1. Dynamics in Realized Volatility Forecasting: Evaluating GARCH Models and Deep Learning Algorithms Across Parameter Variations. (2025). Gulay, Emrah ; Akgun, Omer Burak.
   In: Computational Economics.
   RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10694-2.

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2. Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh.
   In: Computational Economics.
   RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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3. Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets. (2025). Song, Yuping ; Zhu, Min ; Zheng, Xin.
   In: Computational Economics.
   RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10633-1.

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4. Investigating the impact of ESG ratings on ETF performance during market disruptions: Evidence from the COVID-19 pandemic and Russian (full-scale) invasion of Ukraine. (2025). Sarajoti, Pattarake ; Sahin, Olgun Fuat ; Phiromswad, Piyachart ; Supatgiat, Chonawee.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001606.

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5. Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

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6. A novel HAR-type realized volatility forecasting model using graph neural network. (2025). Yin, Xuebao ; Yao, Yuhang ; Hu, Nan.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008135.

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7. Diversifying Trends. (2025). Darolles, Serge ; Chevalier, Charles.
   In: Econometrics and Statistics.
   RePEc:eee:ecosta:v:33:y:2025:i:c:p:56-79.

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8. Forecasting volatility of China’s crude oil futures based on hybrid ML-HAR-RV models. (2025). Zhu, Tingting ; Ma, Xiaoqing.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000683.

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9. A RGARCH-CARR-SK model: A new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures. (2025). Chen, Zhenlong ; Zhou, Qingnan ; Liu, Junjie.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000488.

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10. Twitter-based market uncertainty and global stock volatility predictability. (2025). Zhou, Mingtao ; Ma, Yong ; Li, Shuaibing.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001815.

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11. Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina.
    In: Papers.
    RePEc:arx:papers:2503.19767.

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12. Price dynamics and volatility jumps in bitcoin options. (2024). Yang, Jimmy J ; Chen, Kuo Shing.
    In: Financial Innovation.
    RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00653-z.

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13. Forecasting the equity premium using weighted regressions: Does the jump variation help?. (2024). Zhang, Yaojie ; Wang, Yudong.
    In: Empirical Economics.
    RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02521-8.

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14. Unveiling multiscale spatiotemporal dynamics of volatility in high-frequency financial markets. (2024). Chen, Tingting ; Peng, Wenyan ; Ouyang, Fangyan.
    In: PLOS ONE.
    RePEc:plo:pone00:0315308.

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15. Realized volatility, price informativeness, and tick size: A market microstructure approach. (2024). Xiao, Xijuan ; Yamamoto, Ryuichi.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:89:y:2024:i:pa:p:410-426.

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16. Investor behavior in times of conflict: A natural experiment on the interplay of geopolitical risk and defense stocks. (2024). Klein, Tony.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:222:y:2024:i:c:p:294-313.

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17. Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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18. Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Li, Dan ; Drovandi, Christopher.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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19. Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations. (2024). Li, Xiao-Ming ; Thanh, Thao Thac ; Pham, Son Duy.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:59:y:2024:i:c:s1044028323001187.

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20. What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty. (2024). Todorova, Neda ; Lycsa, Tefan.
    In: Energy Economics.
    RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006881.

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21. Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model. (2024). Xu, Zijian ; Li, Pan ; Cao, Jiawei ; Wu, Hanlin.
    In: Energy Economics.
    RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002962.

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22. Forecasting of clean energy market volatility: The role of oil and the technology sector. (2024). Lyócsa, Štefan ; Lyocsa, Tefan ; Todorova, Neda.
    In: Energy Economics.
    RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001592.

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23. Contagion among European financial indices, evidence from a quantile VAR approach. (2024). Tedeschi, Marco ; Palomba, Giulio.
    In: Economic Systems.
    RePEc:eee:ecosys:v:48:y:2024:i:2:s0939362524000050.

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24. An unbounded intensity model for point processes. (2024). Kolokolov, Aleksey ; Christensen, Kim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001854.

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25. Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; Wang, Weichen.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494.

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26. Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Song, Yuping ; Xu, Yang ; Zhang, Qichao ; Huang, Jiefei.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019.

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27. Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y.
    In: Janeway Institute Working Papers.
    RePEc:cam:camjip:2423.

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28. Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:2449.

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29. Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli.
    In: Papers.
    RePEc:arx:papers:2411.17136.

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30. Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap.
    In: Papers.
    RePEc:arx:papers:2409.13516.

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31. Data-driven fixed-point tuning for truncated realized variations. (2024). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B.
    In: Papers.
    RePEc:arx:papers:2311.00905.

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32. Greek government‐debt crisis events and European financial markets: News surprises on Greek bond yields and inter‐relations of European financial markets. (2023). Wohar, Mark ; VORTELINOS, DIMITRIOS ; Katsiampa, Paraskevi ; Gkillas, Konstantinos.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:4:p:4037-4054.

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33. A non-Normal framework for price discovery: The independent component based information shares measure. (2023). Zema, Sebastiano Michele.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2023/03.

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34. Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia. (2023). Ahmed, Shakeel ; Khan, Muhammad Zeb ; Maqsood, Huma ; Zada, Hassan.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00417-w.

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35. The effect of intraday periodicity on realized volatility measures. (2023). Golosnoy, Vasyl ; Kellermann, Janosch ; Dette, Holger.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:86:y:2023:i:3:d:10.1007_s00184-022-00875-0.

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36. Taming the Zoo of Consumption Responses to Labour Income Changes. (2023). Weytjens, Johannes ; van den Heuvel, Milan ; Schoors, Koen ; Boudt, Kris.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:23/1067.

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37. Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum. (2023). Sanhaji, Bilel ; Chevallier, Julien.
    In: Post-Print.
    RePEc:hal:journl:halshs-04250353.

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38. We modeled long memory with just one lag!. (2023). Laurent, Sébastien ; Chevillon, Guillaume ; Bauwens, Luc.
    In: Post-Print.
    RePEc:hal:journl:hal-04185755.

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39. The Asymmetric Effects of Extreme Climate Risk Perception on Coal Futures Return Dynamics: Evidence from Nonparametric Causality-In-Quantiles Tests. (2023). Gao, Wang ; Yang, Shixiong ; Wei, Jiajia.
    In: Sustainability.
    RePEc:gam:jsusta:v:15:y:2023:i:10:p:8156-:d:1149155.

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40. Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices. (2023). Sanhaji, Bilel ; Chevallier, Julien.
    In: Stats.
    RePEc:gam:jstats:v:6:y:2023:i:4:p:82-1370:d:1298480.

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41. Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum. (2023). Sanhaji, Bilel ; Chevallier, Julien.
    In: Econometrics.
    RePEc:gam:jecnmx:v:11:y:2023:i:3:p:19-:d:1214066.

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42. The US banking crisis in 2023: Intraday attention and price variation of banks at risk. (2023). Lyócsa, Štefan ; Lyocsa, Tefan ; Halouskova, Martina ; Haugom, Erik.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005810.

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43. Threats to central bank independence and exchange rate volatility: High-frequency identification with Trump’s Fed tweets. (2023). Liu, Yifan ; Popova, Ivilina.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000156.

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44. Tail risk forecasting of realized volatility CAViaR models. (2023). Chen, Cathy W. S. ; Watanabe, Toshiaki ; Hsu, Hsiao-Yun.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005050.

