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Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2011). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole E..
In: Journal of Econometrics.
RePEc:eee:econom:v:162:y:2011:i:2:p:149-169.

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  43. Dynamic Realized Minimum Variance Portfolio Models. (2023). Kim, Donggyu ; Oh, Minseog.
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  60. A study on volatility spurious almost integration effect: A threshold realized GARCH approach. (2021). Xu, Dinghai.
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  81. Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Wang, Wenjing ; Tao, Minjing.
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  82. Time series models for realized covariance matrices based on the matrix-F distribution. (2020). Zhu, Ke ; Li, Wai Keung ; Zhou, Jiayuan ; Jiang, Feiyu.
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  83. Multivariate realized volatility forecasts of agricultural commodity futures. (2019). Chen, Langnan ; Luo, Jiawen.
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  84. Flexible covariance dynamics, high‐frequency data, and optimal futures hedging. (2019). Lai, Yusheng.
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  86. Price discovery in a continuous-time setting. (2019). Fernandes, Marcelo ; Dias, Gustavo Fruet ; Scherrer, Cristina Mabel.
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  88. Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value. (2019). Zhang, Yaojie ; Wei, YU ; Liu, LI.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:19:y:2019:i:9:p:1425-1438.

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  89. Laws of large numbers for Hayashi–Yoshida-type functionals. (2019). Martin, Ole ; Vetter, Mathias.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00390-7.

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  90. Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks. (2019). GUPTA, RANGAN ; Asai, Manabu.
    In: Working Papers.
    RePEc:pre:wpaper:201951.

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  91. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). GUPTA, RANGAN ; Asai, Manabu.
    In: Working Papers.
    RePEc:pre:wpaper:201925.

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  92. Factor High-Frequency-Based Volatility (HEAVY) Models. (2019). Xu, Wen ; Sheppard, Kevin.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:17:y:2019:i:1:p:33-65..

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

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  94. Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the US Experience. (2019). Ehouman, Yao Axel.
    In: Working Papers.
    RePEc:hal:wpaper:hal-04141868.

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  95. Second-order control of complex systems with correlated synthetic data. (2019). Raimbault, Juste.
    In: Post-Print.
    RePEc:hal:journl:halshs-02376968.

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  96. High-dimensional multivariate realized volatility estimation. (2019). Nyawa, Serge Luther ; Meddahi, Nour ; Bollerslev, Tim.
    In: Post-Print.
    RePEc:hal:journl:hal-04947294.

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  97. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). GUPTA, RANGAN ; Asai, Manabu ; McAleer, Michael.
    In: Energies.
    RePEc:gam:jeners:v:12:y:2019:i:17:p:3379-:d:263215.

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  98. Bivariate Volatility Modeling with High-Frequency Data. (2019). Matei, Marius ; Rovira, Xari ; Agell, Nuria.
    In: Econometrics.
    RePEc:gam:jecnmx:v:7:y:2019:i:3:p:41-:d:267457.

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  99. Realized variance modeling: decoupling forecasting from estimation. (2019). Gallo, Giampiero ; Cipollini, Fabrizio ; Palandri, Alessandro.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2019_05.

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  100. The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures. (2019). GUPTA, RANGAN ; Asai, Manabu.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:115614.

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  101. The signal and the noise volatilities. (2019). Chaker, Selma.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:50:y:2019:i:c:p:79-105.

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

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  103. Dynamic hedging using the realized minimum-variance hedge ratio approach – Examination of the CSI 300 index futures. (2019). Wang, Tianyang ; Zhang, YI ; Sun, Pengfei ; Qu, Hui.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x1830101x.

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  104. Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?. (2019). Bonato, Matteo.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:62:y:2019:i:c:p:184-202.

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  105. Good and bad volatility spillovers: An asymmetric connectedness. (2019). BenSaïda, Ahmed ; Bensaida, Ahmed.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95.

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  106. Exponential smoothing of realized portfolio weights. (2019). Golosnoy, Vasyl ; Seifert, Miriam Isabel ; Gribisch, Bastian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:53:y:2019:i:c:p:222-237.

