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An Introduction to High-Frequency Finance. (2001). Genay, Ramazan ; Olsen, Richard ; Pictet, Olivier ; Muller, Ulrich A ; Dacorogna, Michel .
In: Elsevier Monographs.
RePEc:eee:monogr:9780122796715.

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  80. Estimating Financial Volatility with High-Frequency Returns. (2017). Vo, Long.
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  88. High-low range in GARCH models of stock return volatility. (2016). Molnár, Peter ; Molnr, Peter.
    In: Applied Economics.
    RePEc:taf:applec:v:48:y:2016:i:51:p:4977-4991.

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  89. Forecasting Covariance Matrices: A Mixed Approach. (2016). Halbleib, Roxana ; Voev, Valeri .
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    RePEc:oup:jfinec:v:14:y:2016:i:2:p:383-417..

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

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  91. Sudden changes in crude oil price volatility: an application of extreme value volatility estimator. (2016). Kumar, Dilip.
    In: American Journal of Finance and Accounting.
    RePEc:ids:amerfa:v:4:y:2016:i:3/4:p:215-234.

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  92. A self-calibrating method for heavy tailed data modeling : Application in neuroscience and finance. (2016). Mboup, Mamadou ; Kratz, Marie ; Debbabi, Nehla .
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  93. Risk Measure Estimates in Quiet and Turbulent Times:An Empirical Study. (2016). Dacorogna, Michel ; Kratz, Marie ; Chotard, Rosnan .
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  94. Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price. (2016). Lai, Kinkeung ; Zha, Rui ; Wu, Jun ; He, Kaijian.
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    RePEc:gam:jsusta:v:8:y:2016:i:4:p:387-:d:68672.

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  95. Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano.
    In: Econometric Institute Research Papers.
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  96. Time-dependent scaling patterns in high frequency financial data. (2016). Aste, Tomaso ; Nava, Noemi ; di Matteo, Tiziana.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:68645.

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  97. Stock and currency market linkages: New evidence from realized spillovers in higher moments. (2016). Wu, Eliza ; Do, Hung Xuan ; Treepongkaruna, Sirimon ; Brooks, Robert.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:42:y:2016:i:c:p:167-185.

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  98. The roles of mean residence time on herd behavior in a financial market. (2016). Li, Jiang-Cheng ; Mei, Dong-Cheng ; Tang, Nian-Sheng .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:462:y:2016:i:c:p:350-357.

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  99. Understanding the determinants of volatility clustering in terms of stationary Markovian processes. (2016). Micciche, S.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:462:y:2016:i:c:p:186-197.

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  100. The trading time risks of stock investment in stock price drop. (2016). Mei, Dong-Cheng ; Tang, Nian-Sheng ; Li, Jiang-Cheng ; Zhang, Wan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:461:y:2016:i:c:p:778-787.

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  101. Anomalous volatility scaling in high frequency financial data. (2016). Nava, Noemi ; di Matteo, T ; Aste, Tomaso.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:447:y:2016:i:c:p:434-445.

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  102. Multiscale dependence analysis and portfolio risk modeling for precious metal markets. (2016). Liu, Youjin ; Yu, Lean ; Lai, Kin Keung ; He, Kaijian.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:50:y:2016:i:c:p:224-233.

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  103. On time-varying predictability of emerging stock market returns. (2016). Auer, Benjamin R.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:27:y:2016:i:c:p:1-13.

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  104. 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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  105. Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange. (2016). Jayawardena, Nirodha I ; Su, Jen-Je ; Li, Bin ; Todorova, Neda.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:52:y:2016:i:pb:p:592-608.

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  106. Profitability of Directional Change Based Trading Strategies: The Case of Saudi Stock Market. (2016). Aloud, Monira Essa .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2016-01-12.

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  107. Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market. (2016). Aloud, Monira Essa .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2016-01-08.

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  108. A self-calibrating method for heavy tailed data modeling : Application in neuroscience and finance. (2016). Marie, Kratz ; Nehla, Debbabi ; Mamadou, Mboup .
    In: ESSEC Working Papers.
    RePEc:ebg:essewp:dr-16019.

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  109. High†Frequency Exchange Rate Forecasting. (2016). Cai, Charlie X ; Zhang, QI.
    In: European Financial Management.
    RePEc:bla:eufman:v:22:y:2016:i:1:p:120-141.

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  110. ALLOWING FOR JUMP MEASUREMENTS IN VOLATILITY: A HIGH-FREQUENCY FINANCIAL DATA ANALYSIS OF INDIVIDUAL STOCKS. (2016). Papavassiliou, Vassilios.
    In: Bulletin of Economic Research.
    RePEc:bla:buecrs:v:68:y:2016:i:2:p:124-132.

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  111. Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data. (2015). Filimonov, V ; Sornette, D.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:8:p:1293-1314.

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  112. Equity portfolio diversification with high frequency data. (2015). Dungey, Mardi ; Alexeev, Vitali.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:7:p:1205-1215.

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  113. A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback. (2015). Shaw, William T ; Schofield, Marcus .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:6:p:975-998.

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  114. Limited information-processing capacity and asymmetric stock correlations. (2015). Ceylan, Ozcan.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:6:p:1031-1039.

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  115. Precious metals under the microscope: a high-frequency analysis. (2015). Ranaldo, Angelo ; Caporin, Massimiliano ; Velo, Gabriel G..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:5:p:743-759.

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  116. Ensemble properties of high-frequency data and intraday trading rules. (2015). Caporin, Massimiliano ; Stella, A. L. ; Caraglio, M. ; Camana, F. ; Baldovin, F..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:2:p:231-245.

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  117. Informed traders’ arrival in foreign exchange markets: Does geography matter?. (2015). Gradojevic, Nikola ; Seluk, Faruk ; Genay, Ramazan ; Olsen, Richard.
    In: Empirical Economics.
    RePEc:spr:empeco:v:49:y:2015:i:4:p:1431-1462.

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  118. Time–frequency relationship between share prices and exchange rates in India: Evidence from continuous wavelets. (2015). Tiwari, Aviral ; Islam, Faridul ; Dar, Arif ; Bhanja, Niyati.
    In: Empirical Economics.
    RePEc:spr:empeco:v:48:y:2015:i:2:p:699-714.

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  119. Optimal trading of algorithmic orders in a liquidity fragmented market place. (2015). Kumaresan, Miles ; Kreji, Nataa.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:229:y:2015:i:1:p:521-540:10.1007/s10479-015-1815-7.

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  120. Do call auctions curtail price volatility? Evidence from the National Stock Exchange of India. (2015). Camilleri, Silvio John.
    In: MPRA Paper.
    RePEc:pra:mprapa:95301.

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  121. Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets. (2015). Ledenyov, Dimitri.
    In: MPRA Paper.
    RePEc:pra:mprapa:67470.

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  122. Conţinutul analizei seriilor de timp financiare. (2015). Stefanescu, Razvan ; Dumitriu, Ramona.
    In: MPRA Paper.
    RePEc:pra:mprapa:67175.

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  123. Long Memory and Periodicity in Intraday Volatility. (2015). Rossi, Eduardo ; Fantazzini, Dean.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:13:y:2015:i:4:p:922-961..

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  124. Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality. (2015). Wu, Hau-Tieng ; Chavez-Demoulin, Valrie ; Yu, Bin ; Vatter, Thibault.
    In: Econometrics.
    RePEc:gam:jecnmx:v:3:y:2015:i:4:p:864-887:d:60871.

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  125. Macroeconomic News Announcements, Systemic Risk, Financial Market Volatility and Jumps. (2015). Huang, Xin.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2015-97.

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  126. Roles of capital flow on the stability of a market system. (2015). Li, Jiang-Cheng ; Xu, Deng-Ke ; Mei, Dong-Cheng ; Tang, Nian-Sheng .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:436:y:2015:i:c:p:14-24.

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  127. With string model to time series forecasting. (2015). Pinak, Richard ; Barto, Erik .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:436:y:2015:i:c:p:135-146.

