling frequency in integrated volatility estimation. (2008). Nielsen, Morten ; Frederiksen, Per.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:15:y:2008:i:2:p:265-286.

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231. Measuring causality between volatility and returns with high-frequency data. (2008). Taamouti, Abderrahim ; Garcia, René ; Dufour, Jean-Marie.
     In: UC3M Working papers. Economics.
     RePEc:cte:werepe:we084422.

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232. 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.

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233. Realized Correlation Tick-by-Tick. (2007). Corsi, Fulvio ; Audrino, Francesco.
     In: University of St. Gallen Department of Economics working paper series 2007.
     RePEc:usg:dp2007:2007-02.

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234. Volatility Proxies for Discrete Time Models. (2007). Visser, Marcel ; de Vilder, Robin G..
     In: MPRA Paper.
     RePEc:pra:mprapa:4917.

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235. No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications. (2007). Bollerslev, Tim ; Andersen, Torben ; Dobrev, Dobrislav.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:12963.

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236. Estimation and Prediction of a Non-Constant Volatility. (2007). Abramov, Vyacheslav.
     In: Asia-Pacific Financial Markets.
     RePEc:kap:apfinm:v:14:y:2007:i:1:p:1-23.

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237. Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines. (2007). Laurini, Márcio.
     In: Insper Working Papers.
     RePEc:ibm:ibmecp:wpe_89.

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238. Proxies for daily volatility. (2007). Visser, Marcel ; de Vilder, Robin.
     In: Working Papers.
     RePEc:hal:wpaper:halshs-00588307.

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239. Proxies for daily volatility. (2007). Visser, Marcel ; de Vilder, Robin.
     In: PSE Working Papers.
     RePEc:hal:psewpa:halshs-00588307.

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240. Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian.
     In: Econometrics Working Papers Archive.
     RePEc:fir:econom:wp2007_04.

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241. Jumps, cojumps and macro announcements. (2007). Neely, Christopher ; Laurent, Sébastien ; Lahaye, Jerome.
     In: Working Papers.
     RePEc:fip:fedlwp:2007-032.

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242. Central bank intervention and exchange rate volatility, its continuous and jump components. (2007). Palm, Franz ; Neely, Christopher ; Laurent, Sébastien ; Beine, Michel ; Lahaye, Jerome.
     In: Working Papers.
     RePEc:fip:fedlwp:2006-031.

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243. 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.

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244. A conditional extreme value volatility estimator based on high-frequency returns. (2007). Bali, Turan G. ; Weinbaum, David.
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:31:y:2007:i:2:p:361-397.

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245. The effect of realised volatility on stock returns risk estimates. (2007). Veiga, Helena ; Grane, Aurea.
     In: DES - Working Papers. Statistics and Econometrics. WS.
     RePEc:cte:wsrepe:ws076316.

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246. A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects. (2007). Tauchen, George ; Bollerslev, Tim ; Kretschmer, Uta ; Pigorsch, Christian.
     In: CREATES Research Papers.
     RePEc:aah:create:2007-22.

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247. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2007). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per Houmann.
     In: CREATES Research Papers.
     RePEc:aah:create:2007-21.

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248. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
     In: CREATES Research Papers.
     RePEc:aah:create:2007-09.

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249. Econometric analysis of high frequency data. (2006). Herwartz, Helmut.
     In: AStA Advances in Statistical Analysis.
     RePEc:spr:alstar:v:90:y:2006:i:1:p:89-104.

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250. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter.
     In: Departmental Working Papers.
     RePEc:rut:rutres:200620.

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251. Forecasting and testing a non-constant volatility. (2006). Abramov, Vyacheslav ; Klebaner, Fima.
     In: MPRA Paper.
     RePEc:pra:mprapa:207.

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252. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2006). Racicot, François-Éric ; Theoret, Raymond ; Coen, Alain.
     In: RePAd Working Paper Series.
     RePEc:pqs:wpaper:152006.

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253. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
     In: Finance and Economics Discussion Series.
     RePEc:fip:fedgfe:2006-35.

