1. Uncertainty Due to Infectious Diseases and Stock–Bond Correlation. (2021). Siriopoulos, Costas ; Gkillas, Konstantinos ; Konstantatos, Christoforos.
   In: Econometrics.
   RePEc:gam:jecnmx:v:9:y:2021:i:2:p:17-:d:539153.

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2. Market instability and technical trading at high frequency: Evidence from NASDAQ stocks. (2021). PETITJEAN, Mikael ; Vargas, Nicolas ; Erdemlioglu, Deniz.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001814.

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1. Aït-Sahalia, 2009. Portfolio Choice with Jumps: A Closed-Form Solution. In: The Annals of Applied Probability, (19) 2, 556
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3. Aït-Sahalia, 2011. Testing Whether Jumps Have Finite or Infinite Activity. In: The Annals of Statistics, (39) 3, 1689
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4. Aït-Sahalia, 2012. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data. In: Journal of Economic Literature, (50) 4, 1007
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5. Aït-Sahalia, 2012. Testing for Jumps in Noisy High Frequency Data. In: Journal of Econometrics, (168), 207

6. Andersen, 2012. Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation. In: Journal of Econometrics, (169) 1, 75

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8. Bannouh, 2009. Range-Based Covariance Estimation using High-Frequency Data: The Realized Co-range. In: Journal of Financial Econometrics, (7) 4, 341

9. Barndorff-Nielsen, 2004. Measuring the Impact of Jumps in Multivariate Price Processes using Bipower Covariation, Vol. 2
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10. Barndorff-Nielsen, 2004. Power and Bipower Variation with Stochastic Volatility and Jumps. In: Journal of Financial Econometrics, (2) 1, 1

11. Barndorff-Nielsen, 2006. Econometrics of Testing for Jumps in Financial Economics using Bipower Variation. In: Journal of Financial Econometrics, (4) 1, 1

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22. Jiang, 2008. Testing for Jumps When Asset Prices Are Observed with Noise: a Swap Variance Approach. In: Journal of Econometrics, (144) 2, 352

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1. Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Basu, Sumanta ; Ravishanker, Nalini ; Karpman, Kara ; Dutta, Chiranjit.
   In: Sankhya B: The Indian Journal of Statistics.
   RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

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2. Multivariate Regime Switching Model Estimation and Asset Allocation. (2023). Zhang, Xili ; Xu, Weidong ; Zheng, Kai.
   In: Computational Economics.
   RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10203-9.

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3. The contribution of jump signs and activity to forecasting stock price volatility. (2023). Bu, Ruijun ; Hizmeri, Rodrigo ; Tsionas, Mike ; Izzeldin, Marwan ; Murphy, Anthony.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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4. Testing for the presence of jump components in jump diffusion models. (2022). Zheng, XU ; Wang, Bin.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:230:y:2022:i:2:p:483-509.

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5. The drift burst hypothesis. (2022). Oomen, Roel ; Reno, Roberto ; Christensen, Kim.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:227:y:2022:i:2:p:461-497.

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6. Occupation density estimation for noisy high-frequency data. (2022). Bollerslev, Tim ; Li, Jia ; Zhang, Congshan.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:227:y:2022:i:1:p:189-211.

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7. Testing the volatility jumps based on the high frequency data. (2022). Liu, Meiyao ; Lin, Jin Guan.
   In: Journal of Time Series Analysis.
   RePEc:bla:jtsera:v:43:y:2022:i:5:p:669-694.

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8. Overnight GARCH-It\^o Volatility Models. (2022). Kim, Donggyu ; Wang, Yazhen.
   In: Papers.
   RePEc:arx:papers:2102.13467.

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9. Understanding jumps in high frequency digital asset markets. (2021). Härdle, Wolfgang ; Nagy, Odett ; Saef, Danial ; Hardle, Wolfgang ; Sizov, Sergej.
   In: IRTG 1792 Discussion Papers.
   RePEc:zbw:irtgdp:2021019.

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10. Tests for jumps in yield spreads. (2021). Yao, Wenying ; Winkelmann, Lars.
    In: Discussion Papers.
    RePEc:zbw:fubsbe:202115.

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11. Heterogeneous investment horizons, risk regimes, and realized jumps. (2021). Gradojevic, Nikola ; Erdemlioglu, Deniz.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:1:p:617-643.

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12. The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2021). Tsionas, Mike ; Hizmeri, Rodrigo ; Izzeldin, Marwan ; Murphy, Anthony ; Bu, Ruijun.
    In: Research Papers.
    RePEc:liv:livedp:202109.

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13. What factors are associated with stock price jumps in high frequency?. (2021). Ahn, Yongkil ; Tsai, Shih-Chuan.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21001098.

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14. Jumps at ultra-high frequency: Evidence from the Chinese stock market. (2021). Liu, Zhi ; Zhang, Chuanhai.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19305402.

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15. Volatility analysis with realized GARCH-Itô models. (2021). Kim, Donggyu ; Zhou, Yong ; Wang, Yazhen ; Song, Xinyu ; Cui, Xiangyu ; Yuan, Huiling ; Lu, Zhiping.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:222:y:2021:i:1:p:393-410.