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  128. Intra-day variability of the stock market activity versus stationarity of the financial time series. (2015). Gubiec, T. ; Wiliski, M..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:432:y:2015:i:c:p:216-221.

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  129. The returns and risks of investment portfolio in stock market crashes. (2015). Long, Chao ; Chen, Xiao-Dan ; Li, Jiang-Cheng.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:427:y:2015:i:c:p:282-288.

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  130. Electricity price forecasts using a Curvelet denoising based approach. (2015). He, Kaijian ; Zou, Yingchao ; Xu, Yang ; Tang, Ling.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:425:y:2015:i:c:p:1-9.

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  131. Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange. (2015). Emmanouilides, Christos ; Anagnostidis, Panagiotis .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:421:y:2015:i:c:p:473-487.

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  132. Variable diffusion in stock market fluctuations. (2015). Gunaratne, Gemunu H. ; Chen, Lijian ; Falcon, Liberty ; McCauley, Joseph L. ; Hua, Jia-Chen .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:419:y:2015:i:c:p:221-233.

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  133. Forecasting metal prices with a curvelet based multiscale methodology. (2015). He, Kaijian ; Lai, Kin Keung ; Zou, Yingchao ; Lu, Xingjing .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:45:y:2015:i:c:p:144-150.

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  134. Electricity price forecasting with a BED (Bivariate EMD Denoising) methodology. (2015). Yu, Lean ; Tang, Ling ; He, Kaijian.
    In: Energy.
    RePEc:eee:energy:v:91:y:2015:i:c:p:601-609.

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  135. Heuristic learning in intraday trading under uncertainty. (2015). Bekiros, Stelios.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:30:y:2015:i:c:p:34-49.

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  136. Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction. (2015). Swanson, Norman ; Duong, Diep .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:606-621.

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  137. Option pricing with non-Gaussian scaling and infinite-state switching volatility. (2015). Caporin, Massimiliano ; Stella, Attilio L. ; Caraglio, Michele ; Baldovin, Fulvio ; Zamparo, Marco .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:486-497.

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  138. Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis. (2015). Kumar, Dilip.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:49:y:2015:i:c:p:354-371.

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  139. Multiscale analysis of foreign exchange order flows and technical trading profitability. (2015). Lento, Camillo ; Gradojevic, Nikola.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:47:y:2015:i:c:p:156-165.

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  140. Time-dependent scaling patterns in high frequency financial data. (2015). Nava, Noemi ; Aste, Tomaso ; di Matteo, Tiziana.
    In: Papers.
    RePEc:arx:papers:1508.07428.

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  141. Anomalous volatility scaling in high frequency financial data. (2015). Aste, Tomaso ; Di Matteo, T. ; Nava, Noemi.
    In: Papers.
    RePEc:arx:papers:1503.08465.

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  142. Precious Metals Under the Microscope: A High-Frequency Analysis. (2014). Ranaldo, Angelo ; Caporin, Massimiliano ; Velo, Gabriel G..
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2014:09.

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  143. A continuous time Bayesian network classifier for intraday FX prediction. (2014). Stella, Fabio ; Villa, S..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:14:y:2014:i:12:p:2079-2092.

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  144. An ecological/evolutionary perspective on high-frequency trading. (2014). Dragos, Bogdan ; Wilkins, Inigo .
    In: Journal of Sustainable Finance & Investment.
    RePEc:taf:jsustf:v:4:y:2014:i:2:p:161-175.

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  145. The Bickel–Rosenblatt test for continuous time stochastic volatility models. (2014). Lee, Sangyeol ; Guo, Meihui ; Lin, Liang-Ching.
    In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
    RePEc:spr:testjl:v:23:y:2014:i:1:p:195-218.

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  146. The roles of extrinsic periodic information on the stability of stock price. (2014). Li, Jiang-Cheng ; Mei, Dong-Cheng.
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:87:y:2014:i:2:p:1-6:10.1140/epjb/e2014-41033-6.

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  147. Intrinsic superstatistical components of financial time series. (2014). Crciun, Maria ; Vamo, Clin .
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:87:y:2014:i:12:p:1-9:10.1140/epjb/e2014-50596-y.

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  148. Obtaining and Predicting the Bounds of Realized Correlations. (2014). Grossmass, Lidan.
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:2014-iii-2.

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  149. Least squares estimation for GARCH (1,1) model with heavy tailed errors. (2014). Storti, Giuseppe ; Preminger, Arie.
    In: MPRA Paper.
    RePEc:pra:mprapa:59082.

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  150. Tick size reduction and price clustering in a FX order book. (2014). Abergel, Frederic ; Lallouache, Mehdi.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:416:y:2014:i:c:p:488-498.

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  151. Value at risk estimation with entropy-based wavelet analysis in exchange markets. (2014). He, Kaijian ; Zou, Yingchao ; Wang, Lijun ; Lai, Kin Keung.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:408:y:2014:i:c:p:62-71.

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  152. The returns and risks of investment portfolio in a financial market. (2014). Mei, Dong-Cheng ; Li, Jiang-Cheng.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:406:y:2014:i:c:p:67-72.

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  153. Long range dependence in the high frequency USD/INR exchange rate. (2014). Kumar, Dilip.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:396:y:2014:i:c:p:134-148.

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  154. Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong ; Chiarella, Carl ; Zwinkels, Remco C. J., .
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:105:y:2014:i:c:p:1-16.

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  155. Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX. (2014). Salih, Aslihan ; Onan, Mustafa ; Yasar, Burze .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:11:y:2014:i:4:p:454-462.

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  156. How does trading volume affect financial return distributions?. (2014). Wu, Eliza ; Brooks, Robert ; Treepongkaruna, Sirimon ; Do, Hung Xuan.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:35:y:2014:i:c:p:190-206.

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  157. A microstructure analysis of the carbon finance market. (2014). Hyde, Stuart ; Bredin, Don ; Muckley, Cal.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:34:y:2014:i:c:p:222-234.

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  158. Bidirectional causality in oil and gas markets. (2014). Rosenman, Robert ; Wolfe, Marketa.
    In: Energy Economics.
    RePEc:eee:eneeco:v:42:y:2014:i:c:p:325-331.

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  159. Do emerging markets become more efficient as they develop? Long memory persistence in equity indices. (2014). McGroarty, Frank ; Hull, Matthew .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:18:y:2014:i:c:p:45-61.

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  160. Volatility forecasting using high frequency data: Evidence from stock markets. (2014). Ergin, Huseyin ; elik, Sibel .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:36:y:2014:i:c:p:176-190.

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  161. Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices. (2014). Veredas, David ; Vander Elst, Harry.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/174857.

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  162. Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Elst, Harry Vander ; Veredas, David.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws142416.

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  163. Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Veredas, David ; Elst, Harry Vander.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:es142416.

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  164. R&D Strategy Document. (2014). Glattfelder, James ; Bisig, Thomas ; Olsen, Richard B..
    In: Papers.
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  165. Multifractal models in finance: Their origin, properties, and applications. (2013). Segnon, Mawuli ; Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1860.

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  166. Additive modeling of realized variance: tests for parametric specifications and structural breaks. (2013). Fengler, Matthias ; Mammen, Enno ; Vogt, Michael.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2013:32.

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  167. Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data. (2013). Fengler, Matthias ; Audrino, Francesco.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2013:11.

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  168. Central bank intervention in the foreign exchange markets assessed using realized moments. (2013). Palm, Franz ; Laurent, Sébastien ; Beine, Michel.
    In: ULB Institutional Repository.
    RePEc:ulb:ulbeco:2013/10407.

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  169. Equity portfolio diversification with high frequency data. (2013). Dungey, Mardi ; Alexeev, Vitali.
    In: Working Papers.
    RePEc:tas:wpaper:17316.

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  170. Multiscale analysis of economic time series by scale-dependent Lyapunov exponent. (2013). Gao, Jianbo ; Zheng, YI ; Tung, Wen-wen ; Hu, Jing.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2013:i:2:p:265-274.

