1. Testing heteroskedasticity for predictive regressions with nonstationary regressors. (2021). Cai, Zongwu ; Zhang, Zhengyi ; Hong, Shaoxin.
   In: Economics Letters.
   RePEc:eee:ecolet:v:201:y:2021:i:c:s0165176521000586.

   Full description at Econpapers || Download paper

2. Bayesian estimation for a semiparametric nonlinear volatility model. (2021). Zhang, Xibin ; Poskitt, Donald ; Hu, Shuowen.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:98:y:2021:i:c:p:361-370.

   Full description at Econpapers || Download paper

3. Extracting volatility signal using maximum a posteriori estimation. (2016). NETO, David.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:461:y:2016:i:c:p:788-794.

   Full description at Econpapers || Download paper

References contributed by pfo235-7077

1. Andersen, T. G., T. Bollerslev, F. X. Diebold and P. Labys (2003). Modeling and forecasting realized volatility. Econometrica 71, 529–626. Audrino, F. and P. Buhlmann (2001). Tree-structured GARCH models. Journal of Royal Statistical Society, Series B. 63, 727–44.

2. Avramidis, P. (2002). Local maximum likelihood estimation of volatility function. Working Paper, London School of Economics.
   Paper not yet in RePEc: Add citation now
   

3. Baillie, R. T., T. Bollerslev and H. O. Mikkelsen (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 74, 3–30.

4. Barndorff-Nielsen, O. E. and N. Shephard (2002). Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society, Series B64, 253–80.

5. Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde and N. Shephard (2008). Designing realized kernels to measure the ex-post variation of equity prices in the presence of noise. Econometrica 76, 1481–536.

6. Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde and N. Shephard (2009). Realized kernels in practice: trades and quotes. Econometrics Journal 12, C1–C32.

7. Blair, B. J., S. H. Poon and S. J. Taylor (2001). Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns. Journal of Econometrics 105, 5–26.

8. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics31, 307–27.

9. Bollerslev, T. and H. O. Mikkelsen (1996). Modeling and pricing long-memory in stock market volatility. Journal of Econometrics 73, 151–84.

10. Chen, R., L. Yang and C. Hafner (2004). Nonparametric multistep-ahead prediction in time series analysis. Journal of the Royal Statistical Society,SeriesB69, 669–86.

11. Chiras, D. P. and S. Manaster (1978). The information content of option prices and a test for market efficiency. Journal of Financial Economics 6, 213–34.

12. Christensen, B. J. and N. R. Prabhala (1998). The relation between implied and realized volatility. Journal of Financial Economics 50, 125–50.

13. Diebold, F. X. and A. Inoue (2001). L ong memory and regime switching. Journal of Econometrics 105,131–59.

14. Diebold, F. X. and R. S. Mariano (1995). Comparing predictive accuracy. Journal of Business and Economic Statistics 13, 253–63.

15. Ding, Z. and C. W. J. Granger (1996). Modeling volatility persistence of speculative returns: a new approach. Journal of Econometrics 73, 185–215.

16. Ding, Z., C. W. J. Granger and R. F. Engle (1993). A long memory property of stock market returns and anew model. Journal of Empirical Finance 1, 83–106.

17. Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. Inflation. Econometrica 50, 987–1008.

18. Engle, R. F. and G. J. Lee (1999). A long-run and short-run component model of stock return volatility. In R. Engle and H. White (Eds.), Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger, 475–497. Oxford: Oxford University Press.

19. Engle, R. F. and J. G. Rangel (2008). The spline-GARCH model for low-frequency volatility and its global macroeconomic causes. Review of Financial Studies 21, 1187–222.

20. Engle, R. F. and T. Bollerslev (1986). Modelling the persistence of conditional variance. Econometric Reviews 5, 1–50, 81–7.
    Paper not yet in RePEc: Add citation now
    

21. Engle, R. F. and V. K. Ng (1993). Measuring and testing the impact of news on volatility. Journal of Finance48, 1749–78.

22. Fan, J. and Q. Yao (1998). Efficient estimation of conditional variance functions in stochastic regression. Biometrika 85, 645–60.

23. Fleming, J. (1998). The quality of market volatility forecasts implied by S&P 100 index option prices. Journal of Empirical Finance 5, 317–45.
    Paper not yet in RePEc: Add citation now
    

24. Giot, P. (2003). The information content of implied volatility in agricultural commodity markets, Journal of Futures Markets 23, 441–54.

25. Granger, C. W. J. and N. Hyung (2004). Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. Journal of Empirical Finance 11, 399–421.