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45. Forecasting European stock volatility: The role of the UK. (2023). Gao, Xiang ; Gu, Chen.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002442.

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46. Oil price assumptions for macroeconomic policy. (2023). Filis, George ; Degiannakis, Stavros.
    In: Energy Economics.
    RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005540.

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47. Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities. (2023). Han, Seung-Oh ; Huh, Sahn-Wook ; Park, Jeayoung.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:70:y:2023:i:c:p:276-307.

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48. Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (2023). Yang, Xiye ; Liao, Yuan ; Cheng, Mingmian.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002123.

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49. Volatility measurement with pockets of extreme return persistence. (2023). Andersen, Torben ; Li, Yingying ; Todorov, Viktor ; Zhou, BO.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:237:y:2023:i:2:s0304407620303924.

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50. We modeled long memory with just one lag!. (2023). Laurent, Sébastien ; Chevillon, Guillaume ; Bauwens, Luc.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001616.

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51. ETF Basket-Adjusted Covariance estimation. (2023). Vanduffel, Steven ; Boudt, Kris ; Sauri, Orimar ; Dragun, Kirill.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:2:p:1144-1171.

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52. Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:234:y:2023:i:1:p:53-81.

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53. Do algorithmic traders exploit volatility?. (2023). Marathe, Rahul R ; Prasanna, Krishna P ; Arumugam, Devika.
    In: Journal of Behavioral and Experimental Finance.
    RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001009.

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54. Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas. (2023). Hansen, Peter ; Luo, Yiyao.
    In: Papers.
    RePEc:arx:papers:2310.19992.

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55. Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana.
    In: Papers.
    RePEc:arx:papers:2212.11833.

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56. What matters when developing oil price volatility forecasting frameworks?. (2022). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:2:p:361-382.

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57. Recurrent conditional heteroskedasticity. (2022). Nguyen, Trongnghia ; Kohn, Robert ; Tran, Minh Ngoc.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:37:y:2022:i:5:p:1031-1054.

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58. Is Jump Robust Two Times Scaled Estimator Superior among Realized Volatility Competitors?. (2022). Arneric, Josip ; Uljak, Maria ; Igman, Ante.
    In: Mathematics.
    RePEc:gam:jmathe:v:10:y:2022:i:12:p:2124-:d:841883.

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59. Forecasting volatility of Bitcoin. (2022). Molnár, Peter ; Molnar, Peter ; Polasik, Micha ; Bergsli, Lykke Overland ; Lind, Andrea Falk.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001616.

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60. Evaluating influential nodes for the Chinese energy stocks based on jump volatility spillover network. (2022). Deng, Yunke ; Yang, Xin ; Zhao, Xian ; Huang, Chuangxia.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:78:y:2022:i:c:p:81-94.

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61. A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps. (2022). Song, Yuping ; Xu, Yang ; Huang, Jiefei.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:608:y:2022:i:p1:s0378437122008111.

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62. Time-to-maturity and commodity futures return volatility: The role of time-varying asymmetric information. (2022). Yu, Chia-Feng (Jeffrey) ; Phan, Hoàng Long ; Zurbruegg, Ralf ; Brockman, Paul.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000258.

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63. Oil price volatility forecasts: What do investors need to know?. (2022). Filis, George ; Degiannakis, Stavros.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:123:y:2022:i:c:s026156062100245x.

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64. Weighted Least Squares Realized Covariation Estimation. (2022). Nolte, Ingmar ; Li, Yifan ; Voev, Valeri ; Xu, QI ; Vasios, Michalis.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:137:y:2022:i:c:s0378426622000206.

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65. Forecasting realized volatility of agricultural commodities. (2022). Walther, Thomas ; Filis, George ; Degiannakis, Stavros ; Klein, Tony.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:38:y:2022:i:1:p:74-96.

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66. Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models. (2022). Klein, Tony ; Ji, Qiang ; Luo, Jiawen ; Hou, Chenghan.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:38:y:2022:i:1:p:51-73.

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67. The size of good and bad volatility shocks does matter for spillovers. (2022). Harb, Etienne ; Bouri, Elie.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001020.

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68. Jumps in stock prices: New insights from old data. (2022). Medeiros, Marcelo ; Johnson, James A ; Paye, Bradley S.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:60:y:2022:i:c:s1386418122000039.

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69. Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?. (2022). Shiu, Yung-Ming ; Wu, Tu-Cheng ; Pan, Ging-Ginq.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:57:y:2022:i:c:s1386418120300835.

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70. Time-varying pricing of risk in sovereign bond futures returns. (2022). Malinska, Barbora.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004955.

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71. An oil futures volatility forecast perspective on the selection of high-frequency jump tests. (2022). Liao, Yin ; Lu, Xinjie ; Ma, Feng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:116:y:2022:i:c:s014098832200487x.

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72. The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemic. (2022). Niu, Zibo ; Zhang, Hongwei ; Ma, Feng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002791.

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73. Correcting Intraday Periodicity Bias in Realized Volatility Measures. (2022). Golosnoy, Vasyl ; Kellermann, Janosch ; Dette, Holger.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:23:y:2022:i:c:p:36-52.

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74. Testing for the presence of jump components in jump diffusion models. (2022). Zheng, XU ; Wang, Bin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:230:y:2022:i:2:p:483-509.

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75. Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x.

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76. The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic. (2022). Liu, Min.
    In: Economic Analysis and Policy.
    RePEc:eee:ecanpo:v:75:y:2022:i:c:p:288-309.

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77. Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

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78. Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions?. (2022). Filis, George ; Degiannakis, Stavros ; Bragoudakis, Zacharias.
    In: Working Papers.
    RePEc:bog:wpaper:296.

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79. Modeling Multivariate Positive-Valued Time Series Using R-INLA. (2022). Basu, Sumanta ; Ravishanker, Nalini ; Dutta, Chiranjit.
    In: Papers.
    RePEc:arx:papers:2206.05374.

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80. Overnight GARCH-It\^o Volatility Models. (2022). Kim, Donggyu ; Wang, Yazhen.
    In: Papers.
    RePEc:arx:papers:2102.13467.

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81. Recurrent Conditional Heteroskedasticity. (2022). T. -N. Nguyen, ; Kohn, R ; M. -N. Tran, .
    In: Papers.
    RePEc:arx:papers:2010.13061.

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82. Scheduled macroeconomic news announcements and Forex volatility forecasting. (2021). Plíhal, Tomáš ; Plihal, Toma.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:8:p:1379-1397.

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83. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2021). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:3:p:416-438.

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84. Beta-Adjusted Covariance Estimation. (2021). Vanduffel, Steven ; Boudt, Kris ; Sauri, Orimar ; Dragun, Kirill.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:21/1010.

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85. Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility. (2021). Grassi, Stefano ; Buccheri, Giuseppe ; Vocalelli, Giorgio.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:506.

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86. Revisiting the Kuznets Curve Hypothesis for Tunisia: Carbon Dioxide vs. Ecological Footprint. (2021). Inglesi-Lotz, Roula ; GUPTA, RANGAN ; Ajmi, Ahdi Noomen ; Gkillas, Konstantinos ; Vortelinos, Dimitrios ; Konstantatos, Christoforos.
    In: Working Papers.
    RePEc:pre:wpaper:202171.