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  171. Adaptive market hypothesis: evidence from the REIT market. (2013). Zhou, Jian ; Lee, Jin Man.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:21:p:1649-1662.

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  172. The Information Content of Alternate Implied Volatility Models: Case of Indian Markets. (2013). .
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:12:y:2013:i:3:p:293-321.

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  173. Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction. (2013). Swanson, Norman ; Duong, Diep .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201321.

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  174. Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability. (2013). Gradojevic, Nikola ; Lento, Camillo.
    In: Working Papers.
    RePEc:ies:wpaper:f201403.

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  175. There is a VaR Beyond Usual Approximations. (2013). Kratz, Marie.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00880258.

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  176. There is a VaR Beyond Usual Approximations. (2013). Kratz, Marie.
    In: Post-Print.
    RePEc:hal:journl:hal-00880258.

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  177. Autocorrelation type, timescale and statistical property in financial time series. (2013). Yang, Honglin ; Zha, Yong ; Wan, Hong.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:7:p:1681-1693.

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  178. Non-stationary multifractality in stock returns. (2013). Morales, Raffaello ; Aste, Tomaso ; Di Matteo, T..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:24:p:6470-6483.

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  179. Non-parametric frequency identification and estimation in mean function for almost periodically correlated time series. (2013). Lenart, Łukasz.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:115:y:2013:i:c:p:252-269.

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  180. A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework. (2013). Papavassiliou, Vassilios.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:24:y:2013:i:c:p:184-197.

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  181. The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts. (2013). Voev, Valeri ; Varneskov, Rasmus .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:20:y:2013:i:c:p:83-95.

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  182. Private information and its origins in an electronic foreign exchange market. (2013). Gradojevic, Nikola ; Genay, Ramazan.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:86-93.

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  183. Detecting sudden changes in volatility estimated from high, low and closing prices. (2013). Kumar, Dilip ; Maheswaran, S..
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:484-491.

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  184. Oil price and exchange rates: A wavelet based analysis for India. (2013). Tiwari, Aviral ; Dar, Arif ; Bhanja, Niyati.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:414-422.

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  185. There is a VaR Beyond Usual Approximations. (2013). Kratz, Marie.
    In: ESSEC Working Papers.
    RePEc:ebg:essewp:dr-13017.

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  186. The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data. (2013). Xu, Yongdeng ; Taylor, Nick.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2013/7.

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  187. There is a VaR beyond usual approximations. (2013). Kratz, Marie.
    In: Papers.
    RePEc:arx:papers:1311.0270.

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  188. Bridging stylized facts in finance and data non-stationarities. (2013). Anteneodo, Celia ; Silvio M. Duarte Queiros, ; Camargo, Sabrina .
    In: Papers.
    RePEc:arx:papers:1302.3197.

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  189. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
    In: Papers.
    RePEc:arx:papers:1202.1854.

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  190. DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE. (2012). Golosnoy, Vasyl ; Herwartz, Helmut.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:15:y:2012:i:05:n:s0219024912500355.

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  191. A formalization of double auction market dynamics. (2012). Tsang, Edward ; Masry, Shaimaa ; Olsen, Richard.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2012:i:7:p:981-988.

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  192. Measuring large comovements in financial markets. (2012). Schmid, Friedrich ; Schmidt, Rafael ; Penzer, Jeremy .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:7:p:1037-1049.

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  193. The scale of market quakes. (2012). Dupuis, A. ; Impagliazzo, V. ; Bisig, T. ; Olsen, R. B..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:4:p:501-508.

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  194. Dynamical clustering of exchange rates. (2012). Fenn, Daniel J. ; Williams, Stacy ; Mucha, Peter J. ; Jones, Nick S. ; Johnson, Neil F. ; Porter, Mason A. ; McDonald, Mark .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:10:p:1493-1520.

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  195. High Frequency Trading. (2012). Nagel, Joachim ; Burghof, Hans-Peter ; Lattemann, Christoph ; Breuer, Arne ; Riordan, Ryan ; Riess, Rainer ; Zajonz, Rafael ; Loos, Peter ; Gomber, Peter ; Krogmann, Michael ; Gomolka, Johannes .
    In: Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK.
    RePEc:spr:binfse:v:4:y:2012:i:2:p:93-108.

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  196. Heuristic optimisation in financial modelling. (2012). Schumann, Enrico ; Gilli, Manfred.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:193:y:2012:i:1:p:129-158:10.1007/s10479-011-0862-y.

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  197. Long memory and Periodicity in Intraday Volatility. (2012). Rossi, Eduardo ; Fantazzini, Dean.
    In: DEM Working Papers Series.
    RePEc:pav:demwpp:015.

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  198. Forecasting Covariance Matrices: A Mixed Frequency Approach. (2012). Voev, Valeri ; Halbleib, Roxana.
    In: Working Paper Series of the Department of Economics, University of Konstanz.
    RePEc:knz:dpteco:1230.

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  199. The makings of an information leader: the intraday price discovery process for individual stocks in the DJIA. (2012). Ozuna, Teofilo ; Simpson, Marc ; Moreno, Jose.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:38:y:2012:i:3:p:347-365.

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  200. Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach. (2012). Xiang, Guocheng ; Lai, Kinkeung ; He, Kaijian.
    In: Energies.
    RePEc:gam:jeners:v:5:y:2012:i:4:p:1018-1043:d:17268.

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  201. How unconventional are large-scale asset purchases? The impact of monetary policy on asset prices. (2012). Rosa, Carlo.
    In: Staff Reports.
    RePEc:fip:fednsr:560.

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  202. Ensemble vs. time averages in financial time series analysis. (2012). Gunaratne, Gemunu H. ; Seemann, Lars ; McCauley, Joseph L. ; Hua, Jia-Chen .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:23:p:6024-6032.

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  203. Arbitrary truncated Levy flight: Asymmetrical truncation and high-order correlations. (2012). Vinogradov, Dmitry V..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:22:p:5584-5597.

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  204. Understanding the source of multifractality in financial markets. (2012). Liu, Ruipeng ; Baruník, Jozef ; Di Matteo, T. ; Aste, Tomaso.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:17:p:4234-4251.

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  205. Heterogeneous gain learning and the dynamics of asset prices. (2012). Lebaron, Blake.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:83:y:2012:i:3:p:424-445.

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  206. Modeling and measuring intraday overreaction of stock prices. (2012). Becker, Martin ; Klner, Stefan ; Friedmann, Ralph.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:4:p:1152-1163.

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  207. Trading frequency and volatility clustering. (2012). Xue, Yi ; Gencay, Ramazan ; Genay, Ramazan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:3:p:760-773.

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  208. High-frequency financial data modeling using Hawkes processes. (2012). McGill, J. A. ; Chavez-Demoulin, V..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:12:p:3415-3426.

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  209. Properties of range-based volatility estimators. (2012). Molnár, Peter ; Molnr, Peter.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:23:y:2012:i:c:p:20-29.

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  210. Crude oil price analysis and forecasting using wavelet decomposed ensemble model. (2012). Yu, Lean ; He, Kaijian ; Lai, Kin Keung.
    In: Energy.
    RePEc:eee:energy:v:46:y:2012:i:1:p:564-574.

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  211. A new wavelet-based denoising algorithm for high-frequency financial data mining. (2012). Sun, Edward ; Meinl, Thomas .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:217:y:2012:i:3:p:589-599.

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  212. Frequency domain analysis of foreign exchange order flows. (2012). Gradojevic, Nikola.
    In: Economics Letters.
    RePEc:eee:ecolet:v:115:y:2012:i:1:p:73-76.

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  213. Asset Pricing with Heterogeneous Investment Horizons. (2012). Bottazzi, Giulio ; Anufriev, Mikhail.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:16:y:2012:i:4:n:2.

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  214. Understanding the source of multifractality in financial markets. (2012). Liu, Ruipeng ; Baruník, Jozef ; Barunik, Jozef ; Aste, Tomaso ; di Matteo, Tiziana.
    In: Papers.
    RePEc:arx:papers:1201.1535.

