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1. Continuous Record Asymptotics for Change-Points Models. (2021). Perron, Pierre ; Casini, Alessandro.
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   RePEc:arx:papers:1803.10881.

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2. Economic indicators and stock market volatility in an emerging economy. (2020). Cho, Hoon ; Ryu, Doojin ; Chun, Dohyun.
   In: Economic Systems.
   RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594.

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3. Continuous Record Laplace-based Inference about the Break Date in Structural Change Models. (2020). Perron, Pierre ; Casini, Alessandro.
   In: Papers.
   RePEc:arx:papers:1804.00232.

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4. Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2020). Koike, Yuta ; Hayashi, Takaki.
   In: Papers.
   RePEc:arx:papers:1708.03992.

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5. The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations. (2019). Chen, Richard Y.
   In: Papers.
   RePEc:arx:papers:1911.02205.

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6. A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. (2018). Endres, Sylvia ; Stubinger, Johannes.
   In: FAU Discussion Papers in Economics.
   RePEc:zbw:iwqwdp:072018.

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7. Estimating spot volatility in the presence of infinite variation jumps. (2018). Liu, Zhi.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:128:y:2018:i:6:p:1958-1987.

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8. Semimartingale: Itô or not ?. (2018). Ait-Sahalia, Yacine ; Jacod, Jean.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:128:y:2018:i:1:p:233-254.

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9. Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework. (2018). Casini, Alessandro.
   In: Papers.
   RePEc:arx:papers:1803.10883.

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10. Wavelet-based methods for high-frequency lead-lag analysis. (2018). Koike, Yuta ; Hayashi, Takaki.
    In: Papers.
    RePEc:arx:papers:1612.01232.

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11. Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Chen, Richard Y ; Mykland, Per A.
    In: Papers.
    RePEc:arx:papers:1512.06159.

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12. The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim.
    In: CREATES Research Papers.
    RePEc:aah:create:2018-19.

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13. Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes. (2017). Endres, Sylvia ; Stubinger, Johannes.
    In: FAU Discussion Papers in Economics.
    RePEc:zbw:iwqwdp:172017.

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14. Volatility, information feedback and market microstructure noise: A tale of two regimes. (2017). Hautsch, Nikolaus ; Andersen, Torben ; Cebiroglu, Gokhan.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:569.

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15. Bootstrapping high-frequency jump tests. (2017). Goncalves, Silvia ; Dovonon, Prosper ; Hounyo, Ulrich ; Meddahi, Nour.
    In: TSE Working Papers.
    RePEc:tse:wpaper:31740.

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16. Time endogeneity and an optimal weight function in pre-averaging covariance estimation. (2017). Koike, Yuta.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:20:y:2017:i:1:d:10.1007_s11203-016-9135-3.

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17. Effects of Jumps and Small Noise in High-Frequency Financial Econometrics. (2017). Kunitomo, Naoto ; Kurisu, Daisuke.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:24:y:2017:i:1:d:10.1007_s10690-017-9223-4.

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18. Bootstrapping high-frequency jump tests. (2017). Goncalves, Silvia ; Dovonon, Prosper ; Hounyo, Ulrich ; Meddahi, Nour.
    In: IDEI Working Papers.
    RePEc:ide:wpaper:31735.

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19. Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2017). Neely, Christopher ; Bibinger, Markus ; Winkelmann, Lars.
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20. Measuring Transaction Costs in the Absence of Timestamps. (2017). Zikes, Filip.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2017-45.

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21. Continuous Time Modelling Based on an Exact Discrete Time Representation. (2017). Chambers, Marcus ; Thornton, MA ; McCrorie, J R.
    In: Economics Discussion Papers.
    RePEc:esx:essedp:20497.

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22. Estimation of the realized (co-)volatility vector: Large deviations approach. (2017). Samoura, Yacouba ; Djellout, Hacene ; Guillin, Arnaud.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:127:y:2017:i:9:p:2926-2960.

