This document has not been cited yet.

1. Barndorff-Nielsen, Ole E. ; Shephard, Neil. (2001). Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. In: J Royal Statistical Soc B, 63 2 pp. 167-241.

2. CASASSUS, JAIME ; COLLIN-DUFRESNE, PIERRE. (2005). Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates. In:, 60 5 pp. 2283-2331.

3. Cox, John C. ; Ingersoll, Jonathan E. ; Ross, Stephen A.. (1981). The relation between forward prices and futures prices. In: Journal of Financial Economics, 9 4 pp. 321-346.

4. Crosby, John. (2008). A multi-factor jump-diffusion model for commodities†. In: Quantitative Finance, 8 2 pp. 181-200.

5. Dempster MAH, 2000. Spread option valuation and the fast Fourier transform. Working Paper WP26/2000
   Paper not yet in RePEc: Add citation now
   
6. Deng, S. 1998.Stochastic models of energy commodity prices and their applications: mean-reversion with jumps and spikes. IE & OR department, Berkeley: University of California at Berkeley.
   Paper not yet in RePEc: Add citation now
   

7. Duffie, Darrell ; Pan, Jun ; Singleton, Kenneth. (2000). Transform Analysis and Asset Pricing for Affine Jump-diffusions. In: Econometrica, 68 6 pp. 1343-1376.

8. Heath, David ; Jarrow, Robert ; Morton, Andrew. (1992). Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. In: Econometrica, 60 1 pp. 77.

9. Heston, Steven L.. (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. In: Rev. Financ. Stud., 6 2 pp. 327-343.

10. Hilliard, Jimmy E. ; Reis, Jorge. (1998). Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot. In: The Journal of Financial and Quantitative Analysis, 33 1 pp. 61.

11. Hull, John ; White, Alan. (1993). One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities. In: The Journal of Financial and Quantitative Analysis, 28 2 pp. 235.

12. Jamshidian, Farshid. (1993). Option and Futures Evaluation With Deterministic Volatilities. In: Mathematical Finance, 3 2 pp. 149-159.

13. Lewis A, 2001. A simple option formula for general jump-diffusion and other exponential Levy processes. Working paper

14. Margrabe, William. (1978). The Value of an Option to Exchange One Asset for Another. In: The Journal of Finance, 33 1 pp. 177.

15. Mercurio *, Fabio. (2005). Pricing inflation-indexed derivatives. In: Quantitative Finance, 5 3 pp. 289-302.

16. Miltersen, K.R.. (2003). Commodity price modelling that matches current observables: a new approach. In: Quantitative Finance, 3 1 pp. 51-58.

1. Is volatility clustering of asset returns asymmetric?. (2015). Xu, Dinghai ; Ning, Cathy ; Wirjanto, Tony S..
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:52:y:2015:i:c:p:62-76.

   Full description at Econpapers || Download paper

2. Calibrating the Italian smile with time-varying volatility and heavy-tailed models. (2014). Fabozzi, Frank ; Rachev, Svetlozar T. ; Bianchi, Michele Leonardo.
   In: Temi di discussione (Economic working papers).
   RePEc:bdi:wptemi:td_944_14.

   Full description at Econpapers || Download paper

3. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20080011.

   Full description at Econpapers || Download paper

4. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2008). Racicot, François-Éric ; Theoret, Raymond ; Coen, Alain.
   In: International Advances in Economic Research.
   RePEc:kap:iaecre:v:14:y:2008:i:1:p:112-124:10.1007/s11294-008-9134-2.

   Full description at Econpapers || Download paper

5. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2008). Loretan, Mico ; Hjalmarsson, Erik ; CHIQUOINE, BENJAMIN ; Chaboud, Alain.
   In: BIS Working Papers.
   RePEc:bis:biswps:249.

   Full description at Econpapers || Download paper

6. Modelling Electricity Prices with Forward Looking Capacity Constraints. (2008). Figueroa, Marcelo ; Cartea, Álvaro ; Geman, Helyette.
   In: Birkbeck Working Papers in Economics and Finance.
   RePEc:bbk:bbkefp:0802.

   Full description at Econpapers || Download paper

7. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2007). Loretan, Mico ; Hjalmarsson, Erik ; CHIQUOINE, BENJAMIN ; Chaboud, Alain.
   In: International Finance Discussion Papers.
   RePEc:fip:fedgif:905.

   Full description at Econpapers || Download paper

8. Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility. (2006). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz.
   In: The Warwick Economics Research Paper Series (TWERPS).
   RePEc:wrk:warwec:777.

   Full description at Econpapers || Download paper

9. Realized Volatility and Asymmetries in the A.S.E. Returns. (2006). Thomakos, Dimitrios ; Koubouros, Michail.
   In: Finance.
   RePEc:wpa:wuwpfi:0507012.

   Full description at Econpapers || Download paper

10. Realized Volatility and Asymmetries in the A.S.E. Returns. (2006). Thomakos, Dimitrios ; Koubouros, Michail.
    In: Finance.
    RePEc:wpa:wuwpfi:0504009.