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  215. A Markov-switching multifractal approach to forecasting realized volatility. (2011). Lux, Thomas ; Sattarhoff, Cristina ; Morales-Arias, Leonardo .
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1737.

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  216. Modelling and forecasting multivariate realized volatility. (2011). Voev, Valeri ; Halbleib, Roxana ; Chiriac, Roxana.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:26:y:2011:i:6:p:922-947.

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  217. Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates. (2011). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0211.

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  218. Nonlinearities in stochastic clocks: trades and volume as subordinators of electronic markets. (2011). Velasco-Fuentes, Rafael ; Ng, Wing Lon .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:6:p:863-881.

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  219. Least Squares Inference on Integrated Volatility and the Relationship Between Efficient Prices and Noise. (2011). Voev, Valeri ; Nolte, Ingmar.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:30:y:2011:i:1:p:94-108.

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  220. Financial correlations at ultra-high frequency: theoretical models and empirical estimation. (2011). Zoi, P. ; Marsili, M. ; Mastromatteo, I..
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:80:y:2011:i:2:p:243-253.

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  221. Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps. (2011). Swanson, Norman ; Duong, Diep .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201117.

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  222. Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks. (2011). Swanson, Norman ; Duong, Diep .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201116.

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  223. Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data. (2011). Matei, Marius.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2011:i:2:p:116-141.

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  224. Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors. (2011). Voev, Valeri ; Halbleib, Roxana.
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:231:y:2011:i:1:p:134-152.

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  225. Large volatility matrix inference via combining low-frequency and high-frequency approaches. (2011). Zou, Jian ; Wang, Yahzen ; Yao, Qiwei ; Tao, Minjing .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:39321.

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  226. Dependence structure of the Korean stock market in high frequency data. (2011). Kim, Min Jae ; Kwak, Young Bin .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:5:p:891-901.

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  227. Does volatility matter? Expectations of price return and variability in an asset pricing experiment. (2011). Pancotto, Francesca ; Devetag, Giovanna ; Bottazzi, Giulio.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:77:y:2011:i:2:p:124-146.

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  228. Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets. (2011). Tamirisa, Natalia ; Nowak, Sylwia ; Jobst, Andreas ; Andritzky, Jochen.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2584-2597.

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  229. Forecasting exchange rate volatility using high-frequency data: Is the euro different?. (2011). Chortareas, Georgios ; Jiang, Ying ; Nankervis, John. C., .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y:2011:i:4:p:1089-1107.

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  230. Intraday volatility and scaling in high frequency foreign exchange markets. (2011). Gunaratne, Gemunu H. ; Seemann, Lars ; McCauley, Joseph L..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:20:y:2011:i:3:p:121-126.

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  231. Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data. (2011). Haugom, Erik ; Westgaard, Sjur ; Solibakke, Per Bjarte ; Lien, Gudbrand.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:6:p:1206-1215.

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  232. Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach. (2011). Yen, Jerome ; Lai, Kin Keung ; He, Kaijian.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:5:p:903-911.

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  233. Functional data analysis for volatility. (2011). Mller, Hans-Georg ; STADTMLLER, ULRICH ; Sen, Rituparna.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:165:y:2011:i:2:p:233-245.

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  234. Covariance measurement in the presence of non-synchronous trading and market microstructure noise. (2011). Griffin, Jim ; OOMEN, Roel C. A., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:58-68.

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  235. 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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  236. Edgeworth expansions for realized volatility and related estimators. (2011). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:190-203.

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  237. A reduced form framework for modeling volatility of speculative prices based on realized variation measures. (2011). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:176-189.

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

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  239. On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). Sevi, Benoit ; Chevallier, Julien.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/4598.

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  240. Minding impacting events in a model of stochastic variance. (2011). Evaldo M. F. Curado, ; Silvio M. Duarte Queiros, ; Nobre, Fernando D..
    In: Papers.
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  241. Local Risk Decomposition for High-frequency Trading Systems. (2011). Mellen, C. ; Bartolozzi, M..
    In: Papers.
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  242. Forecasting Covariance Matrices: A Mixed Frequency Approach. (2011). Voev, Valeri ; Halbleib, Roxana.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-03.

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  243. Patterns in high-frequency FX data: discovery of 12 empirical scaling laws. (2010). Glattfelder, James ; Dupuis, A. ; Olsen, R. B..
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2010:i:4:p:599-614.

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  244. Asymmetry of information flow between volatilities across time scales. (2010). Selcuk, Faruk ; Gradojevic, Nikola ; Gencay, Ramazan ; Whitcher, Brandon .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:10:y:2010:i:8:p:895-915.

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  245. Volatility conditional on price trends. (2010). Zumbach, Gilles .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:10:y:2010:i:4:p:431-442.

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  246. A model for optimal execution of atomic orders. (2010). Kreji, Nataa ; Kumaresan, Miles .
    In: Computational Optimization and Applications.
    RePEc:spr:coopap:v:46:y:2010:i:2:p:369-389.

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  247. Limited Information-Processing Capacity and Asymmetric Stock Correlations. (2010). Ceylan, Ozcan.
    In: MPRA Paper.
    RePEc:pra:mprapa:61587.

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  248. Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation. (2010). Lux, Thomas ; Alfarano, Simone ; Wagner, Friedrich .
    In: MPRA Paper.
    RePEc:pra:mprapa:24719.

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  249. Intraday CAC40, DAX and WIG20 returns when the American macro news is announced. (2010). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara.
    In: Bank i Kredyt.
    RePEc:nbp:nbpbik:v:41:y:2010:i:2:p:7-20.

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  250. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns. (2010). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Morten Ørregaard Nielsen, ; Frederiksen, Per .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:2:p:233-261.

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  251. Intra-day seasonality in foreign exchange market transactions. (2010). cotter, john ; Dowd, Kevin.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:19:y:2010:i:2:p:287-294.

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  252. Monte Carlo-based tail exponent estimator. (2010). Vacha, Lukas ; Baruník, Jozef.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:21:p:4863-4874.

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  253. A long-range memory stochastic model of the return in financial markets. (2010). Kononoviius, A. ; Gontis, V. ; Ruseckas, J..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:1:p:100-106.

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  254. Analytic solutions for optimal statistical arbitrage trading. (2010). Bertram, William K..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:11:p:2234-2243.

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  255. Noise and efficient variance in the Indonesia Stock Exchange. (2010). Henker, Thomas ; Husodo, Zaafri A..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:18:y:2010:i:2:p:199-216.

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  256. The electronic trading systems and bid-ask spreads in the foreign exchange market. (2010). Ding, Liang ; Hiltrop, Jonas .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:4:p:323-345.

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  257. Order aggressiveness and quantity: How are they determined in a limit order market?. (2010). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:3:p:213-237.

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  258. Crash of 87 -- Was it expected?: Aggregate market fears and long-range dependence. (2010). Gradojevic, Nikola ; Gencay, Ramazan ; Genay, Ramazan.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:2:p:270-282.

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  259. Calendar Time Sampling of High Frequency Financial Asset Price and the Verdict on Jumps. (2010). Theodosiou, Marina .
    In: Working Papers.
    RePEc:cyb:wpaper:2010-7.

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  260. Heterogeneous Gain Learning and Long Swings in Asset Prices. (2010). Lebaron, Blake.
    In: Working Papers.
    RePEc:brd:wpaper:10.

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  261. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form. (2010). Peel, David ; Pavlidis, Efthymios ; Paya, Ivan.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:14:y:2010:i:3:n:3.

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  262. HOW FAST DO TOKYO AND NEW YORK STOCK EXCHANGES RESPOND TO EACH OTHER? AN ANALYSIS WITH HIGH-FREQUENCY DATA. (2010). Tsutsui, Yoshiro ; Hirayama, Kenjiro.
    In: The Japanese Economic Review.
    RePEc:bla:jecrev:v:61:y:2010:i:2:p:175-201.

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  263. The nature of price returns during periods of high market activity. (2010). Bacry, Emmanuel ; al Dayri, Khalil ; Muzy, Jean-Francois .
    In: Papers.
    RePEc:arx:papers:1010.4226.