26. Han, H. and J. Y. Park (2008). Time series properties of ARCH processes with persistent covariates. Journal of Econometrics 146, 275–92.

27. Hansen, P. R. and A. Lunde (2006). Consistent ranking of volatility models. Journal of Econometrics 131,97–121.

28. Hardle, W. and A. B. Tsybakov (1997). Local polynomial estimators of the volatility function. Journal of Econometrics 81, 223–42.
    Paper not yet in RePEc: Add citation now
    
29. Heber, G., A. Lunde, N. Shephard and K. Sheppard (2009). OMI’s Realised Library, Version 0.1. Oxford-Man Institute, University of Oxford.
    Paper not yet in RePEc: Add citation now
    
30. Hurvich, C. M. and P. Soulier (2009). Stochastic volatility models with long memory. In T. G. Andersen, R. A. Davis, J. P. Kreiss and Th. Mikosch (Eds.), Handbook of Financial Time Series, 157–168. Berlin: Springer.
    Paper not yet in RePEc: Add citation now
    

31. Jensen, S. T. and A. Rahbek (2004). Asymptotic inference for nonstationary GARCH. Econometric Theory 20, 1203–26.

32. Karlsen, H. A., T. Myklebust and D. Tjøstheim (2007). Nonparametric estimation in a nonlinear cointegration type model. Annals of Statistics 35, 252–99.
    Paper not yet in RePEc: Add citation now
    

33. Kim, W. and O. B. Linton (2004). A local instrumental variable estimation for generalized additive volatility models. Econometric Theory 20, 1094–139.

34. Latane, H. A. and R. J. Rendleman (1976). Standard deviations of stock price ratios implied in option prices. Journal of Finance 31, 369–81.

35. Linton, O. B. (2009). Semiparametric and nonparametric ARCH modeling. In T. G. Andersen, R. A. Davis, J. P. Kreiss and Th. Mikosch (Eds.), Handbook of Financial Time Series, 157–168. Berlin: Springer.
    Paper not yet in RePEc: Add citation now
    

36. Linton, O. B. and E. Mammen (2005). Estimating semiparametric ARCH(8) models by kernel smoothing methods. Econometrica 73, 771–836.

37. Loretan, M. and P. C. B. Phillips (1994). Testing the covariance stationarity of heavy-tailed time series. Journal of Empirical Finance 1, 211–48.
    Paper not yet in RePEc: Add citation now
    

38. Masry, E. and D. Tjøstheim (1995). Nonparametric estimation and identification of nonlinear ARCH time series: strong convergence and asymptotic normality. Econometric Theory 11, 258–89.

39. Mikosch, T. and C. Starica (2004). Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects. Review of Economics and Statistics 86, 378–90.

40. Pagan, A. R. and G. W. Schwert (1990a). Alternative models for conditional stock volatility. Journal of Econometrics 45, 267–90.
    Paper not yet in RePEc: Add citation now
    

41. Pagan, A. R. and G. W. Schwert (1990b). Testing for covariance stationarity in stock market data. Economics Letters 33, 165–70.

42. Pagan, C. R. and Y. S. Hong (1991). Nonparametric estimation and the risk premium. In W. Barnett, J.Powell and G. E. Tauchen (Eds.), Nonparametric and Semiparametric Methods in Econometrics and Statistics. Cambridge: Cambridge University Press.
    Paper not yet in RePEc: Add citation now
    

43. Park, J. Y. (2002). Nonstationary nonlinear heteroskedasticity. Journal of Econometrics 110, 383–415.

44. Park, J. Y. and P. C. B. Phillips (1999). Asymptotics for nonlinear transformations of integrated time series. Econometric Theory 15, 269–98.

45. Park, J. Y. and P. C. B. Phillips (2001). Nonlinear regressions with integrated time series. Econometrica 69,117–61.

46. Patton, A. J. (2011). Volatility forecast comparison using imperfect volatility proxies. Journal of Econometrics 160, 246–56.

47. Patton, A. J. and K. Sheppard (2009). Evaluating volatility and correlation forecasts. In T. G. Andersen, R. A. Davis, J. P. Kreiss and Th. Mikosch (Eds.), Handbook of Financial Time Series, 801–838. Berlin: Springer.
    Paper not yet in RePEc: Add citation now
    

48. Shephard, N. and K. Sheppard (2010). Realising the future: forecasting with high frequency based volatility (HEAVY) models. Journal of Applied Econometrics 25, 197–231.

49. Starica, C. and C. W. J. Granger (2005). Nonstationarities in stock returns. Review of Economics and Statistics 87, 503–22.

