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Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Hu, Junjie ; Härdle, Wolfgang ; Kuo, Weiyu ; Hardle, Wolfgang Karl.
In: IRTG 1792 Discussion Papers.
RePEc:zbw:irtgdp:2019024.

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Cited: 31

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  29. Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies. (2021). Xie, Tian ; Qiu, Yue ; Wang, Yifan.
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  12. Risk, jumps, and diversification. (2008). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
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    RePEc:aah:create:2007-22.

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  25. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-20.

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  26. Risk, Jumps, and Diversification. (2007). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-19.

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  27. Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities. (2007). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-16.

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  28. Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks. (2007). Bollerslev, Tim ; Todorov, Viktor.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-15.

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  29. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures. (2007). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-14.

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  30. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200620.

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  31. Predictive Inference for Integrated Volatility. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200616.

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  32. 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.

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  33. Is there a risk-return trade-off? Evidence from high-frequency data. (2006). Bali, Turan G. ; Peng, Lin.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:8:p:1169-1198.

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  34. Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises. (2006). Duan, Jin-Chuan ; Fulop, Andras.
    In: ESSEC Working Papers.
    RePEc:ebg:essewp:dr-06015.

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  35. A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete. (2006). Yu, Jun ; Phillips, Peter ; Peter C. B. Phillips, .
    In: Macroeconomics Working Papers.
    RePEc:eab:macroe:22472.

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  36. Refined Inference on Long Memory in Realized Volatility. (2006). Phillips, Peter ; Lieberman, Offer.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1549.

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  37. Ultra high frequency volatility estimation with dependent microstructure noise. (2005). Ait-Sahalia, Yacine ; Mykland, Per A. ; Zhang, Lan.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4224.

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  38. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde. (2005). Yu, Jun ; Phillips, Peter.
    In: Working Papers.
    RePEc:siu:wpaper:13-2005.

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  39. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:05-007.

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  40. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:240.

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  41. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0516.

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

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  43. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11775.

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  44. Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise. (2005). Ait-Sahalia, Yacine ; Mykland, Per A. ; Zhang, Lan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11380.

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  45. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11069.

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  46. Edgeworth Expansions for Realized Volatility and Related Estimators. (2005). Ait-Sahalia, Yacine ; Mykland, Per A. ; Zhang, Lan.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0319.

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  47. Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises. (2005). Duan, Jin-Chuan ; Fulop, Andras.
    In: CERS-IE WORKING PAPERS.
    RePEc:has:discpr:0517.

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  48. Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. (2005). Zhou, Hao.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-63.

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  49. 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.

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  50. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9915.

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