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  264. Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior. (2010). Challet, Damien ; de Lachapelle, David Morton .
    In: Papers.
    RePEc:arx:papers:0912.4723.

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  265. The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts. (2010). Voev, Valeri ; Varneskov, Rasmus Tangsgaard .
    In: CREATES Research Papers.
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  266. THE MIRAGE OF TRIANGULAR ARBITRAGE IN THE SPOT FOREIGN EXCHANGE MARKET. (2009). Fenn, Daniel J ; Johnson, Neil F ; Williams, Stacy ; McDonald, Mark ; Howison, Sam D.
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  267. The Epps effect revisited. (2009). Toth, Bence ; Kertesz, Janos.
    In: Quantitative Finance.
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  268. Time reversal invariance in finance. (2009). Zumbach, Gilles .
    In: Quantitative Finance.
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  269. Non-parametric estimation of a multiscale CHARN model using SVR. (2009). Safari, Amir ; Seese, Detlef .
    In: Quantitative Finance.
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  270. Does Volatility matter? Expectations of price return and variability in an asset pricing experiment. (2009). Pancotto, Francesca ; Devetag, Giovanna ; Bottazzi, Giulio.
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  271. Scaling issues for risky asset modelling. (2009). Heyde, Chris .
    In: Mathematical Methods of Operations Research.
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  272. Empirical behavior of a world stock index from intra-day to monthly time scales. (2009). Platen, Eckhard ; Breymann, W. ; Luthi, D. R..
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
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  273. Eroding market stability by proliferation of financial instruments. (2009). Vivo, P. ; Marsili, M. ; Caccioli, F..
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:71:y:2009:i:4:p:467-479.

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  274. A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence. (2009). Sun, Edward ; Fabozzi, Frank ; Rachev, Svetlozar ; Kalev, Petko.
    In: Empirical Economics.
    RePEc:spr:empeco:v:36:y:2009:i:1:p:201-229.

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  275. A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio.
    In: Journal of Financial Econometrics.
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  276. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form. (2009). Peel, David ; Pavlidis, Efthymios ; Paya, Ivan.
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  277. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form. (2009). Peel, David ; Paya, Ivan ; Pavlidis, E.
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  278. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form. (2009). Pavlidis, E ; Paya, Ivan.
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  279. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form. (2009). Peel, D ; Paya, Ivan ; Pavlidis, E.
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  280. Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form. (2009). Peel, D ; Zhang, S ; Paya, Ivan.
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  281. Measuring the Efficiency of the Intraday Forex Market with a Universal Data Compression Algorithm. (2009). Hauser, Shmuel.
    In: Computational Economics.
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  282. An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data. (2009). Morimoto, Takayki ; Masuda, Hiroki.
    In: Global COE Hi-Stat Discussion Paper Series.
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  283. On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
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  284. On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2009). Sevi, Benoit ; Chevallier, Julien.
    In: Working Papers.
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  285. On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
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  286. Applications of Statistical Physics in Finance and Economics. (2009). Lux, Thomas.
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  287. Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias .
    In: Stochastic Processes and their Applications.
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  288. Trading activity, dealer concentration and foreign exchange market quality. (2009). Kaul, Aditya ; Sapp, Stephen .
    In: Journal of Banking & Finance.
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  289. Analysis of ultra-high-frequency financial data using advanced Fourier transforms. (2009). Giampaoli, Iacopo ; Ng, Wing Lon ; Constantinou, Nick .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:6:y:2009:i:1:p:47-53.

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  290. Market structure and the stability and volatility of electricity prices. (2009). Widerberg, Anna ; Bask, Mikael.
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:2:p:278-288.

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  291. Realized kernels in practice: trades and quotes. (2009). Shephard, Neil ; Lunde, Asger ; Barndorff-Nielsen, Ole ; Hansen, Reinhard P..
    In: Econometrics Journal.
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  292. Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification. (2009). Huptas, Roman .
    In: Dynamic Econometric Models.
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  293. Heuristic Optimisation in Financial Modelling. (2009). Schumann, Enrico ; Gilli, Manfred.
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  294. A New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions. (2009). Sun, Edward ; Fabozzi, Frank ; Rachev, Svetlozar.
    In: European Financial Management.
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  295. A Framework for Assessing the Systemic Risk of Major Financial Institutions. (2009). Zhou, Hao ; Zhu, Haibin ; Huang, Xin.
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  296. A model of returns for the post-credit-crunch reality: Hybrid Brownian motion with price feedback. (2009). Shaw, William T..
    In: Papers.
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  297. Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor.
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  298. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
    In: Kiel Working Papers.
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  299. Applications of statistical physics in finance and economics. (2008). Lux, Thomas.
    In: Kiel Working Papers.
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  300. Modelling and forecasting multivariate realized volatility. (2008). Voev, Valeri ; Chiriac, Roxana.
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  301. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
    In: Economics Working Papers.
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  302. MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS. (2008). Liu, Ruipeng ; Lux, Thomas ; di Matteo, T.
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  303. Long-memory in high-frequency exchange rate volatility under temporal aggregation. (2008). Speight, Alan ; McMillan, David.
    In: Quantitative Finance.
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  304. Realized Volatility: A Review. (2008). Medeiros, Marcelo ; McAleer, Michael.
    In: Econometric Reviews.
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  305. Handbook on Information Technology in Finance. (2008). .
    In: International Handbooks on Information Systems.
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  306. On discrete stochastic processes with long-lasting time dependence in the variance. (2008). S. M. D. Queiros, .
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:66:y:2008:i:1:p:137-148.

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  307. Volatility return intervals analysis of the Japanese market. (2008). Kaizoji, Taisei ; Havlin, S. ; Stanley, H. E. ; H.-T. Moon, ; Wang, F. Z. ; W.-S. Jung, .
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
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  308. Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes. (2008). Hayashi, Takaki ; Yoshida, Nakahiro.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:60:y:2008:i:2:p:367-406.

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  309. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2008). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per .
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  310. Liquidity-Induced Dynamics in Futures Markets. (2008). Gencay, Ramazan ; Fagan, Stephen.
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  311. Covariance estimation via Fourier method in the presence of asynchronous trading and microstructure noise. (2008). Mancino, Maria Elvira ; Sanfelici, S..
    In: Economics Department Working Papers.
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  312. Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben.
    In: Economics Series Working Papers.
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  313. How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: An Analysis with High-Frequency Data. (2008). Tsutsui, Yoshiro ; Hirayama, Kenjiro.
    In: Discussion Papers in Economics and Business.
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  314. Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben.
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  315. Analysing the performance of managed funds using the wavelet multiscaling method. (2008). faff, robert ; Marisetty, Vijaya ; Kim, Sangbae ; In, Francis.
    In: Review of Quantitative Finance and Accounting.
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  316. Market Structure and the Stability and Volatility of Electricity Prices. (2008). Widerberg, Anna ; Bask, Mikael.
    In: Working Papers in Economics.
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  317. Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance. (2008). .
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  318. Realized volatility. (2008). Benzoni, Luca ; Andersen, Torben.
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  319. HOW DO PUBLIC ANNOUNCEMENTS AFFECT THE FREQUENCY OF TRADING IN U.S. AIRLINE STOCKS?. (2008). Nowak, Sylwia.
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  320. Liquidity-Induced Dynamics in Futures Markets. (2008). Gencay, Ramazan ; Fagan, Stephen.
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  321. Long memory features in the high frequency data of the Korean stock market. (2008). Yoon, Seong-Min ; Kang, Sanghoon .
    In: Physica A: Statistical Mechanics and its Applications.
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  322. Random matrix theory filters in portfolio optimisation: A stability and risk assessment. (2008). Ruskin, H. J. ; Crane, M. ; Daly, J..
    In: Physica A: Statistical Mechanics and its Applications.
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  323. Measuring time dependent volatility and cross-sectional correlation in Australian equity returns. (2008). Bertram, William K..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:13:p:3183-3191.

