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2. The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei.
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3. Which clean energy sectors are attractive? A portfolio diversification perspective. (2021). Kuang, Wei.
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1. Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio.
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2. Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach. (2021). Kuang, Wei.
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3. Combining multivariate volatility forecasts using weighted losses. (2020). Clements, Adam ; Doolan, Mark Bernard.
   In: Journal of Forecasting.
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4. A Model Confidence Set approach to the combination of multivariate volatility forecasts. (2020). Storti, Giuseppe ; Amendola, Alessandra ; Candila, Vincenzo ; Braione, Manuela.
   In: International Journal of Forecasting.
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5. Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value. (2019). Zhang, Yaojie ; Wei, YU ; Liu, LI.
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6. Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng.
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7. Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting. (2019). Nakajima, Jouchi ; Aastveit, Knut Are ; West, Mike ; McAlinn, Kenichiro.
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8. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
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9. Combining Multivariate Volatility Forecasts using Weighted Losses. (2018). Clements, Adam ; Doolan, M.
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10. MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel.
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11. Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Zhang, Yaojie ; Li, YU ; Liu, LI ; Ma, Feng.
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12. Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo F ; Nogales, Francisco J.
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13. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta.
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14. A comparison of implied and realized volatility in the Nordic power forward market. (2015). Molnár, Peter ; Westgaard, Sjur ; Molnar, Peter ; Birkelund, Ole Henrik ; Opdal, Martin ; Haugom, Erik.
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15. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
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16. Parametric Inference and Dynamic State Recovery from Option Panels. (2012). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola.
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17. A nonparametric GARCH model of crude oil price return volatility. (2012). Suardi, Sandy ; Hou, Ai Jun.
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18. A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices volatility forecasting models. (2012). Xu, Bing ; Ouenniche, Jamal.
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19. Liquidity and Market Microstructure Noise: Evidence from the Pekao Data. (2010). Doman, Magorzata.
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20. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
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21. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2008). Racicot, François-Éric ; Theoret, Raymond ; Coen, Alain.
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22. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
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23. Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian.
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24. Modeling Financial Return Dynamics by Decomposition. (2007). Gospodinov, Nikolay ; Anatolyev, Stanislav.
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25. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
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26. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
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27. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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28. Asymmetry, Loss Aversion and Forecasting. (2004). Satchell, Stephen E. ; Bond, Shaun A..
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29. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
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30. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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31. El índice VIX para la predicción de la volatilidad: un estudio internacional.. (2004). Marrero, Sandra Morini ; Rubio, Javier Giner.
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32. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
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33. Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models. (2003). .
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34. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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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.
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36. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
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37. Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics. (2002). Neely, Christopher ; Weller, Paul A..
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38. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
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39. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
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40. Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
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41. Analytic Evaluation of Volatility Forecasts. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
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42. Testing Normality: A GMM Approach. (2002). Meddahi, Nour ; Bontemps, Christian.
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43. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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44. Detecting Multiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
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45. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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46. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
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47. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics. (2001). Neely, Christopher ; Weller, Paul A..
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48. Modelling Scale-Consistent VaR with the Truncated Lévy Flight. (2001). Wolff, Christian ; Lehnert, Thorsten.
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49. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
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50. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
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51. Nonlinear Features of Realized FX Volatility. (2001). McCurdy, Thomas ; Maheu, John.
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52. Risque de modèle de volatilité. (2001). Renault, Eric ; Alami, Ali.
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53. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
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54. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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55. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
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56. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results. (2000). Ghysels, Eric ; Andreou, Elena.
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57. Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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58. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think. (1999). Diebold, Francis ; Brandt, Michael ; Alizadeh, Sassan.
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59. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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60. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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61. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
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