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Do high-frequency measures of volatility improve forecasts of return distributions?. (2011). McCurdy, Thomas ; Maheu, John.
In: Journal of Econometrics.
RePEc:eee:econom:v:160:y:2011:i:1:p:69-76.

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  1. Information content of option prices: Comparing analyst forecasts to option-based forecasts. (2024). Sanford, Anthony.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001220.

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  2. A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern.
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  3. The global latent factor and international index futures returns predictability. (2022). Chang, Shulien ; Lee, Hsiuchuan ; Lien, Donald.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:41:y:2022:i:3:p:514-538.

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  4. Forecasting crude oil market returns: Enhanced moving average technical indicators. (2022). Zhang, Yaojie ; Wang, Yudong ; Liu, LI ; Wen, Danyan.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000216.

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  5. Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing. (2021). Çakmaklı, Cem ; Ozturk, Verda.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
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  6. Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China. (2021). Bao, Weiwei ; Chen, Rongda ; Jin, Chenglu.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:75:y:2021:i:c:p:112-129.

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  7. Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism. (2021). Zhang, Yaojie ; Wang, Yudong ; Wen, Danyan.
    In: Economic Modelling.
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  8. 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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  9. 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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  10. Does Bitcoin still own the dominant power? An intraday analysis. (2020). Wang, Jinghua ; Ngene, Geoffrey M.
    In: International Review of Financial Analysis.
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  11. 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.
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  12. 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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  13. Do Jumps and Co-jumps Improve Volatility Forecasting of Oil and Currency Markets?. (2019). JAWADI, Fredj ; Ftiti, Zied ; Louhichi, Wal ; ben Ameur, Hachmi.
    In: The Energy Journal.
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  14. Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect. (2019). Gong, XU ; Zhang, Hongwei ; Yang, Cai.
    In: Resources Policy.
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  15. High frequency volatility co-movements in cryptocurrency markets. (2019). lucey, brian ; Corbet, Shaen ; Katsiampa, Paraskevi.
    In: Journal of International Financial Markets, Institutions and Money.
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  16. Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?. (2019). Ftiti, Zied ; Hadhri, Sinda.
    In: Economic Systems.
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  17. 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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  18. Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis. (2018). Maheu, John ; Jensen, Mark.
    In: JRFM.
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  19. An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W.
    In: International Journal of Forecasting.
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  20. Testing for leverage effects in the returns of US equities. (2018). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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  21. Construction and visualization of optimal confidence sets for frequentist distributional forecasts. (2017). Poskitt, Donald ; Perera, Indeewara ; Martin, Gael M ; Harris, David.
    In: Monash Econometrics and Business Statistics Working Papers.
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  22. 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.
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  23. Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
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  24. 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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  25. Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe.
    In: Post-Print.
    RePEc:hal:journl:halshs-00973922.

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  26. 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).
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  27. Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00973922.

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  28. Does realized volatility help bond yield density prediction?. (2017). Zhong, Molin ; Shin, Minchul.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

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  29. Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Ñíguez Grau, Trino ; Iguez, Trino-Manuel.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

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  30. A semiparametric nonlinear quantile regression model for financial returns. (2017). Baruník, Jozef ; Avdulaj, Krenar ; Jozef, Barunik ; Krenar, Avdulaj .
    In: Studies in Nonlinear Dynamics & Econometrics.
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  31. Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM. (2016). Otranto, Edoardo ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
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  32. Disagreement versus uncertainty: Evidence from distribution forecasts. (2016). Nolte, Ingmar ; Kruger, Fabian.
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  33. Intraday volatility interaction between the crude oil and equity markets. (2016). Sharma, Susan ; Phan, Dinh ; Narayan, Paresh ; Bach, Dinh Hoang.
    In: Journal of International Financial Markets, Institutions and Money.
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  34. Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach. (2016). Bekiros, Stelios ; Boubaker, Sabri ; Avdoulas, Christos.
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  35. Does the vector error correction model perform better than others in forecasting stock price? An application of residual income valuation theory. (2016). Kuo, Chen-Yin.
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  36. Managing risk with a realized copula parameter. (2016). Okhrin, Ostap ; Fengler, Matthias.
    In: Computational Statistics & Data Analysis.
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  37. Economic benefits and determinants of extreme dependences between REIT and stock returns. (2015). Huang, Meichi ; Wu, Chih-Chiang.
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  38. Volatility Forecast in Crises and Expansions. (2015). Pypko, Sergii.
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  39. High-Dimensional Copula-Based Distributions with Mixed Frequency Data. (2015). Patton, Andrew ; Oh, Dong Hwan.
    In: Finance and Economics Discussion Series.
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  40. Does Realized Volatility Help Bond Yield Density Prediction?. (2015). Zhong, Molin ; Shin, Minchul.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2015-115.

