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Separating microstructure noise from volatility. (2006). Bandi, Federico M. ; Russell, Jeffrey R..
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:79:y:2006:i:3:p:655-692.

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  2. New insights into liquidity resiliency. (2024). Papavassiliou, Vassilios ; Boubaker, Sabri ; Osullivan, Conall ; Wafula, Ronald Wekesa.
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  3. The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike.
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  4. Procyclical volatility in Chinese stock markets. (2022). Liu, Xiaoquan ; Jiang, Ying ; Fei, Tianlun ; Deschamps, Bruno.
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  5. Ambiguity and the Tradeoff Theory of Capital Structure. (2022). Zender, Jaime F ; Yermack, David ; Izhakian, Yehuda.
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  6. Asymmetric volatility dynamics in cryptocurrency markets on multi-time scales. (2022). Umeno, Ken ; Kakinaka, Shinji.
    In: Research in International Business and Finance.
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  8. The intraday dynamics and intraday price discovery of bitcoin. (2022). Yuan, Yulin ; Wang, Xinyi ; Su, Fei.
    In: Research in International Business and Finance.
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  9. New formulations of ambiguous volatility with an application to optimal dynamic contracting. (2022). Hansen, Peter G.
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  10. New evidence on market response to public announcements in the presence of microstructure noise. (2022). Irwin, Scott ; Garcia, Philip ; Serra, Teresa ; Bian, Siyu.
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  11. Local mispricing and microstructural noise: A parametric perspective. (2022). Hautsch, Nikolaus ; Cebiroglu, Gokhan ; Archakov, Ilya ; Andersen, Torben G.
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  12. The drift burst hypothesis. (2022). Reno, Roberto ; Oomen, Roel ; Christensen, Kim.
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  15. Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira.
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  18. Managing volatility in commodity momentum. (2021). Wang, Ying ; Xu, QI.
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  19. An empirical study on the role of trading volume and data frequency in volatility forecasting. (2021). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min.
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  20. Measuring the Jump Risk Contribution under Market Microstructure Noise – Evidence from Chinese Stock Market. (2021). Zhao, Xujie ; Yu, Chao.
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    RePEc:rjr:romjef:v::y:2021:i:1:p:32-47.

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  21. The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2021). Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike G ; Murphy, Anthony.
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  22. Forecasting Volatility for an Optimal Portfolio with Stylized Facts Using Copulas. (2021). Belkacem, Lotfi ; Boubaker, Heni ; Karmous, Aida.
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    RePEc:kap:compec:v:58:y:2021:i:2:d:10.1007_s10614-020-10041-1.

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  23. Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2021). Omori, Yasuhiro ; Watanabe, Toshiaki ; Takahashi, Makoto.
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  24. Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets. (2021). Umeno, Ken ; Kakinaka, Shinji.
    In: Physica A: Statistical Mechanics and its Applications.
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  25. Economic policy uncertainty and gold return dynamics: Evidence from high-frequency data. (2021). Demirer, Riza ; Zhang, Hongwei ; Suleman, Muhammad Tahir ; Huang, Wanjun.
    In: Resources Policy.
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  26. Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market. (2021). Lo, Ingrid ; Lin, Hai ; Qiao, Rui.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002119.

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  27. Information shares and market quality before and during the European sovereign debt crisis. (2021). Papavassiliou, Vassilios ; Kinateder, Harald.
    In: Journal of International Financial Markets, Institutions and Money.
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  28. Nothing but noise? Price discovery across cryptocurrency exchanges. (2021). Peter, Franziska J ; Dimpfl, Thomas.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:54:y:2021:i:c:s1386418120300537.

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  29. Herding and market volatility. (2021). Liu, Xiaoquan ; Fei, Tianlun.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:78:y:2021:i:c:s105752192100209x.

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  30. Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting. (2021). Lee, Chien-Chiang ; Liu, Min.
    In: Energy Economics.
    RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004874.

