1. Modelling Volatility Cycles: The MF2‐GARCH Model. (2025). Engle, Robert ; Conrad, Christian.
   In: Journal of Applied Econometrics.
   RePEc:wly:japmet:v:40:y:2025:i:4:p:438-454.

   Full description at Econpapers || Download paper

2. Assessing the Risk of Bitcoin Futures Market: New Evidence. (2025). Dutta, Anupam.
   In: Annals of Data Science.
   RePEc:spr:aodasc:v:12:y:2025:i:2:d:10.1007_s40745-024-00517-4.

   Full description at Econpapers || Download paper

3. Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh.
   In: Computational Economics.
   RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

   Full description at Econpapers || Download paper

4. Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis. (2025). Kočenda, Evžen ; Albrecht, Peter ; de Oliveira, Alexandre Silva ; Koenda, Even ; Ceretta, Paulo Sergio ; Drbek, Michal.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000376.

   Full description at Econpapers || Download paper

5. Event-driven changes in volatility connectedness in global forex markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even.
   In: Journal of Multinational Financial Management.
   RePEc:eee:mulfin:v:77:y:2025:i:c:s1042444x24000616.

   Full description at Econpapers || Download paper

6. A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

   Full description at Econpapers || Download paper

7. Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

   Full description at Econpapers || Download paper

8. Modeling gasoline price volatility. (2025). Ormos, Mihály ; Kamocsai, Lszl.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016866.

   Full description at Econpapers || Download paper

9. Model specification for volatility forecasting benchmark. (2025). Zhang, Yaojie ; He, Mengxi ; Wen, Danyan ; Wang, Yudong.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007828.

   Full description at Econpapers || Download paper

10. Event-Driven Changes in Volatility Connectedness in Global Forex Markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_11606.

    Full description at Econpapers || Download paper

11. Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone.
    In: Papers.
    RePEc:arx:papers:2501.17490.

    Full description at Econpapers || Download paper

12. Can technical indicators based on underlying assets help to predict implied volatility index. (2024). Tingting, Ying ; Shi, Yanlong ; Yafeng, Shi.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:44:y:2024:i:1:p:57-74.

    Full description at Econpapers || Download paper

13. Forecasting realized volatility of crude oil futures prices based on machine learning. (2024). Walther, Thomas ; Ji, Qiang ; Klein, Tony ; Luo, Jiawen.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:43:y:2024:i:5:p:1422-1446.

    Full description at Econpapers || Download paper

14. A hybrid econometrics and machine learning based modeling of realized volatility of natural gas. (2024). Kristjanpoller, Werner.
    In: Financial Innovation.
    RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00577-0.

    Full description at Econpapers || Download paper

15. A Hybrid Model for Forecasting Realized Volatility Based on Heterogeneous Autoregressive Model and Support Vector Regression. (2024). Zhuo, Yue ; Morimoto, Takayuki.
    In: Risks.
    RePEc:gam:jrisks:v:12:y:2024:i:1:p:12-:d:1320131.

    Full description at Econpapers || Download paper

16. Asymmetric effect of trading volume on realized volatility. (2024). Maki, Daiki.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003800.

    Full description at Econpapers || Download paper

17. 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.

    Full description at Econpapers || Download paper

18. Forecasting downside and upside realized volatility: The role of asymmetric information. (2024). Maki, Daiki.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:29:y:2024:i:c:s1703494924000069.

    Full description at Econpapers || Download paper

19. A False Discovery Rate approach to optimal volatility forecasting model selection. (2024). Baker, Paul L ; Platanakis, Emmanouil ; Hassanniakalager, Arman.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:40:y:2024:i:3:p:881-902.

    Full description at Econpapers || Download paper

20. Benefit volatility-targeting strategies in lifetime pension pools. (2024). Begin, Jean-Franois ; Sanders, Barbara.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:118:y:2024:i:c:p:72-94.

    Full description at Econpapers || Download paper

21. State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices. (2024). Tsai, Ping Chen ; Wang, Chou Wen ; Eom, Cheoljun.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003442.

    Full description at Econpapers || Download paper

22. Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

    Full description at Econpapers || Download paper

23. Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

    Full description at Econpapers || Download paper

24. Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2024024.

    Full description at Econpapers || Download paper

25. Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao.
    In: Papers.
    RePEc:arx:papers:2408.13588.

    Full description at Econpapers || Download paper

26. Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2024022.

    Full description at Econpapers || Download paper

27. Impact of crude oil volatility jumps on sustainable investments: Evidence from India. (2023). Uddin, Gazi ; PARK, DONGHYUN ; Ghosh, Sajal ; Kanjilal, Kakali ; Dutta, Anupam.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1450-1468.

    Full description at Econpapers || Download paper

28. Forecasting stock return volatility: Realized volatility‐type or duration‐based estimators. (2023). Liu, Xiaoquan ; Fei, Tianlun ; Wen, Conghua.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:7:p:1594-1621.

    Full description at Econpapers || Download paper

29. Does herding effect help forecast market volatility?—Evidence from the Chinese stock market. (2023). Wang, Yide ; Zhao, Xujie ; Yu, Chao.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:5:p:1275-1290.

    Full description at Econpapers || Download paper

30. A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information. (2023). Chevallier, Julien ; M. I. M. Wahab, ; Ma, Feng.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:42:y:2023:i:1:p:60-75.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

32. Air quality index and the Chinese stock market volatility: Evidence from both market and sector indices. (2023). Lu, Xinjie ; Duc, Toan Luu ; Shen, Lihua ; Liang, Chao.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:84:y:2023:i:c:p:224-239.

    Full description at Econpapers || Download paper

33. The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Nikitopoulos, Christina Sklibosios ; Thomas, Alice Carole.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423.

    Full description at Econpapers || Download paper

34. The incremental information in the yield curve about future interest rate risk. (2023). Veliyev, Bezirgen ; Christensen, Bent Jesper ; Kjar, Mads Markvart.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001711.

    Full description at Econpapers || Download paper

35. The effect of uncertainty on stock market volatility and correlation. (2023). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001097.

    Full description at Econpapers || Download paper

36. 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.

    Full description at Econpapers || Download paper

37. Discovering the drivers of stock market volatility in a data-rich world. (2023). Cho, Hoon ; Ryu, Doojin ; Chun, Dohyun.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

    Full description at Econpapers || Download paper

38. Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets. (2023). Kambouroudis, Dimos ; McMillan, David G ; Korkusuz, Burak.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003641.

    Full description at Econpapers || Download paper

39. Forecasting stock volatility during the stock market crash period: The role of Hawkes process. (2023). Zhang, Xiaotao ; Fan, Lina ; Zhai, Jia ; Yang, Hao.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:55:y:2023:i:pa:s154461232300212x.

    Full description at Econpapers || Download paper

40. Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities. (2023). Han, Seung-Oh ; Huh, Sahn-Wook ; Park, Jeayoung.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:70:y:2023:i:c:p:276-307.

    Full description at Econpapers || Download paper

41. Score-driven models for realized volatility. (2023). Harvey, Andrew ; Palumbo, Dario.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001422.

    Full description at Econpapers || Download paper

42. A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Augustyniak, Maciej ; Begin, Jean-Franois ; Badescu, Alexandru.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

    Full description at Econpapers || Download paper

43. 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.

    Full description at Econpapers || Download paper

44. Forecasting international equity market volatility: A new approach. (2022). Zhang, Yaojie ; Li, Yan ; Ma, Feng ; Liang, Chao.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:7:p:1433-1457.