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  107. Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:221-240.

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  108. High-dimensional multivariate realized volatility estimation. (2019). Bollerslev, Tim ; Nyawa, Serge ; Meddahi, Nour.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:1:p:116-136.

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  109. Structured volatility matrix estimation for non-synchronized high-frequency financial data. (2019). Kim, Donggyu ; Fan, Jianqing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:209:y:2019:i:1:p:61-78.

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  110. Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Kim, Donggyu ; Fan, Jianqing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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  111. Estimating the integrated volatility with tick observations. (2019). Li, Yingying ; Zheng, Xinghua ; Jacod, Jean.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:1:p:80-100.

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  112. Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Xiu, Dacheng ; Lu, Kun ; Dai, Chaoxing.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

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  113. Large-dimensional factor modeling based on high-frequency observations. (2019). Pelger, Markus.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:1:p:23-42.

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  114. On a spiked model for large volatility matrix estimation from noisy high-frequency data. (2019). Li, Wai Keung ; Shen, Keren ; Yao, Jianfeng.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:131:y:2019:i:c:p:207-221.

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  115. Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the US Experience. (2019). Ehouman, Yao Axel.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2019-19.

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  116. A Vine-copula extension for the HAR model. (2019). Magris, Martin.
    In: Papers.
    RePEc:arx:papers:1907.08522.

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  117. Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu.
    In: Papers.
    RePEc:arx:papers:1907.01196.

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  118. A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2019). Buccheri, Giuseppe ; Bormetti, Giacomo ; Corsi, Fulvio ; Lillo, Fabrizio.
    In: Papers.
    RePEc:arx:papers:1803.04894.

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  119. The Economic Value of VIX ETPs. (2019). Christiansen, Charlotte ; Christensen, Kim ; Posselt, Anders M.
    In: CREATES Research Papers.
    RePEc:aah:create:2019-14.

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  120. Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2018). Omori, Yasuhiro ; Kurose, Yuta.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2018cf1075.

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  121. A latent dynamic factor approach to forecasting multivariate stock market volatility. (2018). Gribisch, Bastian.
    In: Empirical Economics.
    RePEc:spr:empeco:v:55:y:2018:i:2:d:10.1007_s00181-017-1278-6.

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  122. Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2018). Maheu, John ; Jin, Xin ; Yang, Qiao.
    In: Working Paper series.
    RePEc:rim:rimwps:18-02.

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  123. Dynamic hedging with futures: a copula-based GARCH model with high-frequency data. (2018). Lai, Yu-Sheng.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-018-9142-1.

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  124. A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. (2018). Feng, Phoenix ; Lam, Clifford.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:88375.

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  125. Dynamic hedging performance and downside risk: Evidence from Nikkei index futures. (2018). Ubukata, Masato.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:58:y:2018:i:c:p:270-281.

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  126. Do co-jumps impact correlations in currency markets?. (2018). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:37:y:2018:i:c:p:97-119.

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

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

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  129. A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. (2018). Feng, Phoenix ; Lam, Clifford.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:206:y:2018:i:1:p:226-257.

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  130. Estimating the integrated volatility using high-frequency data with zero durations. (2018). Liu, Zhi ; Kong, Xin-Bing ; Jing, Bing-Yi.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:204:y:2018:i:1:p:18-32.

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  131. Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. (2018). Kim, Donggyu ; Wang, Yazhen ; Kong, Xin-Bing ; Li, Cui-Xia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:203:y:2018:i:1:p:69-79.

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  132. Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:202:y:2018:i:2:p:178-195.

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  133. High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhihong ; Zhu, Zhican ; Deng, Pingjun.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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  134. Volatility, diversification and contagion. (2018). Sentana, Enrique.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12824.

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  135. Volatility, Diversification and Contagion. (2018). Sentana, Enrique.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2018_1803.

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  136. Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Voigt, Stefan ; Hautsch, Nikolaus.
    In: Papers.
    RePEc:arx:papers:1709.06296.