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87. Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Bouri, Elie ; Gkillas, Konstantinos.
    In: Computational Economics.
    RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10022-4.

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88. Forecasting Volatility and Tail Risk in Electricity Markets. (2021). Storti, Giuseppe ; Naimoli, Antonio.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:294-:d:582734.

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89. Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets. (2021). Wong, Wing-Keung ; Hassan, Arshad ; Zada, Hassan.
    In: Economies.
    RePEc:gam:jecomi:v:9:y:2021:i:2:p:92-:d:576215.

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90. Uncertainty Due to Infectious Diseases and Stock–Bond Correlation. (2021). Siriopoulos, Costas ; Gkillas, Konstantinos ; Konstantatos, Christoforos.
    In: Econometrics.
    RePEc:gam:jecnmx:v:9:y:2021:i:2:p:17-:d:539153.

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91. The realized volatility of commodity futures: Interconnectedness and determinants#. (2021). Vo, Xuan Vinh ; lucey, brian ; Bouri, Elie ; Saeed, Tareq.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:73:y:2021:i:c:p:139-151.

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92. Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. (2021). Plíhal, Tomáš ; Lyócsa, Štefan ; Plihal, Toma ; Lyocsa, Tefan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:71:y:2021:i:c:p:811-829.

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93. Jumps at ultra-high frequency: Evidence from the Chinese stock market. (2021). Liu, Zhi ; Zhang, Chuanhai.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19305402.

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94. Night trading with futures in China: The case of Aluminum and Copper. (2021). Klein, Tony ; Todorova, Neda.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002191.

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95. The role of coronavirus news in the volatility forecasting of crude oil futures markets: Evidence from China. (2021). Niu, Zibo ; Liu, Yuanyuan ; Gao, Wang ; Zhang, Hongwei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001872.

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96. Economic policy uncertainty and gold return dynamics: Evidence from high-frequency data. (2021). Demirer, Riza ; Huang, Wanjun ; Suleman, Muhammad Tahir ; Zhang, Hongwei.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000933.

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97. Are disagreements agreeable? Evidence from information aggregation. (2021). Wang, Liyao ; Li, Jiangyuan ; Huang, Dashan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:141:y:2021:i:1:p:83-101.

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98. Volatility forecasting in European government bond markets. (2021). Ozbekler, Ali Gencay ; Triantafyllou, Athanasios ; Kontonikas, Alexandros.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:4:p:1691-1709.

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99. Stock market volatility forecasting: Do we need high-frequency data?. (2021). Výrost, Tomáš ; Molnár, Peter ; Lyócsa, Štefan ; Vrost, Toma ; Lyocsa, Tefan ; Molnar, Peter.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:37:y:2021:i:3:p:1092-1110.

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100. The uncertainty in extreme risk forecasts from covariate-augmented volatility models. (2021). Hoga, Yannick.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:37:y:2021:i:2:p:675-686.

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101. Realized volatility forecasting: Robustness to measurement errors. (2021). Otranto, Edoardo ; Gallo, Giampiero ; Cipollini, Fabrizio.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:37:y:2021:i:1:p:44-57.

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102. FX market volatility modelling: Can we use low-frequency data?. (2021). Výrost, Tomáš ; Plíhal, Tomáš ; Lyócsa, Štefan ; Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315907.

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103. A note on investor happiness and the predictability of realized volatility of gold. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Bonato, Matteo ; Gkillas, Konstantinos.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303524.

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104. Herding and market volatility. (2021). Liu, Xiaoquan ; Fei, Tianlun.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:78:y:2021:i:c:s105752192100209x.

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105. Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. (2021). Floros, Christos ; Gkillas, Konstantinos ; Konstantatos, Christoforos ; Tsagkanos, Athanasios.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000491.

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106. Modelling the volatility of TOCOM energy futures: A regime switching realised volatility approach. (2021). Marsh, Ian W ; Huang, Chih-Yueh ; Alizadeh, Amir H.
     In: Energy Economics.
     RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319302063.

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107. Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting. (2021). Lee, Chien-Chiang ; Liu, Min.
     In: Energy Economics.
     RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004874.

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108. What drives volatility of the U.S. oil and gas firms?. (2021). Lyócsa, Štefan ; Lyocsa, Tefan ; Todorova, Neda.
     In: Energy Economics.
     RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100270x.

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109. Nonparametric estimation of jump diffusion models. (2021). Park, Joon Y ; Wang, Bin.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:222:y:2021:i:1:p:688-715.

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110. The Observed Asymptotic Variance: Hard edges, and a regression approach. (2021). Mykland, Per A ; Zhang, Lan.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:222:y:2021:i:1:p:411-428.

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111. Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030.

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112. Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Wang, Tianyi ; Huang, Zhuo ; Hansen, Peter ; Tong, Chen.
     In: Papers.
     RePEc:arx:papers:2112.05302.

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113. Pattern recognition in micro-trading behaviors before stock price jumps: A framework based on multivariate time series analysis. (2021). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
     In: Papers.
     RePEc:arx:papers:2011.04939.

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114. The time‐to‐maturity pattern of futures price sensitivity to news. (2020). Phan, Hoàng Long ; Zurbruegg, Ralf.
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:40:y:2020:i:1:p:126-144.

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115. Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments. (2020). Kim, Jihyun ; Park, Joon ; Wang, Bin.
     In: TSE Working Papers.
     RePEc:tse:wpaper:124234.

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116. Directed Acyclic Graph based Information Shares for Price Discovery. (2020). Zema, Sebastiano Michele.
     In: LEM Papers Series.
     RePEc:ssa:lemwps:2020/28.

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117. Realized volatility and jump testing in the Japanese electricity spot market. (2020). Zarraga, Ainhoa ; Muniain, Peru ; Ciarreta, Aitor.
     In: Empirical Economics.
     RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1577-6.

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118. Greek sovereign crisis and European exchange rates: effects of news releases and their providers. (2020). VORTELINOS, DIMITRIOS ; Floros, Christos ; Sariannidis, Nikolaos ; Gkillas, Konstantinos ; Garefalakis, Alexandros.
     In: Annals of Operations Research.
     RePEc:spr:annopr:v:294:y:2020:i:1:d:10.1007_s10479-019-03199-x.

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119. A Note on Oil Price Shocks and the Forecastability of Gold Realized Volatility. (2020). Shahzad, Syed Jawad Hussain ; Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad.
     In: Working Papers.
     RePEc:pre:wpaper:202010.

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120. Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Bonato, Matteo ; Gkillas, Konstantinos.
     In: Working Papers.
     RePEc:pre:wpaper:202009.

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121. A Note on Investor Happiness and the Predictability of Realized Volatility of Gold. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Bonato, Matteo ; Gkillas, Konstantinos.
     In: Working Papers.
     RePEc:pre:wpaper:202004.

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122. Forecasting Realized Volatility of Bitcoin: The Role of the Trade War. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Bouri, Elie ; Gkillas, Konstantinos.
     In: Working Papers.
     RePEc:pre:wpaper:202003.

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123. Oil price assumptions for macroeconomic policy. (2020). Filis, George ; Degiannakis, Stavros.
     In: MPRA Paper.
     RePEc:pra:mprapa:100705.