    Full description at Econpapers || Download paper

45. Forecasting Bitcoin volatility: A new insight from the threshold regression model. (2022). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi ; Wen, Danyan.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:3:p:633-652.

    Full description at Econpapers || Download paper

46. What matters when developing oil price volatility forecasting frameworks?. (2022). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:2:p:361-382.

    Full description at Econpapers || Download paper

47. Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach. (2022). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi ; Wen, Danyan.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:2:p:230-251.

    Full description at Econpapers || Download paper

48. Predicting the volatility of crude oil futures: The roles of leverage effects and structural changes. (2022). Lin, Boqiang ; Gong, XU.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:1:p:610-640.

    Full description at Econpapers || Download paper

49. Volatility forecasting revisited using Markov‐switching with time‐varying probability transition. (2022). Chen, Zhonglu ; Wang, Jiqian ; Ma, Feng ; Liang, Chao.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1387-1400.

    Full description at Econpapers || Download paper

50. United States Oil Fund volatility prediction: the roles of leverage effect and jumps. (2022). Liao, Yin ; Ma, Feng ; Liang, Chao ; Zhu, BO.
    In: Empirical Economics.
    RePEc:spr:empeco:v:62:y:2022:i:5:d:10.1007_s00181-021-02093-5.

    Full description at Econpapers || Download paper

51. Procyclical volatility in Chinese stock markets. (2022). Jiang, Ying ; Liu, Xiaoquan ; Fei, Tianlun ; Deschamps, Bruno.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01020-0.

    Full description at Econpapers || Download paper

52. 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.

    Full description at Econpapers || Download paper

53. The Dynamic Relationship between Investor Attention and Stock Market Volatility: International Evidence. (2022). Slim, Skander ; ben El, Imene.
    In: JRFM.
    RePEc:gam:jjrfmx:v:15:y:2022:i:2:p:66-:d:740095.

    Full description at Econpapers || Download paper

54. How to calm down the markets? The effects of COVID-19 economic policy responses on financial market uncertainty. (2022). Plíhal, Tomáš ; Deev, Oleg ; Plihal, Toma.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000010.

    Full description at Econpapers || Download paper

55. Forecasting volatility of Bitcoin. (2022). Molnár, Peter ; Molnar, Peter ; Polasik, Micha ; Bergsli, Lykke Overland ; Lind, Andrea Falk.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001616.

    Full description at Econpapers || Download paper

56. Forecasting realized volatility of agricultural commodities. (2022). Walther, Thomas ; Filis, George ; Degiannakis, Stavros ; Klein, Tony.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:38:y:2022:i:1:p:74-96.

    Full description at Econpapers || Download paper

57. Variance risk and the idiosyncratic volatility puzzle. (2022). Qadan, Mahmoud ; Shuval, Kerem.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002488.

    Full description at Econpapers || Download paper

58. Market distraction and near-zero daily volatility persistence. (2022). Wang, Jianxin.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000023.

    Full description at Econpapers || Download paper

59. Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

    Full description at Econpapers || Download paper

60. On the universality of the volatility formation process: when machine learning and rough volatility agree. (2022). Rosenbaum, Mathieu ; Zhang, Jianfei.
    In: Papers.
    RePEc:arx:papers:2206.14114.

    Full description at Econpapers || Download paper

61. Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning. (2021). Walther, Thomas ; Ji, Qiang ; Luo, Jiawen ; Klein, Tony.
    In: QBS Working Paper Series.
    RePEc:zbw:qmsrps:202104.

    Full description at Econpapers || Download paper

62. Do economic variables forecast commodity futures volatility?. (2021). Marechal, Loic.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1735-1774.

    Full description at Econpapers || Download paper

63. Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. (2021). Tsakou, Katerina ; Kambouroudis, Dimos S ; McMillan, David G.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1618-1639.

    Full description at Econpapers || Download paper

64. Stock market tail risk, tail risk premia, and return predictability. (2021). Suh, Sangwon ; Yoon, Sunjoong.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1569-1596.

    Full description at Econpapers || Download paper

65. Scheduled macroeconomic news announcements and Forex volatility forecasting. (2021). Plíhal, Tomáš ; Plihal, Toma.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:8:p:1379-1397.

    Full description at Econpapers || Download paper

66. Forecasting Chinas Crude Oil Futures Volatility: The Role of the Jump, Jumps Intensity, and Leverage Effect. (2021). M. I. M. Wahab, ; Wang, Jiqian ; Ma, Feng ; Huang, Dengshi.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:5:p:921-941.

    Full description at Econpapers || Download paper

67. Realized Volatility, Jump and Beta: evidence from Canadian Stock Market. (2021). Gajurel, Dinesh ; Chowdhury, Biplob.
    In: Applied Economics.
    RePEc:taf:applec:v:53:y:2021:i:55:p:6376-6397.

    Full description at Econpapers || Download paper

68. Higher Realized Moments and Stock Return Predictability. (2021). , Waliullah ; Rehman, Seema ; Sharif, Saqib.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2021:i:1:p:48-70.

    Full description at Econpapers || Download paper

69. Modelling Volatility Cycles: The (MF)2 GARCH Model. (2021). Engle, Robert ; Conrad, Christian.
    In: Working Paper series.
    RePEc:rim:rimwps:21-05.

    Full description at Econpapers || Download paper

70. What should be taken into consideration when forecasting oil implied volatility index?. (2021). Degiannakis, Stavros ; Delis, Panagiotis ; Giannopoulos, Kostantinos.
    In: MPRA Paper.
    RePEc:pra:mprapa:110831.

    Full description at Econpapers || Download paper

71. A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets. (2021). Kyriazis, Nikolaos A.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:293-:d:582208.

    Full description at Econpapers || Download paper

72. The role of US implied volatility index in forecasting Chinese stock market volatility: Evidence from HAR models. (2021). Zhao, Yupei ; Wang, Xiong ; Xiao, Jihong ; Wen, Fenghua.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:74:y:2021:i:c:p:311-333.

    Full description at Econpapers || Download paper

73. Night trading with futures in China: The case of Aluminum and Copper. (2021). Klein, Tony ; Todorova, Neda.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002191.

    Full description at Econpapers || Download paper

74. A Practical Guide to harnessing the HAR volatility model. (2021). Clements, Adam.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002417.

    Full description at Econpapers || Download paper

75. 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.

    Full description at Econpapers || Download paper

76. Herding and market volatility. (2021). Liu, Xiaoquan ; Fei, Tianlun.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:78:y:2021:i:c:s105752192100209x.

    Full description at Econpapers || Download paper

77. What drives volatility of the U.S. oil and gas firms?. (2021). Lyócsa, Štefan ; Lyocsa, Tefan ; Todorova, Neda.
    In: Energy Economics.
    RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100270x.

    Full description at Econpapers || Download paper

78. Impacts of asymmetry on forecasting realized volatility in Japanese stock markets. (2021). Ota, Yasushi ; Maki, Daiki.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:101:y:2021:i:c:s026499932100122x.

    Full description at Econpapers || Download paper

79. Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Lyocsa, Tefan ; Todorova, Neda.
    In: Applied Energy.
    RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

    Full description at Econpapers || Download paper

80. A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim.
    In: CREATES Research Papers.
    RePEc:aah:create:2021-03.

    Full description at Econpapers || Download paper

81. 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.