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  41. A variance spillover analysis without covariances: What do we miss?. (2015). Fengler, Matthias ; Gisler, Katja I. M., .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:51:y:2015:i:c:p:174-195.

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  42. Is volatility clustering of asset returns asymmetric?. (2015). Xu, Dinghai ; Ning, Cathy ; Wirjanto, Tony S..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:52:y:2015:i:c:p:62-76.

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  43. The information content of option-implied information for volatility forecasting with investor sentiment. (2015). Seo, Sung Won ; Kim, Junsik.
    In: Journal of Banking & Finance.
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  44. Forecasting realized volatility with changing average levels. (2015). Otranto, Edoardo ; Gallo, Giampiero.
    In: International Journal of Forecasting.
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  45. Global information distribution in the gold OTC markets. (2015). Wang, Jianxin ; Lee, Adrian.
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  46. Does data frequency matter for the impact of forward premium on spot exchange rate?. (2015). Sharma, Susan ; Narayan, Paresh.
    In: International Review of Financial Analysis.
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  49. Is Volatility Clustering of Asset Returns Asymmetric?. (2014). Xu, Dinghai ; Ning, Cathy ; Wirjanto, Tony.
    In: Working Papers.
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  50. Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis. (2014). Maheu, John ; Jensen, Mark.
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  51. Testing for Leverage Effect in Financial Returns. (2014). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
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  52. Liquidity and the Value at Risk. (2014). Grossmass, Lidan ; Groma, Lidan .
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  53. Forecasting the density of oil futures. (2014). Ielpo, Florian ; Sevi, Benoit.
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  54. Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Sevi, Benoit.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-53.

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  55. Forecasting the volatility of crude oil futures using intraday data. (2014). ben Ali, Chiraz ; Lesage, Cedric.
    In: Working Papers.
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  56. Forecasting Realized Volatility with Changes of Regimes. (2014). Otranto, Edoardo ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2014_03.

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  57. Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis. (2014). Maheu, John ; Jensen, Mark.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2014-06.

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  58. Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Sevi, Benoit.
    In: European Journal of Operational Research.
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  59. Realized stochastic volatility with leverage and long memory. (2014). Omori, Yasuhiro ; Hizu, Takayuki ; Shirota, Shinichiro.
    In: Computational Statistics & Data Analysis.
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  60. Factor Structure in Commodity Futures Return and Volatility. (2014). Christoffersen, Peter ; Olesen, Kasper V. ; Lunde, Asger.
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  61. Volatility jumps and their economic determinants. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano.
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  62. Realized Stochastic Volatility with Leverage and Long Memory. (2013). Omori, Yasuhiro ; Hizu, Takayuki ; Shirota, Shinichiro.
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  63. Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis. (2013). Maheu, John ; Jensen, Mark.
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  64. Does realized volatility help bond yield density prediction?. (2013). Zhong, Molin ; Shin, Minchul.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:13-064.

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  65. Liquidity commonality among Asian equity markets. (2013). Wang, Jianxin.
    In: Pacific-Basin Finance Journal.
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  66. Realizing smiles: Options pricing with realized volatility. (2013). Corsi, Fulvio ; Fusari, Nicola ; la Vecchia, Davide.
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  67. Forecasting the return distribution using high-frequency volatility measures. (2013). Hua, Jian ; Manzan, Sebastiano.
    In: Journal of Banking & Finance.
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  68. Financial Risk Measurement for Financial Risk Management. (2013). Andersen, Torben G ; Bollerslev, Tim ; Christoffersen, Peter F ; Diebold, Francis X.
    In: Handbook of the Economics of Finance.
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  69. Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach. (2013). Soucek, Michael ; Todorova, Neda ; Souek, Michael .
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  70. Realized stochastic volatility with leverage and long memory. (2012). Omori, Yasuhiro ; Hizu, Takayuki ; Shirota, Shinichiro.
    In: CIRJE F-Series.
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  71. Financial Risk Measurement for Financial Risk Management. (2012). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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  72. A wavelet based investigation of long memory in stock returns. (2012). Tan, Pei Pei ; Maharaj, Elizabeth ; Galagedera, Don ; Galagedera, Don U. A., .
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  73. Intraday dynamics of volatility and duration: Evidence from Chinese stocks. (2012). Maheu, John ; Liu, Chun.
    In: Pacific-Basin Finance Journal.
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  74. Impact of macroeconomic news on metal futures. (2012). Miao, Hong ; Elder, John ; Ramchander, Sanjay.
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  75. Empirical bias in intraday volatility measures. (2012). Sévi, Benoît ; Ielpo, Florian ; Fang, Yan.
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  76. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Christoffersen, Peter F..
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  77. The Number of Regimes Across Asset Returns: Identification and Economic Value. (2011). Gatumel, Mathieu ; Ielpo, Florian.
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  78. The Number of Regimes Across Asset Returns: Identification and Economic Value. (2011). Ielpo, Florian ; Gatumel, Mathieu.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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  79. Do jumps help in forecasting the density of returns?. (2011). Chevallier, Julien ; Ielpo, Florian ; Sevi, Benoit.
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  80. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Christoffersen, Peter F..
    In: CREATES Research Papers.
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  16. Barndorff-Nielsen, O.E. ; Shephard, N. Variation, jumps and high frequency data in financial econometrics. 2007 En : Blundell, R. ; Persson, T. ; Newey, W.K. Advances in Economics and Econometrics. Theory and Applications, Ninth World Congress. Cambridge University Press:

