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Foreign exchange, fractional cointegration and the implied-realized volatility relation. (2010). Kellard, Neil ; Dunis, Christian ; Sarantis, Nicholas .
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:34:y:2010:i:4:p:882-891.

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  2. Multivariate fractional integration tests allowing for conditional heteroskedasticity with an application to return volatility and trading volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina.
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  3. Modeling fractional cointegration between high and low stock prices in Asian countries. (2021). Sibbertsen, Philipp ; Afzal, Alia.
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  4. Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume. (2021). Taylor, Robert ; Rodrigues, Paulo ; Rubia, Antonio ; Balboa, Marina.
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  5. Optimal market-Making strategies under synchronised order arrivals with deep neural networks. (2021). Zheng, Harry ; Lee, Kyungsub ; Jang, Hyun Jin ; Choi, So Eun.
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  6. Return predictability of variance differences: A fractionally cointegrated approach. (2020). Li, Zhenxiong ; Yao, Xingzhi ; Izzeldin, Marwan.
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  7. Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach. (2020). Lee, Kiseop ; Jang, Hyun Jin.
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  8. Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model. (2020). MacIel, Leandro.
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  9. Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V.
    In: Risk Management.
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  10. Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach. (2020). Lee, Kyungsub ; Jang, Hyun Jin.
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  11. Inflation Targeting: New Evidence from Fractional Integration and Cointegration. (2016). Miller, Stephen ; Canarella, Giorgio.
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  12. Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. (2016). Baruník, Jozef ; Hlinkova, Michaela ; Barunik, Jozef.
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  13. Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression. (2015). Baruník, Jozef ; Barunikova, Michaela .
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  14. Spurious long memory, uncommon breaks and the implied–realized volatility puzzle. (2015). Wohar, Mark ; Kellard, Neil ; Jiang, Ying.
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  15. An empirical model of fractionally cointegrated daily high and low stock market prices. (2015). Baruník, Jozef ; Barunik, Jozef ; Dvoakova, Sylvie .
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  16. Volatility co-movements: a time scale decomposition analysis. (2013). Muzzioli, Silvia ; cipollini, andrea ; lo Cascio, Iolanda.
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  18. Forecasting EUR–USD implied volatility: The case of intraday data. (2013). Snaith, Stuart ; Kellard, Neil ; Dunis, Christian .
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  19. Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression. (2013). Baruník, Jozef ; Barunik, Jozef ; Barunikova, Michaela .
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  21. A cyclical model of exchange rate volatility. (2011). Stoja, Evarist ; Harris, Richard ; Harris, Richard D. F., ; Yilmaz, Fatih.
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  23. Mean-variance portfolio selection of cointegrated assets. (2011). Wong, Hoi Ying ; Chiu, Mei Choi.
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