    Full description at Econpapers || Download paper

82. Cryptocurrency volatility forecasting: A Markov regime‐switching MIDAS approach. (2020). Ma, Yuanhui ; M. I. M. Wahab, ; Liang, Chao.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:8:p:1277-1290.

    Full description at Econpapers || Download paper

83. Is implied volatility more informative for forecasting realized volatility: An international perspective. (2020). Zhang, Yaojie ; Wei, YU ; Liang, Chao.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:8:p:1253-1276.

    Full description at Econpapers || Download paper

84. 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.

    Full description at Econpapers || Download paper

85. Two are better than one: Volatility forecasting using multiplicative component GARCH‐MIDAS models. (2020). Conrad, Christian ; Kleen, Onno.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:35:y:2020:i:1:p:19-45.

    Full description at Econpapers || Download paper

86. Realized volatility, jump and beta: evidence from Canadian stock market. (2020). Gajurel, Dinesh ; Chowdhury, Biplob.
    In: Working Papers.
    RePEc:tas:wpaper:35107.

    Full description at Econpapers || Download paper

87. Conditional Volatility Persistence and Realized Volatility Asymmetry: Evidence from the Chinese Stock Markets. (2020). Wang, Lei ; Su, Fei.
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:56:y:2020:i:14:p:3252-3269.

    Full description at Econpapers || Download paper

88. 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.

    Full description at Econpapers || Download paper

89. The impact of sentiment and attention measures on stock market volatility. (2020). Ballinari, Daniele ; Audrino, Francesco ; Sigrist, Fabio.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:36:y:2020:i:2:p:334-357.

    Full description at Econpapers || Download paper

90. Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence. (2020). Chevallier, Julien ; Huang, Yisu ; Wang, Jiqian ; Ma, Feng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302371.

    Full description at Econpapers || Download paper

91. On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks. (2020). Zhang, Dayong ; Ji, Qiang ; Klein, Tony ; Todorova, Neda ; Luo, Jiawen.
    In: Energy Economics.
    RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301213.

    Full description at Econpapers || Download paper

92. Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Plíhal, Tomáš ; Molnár, Peter ; Lyócsa, Štefan ; Plihal, Toma ; Molnar, Peter ; Iraova, Maria.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

    Full description at Econpapers || Download paper

93. Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach. (2020). Yuan, Ying ; Zhang, Tonghui.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:140:y:2020:i:c:s0960077920306482.

    Full description at Econpapers || Download paper

94. Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks. (2020). Urquhart, Andrew ; Shen, Dehua ; Wang, Pengfei.
    In: European Financial Management.
    RePEc:bla:eufman:v:26:y:2020:i:5:p:1294-1323.

    Full description at Econpapers || Download paper

95. The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki.
    In: Papers.
    RePEc:arx:papers:2006.00158.

    Full description at Econpapers || Download paper

96. Night Trading with Futures in China: The Case of Aluminum and Copper. (2019). Klein, Tony ; Todorova, Neda.
    In: QBS Working Paper Series.
    RePEc:zbw:qmsrps:201906.

    Full description at Econpapers || Download paper

97. Forecasting the Realized Variance in the Presence of Intraday Periodicity. (2019). Hizmeri, Rodrigo ; DUMITRU, ANA-MARIA ; Izzeldin, Marwan.
    In: EconStor Preprints.
    RePEc:zbw:esprep:193631.

    Full description at Econpapers || Download paper

98. The Relative Effectiveness of Spot and Derivatives‐Based Intervention. (2019). Saborowski, Christian ; Nedeljkovic, Milan.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:51:y:2019:i:6:p:1455-1490.

    Full description at Econpapers || Download paper

99. Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies. (2019). Xiao, Ran.
    In: PhD Thesis.
    RePEc:uts:finphd:5-2019.

    Full description at Econpapers || Download paper

100. The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures. (2019). GUPTA, RANGAN ; Asai, Manabu ; McAleer, Michael.
     In: Documentos de Trabajo del ICAE.
     RePEc:ucm:doicae:1912.

     Full description at Econpapers || Download paper

101. Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility. (2019). Tsakou, Katerina ; Kambouroudis, Dimos ; McMillan, David.
     In: Working Papers.
     RePEc:swn:wpaper:2019-03.

     Full description at Econpapers || Download paper

102. A realized volatility approach to option pricing with continuous and jump variance components. (2019). Bormetti, Giacomo ; Corsi, Fulvio ; Alitab, Dario ; Majewski, Adam A.
     In: Decisions in Economics and Finance.
     RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00241-2.

     Full description at Econpapers || Download paper

103. 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.

     Full description at Econpapers || Download paper

104. Forecasting Realized Volatility of Agricultural Commodities. (2019). Walther, Thomas ; Filis, George ; Degiannakis, Stavros ; Klein, Tony.
     In: MPRA Paper.
     RePEc:pra:mprapa:96267.

     Full description at Econpapers || Download paper

105. How Unemployment Affects Bond Prices: A Mixed Frequency Google Nowcasting Approach. (2019). Dimpfl, Thomas ; Langen, Tobias.
     In: Computational Economics.
     RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9840-7.

     Full description at Econpapers || Download paper

106. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). GUPTA, RANGAN ; Asai, Manabu ; McAleer, Michael.
     In: Energies.
     RePEc:gam:jeners:v:12:y:2019:i:17:p:3379-:d:263215.

     Full description at Econpapers || Download paper

107. 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.

     Full description at Econpapers || Download paper

108. The information content of realized volatility of sector indices in China’s stock market. (2019). Lin, Tiantian ; Lung, Peter ; Zhang, Lili ; Liu, Dehong.
     In: International Review of Economics & Finance.
     RePEc:eee:reveco:v:64:y:2019:i:c:p:625-640.

     Full description at Econpapers || Download paper

109. Forecasting downside risk in China’s stock market based on high-frequency data. (2019). Wang, Zongrun ; Gong, XU ; Chen, Sicen ; Xie, Nan.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:517:y:2019:i:c:p:530-541.

     Full description at Econpapers || Download paper

110. Cross-sectional return dispersion and volatility prediction. (2019). Liu, Xiaoquan ; Fei, Tianlun ; Wen, Conghua.
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x19301830.

     Full description at Econpapers || Download paper

111. Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect. (2019). Gong, XU ; Zhang, Hongwei ; Yang, Cai.
     In: Resources Policy.
     RePEc:eee:jrpoli:v:61:y:2019:i:c:p:548-563.

     Full description at Econpapers || Download paper

112. 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.

     Full description at Econpapers || Download paper

113. Ordinal-response GARCH models for transaction data: A forecasting exercise. (2019). Tsionas, Mike ; Dimitrakopoulos, Stefanos.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:35:y:2019:i:4:p:1273-1287.

     Full description at Econpapers || Download paper

114. Forecast ranked tailored equity portfolios. (2019). Buncic, Daniel ; Stern, Cord.
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119301325.

     Full description at Econpapers || Download paper

115. Currency jumps, Euribor-OIS spreads and the volatility skew: A study on the dollar-euro crash risk of 2007–2015. (2019). Wong, Alfred.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:29:y:2019:i:c:p:7-16.

     Full description at Econpapers || Download paper

116. Time-varying risk aversion and realized gold volatility. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Gkillas, Konstantinos.
     In: The North American Journal of Economics and Finance.
     RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306399.

     Full description at Econpapers || Download paper

117. Score-Driven Models for Realized Volatility. (2019). Harvey, Andrew ; Palumbo, D.
     In: Cambridge Working Papers in Economics.
     RePEc:cam:camdae:1950.

