1. Bayesian dynamic systems modelling. Bayesian model averaging for dynamic panels with weakly exogenous regressors. (2025). Dubel, Marcin ; Wyszyski, Mateusz ; Beck, Krzysztof.
   In: MPRA Paper.
   RePEc:pra:mprapa:124689.

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2. Uncertainty in heteroscedastic Bayesian model averaging. (2025). Mailhot, Mlina ; Pigeon, Mathieu ; Jessup, Sbastien.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:121:y:2025:i:c:p:63-78.

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3. Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures. (2024). Zhang, Qun ; Luo, Jiawen.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:44:y:2024:i:2:p:151-217.

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4. Dynamic partial (co)variance forecasting model. (2024). Chen, Zirong ; Zhou, Yao.
   In: Quantitative Finance.
   RePEc:taf:quantf:v:24:y:2024:i:5:p:643-653.

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5. Trading volume and realized volatility forecasting: Evidence from the China stock market. (2023). Lee, Chien-Chiang ; Choo, Wei Chong ; Liu, Min.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:42:y:2023:i:1:p:76-100.

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6. Bayesian forecast combination using time-varying features. (2023). Li, Feng ; Kang, Yanfei.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:39:y:2023:i:3:p:1287-1302.

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7. Bayesian forecast combination using time-varying features. (2022). Li, Feng ; Kang, Yanfei.
   In: Papers.
   RePEc:arx:papers:2108.02082.

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8. Realized volatility forecasting and volatility spillovers: Evidence from Chinese non‐ferrous metals futures. (2021). Xin, Yang ; Su, Xingze ; Chang, Xiaohui ; Wang, Donghua.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2713-2731.

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9. Inbound Open Innovation and Innovation Performance: A Robustness Study. (2021). GALIA, Fabrice ; Laursen, Keld ; Ebersberger, Bernd ; Salter, Ammon.
   In: Research Policy.
   RePEc:eee:respol:v:50:y:2021:i:7:s0048733321000743.

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10. Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty. (2021). Xie, Tian ; Qiu, Yue ; Wang, Zongrun ; Zhang, Xinyu.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:62:y:2021:i:c:p:179-201.

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11. A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility. (2020). Shi, Yanlong ; Ying, Tingting ; Ai, Chunrong.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:7:p:1025-1034.

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12. Predictive ability and economic gains from volatility forecast combinations. (2020). Skintzi, Vasiliki ; Fameliti, Stavroula P.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:2:p:200-219.

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13. Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging. (2020). Cai, Zongwu ; Mi, Xianhua ; Ma, Chaoqun.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:202016.

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14. The contribution of intraday jumps to forecasting the density of returns. (2020). Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
    In: Post-Print.
    RePEc:hal:journl:halshs-02505861.

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15. The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-02505861.

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16. Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Jayawardena, Nirodha I ; Todorova, Neda ; Su, Jen-Je ; Li, Bin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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17. The contribution of intraday jumps to forecasting the density of returns. (2020). Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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18. Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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19. Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates. (2018). Choi, Ji Eun ; Shin, Dong Wan.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:37:y:2018:i:6:p:691-704.

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20. Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts. (2018). Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:96272.

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21. Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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22. Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan.
    In: Energy.
    RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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23. The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:17006.

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24. The contribution of jumps to forecasting the density of returns. (2017). Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
    In: Post-Print.
    RePEc:hal:journl:halshs-01442618.

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25. The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-01442618.

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26. Time-Varying Window Length for Correlation Forecasts. (2017). McCurdy, Thomas ; Jeon, Yoontae.
    In: Econometrics.
    RePEc:gam:jecnmx:v:5:y:2017:i:4:p:54-:d:122391.

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27. Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Li, Steven ; Chen, Langnan ; Yang, KE ; Tian, Fengping.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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28. 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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29. Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Lyocsa, Tefan ; Molnar, Peter ; Todorova, Neda.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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30. On Setting Day-Ahead Equity Trading Risk Limits: VaR Prediction at Market Close or Open?. (2016). Olmo, Jose ; Fuertes, Ana-Maria.
    In: JRFM.
    RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:10-:d:77912.