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124. High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
     In: Monash Econometrics and Business Statistics Working Papers.
     RePEc:msh:ebswps:2020-3.

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125. Oil shocks and volatility jumps. (2020). Wohar, Mark ; GUPTA, RANGAN ; Gkillas, Konstantinos.
     In: Review of Quantitative Finance and Accounting.
     RePEc:kap:rqfnac:v:54:y:2020:i:1:d:10.1007_s11156-018-00788-y.

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126. Optimal Filter Approximations for Latent Long Memory Stochastic Volatility. (2020). Ching, Grace Lee.
     In: Computational Economics.
     RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09933-8.

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127. The contribution of intraday jumps to forecasting the density of returns. (2020). Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
     In: Post-Print.
     RePEc:hal:journl:halshs-02505861.

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128. A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market. (2020). Aziz, Saqib ; Aslam, Faheem ; Mohmand, Yasir Tariq ; Ouenniche, Jamal.
     In: Post-Print.
     RePEc:hal:journl:hal-03160685.

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129. Volatility estimation and jump detection for drift–diffusion processes. (2020). Shi, Shuping ; Laurent, Sébastien.
     In: Post-Print.
     RePEc:hal:journl:hal-02909690.

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130. The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe.
     In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
     RePEc:hal:cesptp:halshs-02505861.

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131. Investor Happiness and Predictability of the Realized Volatility of Oil Price. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Bonato, Matteo ; Gkillas, Konstantinos.
     In: Sustainability.
     RePEc:gam:jsusta:v:12:y:2020:i:10:p:4309-:d:362539.

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132. Risk Appetite and Jumps in Realized Correlation. (2020). Demirer, Riza ; Gkillas, Konstantinos ; Kountzakis, Christos ; Mavragani, Amaryllis.
     In: Mathematics.
     RePEc:gam:jmathe:v:8:y:2020:i:12:p:2255-:d:465632.

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133. Volatility Transmission across Financial Markets: A Semiparametric Analysis. (2020). Sibbertsen, Philipp ; Kolaiti, Theoplasti ; Mboya, Mwasi.
     In: JRFM.
     RePEc:gam:jjrfmx:v:13:y:2020:i:8:p:160-:d:389105.

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134. Realized Measures to Explain Volatility Changes over Time. (2020). Floros, Christos ; Gkillas, Konstantinos ; Konstantatos, Christoforos ; Tsagkanos, Athanasios.
     In: JRFM.
     RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:125-:d:371152.

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135. Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets. (2020). Gao, Yang ; Sun, Bianxia.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318539.

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136. The predictive power of oil price shocks on realized volatility of oil: A note. (2020). Shahzad, Syed Jawad Hussain ; Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad.
     In: Resources Policy.
     RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308874.

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137. Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:104:y:2020:i:c:s0261560619300075.

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138. Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?. (2020). Lyócsa, Štefan ; Todorova, Neda.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:36:y:2020:i:2:p:628-645.

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139. The impact of sentiment and attention measures on stock market volatility. (2020). Ballinari, Daniele ; Audrino, Francesco ; Sigrist, Fabio.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:36:y:2020:i:2:p:334-357.

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140. Non-parametric quantile dependencies between volatility discontinuities and political risk. (2020). VORTELINOS, DIMITRIOS ; Vasiliadis, Lavrentios ; Gkillas, Konstantinos ; Boako, Gideon.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318303829.

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141. Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model. (2020). Tiwari, Aviral ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Aye, Goodness C.
     In: Energy Economics.
     RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300876.

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142. Statistical inferences for realized portfolio weights. (2020). Golosnoy, Vasyl ; Schmid, Wolfgang ; Lazariv, Taras ; Seifert, Miriam Isabel.
     In: Econometrics and Statistics.
     RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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143. High-frequency jump tests: Which test should we use?. (2020). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:219:y:2020:i:2:p:478-487.

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144. Volatility estimation and jump detection for drift–diffusion processes. (2020). Shi, Shuping ; Laurent, Sébastien.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:217:y:2020:i:2:p:259-290.

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145. Volatility forecasting accuracy for Bitcoin. (2020). Posch, Peter ; Schmidtke, Philipp ; Kochling, Gerrit.
     In: Economics Letters.
     RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304239.

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146. Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Plíhal, Tomáš ; Molnár, Peter ; Lyócsa, Štefan ; Plihal, Toma ; Molnar, Peter ; Iraova, Maria.
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

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147. The contribution of intraday jumps to forecasting the density of returns. (2020). Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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148. A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market. (2020). Aziz, Saqib ; Mohmand, Yasir Tariq ; Ouenniche, Jamal ; Aslam, Faheem.
     In: Journal of Behavioral and Experimental Finance.
     RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303452.

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149. Cyber-Attacks, Cryptocurrencies, and Cyber Security. (2020). Spagnolo, Fabio ; Caporale, Guglielmo Maria ; Kang, Woo-Young.
     In: CESifo Working Paper Series.
     RePEc:ces:ceswps:_8124.

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150. Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks. (2020). Urquhart, Andrew ; Shen, Dehua ; Wang, Pengfei.
     In: European Financial Management.
     RePEc:bla:eufman:v:26:y:2020:i:5:p:1294-1323.

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151. High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
     In: Papers.
     RePEc:arx:papers:1708.09520.

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152. Night Trading with Futures in China: The Case of Aluminum and Copper. (2019). Klein, Tony ; Todorova, Neda.
     In: QBS Working Paper Series.
     RePEc:zbw:qmsrps:201906.

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153. Forecasting the Realized Variance in the Presence of Intraday Periodicity. (2019). Hizmeri, Rodrigo ; DUMITRU, ANA-MARIA ; Izzeldin, Marwan.
     In: EconStor Preprints.
     RePEc:zbw:esprep:193631.

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154. Estimation of volatility in a high-frequency setting: a short review. (2019). Jacod, Jean.
     In: Decisions in Economics and Finance.
     RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00253-y.

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155. Challenges of integrated variance estimation in emerging stock markets. (2019). Matkovi, Mario ; Arneri, Josip.
     In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics.
     RePEc:rfe:zbefri:v:37:y:2019:i:2:p:713-739.

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156. Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Gkillas, Konstantinos.
     In: Working Papers.
     RePEc:pre:wpaper:201972.

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157. Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Aye, Goodness C.
     In: Working Papers.
     RePEc:pre:wpaper:201918.

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158. Overnight Momentum, Informational Shocks, and Late-Informed Trading in China. (2019). Li, Youwei ; Gao, YA ; Xiong, Xiong ; Han, Xing.
     In: MPRA Paper.
     RePEc:pra:mprapa:96784.

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159. Forecasting Realized Volatility of Agricultural Commodities. (2019). Walther, Thomas ; Filis, George ; Degiannakis, Stavros ; Klein, Tony.
     In: MPRA Paper.
     RePEc:pra:mprapa:96267.

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160. Oil price volatility forecasts: What do investors need to know?. (2019). Filis, George ; Degiannakis, Stavros.
     In: MPRA Paper.
     RePEc:pra:mprapa:94445.

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161. Do High-frequency-based Measures Improve Conditional Covariance Forecasts?. (2019). Dumitrescu, Elena Ivona ; Banulescu-Radu, Denisa.
     In: LEO Working Papers / DR LEO.
     RePEc:leo:wpaper:2709.