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  137. Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann.
    In: Papers.
    RePEc:arx:papers:1603.05700.

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  138. On the Gains of Using High Frequency Data in Portfolio Selection. (2018). Sebastião, Helder ; Brito, Rui Pedro ; Godinho, Pedro ; Sebastio, Helder.
    In: Scientific Annals of Economics and Business (continues Analele Stiintifice).
    RePEc:aic:saebjn:v:65:y:2018:i:4:p:365-383:n:124.

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  139. Realizing Correlations Across Asset Classes. (2018). Vander Elst, Harry ; Gronborg, Niels S ; Olesen, Kasper V ; Lunde, Asger.
    In: CREATES Research Papers.
    RePEc:aah:create:2018-37.

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  140. Cross-sectional noise reduction and more efficient estimation of Integrated Variance. (2018). Mirone, Giorgio.
    In: CREATES Research Papers.
    RePEc:aah:create:2018-18.

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  141. Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information. (2017). Hautsch, Nikolaus ; Voigt, Stefan.
    In: VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
    RePEc:zbw:vfsc17:168222.

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  142. Large-scale portfolio allocation under transaction costs and model uncertainty. (2017). Voigt, Stefan ; Hautsch, Nikolaus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:582.

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  143. Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns. (2017). Lucas, Andre ; Opschoor, Anne.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20160069.

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  144. The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility. (2017). Li, W K ; Ng, F C.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:35:y:2017:i:4:p:513-527.

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  145. Forecasting REIT volatility with high-frequency data: a comparison of alternative methods. (2017). Zhou, Jian.
    In: Applied Economics.
    RePEc:taf:applec:v:49:y:2017:i:26:p:2590-2605.

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  146. Time endogeneity and an optimal weight function in pre-averaging covariance estimation. (2017). Koike, Yuta.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:20:y:2017:i:1:d:10.1007_s11203-016-9135-3.

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  147. Portfolio choice with high frequency data: CRRA preferences and the liquidity effect. (2017). Sebastião, Helder ; Godinho, Pedro ; Brito, Rui ; Sebastio, H.
    In: Portuguese Economic Journal.
    RePEc:spr:portec:v:16:y:2017:i:2:d:10.1007_s10258-017-0131-3.

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

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  149. Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Maheu, John ; Jin, Xin ; Yang, Qiao.
    In: MPRA Paper.
    RePEc:pra:mprapa:81920.

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  150. Contagion in cyber security attacks. (2017). Williams, Julian ; Gheyas, Iffat ; Pym, David ; Ioannidis, Christos ; Baldwin, Adrian .
    In: Journal of the Operational Research Society.
    RePEc:pal:jorsoc:v:68:y:2017:i:7:d:10.1057_jors.2016.37.

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  151. Nonlinear shrinkage estimation of large integrated covariance matrices. (2017). Feng, Phoenix ; Lam, Clifford ; Hu, Charlie.
    In: Biometrika.
    RePEc:oup:biomet:v:104:y:2017:i:2:p:481-488..

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  152. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Sauri, Orimar ; Boudt, Kris.
    In: Post-Print.
    RePEc:hal:journl:hal-01505775.

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  153. Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
    In: Econometrics.
    RePEc:gam:jecnmx:v:5:y:2017:i:2:p:16-:d:95642.

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  154. Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity. (2017). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2017_02.

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  155. Nonlinear shrinkage estimation of large integrated covariance matrices. (2017). Feng, Phoenix ; Lam, Clifford ; Hu, Charlie.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:69812.

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

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  157. Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Shirota, Shinichiro ; Lopes, Hedibert F ; Piao, Haixiang.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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  158. A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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  159. Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Xiu, Dacheng ; Ait-Sahalia, Yacine.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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

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

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

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

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  164. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Boudt, Kris ; Sauri, Orimar ; Lunde, Asger.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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

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  166. Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2016). Omori, Yasuhiro ; Kurose, Yuta.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2016cf1024.

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  167. Cholesky Realized Stochastic Volatility Model. (2016). Omori, Yasuhiro ; Shirota, Shinichiro ; Lopes, Hedibert F ; Piao, Haixiang.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2016cf1019.