     Full description at Econpapers || Download paper

118. Think again: volatility asymmetry and volatility persistence. (2019). Thomas, Dimpfl ; Dirk, Baur.
     In: Studies in Nonlinear Dynamics & Econometrics.
     RePEc:bpj:sndecm:v:23:y:2019:i:1:p:19:n:4.

     Full description at Econpapers || Download paper

119. A Vine-copula extension for the HAR model. (2019). Magris, Martin.
     In: Papers.
     RePEc:arx:papers:1907.08522.

     Full description at Econpapers || Download paper

120. Structural breaks and volatility forecasting in the copper futures market. (2018). Lin, Boqiang ; Gong, XU.
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:38:y:2018:i:3:p:290-339.

     Full description at Econpapers || Download paper

121. 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.

     Full description at Econpapers || Download paper

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

     Full description at Econpapers || Download paper

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

     Full description at Econpapers || Download paper

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

     Full description at Econpapers || Download paper

125. Time-Varying Risk Aversion and Realized Gold Volatility. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza.
     In: Working Papers.
     RePEc:pre:wpaper:201881.

     Full description at Econpapers || Download paper

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

     Full description at Econpapers || Download paper

127. Forecast ranked tailored equity portfolios. (2018). Buncic, Daniel ; Stern, Cord.
     In: MPRA Paper.
     RePEc:pra:mprapa:90382.

     Full description at Econpapers || Download paper

128. Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39.

     Full description at Econpapers || Download paper

129. Leverage effect, economic policy uncertainty and realized volatility with regime switching. (2018). Liu, Zhicao ; Duan, Yinying ; Chen, Wang ; Zeng, Qing.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:493:y:2018:i:c:p:148-154.

     Full description at Econpapers || Download paper

130. Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index. (2018). Ziegelmann, Flavio ; Horta, Eduardo.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:34:y:2018:i:1:p:75-88.

     Full description at Econpapers || Download paper

131. 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.

     Full description at Econpapers || Download paper

132. Forecasting realized volatility based on the truncated two-scales realized volatility estimator (TTSRV): Evidence from Chinas stock market. (2018). Ping, Yuan ; Li, Rui.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:25:y:2018:i:c:p:222-229.

     Full description at Econpapers || Download paper

133. Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Zhang, Yaojie ; Lai, Xiaodong ; Ma, Feng ; Huang, Dengshi.
     In: Energy Economics.
     RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

     Full description at Econpapers || Download paper

134. Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets. (2018). Duan, Qing Ling ; Niu, Mengyi ; Qu, Hui.
     In: Energy Economics.
     RePEc:eee:eneeco:v:74:y:2018:i:c:p:767-776.

     Full description at Econpapers || Download paper

135. The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU.
     In: Energy Economics.
     RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

     Full description at Econpapers || Download paper

136. Testing for leverage effects in the returns of US equities. (2018). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

     Full description at Econpapers || Download paper

137. Volatility in equity markets and monetary policy rate uncertainty. (2018). Roberts-Sklar, Matt ; Kaminska, Iryna.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:45:y:2018:i:c:p:68-83.

     Full description at Econpapers || Download paper

138. The Relative Effectiveness of Spot and Derivatives Based Intervention. (2018). Saborowski, Christian ; Nedeljkovic, Milan.
     In: CESifo Working Paper Series.
     RePEc:ces:ceswps:_7127.

     Full description at Econpapers || Download paper

139. A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities. (2017). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Mazzeu, Joao Henrique .
     In: Working Papers.
     RePEc:ucr:wpaper:201709.

     Full description at Econpapers || Download paper

140. Forecast comparison of volatility models on Russian stock market. (2017). Aganin, Artem.
     In: Applied Econometrics.
     RePEc:ris:apltrx:0331.

     Full description at Econpapers || Download paper

141. Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe.
     In: Documents de travail du Centre d'Economie de la Sorbonne.
     RePEc:mse:cesdoc:14022r.

     Full description at Econpapers || Download paper

142. Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe.
     In: Post-Print.
     RePEc:hal:journl:halshs-00973922.

     Full description at Econpapers || Download paper

143. Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe.
     In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
     RePEc:hal:cesptp:halshs-00973922.

     Full description at Econpapers || Download paper

144. Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco.
     In: Econometrics.
     RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901.

     Full description at Econpapers || Download paper

145. Variance Premium and Implied Volatility in a Low-Liquidity Option Market. (2017). Giovannetti, Bruno ; Chague, Fernando ; da Silva, Marcos Eugenio ; Astorino, Eduardo .
     In: Revista Brasileira de Economia - RBE.
     RePEc:fgv:epgrbe:v:71:y:2017:i:1:a:59368.

     Full description at Econpapers || Download paper

146. Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH. (2017). Vortelinos, Dimitrios I.
     In: Research in International Business and Finance.
     RePEc:eee:riibaf:v:39:y:2017:i:pb:p:824-839.

     Full description at Econpapers || Download paper

147. Can economic policy uncertainty help to forecast the volatility: A multifractal perspective. (2017). Liu, Zhicao ; Ye, Yong ; Ma, Feng.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:482:y:2017:i:c:p:181-188.

     Full description at Econpapers || Download paper

148. Forecasting stock market volatility: Do realized skewness and kurtosis help?. (2017). Chen, Wang ; Liu, Jing ; Ma, Feng ; Mei, Dexiang.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:481:y:2017:i:c:p:153-159.

     Full description at Econpapers || Download paper

149. Volatility forecasting using high frequency data: The role of after-hours information and leverage effects. (2017). Zhu, Xuehong ; Zhong, Meirui ; Zhang, Hongwei.
     In: Resources Policy.
     RePEc:eee:jrpoli:v:54:y:2017:i:c:p:58-70.

     Full description at Econpapers || Download paper

150. The role of jumps and leverage in forecasting volatility in international equity markets. (2017). Buncic, Daniel.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:79:y:2017:i:c:p:1-19.

     Full description at Econpapers || Download paper

151. 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.

     Full description at Econpapers || Download paper

152. Forecasting the good and bad uncertainties of crude oil prices using a HAR framework. (2017). Lin, Boqiang ; Gong, XU.
     In: Energy Economics.
     RePEc:eee:eneeco:v:67:y:2017:i:c:p:315-327.

     Full description at Econpapers || Download paper

153. Modeling Realized Volatility Dynamics with a Genetic Algorithm. (2016). Ji, Ping ; Qu, Hui.
     In: Journal of Forecasting.
     RePEc:wly:jforec:v:35:y:2016:i:5:p:434-444.

     Full description at Econpapers || Download paper

154. The new hybrid value at risk approach based on the extreme value theory. (2016). Stepanov, Saa ; Radivojevic, Nikola ; Cvjetkovic, Milena .
     In: Estudios de Economia.
     RePEc:udc:esteco:v:43:y:2016:i:1:p:17-43.

     Full description at Econpapers || Download paper

155. Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models. (2016). Medeiros, Marcelo ; Hillebrand, Eric.
     In: Journal of Business & Economic Statistics.
     RePEc:taf:jnlbes:v:34:y:2016:i:1:p:23-41.

     Full description at Econpapers || Download paper

156. Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael .
     In: Hannover Economic Papers (HEP).
     RePEc:han:dpaper:dp-571.

     Full description at Econpapers || Download paper

157. Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Hu, Yujia ; Audrino, Francesco.
     In: Econometrics.
     RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253.

     Full description at Econpapers || Download paper

158. 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.