50. Wang, Q. and P. C. B. Phillips (2009a). Asymptotic theory for local time density estimation and nonparametric cointegrating regression. Econometric Theory 25, 1–29.
    Paper not yet in RePEc: Add citation now
    
51. Wang, Q. and P. C. B. Phillips (2009b). Structural nonparametric cointegrating regression. Econometrica77, 1901–48.
    Paper not yet in RePEc: Add citation now
    

52. West, K. D. (1996). Asymptotic inference about predictive ability. Econometrica 64, 1067–84.

53. Yang, L. (2006). A semiparametric GARCH model for foreign exchange volatility. Journal of Econometrics 130, 2, 365–84.

54. Yang, L., W. Hardle and J. P. Nielsen (1999). Nonparametric autoregression with multiplicative volatility and additive mean. Journal of Time Series Analysis 20, 579–604.

1. A common component of Fama and French factor variances. (2025). Grobys, Klaus ; Fathi, Masoumeh ; Ij, Janne.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002171.

   Full description at Econpapers || Download paper

2. The Fourier–Malliavin Volatility (FMVol) MATLAB® library. (2024). Sanfelici, Simona ; Toscano, Giacomo.
   In: Mathematics and Computers in Simulation (MATCOM).
   RePEc:eee:matcom:v:226:y:2024:i:c:p:338-353.

   Full description at Econpapers || Download paper

3. A universal exponent governing foreign exchange rate risks. (2024). Grobys, Klaus.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003545.

   Full description at Econpapers || Download paper

4. Prediction of realized volatility and implied volatility indices using AI and machine learning: A review. (2024). Westgaard, Sjur ; Risstad, Morten ; Isern, Hkon Ramon ; Gunnarsson, Elias Sovik ; Vigdel, Benjamin ; Kaloudis, Aristidis.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001534.

   Full description at Econpapers || Download paper

5. Consistent Estimation of the High-Dimensional Efficient Frontier. (2024). Parolya, Nestor ; Hautsch, Nikolaus ; Okhrin, Yarema ; Bodnar, Taras.
   In: Papers.
   RePEc:arx:papers:2409.15103.

   Full description at Econpapers || Download paper

6. Correlation versus co-fractality: Evidence from foreign-exchange-rate variances. (2023). Grobys, Klaus.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000479.

   Full description at Econpapers || Download paper

7. Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Mancino, Maria Elvira ; Mariotti, Tommaso ; Toscano, Giacomo.
   In: Papers.
   RePEc:arx:papers:2209.08967.

   Full description at Econpapers || Download paper

8. Volatility Spillovers in a Long-Memory VAR: an Application to Energy Futures Returns. (2018). Perez-Laborda, Alejandro ; Lovcha, Yuliya.
   In: Working Papers.
   RePEc:urv:wpaper:2072/307362.

   Full description at Econpapers || Download paper

9. Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models. (2017). Asai, Manabu ; Peiris, Shelton.
   In: JRFM.
   RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:23-:d:122610.

   Full description at Econpapers || Download paper

10. Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland. (2016). Molnár, Peter ; Lyócsa, Štefan ; Fedorko, Igor.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:66:y:2016:i:5:p:453-475.

    Full description at Econpapers || Download paper

11. Non‐stationary non‐parametric volatility model. (2012). Han, Heejoon ; Zhang, Shen.
    In: Econometrics Journal.
    RePEc:wly:emjrnl:v:15:y:2012:i:2:p:204-225.

    Full description at Econpapers || Download paper

12. Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects. (2012). Corsi, Fulvio ; Audrino, Francesco.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:10:y:2012:i:4:p:591-616.

    Full description at Econpapers || Download paper

13. Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper. (2011). Miao, Hong ; Khalifa, Ahmed ; Ramchander, Sanjay ; Ahmed A. A. Khalifa, .
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:31:y:2011:i:1:p:55-80.

    Full description at Econpapers || Download paper

14. Modeling and forecasting realized range volatility. (2011). Caporin, Massimiliano ; Velo, Gabriel G..
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0128.

    Full description at Econpapers || Download paper

15. An Examination of New and Old Terrorism Using High-Frequency Data. (2009). Mullins, Martin ; Garvey, John.
    In: Economics of Security Working Paper Series.
    RePEc:diw:diweos:diweos18.

    Full description at Econpapers || Download paper

16. Financial Markets Modelling. (2009). Tsenkov, Vladimir.
    In: Economic Thought journal.
    RePEc:bas:econth:y:2009:i:5:p:87-96.