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162. Incorporating Realized Quarticity into a Realized Stochastic Volatility Model. (2019). Morimoto, Takayuki ; Nugroho, Didit Budi.
     In: Asia-Pacific Financial Markets.
     RePEc:kap:apfinm:v:26:y:2019:i:4:d:10.1007_s10690-019-09276-2.

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163. Economic News Releases and Financial Markets in South Africa. (2019). VORTELINOS, DIMITRIOS ; Floros, Christos ; Gkillas, Konstantinos ; Tsagkanos, Athanasios.
     In: Economies.
     RePEc:gam:jecomi:v:7:y:2019:i:4:p:112-:d:285205.

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164. Empirical likelihood for high frequency data. (2019). Matsushita, Yukitoshi ; Otsu, Taisuke ; Camponovo, Lorenzo.
     In: LSE Research Online Documents on Economics.
     RePEc:ehl:lserod:100320.

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165. Forecasting the Chinese stock volatility across global stock markets. (2019). Zhang, Yaojie ; Liu, Jing ; Ma, Feng.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:525:y:2019:i:c:p:466-477.

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166. Modeling stock market volatility using new HAR-type models. (2019). Lin, Boqiang ; Gong, XU.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:516:y:2019:i:c:p:194-211.

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167. Cross-sectional return dispersion and volatility prediction. (2019). Liu, Xiaoquan ; Fei, Tianlun ; Wen, Conghua.
     In: Pacific-Basin Finance Journal.
     RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x19301830.

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168. Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market. (2019). DA FONSECA, José ; Ignatieva, Katja.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:99:y:2019:i:c:p:45-62.

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169. Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847.

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170. Central bank announcements and realized volatility of stock markets in G7 countries. (2019). Plíhal, Tomáš ; Molnár, Peter ; Lyócsa, Štefan ; Plihal, Toma ; Lyocsa, Tefan ; Molnar, Peter.
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:58:y:2019:i:c:p:117-135.

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171. The information content of short-term options. (2019). Symeonidis, Lazaros ; Oikonomou, Ioannis ; Simen, Chardin Wese ; Stancu, Andrei.
     In: Journal of Financial Markets.
     RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118303057.

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172. Overnight momentum, informational shocks, and late informed trading in China. (2019). Li, Youwei ; Gao, YA ; Xiong, Xiong ; Han, Xing.
     In: International Review of Financial Analysis.
     RePEc:eee:finana:v:66:y:2019:i:c:s1057521919302741.

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173. Information content of the limit order book for crude oil futures price volatility. (2019). Tian, Xiao ; Kalev, Petko S ; Duong, Huu Nhan.
     In: Energy Economics.
     RePEc:eee:eneeco:v:81:y:2019:i:c:p:584-597.

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174. Unified inference for nonlinear factor models from panels with fixed and large time span. (2019). Andersen, Torben ; Todorov, Viktor ; Varneskov, Rasmus T ; Fusari, Nicola.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:212:y:2019:i:1:p:4-25.

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175. Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:209:y:2019:i:2:p:289-337.

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176. Optimum thresholding using mean and conditional mean squared error. (2019). Figueroa-Lopez, Jose E ; Mancini, Cecilia.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:208:y:2019:i:1:p:179-210.

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177. Firm characteristics and jump dynamics in stock prices around earnings announcements. (2019). Qi, John ; Zhou, Haigang.
     In: The North American Journal of Economics and Finance.
     RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819302980.

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178. Time-varying risk aversion and realized gold volatility. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Gkillas, Konstantinos.
     In: The North American Journal of Economics and Finance.
     RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306399.

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179. Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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180. Cojumps and asset allocation in international equity markets. (2019). Nguyen, Duc Khuong ; AROURI, Mohamed ; Msaddek, Oussama ; Pukthuanthong, Kuntara.
     In: Journal of Economic Dynamics and Control.
     RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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181. 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.

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182. Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon.
     In: Papers.
     RePEc:arx:papers:1709.02502.

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183. Volatility jumps and macroeconomic news announcements. (2018). Gray, Philip ; Chan, Kam F.
     In: Journal of Futures Markets.
     RePEc:wly:jfutmk:v:38:y:2018:i:8:p:881-897.

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184. S&P500 volatility analysis using high-frequency multipower variation volatility proxies. (2018). Chin, CHEONG ; Lee, Min Cherng.
     In: Empirical Economics.
     RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1345-z.

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185. Time-Varying Risk Aversion and Realized Gold Volatility. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza.
     In: Working Papers.
     RePEc:pre:wpaper:201881.

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186. Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos.
     In: Working Papers.
     RePEc:pre:wpaper:201879.

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187. Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements. (2018). Suleman, Tahir ; Lau, Chi Keung ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Marco, Chi Keung.
     In: Working Papers.
     RePEc:pre:wpaper:201871.

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188. Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos.
     In: Working Papers.
     RePEc:pre:wpaper:201825.

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189. Volatility Jumps: The Role of Geopolitical Risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos.
     In: Working Papers.
     RePEc:pre:wpaper:201805.

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190. Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting. (2018). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio.
     In: MPRA Paper.
     RePEc:pra:mprapa:94289.

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191. Cojumps and Asset Allocation in International Equity Markets. (2018). Nguyen, Duc Khuong ; M'SADDEK, Oussama ; AROURI, Mohamed ; Msaddek, Oussama ; el Hedi, Mohamed ; Pukthuanthong, Kuntara.
     In: MPRA Paper.
     RePEc:pra:mprapa:89938.

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192. Time Varying Heteroskedastic Realized GARCH models for tracking measurement error bias in volatility forecasting. (2018). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio.
     In: MPRA Paper.
     RePEc:pra:mprapa:83893.

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193. Testing for Co-jumps in Financial Markets. (2018). Urga, Giovanni ; Novotn, Jan.
     In: Journal of Financial Econometrics.
     RePEc:oup:jfinec:v:16:y:2018:i:1:p:118-128..

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194. Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
     In: Monash Econometrics and Business Statistics Working Papers.
     RePEc:msh:ebswps:2018-17.

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195. Stock Market Contagion: a New Approach. (2018). Lyócsa, Štefan ; Horvath, Roman ; Lyocsa, Tefan.
     In: Open Economies Review.
     RePEc:kap:openec:v:29:y:2018:i:3:d:10.1007_s11079-018-9481-4.

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196. Volatility Estimation and Jump Detection for drift-diffusion Processes. (2018). Shi, Shuping ; Laurent, Sébastien.
     In: Working Papers.
     RePEc:hal:wpaper:halshs-01944449.

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197. Modeling returns volatility: Realized GARCH incorporating realized risk measure. (2018). Li, YE ; Jiang, Wei ; Ruan, Qingsong.
     In: Physica A: Statistical Mechanics and its Applications.
     RePEc:eee:phsmap:v:500:y:2018:i:c:p:249-258.

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198. Volatility jumps: The role of geopolitical risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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199. Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan.
     In: Energy.
     RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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200. Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets. (2018). Duan, Qing Ling ; Niu, Mengyi ; Qu, Hui.
     In: Energy Economics.
     RePEc:eee:eneeco:v:74:y:2018:i:c:p:767-776.

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201. Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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202. Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:206:y:2018:i:1:p:103-142.

