1. Supply Bottlenecks and Machine Learning Forecasting of International Stock Market Volatility. (2025). GUPTA, RANGAN ; Plakandaras, Vasilios ; Karmakar, Sayar ; Somani, Dhanashree.
   In: Working Papers.
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2. Machine Learning and the Forecastability of Cross-Sectional Realized Variance: The Role of Realized Moments. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Plakandaras, Vasilios ; Bonato, Matteo.
   In: Working Papers.
   RePEc:pre:wpaper:202518.

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3. Utilizing the real estate investment trusts for portfolio optimisation by application of genetic algorithm. (2025). Pavel, Codruta-Daniela ; Dias, Rui ; Espinosa, Juan Felipe ; Matac, Liviu Marian ; Xu, LI.
   In: Palgrave Communications.
   RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04715-0.

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4. 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.

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5. The asymmetric response of higher-order moments of precious metals to energy shocks and financial stresses: Evidence from time-frequency connectedness approach. (2025). He, Miao ; Zhang, Hongwei ; Jin, Xiaoman ; Gao, Wang.
   In: Energy Economics.
   RePEc:eee:eneeco:v:142:y:2025:i:c:s0140988324008806.

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6. Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information. (2025). Xu, Buyun ; Wu, Zhimin.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000087.

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7. Forecasting Stock Returns Volatility of the G7 Over Centuries: The Role of Climate Risks. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Bouri, Elie ; Liphadzi, Asingamaanda.
   In: Working Papers.
   RePEc:pre:wpaper:202424.

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8. Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments. (2024). Maghyereh, Aktham ; Cui, Jinxin ; Liao, Dijia.
   In: International Review of Economics & Finance.
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9. Forecasting stock volatility using pseudo-out-of-sample information. (2024). Gong, Xue ; Li, Xiaodan ; Huang, Jingjing ; Ge, Futing.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:90:y:2024:i:c:p:123-135.

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10. Higher-order moment connectedness between stock and commodity markets and portfolio management. (2024). Sensoy, Ahmet ; Mensi, Walid ; Kang, Sang Hoon ; Ko, Hee-Un.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:89:y:2024:i:c:s030142072400014x.

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11. Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets. (2023). Pham, Linh ; Hanif, Waqas ; Kang, Sang Hoon ; Ko, Hee-Un.
    In: Financial Innovation.
    RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00474-6.

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12. Multi-Layer Spillovers between Volatility and Skewness in International Stock Markets Over a Century of Data: The Role of Disaster Risks. (2023). Plakandaras, Vasilios ; GUPTA, RANGAN ; Foglia, Matteo ; Bouri, Elie.
    In: Working Papers.
    RePEc:pre:wpaper:202337.

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13. Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:88:y:2023:i:c:p:303-314.

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14. The role of higher moments in predicting Chinas oil futures volatility: Evidence from machine learning models. (2023). Niu, Zibo ; Zhao, Xinyi ; Gao, Wang ; Zhang, Hongwei.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000429.

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15. Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective. (2023). Maghyereh, Aktham ; Cui, Jinxin.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000132.

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16. Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict. (2023). Maghyereh, Aktham ; Cui, Jinxin.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000364.

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17. The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks. (2022). Wang, Shixuan ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo.
    In: Working Papers.
    RePEc:pre:wpaper:202219.

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18. Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach. (2022). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie.
    In: Working Papers.
    RePEc:pre:wpaper:202211.

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1. Real estate investment trusts during market shocks: Impact and resilience. (2024). Legg, Mark ; Shaw, Gareth ; Ampountolas, Apostolos.
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2. Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment. (2024). Kilincarslan, Erhan ; Demiralay, Sercan.
   In: The Journal of Real Estate Finance and Economics.
   RePEc:kap:jrefec:v:69:y:2024:i:3:d:10.1007_s11146-022-09898-w.

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3. COVID-19 and REITs Crash: Predictability and Market Conditions. (2024). Ahn, Kwangwon ; Kim, Jinu ; Ryu, Inug ; Jang, Hanwool.
   In: Computational Economics.
   RePEc:kap:compec:v:63:y:2024:i:3:d:10.1007_s10614-023-10431-1.

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4. Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie.
   In: The Quarterly Review of Economics and Finance.
   RePEc:eee:quaeco:v:88:y:2023:i:c:p:303-314.

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5. Forecasting realized volatility of international REITs: The role of realized skewness and realized kurtosis. (2022). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo.
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   RePEc:wly:jforec:v:41:y:2022:i:2:p:303-315.