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  324. The submission of limit orders or market orders: The role of timing and information in the Reuters D2000-2 system. (2008). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Money and Finance.
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  325. Finite sample accuracy and choice of sampling frequency in integrated volatility estimation. (2008). Nielsen, Morten ; Frederiksen, Per .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:2:p:265-286.

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  326. Risk, jumps, and diversification. (2008). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
    In: Journal of Econometrics.
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  327. Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility. (2008). Feng, Yuanhua ; McNeil, Alexander J..
    In: Economic Modelling.
    RePEc:eee:ecmode:v:25:y:2008:i:5:p:850-867.

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  328. Measuring causality between volatility and returns with high-frequency data. (2008). Taamouti, Abderrahim ; Garcia, René ; Dufour, Jean-Marie.
    In: UC3M Working papers. Economics.
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  329. Modeling Conditional Dependencies between Polish Financial Returns with Markov-Switching Copula Models [pdf]. (2008). Doman, Ryszard .
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  330. Information Impact on Stock Price Dynamics. (2008). Doman, Malgorzata .
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  331. The Mirage of Triangular Arbitrage in the Spot Foreign Exchange Market. (2008). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Johnson, Neil F. ; McDonald, Mark .
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  332. A multiscale view on inverse statistics and gain/loss asymmetry in financial time series. (2008). Lins, Jeffrey ; Siven, Johannes Vitalis ; Hansen, Jonas Lundbek .
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  333. Volatility Effects on the Escape Time in Financial Market Models. (2008). Spagnolo, Bernardo ; Valenti, Davide .
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  334. Microstructure noise in the continuous case: the pre-averaging approach. (2007). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias .
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  335. Customer trading in the foreign exchange market empirical evidence from an internet trading platform. (2007). Nolte, Ingmar ; Lechner, Sandra .
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  336. Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance. (2007). Golosnoy, Vasyl ; Herwartz, Helmut.
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  337. True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence. (2007). Lux, Thomas ; Liu, Ruipeng ; di Matteo, Tiziana.
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  338. Optimal approximations of power laws with exponentials: application to volatility models with long memory. (2007). Challet, Damien ; Bochud, Thierry.
    In: Quantitative Finance.
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  339. Multi-scaling in finance. (2007). Di Matteo, T..
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  340. Cross-correlation Measures in the High-frequency Domain. (2007). Iori, Giulia ; Precup, Ovidiu V..
    In: The European Journal of Finance.
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  341. Multi-scale correlations in different futures markets. (2007). Di Matteo, T. ; Aste, T. ; Bartolozzi, M. ; Mellen, C..
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
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  342. Comparing Sharpe ratios: So where are the p-values?. (2007). Opdyke, John Douglas.
    In: Journal of Asset Management.
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  343. No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications. (2007). Bollerslev, Tim ; Andersen, Torben ; Dobrev, Dobrislav.
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  344. Forecasting Exchange Rate Volatility with High Frequency Data: Is the Euro Different?. (2007). Chortareas, Georgios ; Nankervis, John ; Jiang, Ying.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
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  345. On the estimation of correlations for irregularly spaced time series. (2007). Andersson, Jonas.
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  346. Proxies for daily volatility. (2007). Visser, Marcel P. ; De Vilder, Robin .
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  347. True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence. (2007). Liu, Ruipeng ; Di Matteo, T. ; Lux, Thomas.
    In: Physica A: Statistical Mechanics and its Applications.
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  348. Non-parametric extraction of implied asset price distributions. (2007). Read, Brian J. ; Dixon, Maurice ; Healy, Jerome V. ; Cai, Fangfang .
    In: Physica A: Statistical Mechanics and its Applications.
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  349. Modeling long-range memory trading activity by stochastic differential equations. (2007). Kaulakys, B. ; Gontis, V..
    In: Physica A: Statistical Mechanics and its Applications.
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  350. Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns. (2007). Sun, Edward ; Fabozzi, Frank ; Rachev, Svetlozar.
    In: Journal of Economics and Business.
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  351. Informative trading or just costly noise? An analysis of Central Bank interventions. (2007). Pasquariello, Paolo.
    In: Journal of Financial Markets.
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  352. The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders. (2007). cotter, john ; Dowd, Kevin.
    In: Finance Research Letters.
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  353. Fat tails and volatility clustering in experimental asset markets. (2007). Kirchler, Michael ; Huber, Jurgen.
    In: Journal of Economic Dynamics and Control.
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  354. Generalised long-memory GARCH models for intra-daily volatility. (2007). Lisi, Francesco ; Caporin, Massimiliano ; Bordignon, Silvano .
    In: Computational Statistics & Data Analysis.
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  355. Scale invariance in financial time series. (2007). Malmini, Ranasinghe .
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  356. Scale invariance in financial time series. (2007). Malmini, Ranasinghe .
    In: Economics Bulletin.
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  357. VOLATILITY MODELS. (2007). Morimune, Kimio .
    In: The Japanese Economic Review.
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  358. Multipower Variation Under Market Microstructure Effects. (2007). Ysusi, Carla .
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  359. Are volatility estimators robust with respect to modeling assumptions?. (2007). Mykland, Per A. ; Li, Yingying.
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  360. Time reversal invariance in finance. (2007). Zumbach, Gilles .
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  361. Multi-scale correlations in different futures markets. (2007). Mellen, C. ; Di Matteo, T. ; Aste, T. ; Bartolozzi, M..
    In: Papers.
    RePEc:arx:papers:0707.3321.

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  362. The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis. (2007). Taylor, Mark ; Menkhoff, Lukas.
    In: Journal of Economic Literature.
    RePEc:aea:jeclit:v:45:y:2007:i:4:p:936-972.

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  363. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2007). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per Houmann.
    In: CREATES Research Papers.
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  364. Risk, Jumps, and Diversification. (2007). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
    In: CREATES Research Papers.
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  365. The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis. (2006). Taylor, Mark ; Menkhoff, Lukas.
    In: The Warwick Economics Research Paper Series (TWERPS).
    RePEc:wrk:warwec:769.

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  366. Role of noise in a market model with stochastic volatility. (2006). Bonanno, G. ; Valenti, D. ; Spagnolo, B..
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:53:y:2006:i:3:p:405-409.

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  367. Small scale behavior of financial data. (2006). Peinke, J. ; Nawroth, A. P..
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:50:y:2006:i:1:p:147-151.

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  368. Analysis of binarized high frequency financial data. (2006). Sazuka, N..
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:50:y:2006:i:1:p:129-131.

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  369. Support Vector Machine as an Efficient Framework for Stock Market Volatility Forecasting. (2006). Gavrishchaka, Valeriy ; Banerjee, Supriya.
    In: Computational Management Science.
    RePEc:spr:comgts:v:3:y:2006:i:2:p:147-160.

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  370. Realized volatility: a review. (2006). Medeiros, Marcelo ; McAleer, Michael.
    In: Textos para discussão.
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  371. An Analysis of Stock Index Distributions of Selected Emerging Markets. (2006). Camilleri, Silvio.
    In: MPRA Paper.
    RePEc:pra:mprapa:62490.

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  372. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2006). Racicot, François-Éric ; Coen, Alain ; Theoret, Raymond .
    In: RePAd Working Paper Series.
    RePEc:pqs:wpaper:152006.

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  373. 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 ; Reidy, Andrew ; Wright, Jill .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2006-10.

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  374. Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose. (2006). Ng, Wing Lon .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2006-086.

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  375. The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis. (2006). Taylor, Mark ; Menkhoff, Lukas.
    In: Hannover Economic Papers (HEP).
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  376. Portfolio selection and asset pricing under a benchmark approach. (2006). Platen, Eckhard.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:370:y:2006:i:1:p:23-29.

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  377. Are asset return tail estimations related to volatility long-range correlations?. (2006). Kozhemyak, Alexey ; Muzy, Jean-Franois ; Bacry, Emmanuel.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:370:y:2006:i:1:p:119-126.