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

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  169. Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data. (2016). Xiu, Dacheng ; Fan, Jianqing ; Furger, Alex.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:34:y:2016:i:4:p:489-503.

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  170. Exponential GARCH Modeling With Realized Measures of Volatility. (2016). Huang, Zhuo ; Hansen, Peter.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:34:y:2016:i:2:p:269-287.

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  171. Bayesian Nonparametric Estimation of Ex-post Variance. (2016). Maheu, John ; Liu, Jia ; Griffin, Jim.
    In: MPRA Paper.
    RePEc:pra:mprapa:71220.

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

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  173. Comovement and the financialization of commodities. (2016). Taschini, Luca ; Bonato, Matteo.
    In: GRI Working Papers.
    RePEc:lsg:lsgwps:wp215.

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  174. Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect. (2016). Sebastião, Helder ; Godinho, Pedro ; Brito, Rui ; Sebastio, Helder.
    In: GEMF Working Papers.
    RePEc:gmf:wpaper:2016-13..

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  175. Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect. (2016). Sebastião, Helder ; Brito, Rui Pedro ; Godinho, Pedro ; Sebastio, Helder.
    In: GEMF Working Papers.
    RePEc:gmf:wpaper:2016-13.

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  176. Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2016_04.

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  177. Forecasting Exchange Rate Volatility: The Case of the Czech Republic, Hungary and Poland. (2016). Molnár, Peter ; Lyócsa, Štefan ; Fedorko, Igor.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:66:y:2016:i:5:p:453-475.

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  178. Estimating Probability of Informed Trading on the Bucharest Stock Exchange. (2016). Toma, Filip Mihai ; Cepoi, Cosmin Octavian.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:66:y:2016:i:3:p:140-160.

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  179. Asymptotic theory for large volatility matrix estimation based on high-frequency financial data. (2016). Kim, Donggyu ; Wang, Yazhen ; Zou, Jian.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:126:y:2016:i:11:p:3527-3577.

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

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  181. Intra-day realized volatility for European and USA stock indices. (2016). Floros, Christos ; Degiannakis, Stavros.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:29:y:2016:i:c:p:24-41.

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  182. Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

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  183. Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Xiu, Dacheng ; Ait-Sahalia, Yacine.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

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  184. A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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  185. Bayesian semiparametric modeling of realized covariance matrices. (2016). Maheu, John ; Jin, Xin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:192:y:2016:i:1:p:19-39.

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  186. Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (2016). LINTON, OLIVER ; Park, Sujin ; Hong, Seok Young.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:191:y:2016:i:2:p:325-347.

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  187. Managing risk with a realized copula parameter. (2016). Okhrin, Ostap ; Fengler, Matthias.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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  188. Inference for Multi-dimensional High-frequency Data with an Application to Conditional Independence Testing. (2016). Mykland, Per A ; Bibinger, Markus.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:43:y:2016:i:4:p:1078-1102.

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  189. Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
    In: Papers.
    RePEc:arx:papers:1604.01338.

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  190. Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps. (2016). Ho, Michael ; Xin, Jack.
    In: Papers.
    RePEc:arx:papers:1602.02185.

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  191. Estimation of integrated quadratic covariation with endogenous sampling times. (2016). Potiron, Yoann ; Mykland, Per.
    In: Papers.
    RePEc:arx:papers:1507.01033.

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  192. Cholesky Realized Stochasti Volatility Model. (2016). Piao, Haixiang ; Lopes, Hedibert ; Omori, Yashiro ; Shirota, Shinichiro.
    In: Business and Economics Working Papers.
    RePEc:aap:wpaper:224.

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  193. Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-10.

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  194. Volatility Discovery. (2016). Dias, Gustavo Fruet ; Papailias, Fotis ; Scherrer, Cristina M.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-07.

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  195. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). Asai, Manabu ; McAleer, Michael.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1502.