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23. Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:200:y:2017:i:1:p:79-103.

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24. A Simple R-Estimation Method for Semiparametric Duration Models. (2017). Hallin, Marc ; la Vecchia, Davide.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/243446.

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25. Continuous Record Laplace-based Inference about the Break Date in Structural Change Models. (2017). Perron, Pierre ; Casini, Alessandro.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2018-011.

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26. Continuous Record Asymptotics for Structural Change Models. (2017). Perron, Pierre ; Casini, Alessandro.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2018-010.

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27. The microstructure of high frequency markets. (2017). Carmona, Rene ; Webster, Kevin.
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    RePEc:arx:papers:1709.02015.

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28. Estimation of a noisy subordinated Brownian Motion via two-scales power variations. (2017). Lee, K ; Figueroa-Lopez, Jose E.
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    RePEc:arx:papers:1702.01164.

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29. Bayesian Nonparametric Estimation of Ex-post Variance. (2016). Maheu, John ; Liu, Jia ; Griffin, Jim.
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30. Sparse Change-point HAR Models for Realized Variance. (2016). Dufays, Arnaud.
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31. Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

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32. Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price. (2016). Mykland, Per A ; Zhang, Lan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:242-262.

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33. Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Xiu, Dacheng ; Ait-Sahalia, Yacine.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

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34. Bootstrapping high-frequency jump tests. (2016). Goncalves, Silvia ; Dovonon, Prosper ; Hounyo, Ulrich ; Gonalves, Silvia ; Meddahi, Nour.
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    RePEc:cir:cirwor:2016s-24.

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35. Intraday Trading Invariance in the E-mini S&P 500 Futures Market. (2016). Obizhaeva, Anna ; Andersen, Torben ; Bondarenko, Oleg ; Kyle, Albert S.
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36. Liquidity determinants in the UK gilt market. (2016). Benos, Evangelos ; Zikes, Filip.
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    RePEc:boe:boeewp:0600.

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37. Big data challenges and opportunities in financial stability monitoring. (2016). Flood, Mark ; Raschid, L ; Jagadish, H V.
    In: Financial Stability Review.
    RePEc:bfr:fisrev:2016:20:14.

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38. Volume, Volatility and Public News Announcements. (2016). Bollerslev, Tim ; Xue, Yuan ; Li, Jia.
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    RePEc:aah:create:2016-19.

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39. On Effects of Jump and Noise in High-Frequency Financial Econometrics. (2015). Kunitomo, Naoto ; Kurisu, Daisuke.
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    RePEc:tky:fseres:2015cf996.

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40. The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling. (2015). Sato, Seisho ; Kunitomo, Naoto ; Misaki, Hiroumi .
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41. A Robust Estimation of Integrated Volatility under Round-off Errors, Micro-market Price Adjustments and Noises. (2015). Sato, Seisho ; Kunitomo, Naoto.
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42. Principal Component Analysis of High Frequency Data. (2015). Xiu, Dacheng ; Ait-Sahalia, Yacine.
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43. Cross-sectional Dependence in Idiosyncratic Volatility. (2015). Kalnina, Ilze ; Tewou, Kokouvi.
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44. Cross-sectional dependence in idiosyncratic volatility. (2015). Kalnina, Ilze ; Tewou, Kokouvi.
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45. The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling. (2015). Sato, Seisho ; Kunitomo, Naoto ; Misaki, Hiroumi .
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46. Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2015). .
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47. Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2015). Yamamoto, Yohei.
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48. Superposition of COGARCH processes. (2015). Kluppelberg, Claudia ; Chong, Carsten ; Behme, Anita.
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49. Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes. (2015). Patton, Andrew ; Liu, Lily ; Sheppard, Kevin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:1:p:293-311.

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50. Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise. (2014). Fang, Yue ; Zhao, Xujie ; Yu, Chao ; Zhang, BO.
    In: MPRA Paper.
    RePEc:pra:mprapa:63293.

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