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16. Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective. (2021). Kim, Donggyu ; Oh, Minseog.
    In: Papers.
    RePEc:arx:papers:2111.09655.

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17. Understanding jumps in high frequency digital asset markets. (2021). Saef, Danial ; Hardle, Wolfgang Karl ; Sizov, Sergej ; Nagy, Odett.
    In: Papers.
    RePEc:arx:papers:2110.09429.

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18. Cojump anchoring. (2020). Yao, Wenying ; Winkelmann, Lars.
    In: Discussion Papers.
    RePEc:zbw:fubsbe:202017.

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19. High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2020-3.

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20. High-frequency jump tests: Which test should we use?. (2020). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:219:y:2020:i:2:p:478-487.

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21. Parametric inference for discretely observed subordinate diffusions. (2019). Guo, Weiwei ; Li, Lingfei.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:22:y:2019:i:1:d:10.1007_s11203-017-9165-5.

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22. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). GUPTA, RANGAN ; Asai, Manabu.
    In: Working Papers.
    RePEc:pre:wpaper:201925.

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23. Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence. (2019). Swanson, Norman ; Cheng, Mingmian.
    In: Econometrics.
    RePEc:gam:jecnmx:v:7:y:2019:i:1:p:13-:d:213518.

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24. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). GUPTA, RANGAN ; Asai, Manabu.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:115614.

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25. The dynamics of low-frequency liquidity measures: The developed versus the emerging market. (2019). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:42:y:2019:i:c:p:136-142.

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26. The causality between liquidity and volatility in the Polish stock market. (2019). Kliber, Agata ; Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:30:y:2019:i:c:p:110-115.

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27. The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2019). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:2:p:556-583.

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28. Estimating the integrated volatility with tick observations. (2019). Li, Yingying ; Zheng, Xinghua ; Jacod, Jean.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:1:p:80-100.

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29. Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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30. Bayesian Dynamic Modeling of High-Frequency Integer Price Changes. (2018). Koopman, Siem Jan ; Barra, Istvan.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160028.

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31. Testing for Co-jumps in Financial Markets. (2018). Urga, Giovanni ; Novotn, Jan.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:16:y:2018:i:1:p:118-128..

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32. Testing for self-excitation in jumps. (2018). Yang, Xiye ; Laeven, Roger ; Boswijk, H. Peter.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:203:y:2018:i:2:p:256-266.

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33. Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Matei, Marius ; Erdemlioglu, Deniz ; Dungey, Mardi.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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34. Bootstrapping high-frequency jump tests. (2017). Goncalves, Silvia ; Dovonon, Prosper ; Hounyo, Ulrich ; Meddahi, Nour.
    In: TSE Working Papers.
    RePEc:tse:wpaper:31740.

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35. Effects of Jumps and Small Noise in High-Frequency Financial Econometrics. (2017). Kunitomo, Naoto ; Kurisu, Daisuke.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:24:y:2017:i:1:d:10.1007_s10690-017-9223-4.

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36. Bootstrapping high-frequency jump tests. (2017). Goncalves, Silvia ; Dovonon, Prosper ; Hounyo, Ulrich ; Meddahi, Nour.
    In: IDEI Working Papers.
    RePEc:ide:wpaper:31735.

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37. Pricing foreign equity option under stochastic volatility tempered stable Lévy processes. (2017). Zhuang, Xintian ; Gong, Xiaoli.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:483:y:2017:i:c:p:83-93.

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38. Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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39. Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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40. Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes. (2017). Zhuang, Xintian ; Gong, Xiaoli.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:40:y:2017:i:c:p:148-159.

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41. Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets. (2016). Kim, Donggyu ; Wang, Yazhen ; Zhang, Xin.
    In: Econometrics.
    RePEc:gam:jecnmx:v:4:y:2016:i:3:p:34-:d:76033.

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42. Common trends in global volatility. (2016). Hurn, Stan ; Clements, Adam ; Volkov, V V.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:67:y:2016:i:c:p:194-214.

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43. Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Xiu, Dacheng ; Ait-Sahalia, Yacine.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

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44. Jumps in equilibrium prices and asymmetric news in foreign exchange markets. (2016). Uctum, Remzi ; El Ouadghiri, Imane.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:54:y:2016:i:c:p:218-234.

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45. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

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46. Which continuous-time model is most appropriate for exchange rates?. (2015). Neely, Christopher ; Laurent, Sébastien ; Erdemlioglu, Deniz.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s256-s268.

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47. Econometrics of co-jumps in high-frequency data with noise. (2015). Bibinger, Markus ; Winkelmann, Lars.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:184:y:2015:i:2:p:361-378.

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48. Robust score and portmanteau tests of volatility spillover. (2015). Hill, Jonathan ; Aguilar, Mike .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:184:y:2015:i:1:p:37-61.

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49. Common price and volatility jumps in noisy high-frequency data. (2014). Bibinger, Markus ; Winkelmann, Lars.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2014-037.

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50. Which continuous-time model is most appropriate for exchange rates?. (2013). Neely, Christopher ; Laurent, Sébastien ; Erdemlioglu, Deniz.
    In: Working Papers.
    RePEc:fip:fedlwp:2013-024.

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