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203. Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Chung, Richard ; Todorova, Neda ; Li, Bin ; Omura, Akihiro.
     In: Economic Modelling.
     RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510.

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204. Muddying the waters: Who Induces Volatility in an Emerging Market?. (2018). Agudelo, Diego ; Gencay, Ramazan ; Yepes-Henao, Paula A.
     In: Documentos de Trabajo de Valor Público.
     RePEc:col:000122:016974.

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205. Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon.
     In: Papers.
     RePEc:arx:papers:1701.01185.

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206. Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span. (2018). Andersen, Torben ; Todorov, Viktor ; Varneskov, Rasmus T ; Fusari, Nicola.
     In: CREATES Research Papers.
     RePEc:aah:create:2018-03.

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207. 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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208. Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Forbes, Catherine ; Maneesoonthorn, Worapree ; Martin, Gael M.
     In: Monash Econometrics and Business Statistics Working Papers.
     RePEc:msh:ebswps:2017-14.

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209. The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
     In: Documents de travail du Centre d'Economie de la Sorbonne.
     RePEc:mse:cesdoc:17006.

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210. Volatility forecasting in the Chinese commodity futures market with intraday data. (2017). Jiang, Ying ; Liu, Xiaoquan ; Ahmed, Shamim.
     In: Review of Quantitative Finance and Accounting.
     RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0570-4.

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211. 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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212. Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). DE TRUCHIS, Gilles ; Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; Boucher, Christophe.
     In: Working Papers.
     RePEc:hal:wpaper:hal-04141651.

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213. The contribution of jumps to forecasting the density of returns. (2017). Ielpo, Florian ; Chorro, Christophe ; Sevi, Benoit.
     In: Post-Print.
     RePEc:hal:journl:halshs-01442618.

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214. The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe.
     In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
     RePEc:hal:cesptp:halshs-01442618.

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215. Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility. (2017). Tse, Yiu-Kuen ; Dong, Yingjie.
     In: Econometrics.
     RePEc:gam:jecnmx:v:5:y:2017:i:4:p:51-:d:118613.

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216. Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads. (2017). Rosen, Samuel ; Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W.
     In: International Finance Discussion Papers.
     RePEc:fip:fedgif:1212.

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217. Realised variance forecasting under Box-Cox transformations. (2017). Taylor, Nick.
     In: International Journal of Forecasting.
     RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785.

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218. Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Lyocsa, Tefan ; Molnar, Peter ; Todorova, Neda.
     In: Journal of International Financial Markets, Institutions and Money.
     RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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219. The effect of non-trading days on volatility forecasts in equity markets. (2017). Molnár, Peter ; Lyócsa, Štefan ; Lyocsa, Tefan ; Molnar, Peter.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:23:y:2017:i:c:p:39-49.

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220. Identifying events in financial time series – A new approach with bipower variation. (2017). Andor, Gyorgy ; Bohak, Andras .
     In: Finance Research Letters.
     RePEc:eee:finlet:v:22:y:2017:i:c:p:42-48.

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221. Chasing volatility. (2017). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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222. Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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223. Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:197:y:2017:i:1:p:20-41.

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224. Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Zheng, Tingguo ; Li, Shaoyu.
     In: The North American Journal of Economics and Finance.
     RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

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225. Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe.
     In: EconomiX Working Papers.
     RePEc:drm:wpaper:2017-20.

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226. Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Muniainy, Peru ; Ciarreta, Aitor.
     In: ISER Discussion Paper.
     RePEc:dpr:wpaper:0991.

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227. FUTURES-BASED MEASURES OF MONETARY POLICY AND JUMP RISK. (2017). Inekwe, John ; Nkwoma, Inekwe John .
     In: Macroeconomic Dynamics.
     RePEc:cup:macdyn:v:21:y:2017:i:02:p:384-405_00.

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228. The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets. (2017). LINTON, OLIVER ; Tobek, Ondrej ; Pedace, Lucas ; Crowley-Reidy, Liam ; Noss, Joseph.
     In: Bank of England working papers.
     RePEc:boe:boeewp:0687.

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229. Optimum thresholding using mean and conditional mean square error. (2017). Mancini, Cecilia.
     In: Papers.
     RePEc:arx:papers:1708.04339.

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230. Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
     In: Papers.
     RePEc:arx:papers:1602.05489.

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231. Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Hounyo, Ulrich ; Podolskij, Mark ; Christensen, Kim.
     In: CREATES Research Papers.
     RePEc:aah:create:2017-30.

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232. Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef.
     In: FinMaP-Working Papers.
     RePEc:zbw:fmpwps:55.

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233. MODELING DEPENDENCY OF VOLATILITY ON SAMPLING FREQUENCY VIA DELAY EQUATIONS. (2016). Dokuchaev, Nikolai ; Luong, Chuong.
     In: Annals of Financial Economics (AFE).
     RePEc:wsi:afexxx:v:11:y:2016:i:02:n:s201049521650007x.

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234. Modeling Realized Volatility Dynamics with a Genetic Algorithm. (2016). Ji, Ping ; Qu, Hui.
     In: Journal of Forecasting.
     RePEc:wly:jforec:v:35:y:2016:i:5:p:434-444.

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235. Volatility forecasting of strategically linked commodity ETFs: gold-silver. (2016). Molnár, Peter ; Lyócsa, Štefan ; Molnar, Peter.
     In: Quantitative Finance.
     RePEc:taf:quantf:v:16:y:2016:i:12:p:1809-1822.

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236. Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models. (2016). Medeiros, Marcelo ; Hillebrand, Eric.
     In: Journal of Business & Economic Statistics.
     RePEc:taf:jnlbes:v:34:y:2016:i:1:p:23-41.

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237. Heterogeneous Market Hypothesis Evaluations using Various Jump-Robust Realized Volatility. (2016). Chin, CHEONG ; Cherng, Lee Min ; Ching, Grace Lee ; Cheong, Chin Wen.
     In: Journal for Economic Forecasting.
     RePEc:rjr:romjef:v::y:2016:i:4:p:50-64.

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238. Forecasting Daily Stock Volatility Using GARCH-CJ Type Models with Continuous and Jump Variation. (2016). Zouhayr, Otman ; Hamzaoui, Moustapha ; Bousalam, Issam.
     In: MPRA Paper.
     RePEc:pra:mprapa:69636.

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239. Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities. (2016). DE TRUCHIS, Gilles ; ALOY, Marcel.
     In: Computational Economics.
     RePEc:kap:compec:v:48:y:2016:i:1:d:10.1007_s10614-015-9531-6.

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240. Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News. (2016). Scaillet, Olivier ; Bajgrowicz, Pierre ; Treccani, Adrien.
     In: Management Science.
     RePEc:inm:ormnsc:v:62:y:2016:i:8:p:2198-2217.

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241. Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets. (2016). Kim, Donggyu ; Wang, Yazhen ; Zhang, Xin.
     In: Econometrics.
     RePEc:gam:jecnmx:v:4:y:2016:i:3:p:34-:d:76033.

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242. 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.

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243. Forecasting stock market volatility using Realized GARCH model: International evidence. (2016). Sharma, Prateek.
     In: The Quarterly Review of Economics and Finance.
     RePEc:eee:quaeco:v:59:y:2016:i:c:p:222-230.