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6. Testing the Forecasting Power of Global Economic Conditions for the Volatility of International REITs using a GARCH-MIDAS Approach. (2022). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie.
   In: Working Papers.
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7. GFH validity for Canada, UK, and Suisse stock markets: Evidence ‎from univariate and panel ARDL models. (2022). NEIFAR, MALIKA ; Hachicha, Fatma.
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8. Trading Activity in Public Real Estate Markets. (2022). Richter, Thomas.
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9. Dependence dynamics of US REITs. (2022). Shahzad, Syed Jawad Hussain ; Vo, Xuan Vinh ; Hussain, Syed Jawad ; Ahmad, Nasir ; Ur, Mobeen.
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10. Forecasting Realized Volatility of International REITs: The Role of Realized Skewness and Realized Kurtosis. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo.
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11. The COVID-19 Pandemic and Commercial Property Rent Dynamics. (2021). Lu, Teddy ; Allan, Roddy ; Liusman, Ervi ; Tsang, Desmond.
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12. Geographic Scope and Real Estate Firm Performance during the COVID-19 Pandemic. (2021). Chu, Xiaoling ; Tsang, Desmond ; Lu, Chiuling.
    In: JRFM.
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13. The Australian Stock Market’s Reaction to the First Wave of the COVID-19 Pandemic and Black Summer Bushfires: A Sectoral Analysis. (2021). Bakry, Walid ; Al-Mohamad, Somar ; Gunay, Samet.
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14. Responses of REITs index and commercial property prices to economic uncertainties: A VAR analysis. (2021). Tajaddini, Reza ; Gholipour Fereidouni, Hassan ; Farzanegan, Mohammad Reza ; Yam, Sharon.
    In: Research in International Business and Finance.
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15. Uncertainty Due to Pandemic and the Volatility Connectedness Among Asian REITs Market. (2021). Oliyide, Johnson ; Fasanya, Ismail ; Periola-Fatunsin, Ololade.
    In: Asian Economics Letters.
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16. Do REITs Hedge against Inflation? Evidence from an African Emerging Market. (2021). Oyedokun, Tunbosun Biodun ; Gbadegesin, Job Taiwo ; Dabara, Daniel Ibrahim ; Chiwuzie, Augustina ; Amidu, Abdul-Rasheed.
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17. Uncertainty due to Infectious Diseases and Forecastability of the Realized Variance of US REITs: A Note. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo.
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18. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
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19. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta.
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20. 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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21. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
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22. Parametric Inference and Dynamic State Recovery from Option Panels. (2012). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola.
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23. A nonparametric GARCH model of crude oil price return volatility. (2012). Suardi, Sandy ; Hou, Ai Jun.
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24. 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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25. Liquidity and Market Microstructure Noise: Evidence from the Pekao Data. (2010). Doman, Magorzata.
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26. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
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27. 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.
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28. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070025.

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29. Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2007_04.

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30. Modeling Financial Return Dynamics by Decomposition. (2007). Gospodinov, Nikolay ; Anatolyev, Stanislav.
    In: Working Papers.
    RePEc:cfr:cefirw:w0095.

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31. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-35.

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32. Order Submission: The Choice between Limit and Market Orders. (2005). Lo, Ingrid ; Sapp, Stephen G..
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-42.

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33. 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.

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34. Asymmetry, Loss Aversion and Forecasting. (2004). Satchell, Stephen E. ; Bond, Shaun A..
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:160.

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35. 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.

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36. 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.

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37. El índice VIX para la predicción de la volatilidad: un estudio internacional.. (2004). Marrero, Sandra Morini ; Rubio, Javier Giner.
    In: Documentos de trabajo conjunto ULL-ULPGC.
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38. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
    In: American Economic Review.
    RePEc:aea:aecrev:v:94:y:2004:i:3:p:405-420.

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39. Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models. (2003). .
    In: Working Papers.
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40. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

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41. 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.

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42. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-20.

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43. Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics. (2002). Neely, Christopher ; Weller, Paul A..
    In: Review.
    RePEc:fip:fedlrv:y:2002:i:may:p:43-54:n:v.84no.3.

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44. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-93.

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45. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-92.

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46. 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.

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47. Analytic Evaluation of Volatility Forecasts. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-90.

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48. Testing Normality: A GMM Approach. (2002). Meddahi, Nour ; Bontemps, Christian.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-63.

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49. 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.

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50. Detecting Multiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:0202.

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

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52. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-26.

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53. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics. (2001). Neely, Christopher ; Weller, Paul A..
    In: Working Papers.
    RePEc:fip:fedlwp:2001-009.

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54. Modelling Scale-Consistent VaR with the Truncated Lévy Flight. (2001). Wolff, Christian ; Lehnert, Thorsten.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2711.

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55. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-71.

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56. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-65.

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57. Nonlinear Features of Realized FX Volatility. (2001). McCurdy, Thomas ; Maheu, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-42.

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58. Risque de modèle de volatilité. (2001). Renault, Eric ; Alami, Ali.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-06.

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59. 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.

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60. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7488.

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61. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0843.

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62. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results. (2000). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-19.

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63. Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-29.

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64. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think. (1999). Diebold, Francis ; Brandt, Michael ; Alizadeh, Sassan.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-28.

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65. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-061.

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66. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-060.

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67. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

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68. Too much cocited documents. This list is not complete

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