  17. Bollerslev, T. ; Kretschmer, U. ; Pigorsch, C. ; Tauchen, G. A discrete-time model for daily S&P500 returns and realized variations: jumps and leverage effects. 2009 Journal of Econometrics. 150 151-166

  18. Corsi, F. A simple approximate long memory model of realized volatility. 2009 Journal of Financial Econometrics. 7 174-196

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  20. Ghysels, E. ; Santa-Clara, P. ; Valkanov, R. Predicting volatility: getting the most out of return data sampled at different frequencies. 2006 Journal of Econometrics. 131 445-475

  21. Ghysels, E. ; Santa-Clara, P. ; Valkanov, R. There is a risk-return tradeoff after all. 2005 Journal of Financial Economics. 76 509-548
    Paper not yet in RePEc: Add citation now
  22. Ghysels, E., Sinko, A., 2006. Volatility forecasting and microstructure noise. Manuscript, Department of Economics, University of North Carolina.
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  23. Giot, P. ; Laurent, S. Modelling daily value-at-risk using realized volatility and ARCH models. 2004 Journal of Empirical Finance. 11 379-398

  24. Hansen, P.R. ; Lunde, A. Realized variance and market microstructure noise. 2006 Journal of Business & Economic Statistics. 24 127-161

  25. Koopman, S.J. ; Jungbacker, B. ; Hol, E. Forecasting daily variability of the S&P 100 stock index using historical, realised, and implied volatility measurements. 2005 Journal of Empirical Finance. 12 445-475

  26. Liu, C. ; Maheu, J.M. Are there structural breaks in realized volatility?. 2008 Journal of Financial Econometrics. 6 326-360

  27. Maheu, J.M. ; McCurdy, T.H. Components of market risk and return. 2007 Journal of Financial Econometrics. 5 560-590

  28. Maheu, J.M. ; McCurdy, T.H. Nonlinear features of FX realized volatility. 2002 Review of Economics and Statistics. 84 668-681

  29. Martens, M., van Dijk, D., de Pooter, M., 2003. Modeling and forecasting S&P500 volatility: long memory, structural breaks and nonlinearity. Econometric Institute, Erasmus University Rotterdam.
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  30. Meddahi, N. A theoretical comparison between integrated and realized volatility. 2002 Journal of Applied Econometrics. 17 479-508

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  34. Taylor, S. ; Xu, X. The incremental information in one million foreign exchange quotations. 1997 Journal of Empirical Finance. 4 317-340

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  36. Zhang, L. Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach. 2006 Bernoulli. 12 1019-1043
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  37. Zhang, L. ; Mykland, P.A. ; Aït-Sahalia, Y. A tale of two time scales: determining integrated volatility with noisy high-frequency data. 2005 Journal of the American Statistical Association. 100 1394-1411

  38. Zhou, B. High-frequency data and volatility in foreign exchange rates. 1996 Journal of Business & Economic Statistics. 14 45-52

Cocites

Documents in RePEc which have cited the same bibliography

  1. Understanding jumps in high frequency digital asset markets. (2021). Härdle, Wolfgang ; Nagy, Odett ; Saef, Danial ; Hardle, Wolfgang ; Sizov, Sergej.
    In: IRTG 1792 Discussion Papers.
    RePEc:zbw:irtgdp:2021019.