    Full description at Econpapers || Download paper

11. Nonparametric Density Estimation for Positive Time Series. (2006). Rombouts, Jeroen ; Bouezmarni, Taoufik.
    In: Cahiers de recherche.
    RePEc:iea:carech:0609.

    Full description at Econpapers || Download paper

12. A forecast comparison of volatility models: does anything beat a GARCH(1,1)?. (2005). Lunde, Asger ; Hansen, Peter.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:20:y:2005:i:7:p:873-889.

    Full description at Econpapers || Download paper

13. Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes. (2004). Wu, Liuren ; Huang, Jingzhi.
    In: Finance.
    RePEc:wpa:wuwpfi:0401002.

    Full description at Econpapers || Download paper

14. Testing for Mean Reversion in Processes of Ornstein-Uhlenbeck Type. (2004). Maller, R. ; Szimayer, A..
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:7:y:2004:i:2:p:95-113.

    Full description at Econpapers || Download paper

15. Multipower Variation and Stochastic Volatility. (2004). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0430.

    Full description at Econpapers || Download paper

16. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10914.

    Full description at Econpapers || Download paper

17. Microstructure noise, realized volatility, and optimal sampling. (2004). Russell, Jeffrey R. ; Bandi, Federico M..
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:220.

    Full description at Econpapers || Download paper

18. Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations. (2004). Sentana, Enrique ; Mencia, Javier.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2004_0411.

    Full description at Econpapers || Download paper

19. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-25.

    Full description at Econpapers || Download paper

20. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-19.

    Full description at Econpapers || Download paper

21. Consistency Problems For Jump-Diffusion Models. (2003). Chen, Li ; Bayraktar, Erhan.
    In: Finance.
    RePEc:wpa:wuwpfi:0304003.

    Full description at Econpapers || Download paper

22. Econometrics of testing for jumps in financial economics using bipower variation. (2003). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0321.

    Full description at Econpapers || Download paper

23. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Graversen, Svend Erik .
    In: Economics Papers.
    RePEc:nuf:econwp:0319.

    Full description at Econpapers || Download paper

24. Power and bipower variation with stochastic volatility and jumps. (2003). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0318.

    Full description at Econpapers || Download paper

25. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. (2003). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0312.

    Full description at Econpapers || Download paper

26. A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data. (2003). Ait-Sahalia, Yacine ; Mykland, Per A. ; Zhang, Lan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10111.

    Full description at Econpapers || Download paper

27. Option Valuation with Conditional Skewness. (2003). Heston, Steve ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-50.

    Full description at Econpapers || Download paper

28. Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?. (2002). Wu, Liuren ; Heidari, Massoud.
    In: Finance.
    RePEc:wpa:wuwpfi:0207013.

    Full description at Econpapers || Download paper

29. Time-Changed Levy Processes and Option Pricing. (2002). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0207011.

    Full description at Econpapers || Download paper

30. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

    Full description at Econpapers || Download paper

31. Power Variation and Time Change. (2002). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0224.

    Full description at Econpapers || Download paper

32. Measuring and forecasting financial variability using realised variance with and without a model. (2002). Shephard, Neil ; Nielsen, Bent ; Ysusi, Carla.
    In: Economics Papers.
    RePEc:nuf:econwp:0221.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

34. Affine Processes and Application in Finance. (2002). Duffie, Darrell ; Schachermayer, W. ; Filipovic, D..
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0281.

    Full description at Econpapers || Download paper

35. Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-21.

    Full description at Econpapers || Download paper

36. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options. (2002). Zhang, Xibin ; Yu, Jun ; Yang, Zhenlin.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-17.

    Full description at Econpapers || Download paper

37. 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.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:535-548.

    Full description at Econpapers || Download paper

38. Estimating quadratic variation using realized variance. (2002). Shephard, Neil.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:457-477.

    Full description at Econpapers || Download paper

39. Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-91.

    Full description at Econpapers || Download paper

40. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

    Full description at Econpapers || Download paper

41. Comment on Garland B. Durham and A. Ronald Gallants Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes. (2001). Shephard, Neil ; Chib, Siddhartha.
    In: Economics Papers.
    RePEc:nuf:econwp:0126.

    Full description at Econpapers || Download paper

42. Some recent developments in stochastic volatility modelling. (2001). Shephard, Neil ; Nicolato, Elisa.
    In: Economics Papers.
    RePEc:nuf:econwp:0125.

    Full description at Econpapers || Download paper

43. Estimating quadratic variation using realised volatility. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0120.

    Full description at Econpapers || Download paper

44. Realised power variation and stochastic volatility models. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0118.

    Full description at Econpapers || Download paper

45. How accurate is the asymptotic approximation to the distribution of realised volatility?. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0116.

    Full description at Econpapers || Download paper

46. Normal modified stable processes. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0106.

    Full description at Econpapers || Download paper

47. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. (2001). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0104.

    Full description at Econpapers || Download paper

48. High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models. (2001). Diebold, Francis ; Alizadeh, Sassan ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8162.

    Full description at Econpapers || Download paper

49. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

    Full description at Econpapers || Download paper

50. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

    Full description at Econpapers || Download paper

Report date: 2025-10-05 23:18:32 || Missing content? Let us know