    Full description at Econpapers || Download paper

17. Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. (2009). Podolskij, Mark ; Christensen, Kim ; Kinnebrock, Silja .
    In: CREATES Research Papers.
    RePEc:aah:create:2009-45.

    Full description at Econpapers || Download paper

18. Forecasting volatility with outliers in GARCH models. (2008). CHARLES, Amelie.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:27:y:2008:i:7:p:551-565.

    Full description at Econpapers || Download paper

19. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2008). Loretan, Mico ; Hjalmarsson, Erik ; CHIQUOINE, BENJAMIN ; Chaboud, Alain.
    In: BIS Working Papers.
    RePEc:bis:biswps:249.

    Full description at Econpapers || Download paper

20. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2007). Loretan, Mico ; Hjalmarsson, Erik ; CHIQUOINE, BENJAMIN ; Chaboud, Alain.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:905.

    Full description at Econpapers || Download paper

21. The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-03.

    Full description at Econpapers || Download paper

22. Diversifikationseffekte durch Small und Mid Caps?. (2005). Borgsen, Sina ; Glaser, Markus.
    In: Sonderforschungsbereich 504 Publications.
    RePEc:xrs:sfbmaa:05-10.

    Full description at Econpapers || Download paper

23. Forecasting Exchange Rate Volatility In The Presence Of Jumps. (2005). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Paper.
    RePEc:qed:wpaper:1187.

    Full description at Econpapers || Download paper

24. Diversifikationseffekte durch small und mid caps? : Eine empirische Untersuchung basierend auf europäischen Aktienindizes. (2005). Borgsen, Sina ; Glaser, Markus.
    In: Papers.
    RePEc:mnh:spaper:2668.

    Full description at Econpapers || Download paper

25. Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange. (2005). Duchesne, Pierre ; Dionne, Georges ; Pacurar, Maria.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:0533.

    Full description at Econpapers || Download paper

26. Technical trading and the volatility of exchange rates. (2004). Herz, Bernhard ; Bauer, Christian.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:4:y:2004:i:4:p:399-415.

    Full description at Econpapers || Download paper

27. Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). Carnero, M. Angeles.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342.

    Full description at Econpapers || Download paper

28. Nonlinear effects of exchange rate volatility on the volume of bilateral exports. (2004). Ozkan, Neslihan ; Caglayan, Mustafa ; Baum, Christopher.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:19:y:2004:i:1:p:1-23.

    Full description at Econpapers || Download paper

29. Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?. (2004). Neely, Christopher.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-018.

    Full description at Econpapers || Download paper

30. 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

31. The dynamics of stochastic volatility: evidence from underlying and options markets. (2003). Jones, Christopher S..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:181-224.

    Full description at Econpapers || Download paper

32. 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

33. 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

34. 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

35. 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.

    Full description at Econpapers || Download paper

36. Modeling daily realized futures volatility with singular spectrum analysis. (2002). Wang, Tao ; Thomakos, Dimitrios ; Wille, Luc T..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:312:y:2002:i:3:p:505-519.

    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 ; Anderson, Torben G..
    In: Working Papers.
    RePEc:ecl:upafin:02-1.

    Full description at Econpapers || Download paper

38. Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports. (2002). Ozkan, Neslihan ; Caglayan, Mustafa ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:488.

    Full description at Econpapers || Download paper

39. An Empirical Investigation of Continuous‐Time Equity Return Models. (2002). Benzoni, Luca ; Andersen, Torben.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:57:y:2002:i:3:p:1239-1284.

    Full description at Econpapers || Download paper

40. Exchange Rate Effects on the Volume of Trade Flows: An Empirical Analysis Employing High-Frequency Data. (2001). Caglayan, Mustafa ; Baum, Christopher.
    In: Computing in Economics and Finance 2001.
    RePEc:sce:scecf1:85.

    Full description at Econpapers || Download paper

41. An Empirical Investigation of Continuous-Time Equity Return Models. (2001). Benzoni, Luca ; Andersen, Torben ; Lund, Jesper .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8510.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

43. 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.

    Full description at Econpapers || Download paper

44. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:4:y:2000:i:3-4:p:159-179.

    Full description at Econpapers || Download paper

45. Exchange Rate Effects on the Volume of Trade Flows: An Empirical Analysis Employing High-Frequency Data. (2000). Ozkan, Neslihan ; Caglayan, Mustafa ; Baum, Christopher.
    In: CeNDEF Workshop Papers, January 2001.
    RePEc:ams:cdws01:5b.1.

    Full description at Econpapers || Download paper

Report date: 2025-10-04 19:26:29 || Missing content? Let us know