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244. Bootstrap prediction in univariate volatility models with leverage effect. (2016). Trucíos, Carlos ; Hotta, Luiz ; Trucios, Carlos.
     In: Mathematics and Computers in Simulation (MATCOM).
     RePEc:eee:matcom:v:120:y:2016:i:c:p:91-103.

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245. Common trends in global volatility. (2016). Hurn, Stan ; Clements, Adam ; Volkov, V V.
     In: Journal of International Money and Finance.
     RePEc:eee:jimfin:v:67:y:2016:i:c:p:194-214.

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246. Price and volatility co-jumps. (2016). Renò, Roberto ; Reno, R ; Bandi, F M.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:119:y:2016:i:1:p:107-146.

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247. Asymmetric information, volatility components and the volume–volatility relationship for the CAC40 stocks. (2016). Slim, Skander ; Dahmene, Meriam.
     In: Global Finance Journal.
     RePEc:eee:glofin:v:29:y:2016:i:c:p:70-84.

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248. The impact of political risk on return, volatility and discontinuity: Evidence from the international stock and foreign exchange markets. (2016). Saha, Shrabani ; Vortelinos, Dimitrios I.
     In: Finance Research Letters.
     RePEc:eee:finlet:v:17:y:2016:i:c:p:222-226.

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249. On the relationship between conditional jump intensity and diffusive volatility. (2016). Li, Gang ; Zhang, Chu.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:37:y:2016:i:c:p:196-213.

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250. Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef.
     In: European Journal of Operational Research.
     RePEc:eee:ejores:v:251:y:2016:i:1:p:329-340.

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251. 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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252. Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
     In: Journal of Econometrics.
     RePEc:eee:econom:v:192:y:2016:i:1:p:1-18.

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253. VOLATILITY ESTIMATORS WITH HIGH-FREQUENCY DATA FROM BUCHAREST STOCK EXCHANGE. (2016). Damian, Virgil ; Cepoi, Cosmin Octavian.
     In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH.
     RePEc:cys:ecocyb:v:50:y:2016:i:3:p:247-264.

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254. Bootstrapping high-frequency jump tests. (2016). Goncalves, Silvia ; Dovonon, Prosper ; Hounyo, Ulrich ; Gonalves, Silvia ; Meddahi, Nour.
     In: CIRANO Working Papers.
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255. Time-Varying Crash Risk: The Role of Stock Market Liquidity. (2016). Feunou, Bruno ; Jeon, Yoontae ; Christoffersen, Peter ; Ornthanalai, Chayawat.
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256. Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach. (2016). Hounyo, Ulrich ; Podolskij, Mark ; Christensen, Kim.
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257. Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
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258. Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T.
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259. Long memory through marginalization of large systems and hidden cross-section dependence. (2015). Laurent, Sébastien ; Hecq, Alain ; Chevillon, Guillaume.
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260. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). Asai, Manabu ; McAleer, Michael.
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261. News, volatility and jumps: the case of natural gas futures. (2015). Borovkova, Svetlana ; Mahakena, Diego .
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     RePEc:taf:quantf:v:15:y:2015:i:7:p:1217-1242.

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262. Sovereign Default Analysis through Extreme Events Identification. (2015). Marica, Vasile George ; Anghel, Lucian Claudiu.
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     RePEc:nup:jrmdke:v:3:y:2015:i:2:p:339-353.

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263. FloGARCH : Realizing long memory and asymmetries in returns volatility. (2015). Vander Elst, Harry.
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264. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence. (2015). Laurent, Sébastien ; Hecq, Alain ; Chevillon, Guillaume.
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265. Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method. (2015). Mykland, Per A. ; Jacod, Jean.
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     RePEc:eee:spapps:v:125:y:2015:i:8:p:2910-2936.

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266. Evaluating the performance of futures hedging using multivariate realized volatility. (2015). Watanabe, Toshiaki ; Ubukata, Masato.
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     RePEc:eee:jjieco:v:38:y:2015:i:c:p:148-171.

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267. Does realized skewness predict the cross-section of equity returns?. (2015). Jacobs, Kris ; Amaya, Diego ; Vasquez, Aurelio.
     In: Journal of Financial Economics.
     RePEc:eee:jfinec:v:118:y:2015:i:1:p:135-167.

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268. Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data. (2015). Fengler, Matthias ; Audrino, Francesco.
     In: Journal of Banking & Finance.
     RePEc:eee:jbfina:v:61:y:2015:i:c:p:46-63.

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269. The economic value of volatility timing with realized jumps. (2015). Nolte, Ingmar ; Xu, QI.
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     RePEc:eee:empfin:v:34:y:2015:i:c:p:45-59.

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270. Two-step estimation of the volatility functions in diffusion models with empirical applications. (2015). Zhao, Yan-Yong ; Ye, Xu-Guo ; Lin, Jin-Guan.
     In: Journal of Empirical Finance.
     RePEc:eee:empfin:v:33:y:2015:i:c:p:135-159.

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271. Volatility transmission in global financial markets. (2015). Hurn, Stan ; Clements, Adam ; Volkov, V. V..
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     RePEc:eee:empfin:v:32:y:2015:i:c:p:3-18.

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272. Specification and structural break tests for additive models with applications to realized variance data. (2015). Fengler, Matthias ; Vogt, M ; Mammen, E.
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     RePEc:eee:econom:v:188:y:2015:i:1:p:196-218.

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273. 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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274. A martingale decomposition of discrete Markov chains. (2015). Hansen, Peter.
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     RePEc:eee:ecolet:v:133:y:2015:i:c:p:14-18.

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275. The course of realized volatility in the LME non-ferrous metal market. (2015). Todorova, Neda.
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276. Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps. (2015). Sévi, Benoît ; Sevi, Benoit.
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     RePEc:eee:ecmode:v:44:y:2015:i:c:p:243-251.

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277. FloGARCH: Realizing Long Memory and Asymmetries in Returns Valitility. (2015). Vander Elst, Harry.
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278. Forecasting gains of robust realized variance estimators: evidence from European stock markets. (2015). Sharma, Prateek.
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279. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence. (2015). Laurent, Sébastien ; Hecq, Alain ; Chevillon, Guillaume.
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280. Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk. (2015). Trucíos, Carlos ; Ruiz, Esther ; Hotta, Luiz ; Trucos, Carlos.
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281. Modeling and forecasting exchange rate volatility in time-frequency domain. (2015). Vacha, Lukas ; Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef.
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282. Inference from high-frequency data: A subsampling approach. (2015). Veliyev, Bezirgen ; Christensen, Kim ; Thamrongrat, Nopporn ; Podolskij, Mark.
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283. A Martingale Decomposition of Discrete Markov Chains. (2015). Hansen, Peter.
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284. Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. (2015). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
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285. Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility. (2014). Baruník, Jozef ; Ike, Filip.
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286. A Realized Stochastic Volatility Model With Box-Cox Transformation. (2014). Zheng, Tingguo ; Song, Tao.
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287. Cenové skoky během finanční nejistoty: od intuice k regulační perspektivě. (2014). Novotny, Jan ; Hanousek, Jan.
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288. Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps. (2014). Sévi, Benoît ; Sevi, Benoit.
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289. Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Sevi, Benoit.
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290. Forecasting the volatility of crude oil futures using intraday data. (2014). ben Ali, Chiraz ; Lesage, Cedric.
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291. System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies. (2014). Gnabo, Jean-Yves ; Hvozdyk, Lyudmyla ; Lahaye, Jerome.
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292. Fact or friction: Jumps at ultra high frequency. (2014). Christensen, Kim ; Oomen, Roel C. A., ; Podolskij, Mark.
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     RePEc:eee:jfinec:v:114:y:2014:i:3:p:576-599.

