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2. News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets. (2017). Wohar, Mark ; Papadamou, Stephanos ; Kollias, Christos ; GUPTA, RANGAN.
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1. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
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2. Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

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3. 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.
   In: Energy Economics.
   RePEc:eee:eneeco:v:48:y:2015:i:c:p:288-294.

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4. 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.

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5. Parametric Inference and Dynamic State Recovery from Option Panels. (2012). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:18046.

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6. A nonparametric GARCH model of crude oil price return volatility. (2012). Suardi, Sandy ; Hou, Ai Jun.
   In: Energy Economics.
   RePEc:eee:eneeco:v:34:y:2012:i:2:p:618-626.

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7. A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices volatility forecasting models. (2012). Xu, Bing ; Ouenniche, Jamal.
   In: Energy Economics.
   RePEc:eee:eneeco:v:34:y:2012:i:2:p:576-583.

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8. Liquidity and Market Microstructure Noise: Evidence from the Pekao Data. (2010). Doman, Magorzata.
   In: Dynamic Econometric Models.
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9. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
   In: Tinbergen Institute Discussion Papers.
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10. 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.
    RePEc:kap:iaecre:v:14:y:2008:i:1:p:112-124:10.1007/s11294-008-9134-2.

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11. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070025.

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

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14. 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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15. 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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16. 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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17. 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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18. 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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19. 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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20. 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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21. 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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22. Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models. (2003). .
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23. 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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24. 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.
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25. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-20.

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

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

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29. 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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30. 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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31. Testing Normality: A GMM Approach. (2002). Meddahi, Nour ; Bontemps, Christian.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-63.

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32. 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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33. 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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34. 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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35. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-26.

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36. 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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37. 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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38. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-71.

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

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

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42. 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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43. 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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44. 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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45. 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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46. 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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47. 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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48. (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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49. 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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50. 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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