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  196. Cholesky Realized Stochastic Volatility Model. (2015). Omori, Yasuhiro ; Shirota, Shinichiro ; Lopes, Hedibert F ; Piao, Haixiang.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2015cf979.

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  197. The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling. (2015). Sato, Seisho ; Kunitomo, Naoto ; Misaki, Hiroumi .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2015cf965.

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  198. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). Asai, Manabu ; McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150018.

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  199. New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels. (2015). van Dijk, Dick ; Lucas, Andre ; Janus, Pawel ; André Lucas, ; Opschoor, and Anne .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140073.

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  200. Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps. (2015). Vetter, Mathias ; Bibinger, Markus.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:67:y:2015:i:4:p:707-743.

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  201. Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data. (2015). Caldeira, Joo F ; Ziegelmann, Flavio Augusto ; Borges, Bruna.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:35:y:2015:i:1:a:21453.

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  202. Estimation of volatility measures using high frequency data (in Russian). (2015). Kalnina, Ilze ; Sizova, Natalia.
    In: Quantile.
    RePEc:qnt:quantl:y:2015:i:13:p:3-14.

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  203. Intra-Day Realized Volatility for European and USA Stock Indices. (2015). Floros, Christos ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:64940.

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  204. Principal Component Analysis of High Frequency Data. (2015). Xiu, Dacheng ; Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21584.

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  205. Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas. (2015). Kalnina, Ilze.
    In: Cahiers de recherche.
    RePEc:mtl:montec:13-2015.

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  206. Inference for nonparametric high-frequency estimators with an application to time variation in betas. (2015). Kalnina, Ilze.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2015-08.

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  207. The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling. (2015). Sato, Seisho ; Kunitomo, Naoto ; Misaki, Hiroumi .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:22:y:2015:i:3:p:333-368.

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  208. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). Asai, Manabu.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:78068.

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  209. Functional stable limit theorems for quasi-efficient spectral covolatility estimators. (2015). Altmeyer, Randolf ; Bibinger, Markus.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:12:p:4556-4600.

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  210. Volatility forecast of stock indices by model averaging using high-frequency data. (2015). Nishiyama, Yoshihiko ; Wang, Chengyang.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:40:y:2015:i:c:p:324-337.

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

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  212. Macroannouncements, bond auctions and rating actions in the European government bond spreads. (2015). Urga, Giovanni ; Boffelli, Simona.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:53:y:2015:i:c:p:148-173.

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  213. Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH. (2015). Dark, Jonathan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s269-s285.

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  214. Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance. (2015). Asai, Manabu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:189:y:2015:i:2:p:251-262.

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  215. Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing. (2015). Asai, Manabu ; McAleer, Michael.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:436-446.

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  216. Econometrics of co-jumps in high-frequency data with noise. (2015). Bibinger, Markus ; Winkelmann, Lars.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:184:y:2015:i:2:p:361-378.

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  217. The Effect of Macro News on Volatility and Jumps. (2015). VORTELINOS, DIMITRIOS.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2015:v:16:i:2:vortelinos.

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  218. MGARCH models: tradeoff between feasibility and flexibility. (2015). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws1516.

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  219. Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage. (2015). Anatolyev, Stanislav ; Kobotaev, Nikita.
    In: Working Papers.
    RePEc:cfr:cefirw:w0213.

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  220. Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover. (2015). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Barunik, Jozef.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_5305.

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  221. Long Memory and Asymmetry for Matrix-Exponential Dynamic Correlation Processes. (2015). Asai, Manabu ; So Mike K. P., ; Manabu, Asai.
    In: Journal of Time Series Econometrics.
    RePEc:bpj:jtsmet:v:7:y:2015:i:1:p:26:n:2.

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  222. Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage. (2015). Anatolyev, Stanislav ; Kobotaev, Nikita.
    In: Working Papers.
    RePEc:abo:neswpt:w0213.

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  223. A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. (2015). Hansen, Peter ; Archakov, Ilya ; HOREL, GUILLAUME ; Lunde, Asger.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-19.