     Full description at Econpapers || Download paper

159. Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.

     Full description at Econpapers || Download paper

160. Forecasting the volatility of crude oil futures using HAR-type models with structural breaks. (2016). Gong, XU ; Cai, Shenghua ; Wen, Fenghua.
     In: Energy Economics.
     RePEc:eee:eneeco:v:59:y:2016:i:c:p:400-413.

     Full description at Econpapers || Download paper

161. Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models. (2016). Li, Xindan ; Chen, Wei ; Niu, Mengyi ; Qu, Hui.
     In: Energy Economics.
     RePEc:eee:eneeco:v:54:y:2016:i:c:p:68-76.

     Full description at Econpapers || Download paper

162. Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective. (2016). Trapin, Luca ; Bee, Marco ; Dupuis, Debbie J.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:36:y:2016:i:c:p:86-99.

     Full description at Econpapers || Download paper

163. A nonparametric test of a strong leverage hypothesis. (2016). Whang, Yoon-Jae ; LINTON, OLIVER ; Yen, Yu-Min.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:194:y:2016:i:1:p:153-186.

     Full description at Econpapers || Download paper

164. Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael .
     In: CREATES Research Papers.
     RePEc:aah:create:2016-17.

     Full description at Econpapers || Download paper

165. QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES. (2015). Guhr, Thomas ; Schmitt, Thilo A ; Schafer, Rudi ; Dette, Holger.
     In: International Journal of Theoretical and Applied Finance (IJTAF).
     RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500442.

     Full description at Econpapers || Download paper

166. Volatility spillovers from international commodity markets to the Australian equity market. (2015). Soucek, Michael ; Roca, Eduardo ; Todorova, Neda.
     In: Discussion Papers in Finance.
     RePEc:gri:fpaper:finance:201505.

     Full description at Econpapers || Download paper

167. High and low or close to close prices? Evidence from the multifractal volatility. (2015). Liu, Zhichao ; Long, Yujia ; Ma, Feng.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:427:y:2015:i:c:p:50-61.

     Full description at Econpapers || Download paper

168. The information content of option-implied information for volatility forecasting with investor sentiment. (2015). Seo, Sung Won ; Kim, Junsik.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:50:y:2015:i:c:p:106-120.

     Full description at Econpapers || Download paper

169. Volatility forecasting: The role of lunch-break returns, overnight returns, trading volume and leverage effects. (2015). Wang, Xunxiao ; Xu, Weidong ; Wu, Chongfeng.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:31:y:2015:i:3:p:609-619.

     Full description at Econpapers || Download paper

170. Economic policy uncertainty and stock market volatility. (2015). Zhang, Tao ; Liu, LI.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:15:y:2015:i:c:p:99-105.

     Full description at Econpapers || Download paper

171. Volatility transmission in global financial markets. (2015). Hurn, Stan ; Clements, Adam ; Volkov, V. V..
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:32:y:2015:i:c:p:3-18.

     Full description at Econpapers || Download paper

172. 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.

     Full description at Econpapers || Download paper

173. 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.

     Full description at Econpapers || Download paper

174. The course of realized volatility in the LME non-ferrous metal market. (2015). Todorova, Neda.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:51:y:2015:i:c:p:1-12.

     Full description at Econpapers || Download paper

175. Quantile Correlations: Uncovering temporal dependencies in financial time series. (2015). Guhr, Thomas ; Schmitt, Thilo A ; Schafer, Rudi ; Dette, Holger.
     In: Papers.
     RePEc:arx:papers:1507.04990.

     Full description at Econpapers || Download paper

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

     Full description at Econpapers || Download paper

177. Economic gains of realized volatility in the Brazilian stock market. (2014). Medeiros, Marcelo ; Garcia, Marcio ; Francisco Eduardo de Luna e Almeida Santos, .
     In: Textos para discussão.
     RePEc:rio:texdis:624.

     Full description at Econpapers || Download paper

178. Testing for Leverage Effect in Financial Returns. (2014). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe.
     In: Documents de travail du Centre d'Economie de la Sorbonne.
     RePEc:mse:cesdoc:14022.

     Full description at Econpapers || Download paper

179. Realized volatility spillovers in the non-ferrous metal futures market. (2014). Worthington, Andrew ; Soucek, Michael ; Todorova, Neda ; Souek, Michael .
     In: Resources Policy.
     RePEc:eee:jrpoli:v:39:y:2014:i:c:p:21-31.

     Full description at Econpapers || Download paper

180. Fact or friction: Jumps at ultra high frequency. (2014). Christensen, Kim ; Oomen, Roel C. A., ; Podolskij, Mark.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:114:y:2014:i:3:p:576-599.

     Full description at Econpapers || Download paper

181. The VIX, the variance premium and stock market volatility. (2014). Hoerova, Marie ; Bekaert, Geert.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:183:y:2014:i:2:p:181-192.

     Full description at Econpapers || Download paper

182. Realized volatility transmission: The role of jumps and leverage effects. (2014). Soucek, Michael ; Todorova, Neda ; Souek, Michael .
     In: Economics Letters.
     RePEc:eee:ecolet:v:122:y:2014:i:2:p:111-115.

     Full description at Econpapers || Download paper

183. 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.

     Full description at Econpapers || Download paper

184. The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range. (2014). Soucek, Michael ; Todorova, Neda ; Souek, Michael .
     In: Economic Modelling.
     RePEc:eee:ecmode:v:36:y:2014:i:c:p:332-340.

     Full description at Econpapers || Download paper

185. The VIX, the variance premium and stock market volatility. (2014). Hoerova, Marie ; Bekaert, Geert.
     In: Working Paper Series.
     RePEc:ecb:ecbwps:20141675.

     Full description at Econpapers || Download paper

186. 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.

     Full description at Econpapers || Download paper

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

     Full description at Econpapers || Download paper

188. Additive modeling of realized variance: tests for parametric specifications and structural breaks. (2013). Fengler, Matthias ; Vogt, Michael ; Mammen, Enno.
     In: Economics Working Paper Series.
     RePEc:usg:econwp:2013:32.

     Full description at Econpapers || Download paper

189. 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.

     Full description at Econpapers || Download paper

190. The VIX, the Variance Premium and Stock Market Volatility. (2013). Hoerova, Marie ; Bekaert, Geert.
     In: NBER Working Papers.
     RePEc:nbr:nberwo:18995.

     Full description at Econpapers || Download paper

191. A nonparametric test of a strong leverage hypothesis. (2013). Whang, Yoon-Jae ; LINTON, OLIVER ; Yen, Yu-Min.
     In: CeMMAP working papers.
     RePEc:ifs:cemmap:28/13.

     Full description at Econpapers || Download paper

192. Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach. (2013). Soucek, Michael ; Todorova, Neda ; Souek, Michael .
     In: Energy Economics.
     RePEc:eee:eneeco:v:40:y:2013:i:c:p:586-597.

     Full description at Econpapers || Download paper

193. The information content of risk-neutral skewness for volatility forecasting. (2013). Byun, Suk Joon ; Kim, Junsik.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:23:y:2013:i:c:p:142-161.

     Full description at Econpapers || Download paper

194. 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.

     Full description at Econpapers || Download paper

195. A nonparametric test of a strong leverage hypothesis. (2013). Whang, Yoon-Jae ; LINTON, OLIVER ; Yen, Yu-Min.
     In: CeMMAP working papers.
     RePEc:azt:cemmap:28/13.