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254. Volatility and Correlation Forecasting. (2006). Andersen, Torben G. ; Bollerslev, Tim ; Christoffersen, Peter F. ; Diebold, Francis X..
     In: Handbook of Economic Forecasting.
     RePEc:eee:ecofch:1-15.

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255. Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis. (2006). Iori, Giulia ; Mattiussi, V..
     In: Working Papers.
     RePEc:cty:dpaper:06/09.

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256. Volatility forecasts: a continuous time model versus discrete time models. (2006). Veiga, Helena.
     In: DES - Working Papers. Statistics and Econometrics. WS.
     RePEc:cte:wsrepe:ws062509.

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257. Forecasting Exchange Rate Volatility In The Presence Of Jumps. (2005). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
     In: Working Paper.
     RePEc:qed:wpaper:1187.

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258. The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices. (2005). Nielsen, Morten ; Christensen, Bent Jesper.
     In: Working Paper.
     RePEc:qed:wpaper:1186.

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259. Volatility Forecasting. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
     In: PIER Working Paper Archive.
     RePEc:pen:papers:05-011.

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260. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter.
     In: Journal of Financial Econometrics.
     RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554.

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261. Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. (2005). Zhou, Hao.
     In: Finance and Economics Discussion Series.
     RePEc:fip:fedgfe:2005-63.

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262. Content horizons for conditional variance forecasts. (2005). Kisinbay, Turgut ; Galbraith, John.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:21:y:2005:i:2:p:249-260.

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263. Explaining credit default swap spreads with equity volatility and jump risks of individual firms. (2005). Zhou, Hao ; Zhu, Haibin ; Zhang, Benjamin Yibin .
     In: BIS Working Papers.
     RePEc:bis:biswps:181.

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264. A Forecast Comparison of Financial Volatility Models: GARCH (1,1) is not Enough. (2004). Mapa, Dennis.
     In: MPRA Paper.
     RePEc:pra:mprapa:21028.

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265. 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.

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266. 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.

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267. 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.

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268. A Range-Based GARCH Model for Forecasting Volatility. (2003). Mapa, Dennis.
     In: MPRA Paper.
     RePEc:pra:mprapa:21323.

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269. Measuring and modeling systematic risk in factor pricing models using high-frequency data. (2003). Bollerslev, Tim ; Zhang, Benjamin Y. B., .
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:10:y:2003:i:5:p:533-558.

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270. 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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271. 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.

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

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273. 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.

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274. Testing Normality : A GMM Approach. (2002). Meddahi, Nour ; Bontemps, Christian.
     In: Cahiers de recherche.
     RePEc:mtl:montde:2002-14.

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275. A theoretical comparison between integrated and realized volatility. (2002). Meddahi, Nour.
     In: Journal of Applied Econometrics.
     RePEc:jae:japmet:v:17:y:2002:i:5:p:479-508.

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276. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
     In: CIRANO Working Papers.
     RePEc:cir:cirwor:2002s-93.

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277. 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.

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278. Analytic Evaluation of Volatility Forecasts. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
     In: CIRANO Working Papers.
     RePEc:cir:cirwor:2002s-90.

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279. Testing Normality: A GMM Approach. (2002). Meddahi, Nour ; Bontemps, Christian.
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2. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
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3. Intraday jumps in Chinas Treasury bond market and macro news announcements. (2015). Cui, Jing ; Zhao, Hua.
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4. Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility. (2013). Das, Kuntal ; Shimatani, Takeshi ; Cheng, Ai-Ru.
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5. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
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6. Automated Likelihood Based Inference for Stochastic Volatility Models. (2009). Yu, Jun ; Skaug, Hans J..
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7. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
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8. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
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9. Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction. (2006). Capasso, Marco ; Alessi, Lucia.
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35. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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40. A theoretical comparison between integrated and realized volatility. (2002). Meddahi, Nour.
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45. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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46. Realised power variation and stochastic volatility models. (2001). Shephard, Neil.
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47. How accurate is the asymptotic approximation to the distribution of realised volatility?. (2001). Shephard, Neil.
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48. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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49. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
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50. Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data. (2001). Nielsen, Morten ; Christensen, Bent Jesper.
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