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1. Shock and Volatility Transmissions Across Global Commodity and Stock Markets Spillovers: Empirical Evidence from Africa. (2025). Terzi, Chokri ; el Ammari, Anis ; Samet, Kaies ; ben Flah, Ichraf.
   In: JRFM.
   RePEc:gam:jjrfmx:v:18:y:2025:i:6:p:332-:d:1681378.

   Full description at Econpapers || Download paper

2. Regional and global shock spillovers to Africa’s equity markets: evidence from the global financial crisis and COVID-19 pandemic. (2024). Poku, Kwasi ; Aawaar, Godfred ; Logogye, Louis.
   In: SN Business & Economics.
   RePEc:spr:snbeco:v:4:y:2024:i:12:d:10.1007_s43546-024-00764-w.

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3. Design of High-Frequency Trading Algorithm Based on Machine Learning. (2019). Feng, Yutong ; Fang, Boyue.
   In: Papers.
   RePEc:arx:papers:1912.10343.

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4. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
   In: Papers.
   RePEc:arx:papers:1912.07165.

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5. Intraday jumps in Chinas Treasury bond market and macro news announcements. (2015). Cui, Jing ; Zhao, Hua.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:39:y:2015:i:c:p:211-223.

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6. 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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   RePEc:cbt:econwp:13/19.

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7. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
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8. Automated Likelihood Based Inference for Stochastic Volatility Models. (2009). Yu, Jun ; Skaug, Hans J..
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9. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
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10. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
    In: Research Paper Series.
    RePEc:uts:rpaper:175.

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11. Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction. (2006). Capasso, Marco ; Alessi, Lucia.
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    RePEc:ssa:lemwps:2006/13.

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12. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter.
    In: Economics Papers.
    RePEc:nuf:econwp:0603.

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13. What drives volatility persistence in the foreign exchange market?. (2006). Hjalmarsson, Erik ; Berger, David ; Howorka, Edward ; Chaboud, Alain.
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    RePEc:fip:fedgif:862.

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14. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
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15. Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets. (2005). Schotman, Peter C ; Zalewska, Ania.
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16. Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power. (2004). Kočenda, Evžen ; Briatka, Lubos .
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17. Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range. (2004). Corrado, Charles ; Truong, Cameron.
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18. Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model. (2004). Medeiros, Marcelo ; Veiga, Alvaro.
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19. A Feasible Central Limit Theory for Realised Volatility Under Leverage. (2004). Shephard, Neil.
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20. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise. (2004). Shephard, Neil ; Lunde, Asger ; Hansen, Peter.
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21. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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22. Option Implied and Realised Measures of Variance. (2004). Panigirtzoglou, Nikolaos ; Lynch, Damien .
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23. Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?. (2004). Neely, Christopher.
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24. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2004). Zhou, Hao ; Bollerslev, Tim.
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25. Realized Variance and IID Market Microstructure Noise. (2004). Lunde, Asger ; Hansen, Peter.
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26. Microstructure noise, realized volatility, and optimal sampling. (2004). Russell, Jeffrey R. ; Bandi, Federico M..
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27. Stochastic volatility models and the Taylor effect. (2004). Ruiz, Esther ; Perez, Ana ; Mora-Galan, Alberto.
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28. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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29. El índice VIX para la predicción de la volatilidad: un estudio internacional.. (2004). Marrero, Sandra Morini ; Rubio, Javier Giner.
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30. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
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31. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Graversen, Svend Erik .
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32. Volatility puzzles: a unified framework for gauging return-volatility regressions. (2003). Zhou, Hao ; Bollerslev, Tim.
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33. Exchange Rates, Equity Prices and Capital Flows. (2003). Rey, Helene ; Hau, Harald.
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34. There is a Risk-Return Tradeoff After All. (2003). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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35. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2003). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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36. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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37. 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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38. Measuring and forecasting financial variability using realised variance with and without a model. (2002). Shephard, Neil ; Nielsen, Bent ; Ysusi, Carla.
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39. Exchange Rate, Equity Prices and Capital Flows. (2002). Rey, Helene ; Hau, Harald.
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40. 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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41. Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. (2002). Bollerslev, Tim ; Forsberg, Lars.
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42. A theoretical comparison between integrated and realized volatility. (2002). Meddahi, Nour.
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43. Insolvency or liquidity squeeze? Explaining very short-term corporate yield spreads. (2002). COVITZ, DAN ; Downing, Chris .
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44. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
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45. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis.
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46. Local Whittle Analysis of Stationary Fractional Cointegration. (2002). Nielsen, Morten.
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47. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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48. Realised power variation and stochastic volatility models. (2001). Shephard, Neil.
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49. How accurate is the asymptotic approximation to the distribution of realised volatility?. (2001). Shephard, Neil.
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50. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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51. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
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52. 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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