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  378. Intraday dynamics of stock market returns and volatility. (2006). Gencay, Ramazan ; Seluk, Faruk ; Genay, Ramazan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:367:y:2006:i:c:p:375-387.

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  379. Waiting times between orders and trades in double-auction markets. (2006). Scalas, Enrico ; Kirchler, Michael ; Kaizoji, Taisei ; Tedeschi, Alessandra ; Huber, Jurgen.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:366:y:2006:i:c:p:463-471.

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  380. Scaling analysis on Indian foreign exchange market. (2006). Sarkar, A. ; Barat, P..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:364:y:2006:i:c:p:362-368.

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  381. A theory of fluctuations in stock prices. (2006). Torok, Andrew ; Field, Michael ; Nicol, Matthew ; Bassler, Kevin E. ; McCauley, Joseph L. ; Timofeyev, Ilya ; Gunaratne, Gemunu H. ; Alejandro-Quiones, angel L..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:363:y:2006:i:2:p:383-392.

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  382. The application of continuous-time random walks in finance and economics. (2006). Scalas, Enrico.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:362:y:2006:i:2:p:225-239.

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  383. Y2K fears and safe haven trading of the U.S. dollar. (2006). Kaul, Aditya ; Sapp, Stephen .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:25:y:2006:i:5:p:760-779.

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  384. From default probabilities to credit spreads: Credit risk models do explain market prices. (2006). Dacorogna, Michel ; McNeil, Alexander J. ; Muller, Ulrich A. ; Denzler, Stefan M..
    In: Finance Research Letters.
    RePEc:eee:finlet:v:3:y:2006:i:2:p:79-95.

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  385. Performance aspects of Greek bond mutual funds. (2006). Kalyvas, Lampros ; Grose, Christos ; Dritsakis, Nikolaos.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:15:y:2006:i:2:p:189-202.

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  386. Overnight borrowing, interest rates and extreme value theory. (2006). Selcuk, Faruk ; Gencay, Ramazan.
    In: European Economic Review.
    RePEc:eee:eecrev:v:50:y:2006:i:3:p:547-563.

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  387. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. (2006). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:131:y:2006:i:1-2:p:217-252.

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  388. Volatility and Correlation Forecasting. (2006). Diebold, Francis X. ; Andersen, Torben G. ; Bollerslev, Tim ; Christoffersen, Peter F..
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:1-15.

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  389. Financial econometric analysis at ultra-high frequency: Data handling concerns. (2006). Gallo, Giampiero ; Brownlees, Christian.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2006:i:4:p:2232-2245.

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  390. Which news moves the euro area bond market?. (2006). Sebestyén, Szabolcs ; Sebestyen, Szabolcs ; Hansen, Lars Jul ; Andersson, Magnus.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006631.

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  391. Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis. (2006). Iori, Giulia ; Mattiussi, V..
    In: Working Papers.
    RePEc:cty:dpaper:06/09.

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  392. A GARCH (1,1) estimator with (almost) no moment conditions on the error term. (2006). Storti, Giuseppe ; Preminger, Arie.
    In: CORE Discussion Papers.
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  393. A GARCH (1,1) ESTIMATOR WITH (ALMOST) NO MOMENT CONDITIONS ON THE ERROR TERM. (2006). Preminger, Arie ; Storti, Giuseppe.
    In: Working Papers.
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  394. Realized Variance and Market Microstructure Noise. (2006). Lunde, Asger ; Hansen, Peter.
    In: Journal of Business & Economic Statistics.
    RePEc:bes:jnlbes:v:24:y:2006:p:127-161.

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  395. Estimating Integrated Volatility Using Absolute High-Frequency Returns. (2006). Ysusi, Carla .
    In: Working Papers.
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  396. Detecting Jumps in High-Frequency Financial Series Using Multipower Variation. (2006). Ysusi, Carla .
    In: Working Papers.
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  397. Long-range memory model of trading activity and volatility. (2006). Kaulakys, B. ; Gontis, V..
    In: Papers.
    RePEc:arx:papers:physics/0606115.

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  398. The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis. (2006). Taylor, Mark ; Menkhoff, Lukas.
    In: Economic Research Papers.
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  399. Five Years of Continuous-time Random Walks in Econophysics. (2005). Scalas, Enrico.
    In: Finance.
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  400. Price return autocorrelation and predictability in agent-based models of financial markets. (2005). Challet, Damien ; Galla, Tobias.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:5:y:2005:i:6:p:569-576.

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  401. Market risk models for intraday data. (2005). Giot, Pierre.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:11:y:2005:i:4:p:309-324.

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  402. Estimation of the Stylized Facts of a Stochastic Cascade Model.. (2005). Azizieh, Celine ; Breymann, Wolfgang .
    In: Working Papers CEB.
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  403. On a multi-timescale statistical feedback model for volatility fluctuations. (2005). Bouchaud, Jean-Philippe ; Borland, Lisa .
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:500059.

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  404. Finite Sample Accuracy of Integrated Volatility Estimators. (2005). Nielsen, Morten ; Frederiksen, Per Houmann.
    In: Working Papers.
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  405. Can a Stock Index Be Less Efficient Than Underlying Shares? An Analysis Using Malta Stock Exchange Data. (2005). Camilleri, Silvio.
    In: MPRA Paper.
    RePEc:pra:mprapa:84574.

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  406. Volatility Forecasting. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
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  407. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Series Working Papers.
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  408. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554.

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  409. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
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  410. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
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  411. Edgeworth Expansions for Realized Volatility and Related Estimators. (2005). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A..
    In: NBER Technical Working Papers.
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  412. Modelling High Frequency Financial Count Data. (2005). Quoreshi, Shahiduzzaman.
    In: Umeå Economic Studies.
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  413. Application of multifractal measures to Tehran price index. (2005). Jafari, G. R. ; Norouzzadeh, P..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:356:y:2005:i:2:p:609-627.

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  414. Modeling and simulation of a double auction artificial financial market. (2005). Raberto, Marco ; Cincotti, Silvano.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:355:y:2005:i:1:p:34-45.

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  415. Non-linear logit models for high-frequency data analysis. (2005). Sazuka, Naoya .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:355:y:2005:i:1:p:183-189.

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  416. Diffusion Entropy technique applied to the study of the market activity. (2005). Montero, Miquel ; Masoliver, Jaume ; Palatella, Luigi ; Perello, Josep.
    In: Physica A: Statistical Mechanics and its Applications.
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  417. Time and foreign exchange markets. (2005). Berardi, Luca ; Serva, Maurizio .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:353:y:2005:i:c:p:403-412.

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  418. On distribution of number of trades in different time windows in the stock market. (2005). Leonidov, A. V. ; Dremin, I. M..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:353:y:2005:i:c:p:388-402.

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  419. A threshold model for Australian Stock Exchange equities. (2005). Bertram, William K..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:346:y:2005:i:3:p:561-576.

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  420. Institutional architectures and behavioral ecologies in the dynamics of financial markets. (2005). Dosi, Giovanni ; Bottazzi, Giulio ; Rebesco, Igor.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:41:y:2005:i:1-2:p:197-228.

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  421. Genetic learning as an explanation of stylized facts of foreign exchange markets. (2005). Lux, Thomas ; Schornstein, Sascha.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:41:y:2005:i:1-2:p:169-196.

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  422. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development. (2005). Dacorogna, Michel ; Aste, T. ; Di Matteo, T..
    In: Journal of Banking & Finance.
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  423. Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997. (2005). Los, Cornelis ; Karuppiah, Jeyanthi.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:14:y:2005:i:2:p:211-246.

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  424. Chasing trends: recursive moving average trading rules and internet stocks. (2005). Fong, Wai Mun ; Yong, Lawrence H. M., .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:1:p:43-76.

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  425. An option pricing formula for the GARCH diffusion model. (2005). Ravanelli, Claudia ; Rasmussen, Henrik ; Barone-Adesi, Giovanni .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:49:y:2005:i:2:p:287-310.

