1. Volatility Spillover Across GCC Stock Markets. (2012). Onour, Ibrahim.
   In: MPRA Paper.
   RePEc:pra:mprapa:57086.

   Full description at Econpapers || Download paper

2. Does credit for equity investments feedback on stock market volatility? Evidence from an emerging stock market. (2011). Onour, Ibrahim.
   In: MPRA Paper.
   RePEc:pra:mprapa:28001.

   Full description at Econpapers || Download paper

3. How Big is Big Enough? Justifying Results of the iid Test Based on the Correlation Integral in the Non-Normal World. (2006). Briatka, Lubos .
   In: CERGE-EI Working Papers.
   RePEc:cer:papers:wp308.

   Full description at Econpapers || Download paper

1. Aguirre, A., Aguirre, L.A., 2000. Time Series Analysis of Monthly Beef Cattle Prices with Nonlinear Autoregressive Models. Applied Economics, 32(3), 265-75.

2. Andersen, T. G., Bollerslev, T., Diebold, F. X., and Ebens, H., 2001. The Distribution of Realized Stock Return Volatility. Journal of Financial Economics, 61(1), 43-76.

3. Andreou, A. S., Pavlides, G., Karytinos, A, 2000. Nonlinear Time-Series Analysis of the Greek Exchange-Rate Market. International Journal of Bifurcation and Chaos in Applied Sciences and Engineering, 10(7), 1729-1759.
   Paper not yet in RePEc: Add citation now
   

4. Barnett, W.A., Gallant, A.R., Hinich, M.J., Jungeilges, J.A., Kaplan, D.T., Jensen, M.J., 1997. A single-blind controlled competition among tests for nonlinearity and chaos. Journal of Econometrics, vol. 82, pp. 157-192.

5. Bollerslev, T., and Mikkelsen, H. O., 1999. Long-Term Equity Anticipation Securities and Stock Market Volatility Dynamics. Journal of Econometrics, 92(1), 75-99.

6. Brock, W. A., Hsieh, D. A., and LeBaron, B., 1993. Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence, MIT Press, Cambridge, Massachusetts, Third edition.
   Paper not yet in RePEc: Add citation now
   

7. Brooks, C., 1999. Portmanteau Model Diagnostics and Tests for Nonlinearity: A Comparative Monte Carlo Study of Two Alternative Methods. ComputationalEconomics, 13(3),249-63.

8. Brooks, C., Henry, O.T., 2000. Can portmanteau nonlinearity tests serve as 24 general miss-specification tests?: Evidence from symmetric and asymmetric GARCH models. Economics Letters, 67(3), 245-251.

9. Brooks, C.; Heravi, S.M., 1999. The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test. Computational Economics, 13(2), 147-62.

10. Brorsen, B. W., and Yang, S. R., 1994. Nonlinear Dynamics and the Distribution of Daily Stock Index Returns. Journal of Financial Research, 17(2), 187-203.

11. Cecen, A.A., Erkal, C., 1996. Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns: Further evidence. Economics Letters, 51(3), 323-329.

12. Chappell, D., Padmore, J., Ellis, C., 1996. A Note on the Distribution of BDS Statistics for a Real Exchange Rate Series. Oxford Bulletin of Economics and Statistics, 58(3), 561-65.

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

   Full description at Econpapers || Download paper

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

   Full description at Econpapers || Download paper

3. Can the global modeling technique be used for crop classification?. (2018). Mangiarotti, S ; Corgne, S ; Sekhar, M ; Ruiz, L ; Hubert-Moy, L ; Sharma, A K ; Kerr, Y.
   In: Chaos, Solitons & Fractals.
   RePEc:eee:chsofr:v:106:y:2018:i:c:p:363-378.

   Full description at Econpapers || Download paper

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

   Full description at Econpapers || Download paper

5. Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility. (2013). Das, Kuntal ; Shimatani, Takeshi ; Cheng, Ai-Ru.
   In: Working Papers in Economics.
   RePEc:cbt:econwp:13/19.

   Full description at Econpapers || Download paper

6. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
   In: Papers.
   RePEc:arx:papers:1202.1854.

   Full description at Econpapers || Download paper

7. Automated Likelihood Based Inference for Stochastic Volatility Models. (2009). Yu, Jun ; Skaug, Hans J..
   In: Working Papers.
   RePEc:siu:wpaper:15-2009.

   Full description at Econpapers || Download paper

8. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
   In: Levine's Bibliography.
   RePEc:cla:levrem:321307000000000805.

   Full description at Econpapers || Download paper

9. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
   In: Research Paper Series.
   RePEc:uts:rpaper:175.

   Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

13. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:0505.

    Full description at Econpapers || Download paper

14. Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets. (2005). Schotman, Peter C ; Zalewska, Ania.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5352.

    Full description at Econpapers || Download paper

15. Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power. (2004). Kočenda, Evžen ; Briatka, Lubos .
    In: Econometrics.
    RePEc:wpa:wuwpem:0409001.

    Full description at Econpapers || Download paper

16. Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range. (2004). Corrado, Charles ; Truong, Cameron.
    In: Research Paper Series.
    RePEc:uts:rpaper:127.

    Full description at Econpapers || Download paper

17. Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model. (2004). Medeiros, Marcelo ; Veiga, Alvaro.
    In: Textos para discussão.
    RePEc:rio:texdis:486.

    Full description at Econpapers || Download paper

18. A Feasible Central Limit Theory for Realised Volatility Under Leverage. (2004). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:043.

    Full description at Econpapers || Download paper

19. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise. (2004). Shephard, Neil ; Lunde, Asger ; Hansen, Peter.
    In: Economics Papers.
    RePEc:nuf:econwp:0428.

    Full description at Econpapers || Download paper

20. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10913.

    Full description at Econpapers || Download paper

21. Option Implied and Realised Measures of Variance. (2004). Panigirtzoglou, Nikolaos ; Lynch, Damien .
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:94.

    Full description at Econpapers || Download paper

22. Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?. (2004). Neely, Christopher.
    In: Working Papers.
    RePEc:fip:fedlwp:2002-017.

    Full description at Econpapers || Download paper

23. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2004). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-56.

    Full description at Econpapers || Download paper

24. Realized Variance and IID Market Microstructure Noise. (2004). Lunde, Asger ; Hansen, Peter.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:526.

    Full description at Econpapers || Download paper

25. 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

26. Stochastic volatility models and the Taylor effect. (2004). Ruiz, Esther ; Perez, Ana ; Mora-Galan, Alberto.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws046315.

    Full description at Econpapers || Download paper

27. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-24.

    Full description at Econpapers || Download paper

28. Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power. (2004). Kočenda, Evžen ; Briatka, Lubos ; Kocenda, Evzen.
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp235.

    Full description at Econpapers || Download paper

29. 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.
    RePEc:can:series:2004-10.

    Full description at Econpapers || Download paper

30. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
    In: Econometrics.
    RePEc:wpa:wuwpem:0305004.

    Full description at Econpapers || Download paper

31. 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

32. Volatility puzzles: a unified framework for gauging return-volatility regressions. (2003). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-40.

    Full description at Econpapers || Download paper

33. Exchange Rates, Equity Prices and Capital Flows. (2003). Rey, Helene ; Hau, Harald.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3735.

    Full description at Econpapers || Download paper

34. There is a Risk-Return Tradeoff After All. (2003). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-26.

    Full description at Econpapers || Download paper

35. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2003). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:1:p:38-62.

    Full description at Econpapers || Download paper

36. 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

37. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-23.

    Full description at Econpapers || Download paper

38. 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

39. Exchange Rate, Equity Prices and Capital Flows. (2002). Rey, Helene ; Hau, Harald.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9398.

    Full description at Econpapers || Download paper

40. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8959.

    Full description at Econpapers || Download paper

41. Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. (2002). Bollerslev, Tim ; Forsberg, Lars.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:535-548.

    Full description at Econpapers || Download paper

42. A theoretical comparison between integrated and realized volatility. (2002). Meddahi, Nour.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:479-508.

    Full description at Econpapers || Download paper

43. Insolvency or liquidity squeeze? Explaining very short-term corporate yield spreads. (2002). COVITZ, DAN ; Downing, Chris .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2002-45.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

45. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-02.

    Full description at Econpapers || Download paper

46. Local Whittle Analysis of Stationary Fractional Cointegration. (2002). Nielsen, Morten.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2002-8.

    Full description at Econpapers || Download paper

47. 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

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

    Full description at Econpapers || Download paper

49. 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

50. 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

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

    Full description at Econpapers || Download paper

52. Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data. (2001). Nielsen, Morten ; Christensen, Bent Jesper.
    In: Economics Working Papers.
    RePEc:aah:aarhec:2001-4.

    Full description at Econpapers || Download paper

53. Using different null hypotheses to test for seasonal unit roots in economic time series. (1999). Sansó, Andreu ; Aguirre, Antonio.
    In: Textos para Discussão Cedeplar-UFMG.
    RePEc:cdp:texdis:td124.

    Full description at Econpapers || Download paper

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

Report date: 2025-09-05 11:14:12 || Missing content? Let us know