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  31. President’s Tweets, US-China economic conflict and stock market Volatility: Evidence from China and G5 countries. (2021). Sun, Bianxia ; Nishimura, Yusaku.
    In: The North American Journal of Economics and Finance.
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  32. Same firm, two volatilities: How variance risk is priced in credit and equity markets. (2021). Tortorice, Daniel ; Kita, Arben.
    In: Journal of Corporate Finance.
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  33. An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia.
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  34. Trumps tweets: Sentiment, stock market volatility, and jumps. (2021). Sun, Bianxia ; Dong, Xuyi ; Nishimura, Yusaku.
    In: Journal of Financial Research.
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  35. New Formulations of Ambiguous Volatility with an Application to Optimal Dynamic Contracting. (2021). Hansen, Peter G.
    In: Papers.
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  36. Realised volatility and parametric estimation of Heston SDEs. (2020). Timofeyev, Ilya ; Ren, Peng ; Azencott, Robert.
    In: Finance and Stochastics.
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  37. Volatility estimation and jump detection for drift–diffusion processes. (2020). Shi, Shuping ; Laurent, Sébastien.
    In: Post-Print.
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  38. Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds. (2020). Jurdi, Doureige.
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  39. Macro factors and the realized volatility of commodities: A dynamic network analysis. (2020). Zhang, Dayong ; Wei, Lijian ; Ji, Qiang ; Hu, Min.
    In: Resources Policy.
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  40. On the term structure of liquidity in the European sovereign bond market. (2020). Papavassiliou, Vassilios ; Osullivan, Conall.
    In: Journal of Banking & Finance.
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  41. Rough volatility of Bitcoin. (2020). Takaishi, Tetsuya.
    In: Finance Research Letters.
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  42. More heat than light: Investor attention and bitcoin price discovery. (2020). Rzayev, Khaladdin ; McGroarty, Frank ; Ibikunle, Gbenga.
    In: International Review of Financial Analysis.
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  43. Volatility estimation and jump detection for drift–diffusion processes. (2020). Shi, Shuping ; Laurent, Sebastien.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:217:y:2020:i:2:p:259-290.

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  44. Dependent microstructure noise and integrated volatility estimation from high-frequency data. (2020). Laeven, Roger ; Vellekoop, Michel H ; Li, Merrick Z.
    In: Journal of Econometrics.
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  45. The distribution of index futures realised volatility under seasonality and microstructure noise. (2020). Salvador, Enrique ; Arago, Vicent ; Alemany, Nuria.
    In: Economic Modelling.
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  46. Asymptotic results for the Fourier estimator of the integrated quarticity. (2019). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia.
    In: Decisions in Economics and Finance.
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  47. Asymptotic properties of the realized skewness and related statistics. (2019). Liu, Zhi ; Koike, Yuta.
    In: Annals of the Institute of Statistical Mathematics.
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  48. Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets. (2019). .
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  49. When do low-frequency measures really measure transaction costs?. (2019). Jahan-Parvar, Mohammad ; Zikes, Filip.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2019-51.

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  50. The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo.
    In: Working Papers.
    RePEc:fip:feddwp:1902.

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  51. Cross-sectional return dispersion and volatility prediction. (2019). Wen, Conghua ; Liu, Xiaoquan ; Fei, Tianlun.
    In: Pacific-Basin Finance Journal.
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  52. The asymmetric effect of equity volatility on credit default swap spreads. (2019). Lee, Hwang Hee ; Hyun, Jung-Soon.
    In: Journal of Banking & Finance.
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  53. Sovereign bond return prediction with realized higher moments. (2019). Papavassiliou, Vassilios ; Kinateder, Harald.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:62:y:2019:i:c:p:53-73.

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  54. The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2019). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:2:p:556-583.

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  55. Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya.
    In: Papers.
    RePEc:arx:papers:1904.12346.