     Full description at Econpapers || Download paper

196. Stochastic Volatility with Heterogeneous Time Scales. (2013). Bormetti, Giacomo ; Delpini, Danilo.
     In: Papers.
     RePEc:arx:papers:1206.0026.

     Full description at Econpapers || Download paper

197. 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.

     Full description at Econpapers || Download paper

References contributed by pfo235-906

1. Adrian, T. and J. Rosenberg (2008). Stock returns and volatility: Pricing the short-run and long-run components of market risk. Journal of Finance 63 (6), 2997–3030. Ait-Sahalia, Y. and J. Jacod (2009). Testing for jumps in a discretely observed process. Annals of Statistics 37, 184–222.

2. Ait-Sahalia, Y. and L. Mancini (2008). Out of sample forecasts of quadratic variation. Journal of Econometrics 147 (1), 17–33.

3. Allen, D. E. and M. Scharth (2009). Modelling the volatility of the FTSE100 index using high-frequency data sets. In G. N. Gregoriou (Ed.), Stock Market volatility, pp. 419–440. Chapman & Hall/CRC.
   Paper not yet in RePEc: Add citation now
   
4. Andersen, T., D. Dobrev, and E. Schaumburg (2008). Jump robust volatility estimation. Working Paper.
   Paper not yet in RePEc: Add citation now
   
5. Andersen, T., T. Bollerslev, and F. X. Diebold (2003). Parametric and nonparametric volatility measurement. In L. P. Hansen and Y. Ait-Sahalia (Eds.), Handbook of Financial Econometrics. Amsterdam: North-Holland.
   Paper not yet in RePEc: Add citation now
   

6. Andersen, T., T. Bollerslev, and F. X. Diebold (2007). Roughing it up: Including jump components in the measurement, modeling and forecasting of return volatility. Review of Economics and Statistics 89, 701–720.

7. Bali, T. and L. Peng (2006). Is there a Risk-Return Tradeoff? Evidence from High-Frequency Data. Journal of Applied Econometrics 21, 1169–1198.

8. Bandi, F. and B. Perron (2008). Long-run risk-return trade-offs. Journal of Econometrics 4, 349–374.

9. Bandi, F. and J. Russell (2006). Separating microstructure noise from volatility. Journal of Financial Economics 79 (3), 655–92.

10. Bandi, F. and J. Russell (2008). Microstructure noise, realized variance, and optimal sampling. Review of Economic Studies 75 (2), 339–369.

11. Bandi, F. and R. Ren`o (2008). Nonparametric leverage effects. Working Paper.
    Paper not yet in RePEc: Add citation now
    
12. Bandi, F., C. Moise, and J. Russell (2008). Market volatility, market frictions, and the cross-section of stock returns. Working paper.
    Paper not yet in RePEc: Add citation now
    

13. Barndorff-Nielsen, O. E. and N. Shephard (2004). Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics 2, 1–48.

14. Barndorff-Nielsen, O. E. and N. Shephard (2006). Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics 4, 1–30.

15. Barndorff-Nielsen, O., S. Kinnebrock, and N. Shephard (2008). Measuring downside risk – realised semivariance. Working paper.

16. Bates, D. (2000). Post-’87 crash fears in the S&P 500 futures option market. Journal of Econometrics 94, 181–238.

17. Bollerslev, T. and E. Ghysels (1996). Periodic autoregressive conditional heteroscedasticity. Journal of Business & Economic Statistics 14 (2), 139–151.

18. Bollerslev, T., G. Tauchen, and H. Zhou (2008). Expected stock returns and variance risk premia. Review of Financial Studies. Forthcoming.

19. Bollerslev, T., J. Litvinova, and G. Tauchen (2006). Leverage and Volatility Feedback Effects in High-Frequency Data. Journal of Financial Econometrics 4 (3), 353.

20. Bollerslev, T., R. Gallant, C. Pigorsch, U. Pigorsch, and G. Tauchen (2006). Statistical Assessment of Models for Very High Frequency Financial Price Dynamics. Working Paper, Duke University.
    Paper not yet in RePEc: Add citation now
    

21. Bollerslev, T., U. Kretschmer, C. Pigorsch, and G. Tauchen (2009). A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects. Journal of Econometrics 150 (2), 151–166.

22. Boudt, K., C. Croux, and S. Laurent (2008). Outlyingness Weighted Quadratic Covariation. Working Paper.
    Paper not yet in RePEc: Add citation now
    

23. Brandt, M. and C. Jones (2006). Volatility Forecasting With Range-Based EGARCH Models. Journal of Business and Economic Statistics 24 (4), 470.

24. Busch, T., B. Christensen, and M. Nielsen (2009). The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets. Journal of Econometrics. Forthcoming.

25. Campbell, J. Y. and L. Hentschel (1992). No news is good news: a asymmetric model of changing volatility in stock returns. Journal of Financial Economics 31, 281–318.

26. Chernov, M., R. Gallant, E. Ghysels, and G. Tauchen (2003). Alternative models for stock price dynamics. Journal of Econometrics 116 (1), 225–258.

27. Christensen, B. J. and N. M. Kiefer (2009). Economic Modeling and Inference. Princeton University Press.
    Paper not yet in RePEc: Add citation now
    
28. Christensen, K., R. Oomen, and M. Podoslkij (2008). Realised quantile-based estimation of the integrated variance. Working paper.
    Paper not yet in RePEc: Add citation now
    

29. Christie, A. (1982). The stochastic behavior of common stock variances: value, leverage and interest rate effects. Journal of Financial Economics 10, 407–432.

30. Christoffersen, P. F., S. Heston, and K. Jacobs (2009). The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well. Management Science. Forthcoming.

31. Clark, T. and K. West (2007). Approximately normal tests for equal predictive accuracy in nested models. Journal of Econometrics 138 (1), 291–311.

32. Comte, F. and E. Renault (1996). Long memory continuous time models. Journal of Econometrics 73 (1), 101–149.

33. Comte, F. and E. Renault (1998). Long memory in continuous-time stochastic volatility models. Mathematical Finance 8 (4), 291–323.

34. Corradi, V. (2000). Reconsidering the continuous time limit of the GARCH(1,1) process. Journal of Econometrics 96, 145–153.

35. Corsi, F. (2005). Measuring and Modelling Realized Volatility: from tick-by-tick to long memory. Ph. D. thesis, PhD in Finance, University of Lugano.

36. Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics 7, 174–196.

37. Corsi, F., D. Pirino, and R. Ren`o (2009). Threshold bipower variation and the impact of jumps on volatility forecasting. Working paper.

38. Corsi, F., N. Fusari, and D. La Vecchia (2010). Realizing Smiles: Pricing Options with Realized Volatility. Working Paper.

39. Duan, J.-C. (1997). Augmented GARCH(p,q) process and its diffusion limit. Journal of Econometrics 79, 97–127.

40. Duffie, D., J. Pan, and K. Singleton (2000). Transform analysis and asset pricing for affine junp-diffusions. Econometrica 68, 1343–1376.

41. Engle, R. and G. Gallo (2006). A multiple indicators model for volatility using intra-daily data. Journal of Econometrics 131 (1-2), 3–27.

42. Engle, R. and J. Gonzalo (2008). The spline-GARCH model for low-frequency volatility and its global macroeconomic causes. Review of Financial Studies 21 (3), 1187.

43. Eraker, B., M. Johannes, and N. Polson (2003). The impact of jumps in equity index volatility and returns. Journal of Finance 58, 1269–1300.