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  224. Functional stable limit theorems for efficient spectral covolatility estimators. (2014). Bibinger, Markus ; Altmeyer, Randolf.
    In: SFB 649 Discussion Papers.
    RePEc:zbw:sfb649:sfb649dp2014-005.

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  225. Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market?. (2014). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even.
    In: FinMaP-Working Papers.
    RePEc:zbw:fmpwps:13.

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  226. Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. (2014). Asai, Manabu ; McAleer, Michael.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1405.

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  227. Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. (2014). Asai, Manabu ; McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20140037.

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  228. Market variance risk premiums in Japan for asset predictability. (2014). Watanabe, Toshiaki ; Ubukata, Masato.
    In: Empirical Economics.
    RePEc:spr:empeco:v:47:y:2014:i:1:p:169-198.

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  229. 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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  230. Bayesian Semiparametric Modeling of Realized Covariance Matrices. (2014). Maheu, John ; Jin, Xin.
    In: Working Paper series.
    RePEc:rim:rimwps:34_14.

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  231. Bayesian Semiparametric Modeling of Realized Covariance Matrices. (2014). Maheu, John ; Jin, Xin.
    In: MPRA Paper.
    RePEc:pra:mprapa:60102.

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  232. Factor High-Frequency Based Volatility (HEAVY) Models. (2014). Sheppard, Kevin.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:710.

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  233. Quasi-likelihood analysis for nonsynchronously observed diffusion processes. (2014). Ogihara, Teppei ; Yoshida, Nakahiro.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:124:y:2014:i:9:p:2954-3008.

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  234. Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling. (2014). Koike, Yuta.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:124:y:2014:i:8:p:2699-2753.

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  235. Cojumps in stock prices: Empirical evidence. (2014). Shackleton, Mark ; Taylor, Stephen J. ; Gilder, Dudley.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:443-459.

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

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  237. Covariance estimation using high-frequency data: Sensitivities of estimation methods. (2014). Veka, Steinar ; Westgaard, Sjur ; Lien, Gudbrand ; Haugom, Erik.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:43:y:2014:i:c:p:416-425.

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  238. Robust ranking of multivariate GARCH models by problem dimension. (2014). Caporin, Massimiliano.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:172-185.

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  239. Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance. (2014). Asai, Manabu.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:14/10.

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  240. Spectral Estimation of Covolatility from Noisy Observations Using Local Weights. (2014). Rei, Markus ; Bibinger, Markus.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:41:y:2014:i:1:p:23-50.

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  241. Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading. (2014). Hounyo, Ulrich.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-35.

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  242. Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. (2014). Quaedvlieg, Rogier ; Laurent, Sébastien ; Boudt, Kris ; Lunde, Asger.
    In: CREATES Research Papers.
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  243. Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange. (2014). Olesen, Kasper V. ; Lunde, Asger.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-19.

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  244. Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps. (2013). Vetter, Mathias ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:zbw:sfb649:sfb649dp2013-029.

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  245. Econometrics of co-jumps in high-frequency data with noise. (2013). Winkelmann, Lars ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:zbw:sfb649:sfb649dp2013-021.

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  246. Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency. (2013). Reiss, Markus ; Malec, Peter ; Hautsch, Nikolaus ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:zbw:sfb649:sfb649dp2013-017.

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  247. Inference for multi-dimensional high-frequency data: Equivalence of methods, central limit theorems, and an application to conditional independence testing. (2013). Mykland, Per A ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:zbw:sfb649:sfb649dp2013-006.

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  248. Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing. (2013). Asai, Manabu ; McAleer, Michael.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1302.

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  249. Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing. (2013). Asai, Manabu ; McAleer, Michael.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130003.

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  250. Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing. (2013). Asai, Manabu ; McAleer, Michael.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:840.

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  251. Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps. (2013). Vetter, Mathias ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-029.

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  252. Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency. (2013). Malec, Peter ; Hautsch, Nikolaus ; Reiss, Markus ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-017.

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  253. Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling. (2013). Koike, Yuta.
    In: Global COE Hi-Stat Discussion Paper Series.
    RePEc:hst:ghsdps:gd12-276.