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  56. Time-varying Limit Order Book Networks. (2018). Schienle, Melanie ; Liang, Chong ; Chen, Shi ; Hardle, Wolfgang Karl.
    In: IRTG 1792 Discussion Papers.
    RePEc:zbw:irtgdp:2018016.

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  57. Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices. (2018). Taylor, Stephen J ; Fan, Rui ; Sandri, Matteo .
    In: Journal of Futures Markets.
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  58. Realized networks. (2018). Nualart, Eulalia ; Brownlees, Christian ; Sun, Yucheng.
    In: Journal of Applied Econometrics.
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  59. Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei.
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  60. Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei.
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    RePEc:uts:finphd:2-2018.

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  61. Financial crises, price discovery, and information transmission: a high-frequency perspective. (2018). Füss, Roland ; Mager, Ferdinand ; Fuss, Roland ; ROLAND FÜSS, ; Zhao, LU ; Stein, Michael.
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  62. Volatility Estimation and Jump Detection for drift-diffusion Processes. (2018). Shi, Shuping ; Laurent, Sébastien.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01944449.

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  63. Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange. (2018). Takaishi, Tetsuya.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:500:y:2018:i:c:p:139-154.

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  64. New bid-ask spread estimators from daily high and low prices. (2018). Li, Zhiyong ; Adegbite, Emmanuel ; Lambe, Brendan .
    In: International Review of Financial Analysis.
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  65. Spot volatility estimation using the Laplace transform. (2018). Mancino, Maria Elvira ; Recchioni, Maria Cristina ; Curato, Imma Valentina .
    In: Econometrics and Statistics.
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  66. A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise. (2018). Li, Yingying ; Zhang, Zhiyuan.
    In: Journal of Econometrics.
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  67. The importance of hedging currency risk: Evidence from CNY and CNH. (2018). Du, Jiangze ; Lai, Kin Keung ; Hsu, Yuan-Teng ; Wang, Jying-Nan.
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  68. Muddying the waters: Who Induces Volatility in an Emerging Market?. (2018). Agudelo, Diego ; Gencay, Ramazan ; Yepes-Henao, Paula A.
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  69. Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y.
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  70. The drift burst hypothesis. (2018). Reno, Roberto ; Oomen, Roel ; Christensen, Kim.
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  71. The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim.
    In: CREATES Research Papers.
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  73. New Bid-Ask Spread Estimators from Daily High and Low Prices. (2017). Li, Zhiyong ; Lambe, Brendan ; Adegbite, Emmanuel.
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  74. Do International Investors Cause Stock Market Comovements? Comparing Responses of Cross-Listed Stocks between Accessible and Inaccessible Markets. (2017). Tsutsui, Yoshiro ; Hirayama, Kenjiro ; Nishimura, Yusaku.
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  75. Volatility forecasting in the Chinese commodity futures market with intraday data. (2017). Liu, Xiaoquan ; Ahmed, Shamim ; Jiang, Ying.
    In: Review of Quantitative Finance and Accounting.
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  76. Does corporate control matter to financial volatility?. (2017). Rungi, Armando ; Gianfagna, Laura.
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  77. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Sauri, Orimar ; Lunde, Asger ; Boudt, Kris.
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  78. Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping.
    In: International Review of Economics & Finance.
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  79. Volatility forecasting using high frequency data: The role of after-hours information and leverage effects. (2017). Zhu, Xuehong ; Zhong, Meirui ; Zhang, Hongwei.
    In: Resources Policy.
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  80. Economic evaluation of asymmetric and price range information in gold and general financial markets. (2017). Wu, Chih-Chiang ; Chiu, Junmao.
    In: Journal of International Money and Finance.
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  81. Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE.
    In: International Journal of Forecasting.
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  82. Time-varying continuous and jump betas: The role of firm characteristics and periods of stress. (2017). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali.
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  83. Inference in continuous systems with mildly explosive regressors. (2017). Yu, Jun ; Phillips, Peter ; Chen, YE ; PEter, ; JunYu, .
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  84. Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:200:y:2017:i:1:p:79-103.