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  426. Cross-correlation measures in the high-frequency domain. (2005). Iori, G ; Precup, O V.
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  427. Cross-correlation measures in the high-frequency domain. (2005). Iori, Giulia ; Precup, O. V..
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  428. Wavelet Transforms and Commodity Prices. (2005). Connor, Jeff ; Rossiter, Rosemary .
    In: Studies in Nonlinear Dynamics & Econometrics.
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  429. On a multi-timescale statistical feedback model for volatility fluctuations. (2005). J. -Ph. Bouchaud, ; Borland, L..
    In: Papers.
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  430. Modelling realized variance when returns are serially correlated. (2004). OOMEN, Roel C. A., .
    In: Discussion Papers, Research Unit: Market Processes and Governance.
    RePEc:zbw:wzbmpg:spii200411.

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  431. A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA. (2004). Bedendo, Mascia ; Hodges, Stewart D.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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  432. TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?. (2004). Boitout, Nicolas ; Ureche-Rangau, Loredana ; ureche -Rangau, Loredana .
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  433. Is a transactions tax an effective means to stabilize the foreign exchange market?. (2004). Terzi, Andrea.
    In: International Finance.
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  434. Using the Scaling Analysis to Characterize Financial Markets. (2004). Dacorogna, Michel ; Aste, T. ; Di Matteo, T..
    In: Finance.
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  435. Inference and Intraday Analysis of Diversified World Stock Indices. (2004). Kelly, Leah.
    In: PhD Thesis.
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  436. Inference and Intraday Analysis of Diversified World Stock Indices. (2004). Kelly, Leah.
    In: PhD Thesis.
    RePEc:uts:finphd:1-2004.

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  437. Anomalous waiting times in high-frequency financial data. (2004). Scalas, Enrico ; Raberto, Marco ; Gorenflo, Rudolf ; Mantelli, Maurizio ; Luckock, Hugh ; Mainardi, Francesco .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:4:y:2004:i:6:p:695-702.

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  438. Asset Pricing Model with Heterogeneous Investment Horizons. (2004). Bottazzi, Giulio ; Anufriev, Mikhail.
    In: LEM Papers Series.
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  439. Some Statistical Investigations on the Nature and Dynamics of Electricity Prices. (2004). Secchi, Angelo ; Sapio, Sandro ; Bottazzi, Giulio.
    In: LEM Papers Series.
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  440. Information flow between volatilities across time scales. (2004). Selcuk, Faruk ; Gencay, Ramazan ; Whitcher, Brandon .
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  441. Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data. (2004). Tsutsui, Yoshiro ; Hirayama, Kenjiro.
    In: Discussion Papers in Economics and Business.
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  442. Time-dependent Hurst exponent in financial time series. (2004). Carbone, A. ; Stanley, H. E. ; Castelli, G..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:344:y:2004:i:1:p:267-271.

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  443. A comparison of high-frequency cross-correlation measures. (2004). Iori, Giulia ; Precup, Ovidiu V..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:344:y:2004:i:1:p:252-256.

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  444. Real prices from spot foreign exchange market. (2004). Petroni, Filippo ; Serva, Maurizio .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:344:y:2004:i:1:p:194-197.

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  445. An interest rates cluster analysis. (2004). Mantegna, Rosario ; Di Matteo, T. ; Aste, T..
    In: Physica A: Statistical Mechanics and its Applications.
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  446. Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects. (2004). Alexander, Carol.
    In: Journal of Banking & Finance.
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  447. Extreme value theory and Value-at-Risk: Relative performance in emerging markets. (2004). Selcuk, Faruk ; Gencay, Ramazan.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:20:y:2004:i:2:p:287-303.

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  448. High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market. (2004). Tyurin, Konstantin.
    In: Econometric Society 2004 North American Summer Meetings.
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  449. Realized Variance and IID Market Microstructure Noise. (2004). Lunde, Asger ; Hansen, Peter.
    In: Econometric Society 2004 North American Summer Meetings.
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  450. Duration and Order Type Clusters. (2004). Ng, Wing Lon .
    In: Econometric Society 2004 Far Eastern Meetings.
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  451. Duration and Order Type Clusters. (2004). Ng, Wing Lon .
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:272.

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  452. Stochastic volatility models and the Taylor effect. (2004). Ruiz, Esther ; Mora-Galan, Alberto ; Perez, Ana .
    In: DES - Working Papers. Statistics and Econometrics. WS.
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  453. Central Bank forex interventions assessed using realized moments. (2004). Palm, Franz ; Laurent, Sébastien ; Beine, Michel.
    In: CORE Discussion Papers.
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  454. Mixture Processes for Financial Intradaily Durations. (2004). Gallo, Giampiero ; De Luca, Giovanni.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:8:y:2004:i:2:n:8.

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  455. On pricing of interest rate derivatives. (2004). Scalas, Enrico ; Di Matteo, T. ; Airoldi, M..
    In: Papers.
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  460. Spot foreign exchange market and time series. (2003). Petroni, Filippo ; Serva, M..
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
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  463. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole E..
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  464. Econometrics of testing for jumps in financial economics using bipower variation. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
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  465. Power and bipower variation with stochastic volatility and jumps. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
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  466. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
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  467. Limit order market analysis and modelling: on a universal cause for over-diffusive prices. (2003). Challet, Damien ; Stinchcombe, Robin .
    In: Physica A: Statistical Mechanics and its Applications.
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  468. High volatility, thick tails and extreme value theory in value-at-risk estimation. (2003). Selcuk, Faruk ; Gencay, Ramazan ; Ulugulyagci, Abdurrahman.
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  469. Measuring and modeling systematic risk in factor pricing models using high-frequency data. (2003). Bollerslev, Tim ; Zhang, Benjamin Y. B., .
    In: Journal of Empirical Finance.
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    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:6:p:909-935.

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  471. Is a transactions tax an effective means to stabilize the foreign exchange market?. (2003). Terzi, Andrea.
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  472. Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models. (2003). Barndorff-Nielsen, Ole.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:30:y:2003:i:2:p:277-295.

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  473. Using the Scaling Analysis to Characterize Financial Markets. (2003). Dacorogna, Michel ; Aste, T. ; Di Matteo, T..
    In: Papers.
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  474. Modelling Different Volatility Components. (2002). Feng, Yuanhua.
    In: CoFE Discussion Papers.
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  475. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

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  476. Measuring and forecasting financial variability using realised variance with and without a model. (2002). Nielsen, Bent ; Ysusi, Carla .
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:2002-w21.

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  477. Measuring and forecasting financial variability using realised variance with and without a model. (2002). Shephard, Neil ; Nielsen, Bent ; Barndorff-Nielsen, Ole ; Ysusi, Carla .
    In: Economics Papers.
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  478. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics. (2002). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
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  479. CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
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  480. Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: Cahiers de recherche.
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  481. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-20.

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  482. A theoretical comparison between integrated and realized volatility. (2002). Meddahi, Nour.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:479-508.

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  483. Intra-Day Features of Realized Volatility: Evidence from an Emerging Market. (2002). Stengos, Thanasis ; SaltoÄŸlu, Burak ; Kayahan, Burc ; Saltoglu, Burak .
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  484. Price Leadership in the Spot Foreign Exchange Market. (2002). Sapp, Stephen G..
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    RePEc:cup:jfinqa:v:37:y:2002:i:03:p:425-448_00.

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  485. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
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  486. Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
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  487. Econometric analysis of realized volatility and its use in estimating stochastic volatility models. (2002). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Journal of the Royal Statistical Society Series B.
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  489. Integrated OU Processes and non-Gaussian OU-based stochastic volatility models. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole E..
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    RePEc:oxf:wpaper:2001-w01.

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  490. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0104.

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  491. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-26.

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  492. Differentiating intraday seasonalities through wavelet multi-scaling. (2001). Gencay, Ramazan ; Whitcher, Brandon ; Genay, Ramazan ; Seluk, Faruk .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:289:y:2001:i:3:p:543-556.

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  493. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-71.

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  494. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

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    In: Studies in Nonlinear Dynamics & Econometrics.
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