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  254. Conditional alphas and realized betas. (2013). Fernandes, Marcelo ; Distaso, Walter ; Corradi, Valentina.
    In: Textos para discussão.
    RePEc:fgv:eesptd:341.

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  255. Portfolio analysis of intraday covariance matrix in the Greek equity market. (2013). VORTELINOS, DIMITRIOS.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:27:y:2013:i:1:p:66-79.

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  256. On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes. (2013). Christensen, Kim ; Vetter, Mathias ; Podolskij, Mark.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:120:y:2013:i:c:p:59-84.

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  257. Dynamic stock market covariances in the Eurozone. (2013). Suurlaht, Anita ; Connor, Gregory.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:37:y:2013:i:c:p:353-370.

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  258. Financial Risk Measurement for Financial Risk Management. (2013). Andersen, Torben G ; Bollerslev, Tim ; Christoffersen, Peter F ; Diebold, Francis X.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-1127-1220.

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  259. 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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  260. Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach. (2013). SONG, ZHAOGANG ; Chen, Bin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:1:p:83-107.

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  261. Bootstrapping realized multivariate volatility measures. (2013). Meddahi, Nour ; Goncalves, Silvia ; Dovonon, Prosper ; Gonalves, Silvia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:172:y:2013:i:1:p:49-65.

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  262. Volatility Forecasting when the Noise Variance Is Time-Varying. (2013). Meddahi, Nour ; Chaker, Selma.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-48.

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

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  264. Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns. (2013). Meddahi, Nour ; Goncalves, Silvia ; Hounyo, Ulrich ; Gonalves, Silvia.
    In: CREATES Research Papers.
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  265. Realized copula. (2012). Okhrin, Ostap ; Fengler, Matthias.
    In: SFB 649 Discussion Papers.
    RePEc:zbw:sfb649:sfb649dp2012-034.

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  266. Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2012:14.

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  267. Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. (2012). Corsi, Fulvio ; Audrino, Francesco ; Peluso, Stefano.
    In: Economics Working Paper Series.
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  268. Robust Ranking of Multivariate GARCH Models by Problem Dimension. (2012). Caporin, Massimiliano ; McAleer, Michael.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1206.

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  269. Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices. (2012). Xiu, Dacheng ; Shephard, Neil.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:604.

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  270. Efficient and feasible inference for the components of financial variation using blocked multipower variation. (2012). Sheppard, Kevin ; Shephard, Neil ; Mykland, Per A..
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:593.

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  271. Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices. (2012). Shephard, Neil ; Xiu, Dacheng.
    In: Economics Papers.
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    RePEc:cir:cirwor:2004s-19.

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  36. The Informational Content of Over-the-Counter Currency Options. (2004). Mazzotta, Stefano.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-16.

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  37. Estimation Risk in Financial Risk Management. (2004). Goncalves, Silvia ; Gonalves, Silvia.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-15.

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  38. Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Zaffaroni, Paolo ; Pesaran, Mohammad.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1358.

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  39. Risk and Volatility: Econometric Models and Financial Practice. (2004). Engle, Robert.
    In: American Economic Review.
    RePEc:aea:aecrev:v:94:y:2004:i:3:p:405-420.

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  40. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: PIER Working Paper Archive.
    RePEc:pen:papers:03-013.

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  41. Econometrics of testing for jumps in financial economics using bipower variation. (2003). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0321.

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  42. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Graversen, Svend Erik .
    In: Economics Papers.
    RePEc:nuf:econwp:0319.

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  43. Power and bipower variation with stochastic volatility and jumps. (2003). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0318.

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  44. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9915.

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  45. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?. (2003). Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9875.

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  46. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9664.

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  47. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise. (2003). Ait-Sahalia, Yacine ; Mykland, Per A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9611.

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  48. 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.
    RePEc:mtl:montde:2002-21.

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  49. 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.
    RePEc:cir:cirwor:2002s-91.

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  50. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (). Diebold, Francis ; Brandt, Michael W. ; April, .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-15.

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