44. Fan, J. and Y. Wang (2007). Multi-scale jump and volatility analysis for high-frequency financial data. Journal of the American Statistical Association 102, 1349–1362.

45. Fernandes, M., M. C. Medeiros, and M. Scharth (2009). Modeling and predicting the CBOE market volatility index. Working paper.

46. Forsberg, L. and E. Ghysels (2007). Why do absolute returns predict volatility so well? Journal of Financial Econometrics 5, 31–67.

47. Ghysels, E., P. Santa-Clara, and R. Valkanov (2005). There is a risk-return trade-off after all. Journal of Financial Economics 76 (3), 509–548.

48. Glosten, L., R. Jagannathan, and D. Runkle (1989). On the relation between the expected value of the volatility of the nominal excess return on stocks. Journal of Finance 48, 1779–1801.
    Paper not yet in RePEc: Add citation now
    
49. Gourieroux, C. and A. Monfort (1996). Simulation-based econometric methods. Oxford University Press, USA.
    Paper not yet in RePEc: Add citation now
    

50. Gourieroux, C., A. Monfort, and E. Renault (1993). Indirect inference. Journal of Applied Econometrics 8, 85,118.

51. Hansen, P. and A. Lunde (2006). Consistent ranking of volatility models. Journal of Econometrics 131, 97–121.

52. Heston, S. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of financial studies 6, 327–343.

53. Huang, X. and G. Tauchen (2005). The relative contribution of jumps to total price variance. Journal of Financial Econometrics 3 (4), 456–499.

54. Jacod, J. and V. Todorov (2009). Do price and volatility jump together? Annals of Applied Probability. Forthcoming.
    Paper not yet in RePEc: Add citation now
    

55. Jacod, J., Y. Li, P. Mykland, M. Podolskij, and M. Vetter (2007). Microstructure noise in the continuous case: the pre-averaging approach. Stochastic Processes and Their Applications. Forthcoming.

56. Jiang, G. and R. Oomen (2008). Testing for jumps when asset prices are observed with noise–a "swap variance" approach. Journal of Econometrics 144 (2), 352–370.

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

58. Lieberman, O. and P. Phillips (2008). Refined inference on long memory in realized volatility. Econometric Reviews 27 (1), 254–267.

59. Mancini, C. (2009). Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps. Scandinavian Journal of Statistics 36 (2), 270–296.

60. Martens, M., D. van Dijk, and M. de Pooter (2009). Forecasting S&P500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality and macroeconomic announcements. International Journal of Forecasting 25, 282–303.

61. Muller, U., M. Dacorogna, R. Dav´e, R. Olsen, O. Pictet, and J. von Weizsacker (1997). Volatilities of different time resolutions - analyzing the dynamics of market components. Journal of Empirical Finance 4, 213–239.

62. Nelson, D. (1990). ARCH models as diffusion approximations. Journal of Econometrics 45, 7–38.

63. Nielsen, M. O. and P. H. Frederiksen (2008). Finite sample accuracy and choice of sampling frequency in integrated volatility estimation. Journal of Empirical Finance 15, 265–286.

64. Pan, J. (2002). The jump-risk premia implicit in options: Evidence from an integrated time series study. Journal of Financial Economics 63, 3–50.

65. Patton, A. (2011). Volatility forecast comparison using imperfect volatility proxies. Journal of Econometrics. Forthcoming.

66. Podolskij, M. and M. Vetter (2009). Bipower-type estimation in a noisy diffusion setting. Stochastic Processes and their Applications 119, 2803–2831.

67. Rossi, E. and F. Spazzini (2010). Finite sample results of range-based integrated volatility estimation. Working Paper.
    Paper not yet in RePEc: Add citation now
    

68. Scharth, M. and M. C. Medeiros (2009). Asymmetric effects and long memory in the volatility of Dow Jones stocks. International Journal of Forecasting 25, 304–327.

69. Todorov, V. and G. Tauchen (2008). Volatility jumps. Working Paper.
    Paper not yet in RePEc: Add citation now
    

70. Visser, M. (2008). Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure. Working Paper.

71. Zhang, L., P. A. Mykland, and Y. A¨it-Sahalia (2005). A tale of two time scales: Determining integrated volatility with noisy high-frequency data. Journal of the American Statistical Association 100, 1394–1411.

1. Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Zhang, Tianqi ; Wu, Rongwen ; Fu, Michael C ; Li, Bingqing.
   In: Papers.
   RePEc:arx:papers:2006.15054.

   Full description at Econpapers || Download paper

2. The market price of risk of the variance term structure. (2017). Dotsis, George.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:84:y:2017:i:c:p:41-52.

   Full description at Econpapers || Download paper

3. Global variance term premia and intermediary risk appetite. (2016). Vogt, Erik ; Van Tassel, Peter.
   In: Staff Reports.
   RePEc:fip:fednsr:789.

   Full description at Econpapers || Download paper

4. The likelihood of management involvement, offer premiums, and target shareholder wealth effects: Evidence from the 2002–2007 LBO wave. (2016). Nguyen, Thuy ; Cao, Kien ; Coy, Jeffrey .
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:36:y:2016:i:c:p:641-655.

   Full description at Econpapers || Download paper

5. The volatility of a firms assets and the leverage effect. (2016). Choi, Jaewon ; Richardson, Matthew.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:121:y:2016:i:2:p:254-277.

   Full description at Econpapers || Download paper

6. A closer insight into the causality between short selling trades and volatility. (2016). Yelkenci, Tezer ; Suer, Omur ; Baklaci, Hasan F.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:17:y:2016:i:c:p:48-54.

   Full description at Econpapers || Download paper

7. An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments. (2016). Wang, Tianyang ; Miao, Hong ; Ramchander, Sanjay ; Chatrath, Arjun.
   In: Energy Economics.
   RePEc:eee:eneeco:v:54:y:2016:i:c:p:213-223.

   Full description at Econpapers || Download paper

8. Financial market volatility, macroeconomic fundamentals and investor sentiment. (2016). Stoja, Evarist ; Harris, Richard ; Chiu, Ching-Wai (Jeremy).
   In: Bank of England working papers.
   RePEc:boe:boeewp:0608.

   Full description at Econpapers || Download paper

9. Should the Fed take extra action for the recent housing bubble? Evidence from asymmetric transitory shocks. (2015). Huang, Meichi ; Yeh, Linying .
   In: Journal of Economics and Finance.
   RePEc:spr:jecfin:v:39:y:2015:i:4:p:762-781.

   Full description at Econpapers || Download paper

10. Asset Pricing with Horizon-Dependent Risk Aversion. (2015). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne.
    In: 2015 Meeting Papers.
    RePEc:red:sed015:1069.

    Full description at Econpapers || Download paper

11. Global Engagement and Returns Volatility. (2015). Riaño, Alejandro ; Girma, Sourafel ; Lancheros, Sandra ; Riano, Alejandro.
    In: Discussion Papers.
    RePEc:not:notcfc:15/12.

    Full description at Econpapers || Download paper

12. Multi-factor volatility and stock returns. (2015). He, Zhongzhi ; Zhu, Xiaoneng.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s132-s149.

    Full description at Econpapers || Download paper

13. The role of the variance premium in Jump-GARCH option pricing models. (2015). Yoon, Sun-Joong ; Byun, Suk Joon ; Min, Byungsun ; Jeon, Byounghyun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:59:y:2015:i:c:p:38-56.