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31. Forecasting realized volatility in a changing world: A dynamic model averaging approach. (2016). Wang, Yudong ; Wei, YU ; Ma, Feng ; Wu, Chongfeng.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:64:y:2016:i:c:p:136-149.

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32. Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?. (2016). Fuertes, Ana-Maria ; Andrada-Felix, Julian ; Fernandez-Rodriguez, Fernando.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:3:p:695-715.

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33. Using information quality for volatility model combinations. (2015). Golosnoy, Vasyl ; Okhrin, Yarema.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:6:p:1055-1073.

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34. Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?. (2015). Fuertes, Ana-Maria ; Todorovic, Natasa ; Kalotychou, Elena.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:45:y:2015:i:2:p:251-278.

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35. Volatility forecast of stock indices by model averaging using high-frequency data. (2015). Nishiyama, Yoshihiko ; Wang, Chengyang.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:40:y:2015:i:c:p:324-337.

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36. Forecasting the density of oil futures. (2014). Ielpo, Florian ; Sevi, Benoit.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-601.

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37. Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Sevi, Benoit.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-53.

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38. Forecasting the volatility of crude oil futures using intraday data. (2014). ben Ali, Chiraz ; Lesage, Cedric.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-053.

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39. Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Sevi, Benoit.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:235:y:2014:i:3:p:643-659.

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40. Realized volatility models and alternative Value-at-Risk prediction strategies. (2014). Louzis, Dimitrios ; Xanthopoulos-Sisinis, Spyros ; Refenes, Apostolos P..
    In: Economic Modelling.
    RePEc:eee:ecmode:v:40:y:2014:i:c:p:101-116.

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41. Predicting short-term interest rates using Bayesian model averaging: Evidence from weekly and high frequency data. (2013). Tsiaplias, Sarantis ; Suardi, Sandy ; Chua, Chew.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:29:y:2013:i:3:p:442-455.

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42. A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory. (2013). Nonejad, Nima.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-24.

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43. Volatility Forecast Combinations using Asymmetric Loss Functions. (2012). Kourouyiannis, Constantinos ; Andreou, Elena ; Kourtellos, Andros.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:07-2012.

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44. Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility. (2012). Louzis, Dimitrios ; Xanthopoulos-Sisinis, Spyros ; Refenes, Apostolos P..
    In: Applied Economics.
    RePEc:taf:applec:44:y:2012:i:27:p:3533-3550.

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45. Least Squares Model Averaging By Prediction Criterion. (2012). Xie, Tian.
    In: Working Paper.
    RePEc:qed:wpaper:1299.

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46. Probabilistic forecasts of volatility and its risk premia. (2012). Martin, Gael ; Forbes, Catherine ; Maneesoonthorn, Worapree ; Grose, Simone D..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:171:y:2012:i:2:p:217-236.

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47. The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting. (2011). Louzis, Dimitrios ; Xanthopoulos-Sisinis, Spyros ; Refenes, Apostolos P..
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    RePEc:pra:mprapa:35252.

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48. Are realized volatility models good candidates for alternative Value at Risk prediction strategies?. (2011). Louzis, Dimitrios ; Xanthopoulos-Sisinis, Spyros ; Refenes, Apostolos P..
    In: MPRA Paper.
    RePEc:pra:mprapa:30364.

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49. Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?. (2011). Tsiaplias, Sarantis ; Suardi, Sandy ; Chua, Chew.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2011n01.

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50. Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility. (2011). Louzis, Dimitrios ; Refenes, Apostolos ; Xanthopoulos-Sisinis, Spyros .
    In: Post-Print.
    RePEc:hal:journl:hal-00709559.

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51. Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search. (2009). Ni, Shawn ; Sun, Dongchu ; Loddo, Antonello .
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1. Comparative Study of Two Extensions of Heston Stochastic Volatility Model. (2019). Srivastava, R ; Taneja, H C ; Malhotra, Gifty.
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2. Day trading and stock price volatility. (2008). Kyrolainen, Petri.
   In: Journal of Economics and Finance.
   RePEc:spr:jecfin:v:32:y:2008:i:1:p:75-89.