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  2. The one-trading-day-ahead forecast errors of intra-day realized volatility. (2016). Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80163.

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  3. Asymmetric Realized Volatility Risk. (2014). Allen, David ; McAleer, Michael ; Scharth, and Marcel .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140075.

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  4. Asymmetric Realized Volatility Risk. (2014). Scharth, Marcel ; Allen, David.
    In: JRFM.
    RePEc:gam:jjrfmx:v:7:y:2014:i:2:p:80-109:d:37458.

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  5. Realized Volatility Risk. (2013). Allen, David ; McAleer, Michael ; Scharth, Marcel.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130092.

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  6. Volatility estimators based on daily price ranges versus the realized range. (2012). Todorova, Neda.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:22:y:2012:i:3:p:215-229.

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  7. On the Correlation Structure of Microstructure Noise: A Financial Economic Approach. (2012). Strasser, Georg ; Diebold, Francis.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:693.

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  8. Bias-corrected realized variance under dependent microstructure noise. (2011). Oya, Kosuke.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:81:y:2011:i:7:p:1290-1298.

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  9. Do high-frequency measures of volatility improve forecasts of return distributions?. (2011). McCurdy, Thomas ; Maheu, John.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:69-76.

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  10. High-frequency returns, jumps and the mixture of normals hypothesis. (2011). Fleming, Jeff ; Paye, Bradley S..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:119-128.

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  11. Realized Volatility Risk. (2010). Scharth, Marcel ; Allen, David.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf197.

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  12. Realized Volatility Risk. (2010). Scharth, Marcel ; Allen, David.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/26.

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  13. Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data. (2009). Steiner, Christian ; Gro, Anne ; Entorf, Horst.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:7535.

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  14. Realized Volatility Risk. (2009). Scharth, Marcel ; Allen, David.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf693.

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  15. Does the option market produce superior forecasts of noise-corrected volatility measures?. (2009). Martin, Gael ; Wright, Jill ; Reidy, Andrew.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:24:y:2009:i:1:p:77-104.

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  16. Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias ; Jacod, Jean.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276.

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  17. Realized volatility of index constituent stocks in Hong Kong. (2009). Chow, Ying-Foon ; Lam, James T. K., ; Yeung, Hinson S..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:9:p:2809-2818.

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  18. Estimating stochastic volatility models using daily returns and realized volatility simultaneously. (2009). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:2404-2426.

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  19. High frequency market microstructure noise estimates and liquidity measures. (2009). Ait-Sahalia, Yacine ; Yu, Jialin.
    In: Papers.
    RePEc:arx:papers:0906.1444.

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  20. On the correlation structure of microstructure noise in theory and practice. (2008). Strasser, Georg ; Diebold, Francis.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200832.

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  21. On the Correlation Structure of Microstructure Noise in Theory and Practice. (2008). Strasser, Georg ; Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:08-038.

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  22. A Test for Dependence and Covariance Estimator of Market Microstructure Noise. (2008). Ubukata, Masato ; Oya, Kosuke.
    In: Discussion Papers in Economics and Business.
    RePEc:osk:wpaper:0703r2.

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  23. High Frequency Market Microstructure Noise Estimates and Liquidity Measures. (2008). Ait-Sahalia, Yacine ; Yu, Jialin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13825.

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  24. A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries. (2008). Medeiros, Marcelo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:104-119.

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  25. A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries. (2007). Medeiros, Marcelo ; McAller, Michael .
    In: Textos para discussão.
    RePEc:rio:texdis:544.

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  26. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12962.

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  27. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1598.

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  28. Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts. (2007). Yu, Jun ; Huang, Shirley J. ; Liu, Qianqiu.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2007:v:8:i:1:p:33-56.

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  29. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
    In: Levine's Bibliography.
    RePEc:cla:levrem:321307000000000805.

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  30. Econometric analysis of high frequency data. (2006). Herwartz, Helmut.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:90:y:2006:i:1:p:89-104.

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

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  32. Subsampling realised kernels. (2006). Shephard, Neil ; Lunde, Asger.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:278.

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  33. Subsampling realised kernels. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter.
    In: Economics Papers.
    RePEc:nuf:econwp:0610.

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  34. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter.
    In: Economics Papers.
    RePEc:nuf:econwp:0603.

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  35. Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility. (2006). Martin, Gael ; Wright, Jill ; Reidy, Andrew.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2006-10.

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

    Full description at Econpapers || Download paper

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

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

    Full description at Econpapers || Download paper

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