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Realized Semicovariances. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J.
In: Econometrica.
RePEc:wly:emetrp:v:88:y:2020:i:4:p:1515-1551.

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Cited: 21

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Cites: 67

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  18. Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea.
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  19. Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie.
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    RePEc:wly:jfutmk:v:40:y:2020:i:8:p:1212-1230.

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  26. Realized Semicovariances. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J.
    In: Econometrica.
    RePEc:wly:emetrp:v:88:y:2020:i:4:p:1515-1551.

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  27. A Multivariate GARCH-Jump Mixture Model. (2020). Maheu, John ; Li, Chenxing.
    In: MPRA Paper.
    RePEc:pra:mprapa:104770.

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  28. The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News. (2020). Jin, Jianjian ; Ellwanger, Reinhard ; Alquist, Ron.
    In: Staff Working Papers.
    RePEc:bca:bocawp:20-8.

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  29. Portfolio Risk Measurement Using a Mixture Simulation Approach. (2020). Sharifi, Azin ; Sina, Seyed Mohammad ; Arian, Hamidreza.
    In: Papers.
    RePEc:arx:papers:2011.07994.

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  30. Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio. (2020). Roberts, Stephen ; Zohren, Stefan ; Lim, Bryan.
    In: Papers.
    RePEc:arx:papers:2002.02008.

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  31. A Hausman test for the presence of market microstructure noise in high frequency data. (2019). Xiu, Dacheng ; Ait-Sahalia, Yacine.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:211:y:2019:i:1:p:176-205.

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

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  33. Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles.
    In: MPRA Paper.
    RePEc:pra:mprapa:90437.

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

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  35. Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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  36. Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles.
    In: Papers.
    RePEc:arx:papers:1804.07978.

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  37. Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations. (2017). Liu, Zhi.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0325-7.

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  38. Entropy measure of credit risk in highly correlated markets. (2017). Gottschalk, Sylvia .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:478:y:2017:i:c:p:11-19.

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  39. Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Shephard, Neil ; Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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  40. Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

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  41. International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns. (2016). Solnik, Bruno ; Watewai, Thaisiri .
    In: PIER Discussion Papers.
    RePEc:pui:dpaper:31..

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  42. International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns. (2016). Watewai, Thaisiri ; Solnik, Bruno.
    In: PIER Discussion Papers.
    RePEc:pui:dpaper:31.

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  43. Sparse PCA-based on high-dimensional Itô processes with measurement errors. (2016). Wang, Yazhen ; Kim, Donggyu.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:152:y:2016:i:c:p:172-189.

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