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3. Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets. (2008). Yilmaz, Kamil ; Diebold, Francis.
   In: NBER Working Papers.
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4. Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis. (2007). Zerilli, Paola.
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5. Modeling foreign exchange rates with jumps. (2007). McCurdy, Thomas ; Maheu, John.
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6. A Hausman test for Brownian motion. (2007). Sanddorf-Kohle, Walter ; Kloner, Stefan ; Friedmann, Ralph ; Becker, Martin.
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7. Volatility Proxies for Discrete Time Models. (2007). Visser, Marcel ; de Vilder, Robin G..
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8. An empirical model of daily highs and lows. (2007). Cheung, Yin-Wong.
   In: International Journal of Finance & Economics.
   RePEc:ijf:ijfiec:v:12:y:2007:i:1:p:1-20.

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9. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
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10. Stock returns and volatility: pricing the short-run and long-run components of market risk. (2006). Rosenberg, Joshua ; Adrian, Tobias.
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11. An Empirical Model of Daily Highs and Lows. (2006). Cheung, Yin-Wong.
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12. Stochastic volatility forecasting and risk management. (2005). Sadorsky, Perry.
    In: Applied Financial Economics.
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13. Volatility and Irish Exports. (2005). cotter, john ; Bredin, Don.
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14. Option pricing and spikes in volatility: theoretical and empirical analysis. (2005). Zerilli, Paola.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
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15. Volatility Transmission in Financial Markets: A New Approach. (2005). Otranto, Edoardo ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
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16. Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range. (2004). Corrado, Charles ; Truong, Cameron.
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17. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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18. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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19. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro.
    In: NBER Working Papers.
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20. The Cross-Section of Volatility and Expected Returns. (2004). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
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21. Stock Market Trading and Market Conditions. (2004). Stulz, René ; Griffin, John M. ; Nardari, Federico.
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22. How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations. (2004). Valls Pereira, Pedro.
    In: Finance Lab Working Papers.
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23. Alternative estimates of the presidential premium. (2004). Li, Canlin ; Campbell, Sean D..
    In: Finance and Economics Discussion Series.
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24. How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations. (2004). Valls Pereira, Pedro ; Hwang, Soosung.
    In: Econometric Society 2004 Latin American Meetings.
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25. The informational content of over-the-counter currency options. (2004). Mazzotta, Stefano ; Christoffersen, Peter.
    In: Working Paper Series.
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26. Option Valuation with Long-run and Short-run Volatility Components. (2004). Wang, Yintian ; Jacobs, Kris.
    In: CIRANO Working Papers.
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27. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
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28. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
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29. The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
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30. 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.
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31. The Informational Content of Over-the-Counter Currency Options. (2004). Mazzotta, Stefano.
    In: CIRANO Working Papers.
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32. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
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33. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
    In: Econometrics.
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34. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: PIER Working Paper Archive.
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35. Maximum Likelihood Estimation of Latent Affine Processes. (2003). Bates, David S..
    In: NBER Working Papers.
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36. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
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37. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis.
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38. A Multiple Indicators Model For Volatility Using Intra-Daily Data.. (2003). Gallo, Giampiero ; Engle, Robert.
    In: Econometrics Working Papers Archive.
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39. Transmission of information across international equity markets. (2003). Wongswan, Jon.
    In: International Finance Discussion Papers.
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40. There is a Risk-Return Tradeoff After All. (2003). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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41. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
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42. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Kang, Qiang ; Brandt, Michael W..
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43. Estimation methods for stochastic volatility models: a survey. (2002). Ruiz, Esther ; Broto, Carmen.
    In: DES - Working Papers. Statistics and Econometrics. WS.
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44. The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse. (2002). Hau, Harald.
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45. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
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46. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
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47. Analytic Evaluation of Volatility Forecasts. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
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48. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
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49. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis.
    In: CIRANO Working Papers.
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50. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (). Diebold, Francis ; Brandt, Michael W. ; April, .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-15.

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