    Full description at Econpapers || Download paper

14. Stock market dispersion, the business cycle and expected factor returns. (2015). Sakkas, Athanasios ; Angelidis, Timotheos ; Tessaromatis, Nikolaos.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:59:y:2015:i:c:p:265-279.

    Full description at Econpapers || Download paper

15. Understanding the price of volatility risk in carry trades. (2015). Valente, Giorgio ; Ahmed, Shamim.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:57:y:2015:i:c:p:118-129.

    Full description at Econpapers || Download paper

16. Predictability of stock returns of financial companies and the role of investor sentiment: A multi-country analysis. (2015). Kadilli, Anjeza.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:21:y:2015:i:c:p:26-45.

    Full description at Econpapers || Download paper

17. What determines the yen swap spread?. (2015). Batten, Jonathan ; Azad, A.S.M. ; Fang, Victor ; Azad, A. S. M. Sohel, .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:40:y:2015:i:c:p:1-13.

    Full description at Econpapers || Download paper

18. An analytical review of volatility metrics for bubbles and crashes. (2015). Werner, Richard ; Vogel, Harold L..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:38:y:2015:i:c:p:15-28.

    Full description at Econpapers || Download paper

19. 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.

    Full description at Econpapers || Download paper

20. What is beneath the surface? Option pricing with multifrequency latent states. (2015). Leippold, Markus ; Fisher, Adlai ; Calvet, Laurent ; Fearnley, Marcus .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:498-511.

    Full description at Econpapers || Download paper

21. International swap market contagion and volatility. (2015). Wickramanayake, Jayasinghe ; Batten, Jonathan ; Azad, A.S.M. ; Fang, Victor ; Sohel Azad, A. S. M., .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:47:y:2015:i:c:p:355-371.

    Full description at Econpapers || Download paper

22. What does financial volatility tell us about macroeconomic fluctuations?. (2015). Yoldas, Emre ; Senyuz, Zeynep ; Chauvet, Marcelle.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:52:y:2015:i:c:p:340-360.

    Full description at Econpapers || Download paper

23. An Intertemporal CAPM with Stochastic Volatility. (2015). Polk, Christopher ; Giglio, Stefano ; Campbell, John ; Turley, Robert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10681.

    Full description at Econpapers || Download paper

24. Global Engagement and Returns Volatility. (2015). Riaño, Alejandro ; Girma, Sourafel ; Lancheros, Sandra ; Riao, Alejandro.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5650.

    Full description at Econpapers || Download paper

25. Does variance risk have two prices? Evidence from the equity and option markets. (2015). Barras, Laurent ; Malkhozov, Aytek.
    In: BIS Working Papers.
    RePEc:bis:biswps:521.

    Full description at Econpapers || Download paper

26. On the influence of the U.S. monetary policy on the crude oil price volatility. (2015). Scognamillo, Antonio ; Amendola, Alessandra ; Candila, Vincenzo.
    In: 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy.
    RePEc:ags:aiea15:207860.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

28. Exponential Smoothing, Long Memory and Volatility Prediction. (2014). Proietti, Tommaso.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:319.

    Full description at Econpapers || Download paper

29. Exponential Smoothing, Long Memory and Volatility Prediction. (2014). Proietti, Tommaso.
    In: MPRA Paper.
    RePEc:pra:mprapa:57230.

    Full description at Econpapers || Download paper

30. . . . and the Cross-Section of Expected Returns. (2014). Harvey, Campbell ; Liu, Yan ; Zhu, Heqing .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20592.

    Full description at Econpapers || Download paper

31. Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty. (2014). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne.
    In: Staff Reports.
    RePEc:fip:fednsr:703.

    Full description at Econpapers || Download paper

32. Amplitude-Duration-Persistence Trade-off Relationship for Long Term Bear Stock Markets. (2013). Li, Ziran ; Wang, Shouyang ; Sun, Jiajing.
    In: MPRA Paper.
    RePEc:pra:mprapa:54177.

    Full description at Econpapers || Download paper

33. What does financial volatility tell us about macroeconomic fluctuations?. (2013). Yoldas, Emre ; Senyuz, Zeynep ; Chauvet, Marcelle.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2013-61.

    Full description at Econpapers || Download paper

34. Market skewness risk and the cross section of stock returns. (2013). Chang, Bo Young ; Christoffersen, Peter ; Jacobs, Kris.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:107:y:2013:i:1:p:46-68.

    Full description at Econpapers || Download paper

35. U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis. (2013). Mollick, Andre ; Assefa, Tibebe Abebe.
    In: Energy Economics.
    RePEc:eee:eneeco:v:36:y:2013:i:c:p:1-18.

    Full description at Econpapers || Download paper

36. Understanding industry betas. (2013). Londono, Juan M. ; Baele, Lieven.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:22:y:2013:i:c:p:30-51.

    Full description at Econpapers || Download paper

37. CAPM, Components of Beta and the Cross Section of Expected Returns. (2013). Cenesizoglu, Tolga ; Reeves, Jonathan J..
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2013s-09.

    Full description at Econpapers || Download paper

38. Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling. (2012). Corsi, Fulvio.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:30:y:2012:i:3:p:368-380.

    Full description at Econpapers || Download paper

39. Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information. (2012). Klinkowska, Olga ; Gonzalez, Angelica ; Abhyankar, Abhay.
    In: 2012 Meeting Papers.
    RePEc:red:sed012:56.

    Full description at Econpapers || Download paper

40. Option-implied volatility factors and the cross-section of market risk premia. (2012). Li, Junye.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:1:p:249-260.

    Full description at Econpapers || Download paper

41. Foreign exchange volatility and stock returns. (2012). Du, Ding ; Hu, OU.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:5:p:1202-1216.

    Full description at Econpapers || Download paper

42. Anticipating Long-Term Stock Market Volatility. (2012). Conrad, Christian ; Loch, Karin .
    In: Working Papers.
    RePEc:awi:wpaper:0535.

    Full description at Econpapers || Download paper

43. Broker-Dealer Leverage and the Cross-Section of Stock Returns. (2011). Etula, Erkko ; Adrian, Tobias ; Muir, Tyler.
    In: 2011 Meeting Papers.
    RePEc:red:sed011:1448.

    Full description at Econpapers || Download paper

44. Volatility components, leverage effects, and the return-volatility relations. (2011). Li, Junye.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:6:p:1530-1540.

    Full description at Econpapers || Download paper

45. Pricing Central Tendency in Volatility. (2011). Khrapov, Stanislav.
    In: Working Papers.
    RePEc:cfr:cefirw:w0168.

    Full description at Econpapers || Download paper

46. The Joint Dynamics of Equity Market Factors. (2011). Christoffersen, Peter ; Langlois, Hugues.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-45.

    Full description at Econpapers || Download paper

47. Liquidity and leverage. (2010). Shin, Hyun Song ; Adrian, Tobias.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:19:y:2010:i:3:p:418-437.

    Full description at Econpapers || Download paper

48. Uncertainty and Valuations. (2009). Cremers, Martijn ; Yan, Hongjun.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2383.

    Full description at Econpapers || Download paper

49. Carry Trades and Global FX Volatility. (2009). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
    In: MPRA Paper.
    RePEc:pra:mprapa:14728.

    Full description at Econpapers || Download paper

50. Financial volatility and economic activity. (2009). Mele, Antonio ; Fornari, Fabio.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:29309.

    Full description at Econpapers || Download paper

Report date: 2025-09-07 01:31:30 || Missing content? Let us know