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293. Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks. (2014). PETITJEAN, Mikael ; Boudt, Kris.
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294. Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Sevi, Benoit.
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295. Forecasting gains of robust realized variance estimators: evidence from European stock markets. (2014). Sharma, Swati.
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296. Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Vander Elst, Harry ; Veredas, David.
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297. Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Elst, Harry Vander ; Veredas, David.
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298. Pricing Nikkei 225 Options Using Realized Volatility. (2014). Watanabe, Toshiaki ; Ubukata, Masato.
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299. Indirect inference with time series observed with error. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo.
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300. Price Jumps on European Stock Markets. (2013). Novotny, Jan ; Kočenda, Evžen ; Hanousek, Jan ; Koenda, Even.
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301. Pricing Nikkei 225 Options Using Realized Volatility. (2013). Watanabe, Toshiaki ; Ubukata, Masato.
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302. Financial Risk Measurement for Financial Risk Management. (2013). Andersen, Torben G ; Bollerslev, Tim ; Christoffersen, Peter F ; Diebold, Francis X.
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303. Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships. (2013). Jacquier, Eric ; Okou, Cedric.
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304. A new look at variance estimation based on low, high and closing prices taking into account the drift. (2013). Fiszeder, Piotr ; Perczak, Grzegorz .
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305. Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility. (2013). Baruník, Jozef ; Zikes, Filip.
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306. Empirical bias in intraday volatility measures. (2012). Sévi, Benoît ; Ielpo, Florian ; Fang, Yan.
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307. On the volatility–volume relationship in energy futures markets using intraday data. (2012). Sévi, Benoît ; Chevallier, Julien.
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308. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Christoffersen, Peter F..
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309. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Christoffersen, Peter F..
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2. Bayesian Dynamic Modeling of High-Frequency Integer Price Changes. (2018). Koopman, Siem Jan ; Barra, Istvan.
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7. A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin.
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10. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). Asai, Manabu ; McAleer, Michael.
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17. CAPM with fuzzy returns and hypothesis testing. (2014). SADEFO KAMDEM, Jules ; Moussa, Mbairadjim A. ; Terraza, M. ; Shapiro, A. F..
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    RePEc:eee:insuma:v:55:y:2014:i:c:p:40-57.

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18. A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data. (2014). Tang, Cheng Yong ; Liu, Cheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:180:y:2014:i:2:p:217-232.

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19. Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns. (2014). SADEFO KAMDEM, Jules ; Moussa, Mbairadjim A. ; Terraza, M..
    In: Economic Modelling.
    RePEc:eee:ecmode:v:39:y:2014:i:c:p:247-256.

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20. Extended stochastic volatility models incorporating realised measures. (2014). de Jongh, P. J. ; Venter, J. H..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:687-707.

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21. Modeling CAC40 Volatility Using Ultra-high Frequency Data. (2013). Floros, Christos ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80445.

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22. Econometrics of co-jumps in high-frequency data with noise. (2013). Bibinger, Markus ; Winkelmann, Lars.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-021.

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23. Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing. (2013). Mykland, Per A. ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
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24. Adaptive Realized Kernels. (2013). Kotchoni, Rachidi ; Carrasco, Marine.
    In: Working Papers.
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25. Some limit theorems for Hawkes processes and application to financial statistics. (2013). Hoffmann, Marc ; Delattre, S. ; Muzy, J. F. ; Bacry, E..
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:7:p:2475-2499.

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26. Modeling CAC40 volatility using ultra-high frequency data. (2013). Floros, Christos ; Degiannakis, Stavros.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:28:y:2013:i:c:p:68-81.

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27. Macroeconomic determinants of stock volatility and volatility premiums. (2013). Mele, Antonio ; Corradi, Valentina ; Distaso, Walter.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:2:p:203-220.

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28. The leverage effect puzzle: Disentangling sources of bias at high frequency. (2013). Fan, Jianqing ; Ait-Sahalia, Yacine.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:1:p:224-249.

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29. Volatility and Liquidity Costs. (2013). Chaker, Selma.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-29.

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30. Financial Risk Measurement for Financial Risk Management. (2012). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18084.

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31. Capital asset pricing model with fuzzy returns and hypothesis testing. (2012). SADEFO KAMDEM, Jules ; Terraza, Michel ; Shapiro, Arnold F. ; Moussa, Alfred Mbairadjim.
    In: Working Papers.
    RePEc:lam:wpaper:12-33.

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32. An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory. (2012). Bibinger, Markus.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:122:y:2012:i:6:p:2411-2453.

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33. International market links and volatility transmission. (2012). Fernandes, Marcelo ; Corradi, Valentina ; Distaso, Walter.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:1:p:117-141.

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34. Jump-robust volatility estimation using nearest neighbor truncation. (2012). Andersen, Torben ; Schaumburg, Ernst ; Dobrev, Dobrislav.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:169:y:2012:i:1:p:75-93.

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35. Jumps in equilibrium prices and market microstructure noise. (2012). Lee, Suzanne S. ; Mykland, Per A..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:168:y:2012:i:2:p:396-406.

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36. On the estimation of integrated covariance matrices of high dimensional diffusion processes. (2012). Li, Yingying ; Zheng, Xinghua.
    In: Papers.
    RePEc:arx:papers:1005.1862.

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37. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data. (2012). Ait-Sahalia, Yacine ; Yacine Aït-Sahalia, ; Jacod, Jean.
    In: Journal of Economic Literature.
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38. Predictive Inference for Integrated Volatility. (2011). Swanson, Norman ; Distaso, Walter ; Corradi, Valentina.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201109.

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39. On the Approximate Maximum Likelihood Estimation for Diffusion Processes. (2011). Chen, Song Xi ; Chang, Jinyuan.
    In: MPRA Paper.
    RePEc:pra:mprapa:46279.

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40. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Christoffersen, Peter F..
    In: PIER Working Paper Archive.
    RePEc:pen:papers:11-037.

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41. The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency. (2011). Fan, Jianqing ; Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17592.

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42. Subsampling high frequency data. (2011). Kalnina, Ilze.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:262-283.

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43. Estimating covariation: Epps effect, microstructure noise. (2011). Zhang, Lan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:33-47.

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44. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Christoffersen, Peter F..
    In: CREATES Research Papers.
    RePEc:aah:create:2011-37.

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45. Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices. (2011). Varneskov, Rasmus Tangsgaard.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-35.

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46. Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise. (2011). Varneskov, Rasmus Tangsgaard.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-31.

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47. Detecting jumps from Lévy jump diffusion processes. (2010). Lee, Suzanne S. ; Hannig, Jan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:96:y:2010:i:2:p:271-290.

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48. Bayesian analysis of structural credit risk models with microstructure noises. (2010). Yu, Jun ; Huang, Shirley J..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:11:p:2259-2272.

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49. Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises. (2009). Yu, Jun ; Huang, Shirley J..
    In: Finance Working Papers.
    RePEc:eab:financ:23054.

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50. .

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