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  85. Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K.
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  86. Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich.
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  87. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar .
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    RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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  88. Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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  89. Effect of the ban on short selling on market prices and volatility. (2017). Helmes, Uwe ; Smith, Tom ; Henker, Thomas .
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:57:y:2017:i:3:p:727-757.

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  90. Realized volatility and parametric estimation of Heston SDEs. (2017). Timofeyev, Ilya ; Ren, Peng ; Azencott, Robert .
    In: Papers.
    RePEc:arx:papers:1706.04566.

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  91. Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim.
    In: CREATES Research Papers.
    RePEc:aah:create:2017-30.

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  92. An International Comparison of Implied, Realized, and GARCH Volatility Forecasts. (2016). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:36:y:2016:i:12:p:1164-1193.

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  93. Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?. (2016). Winker, Peter ; Blancofernandez, Angela .
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:35:y:2016:i:2:p:113-146.

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  94. Gold, oil, and stocks: Dynamic correlations. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:42:y:2016:i:c:p:186-201.

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  95. Forecasting stock market volatility using Realized GARCH model: International evidence. (2016). Sharma, Prateek ; Vipul, .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:59:y:2016:i:c:p:222-230.

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  96. Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution. (2016). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:437-457.

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  97. Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:192:y:2016:i:1:p:1-18.

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  98. Jumps in equilibrium prices and asymmetric news in foreign exchange markets. (2016). Uctum, Remzi ; El Ouadghiri, Imane.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:54:y:2016:i:c:p:218-234.

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  99. An Unbiased Measure of Integrated Volatility in the Frequency Domain. (2016). Wang, Fangfang.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:37:y:2016:i:2:p:147-164.

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  100. 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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  101. 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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  102. The Drift Burst Hypothesis. (2016). Christensen, Kim ; Reno, Roberto ; Oomen, Roel.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-28.

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  103. Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach. (2016). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-27.

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  104. Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution. (2015). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2015cf975.

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  105. 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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  106. Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data. (2015). Mancino, Maria Elvira ; Recchioni, Maria Cristina.
    In: PLOS ONE.
    RePEc:plo:pone00:0139041.

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  107. Parametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk. (2015). Seifoddini, Jalal ; NIKOOMARAM, Hashem ; Roodposhti, Fraydoon Rahnamay.
    In: Journal of Money and Economy.
    RePEc:mbr:jmonec:v:10:y:2015:i:4:p:29-50.

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  108. Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method. (2015). Jacod, Jean ; Mykland, Per A..
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:125:y:2015:i:8:p:2910-2936.

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

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  110. 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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  111. Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data. (2015). Fengler, Matthias ; Audrino, Francesco.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:c:p:46-63.

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

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  113. Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets. (2015). Gentle, James E. ; Wang, George H. K., ; Bjursell, Johan .
    In: Energy Economics.
    RePEc:eee:eneeco:v:48:y:2015:i:c:p:336-349.

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  114. The economic value of volatility timing with realized jumps. (2015). Nolte, Ingmar ; Xu, QI.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:34:y:2015:i:c:p:45-59.

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  115. Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes. (2015). Patton, Andrew ; Liu, Lily ; Sheppard, Kevin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:1:p:293-311.

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

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  117. The Greek equity market in European equity portfolios. (2015). VORTELINOS, DIMITRIOS.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:49:y:2015:i:c:p:144-153.

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  118. Forecasting gains of robust realized variance estimators: evidence from European stock markets. (2015). Sharma, Prateek.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-15-00042.

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  119. Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. (2015). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-14.

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  120. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2014). Vacha, Lukas ; Baruník, Jozef.
    In: FinMaP-Working Papers.
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  121. Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution. (2014). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2014cf949.

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  122. Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution. (2014). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki ; Shoji, Masahiro.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2014cf921.

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  123. On the Estimation of Integrated Volatility With Jumps and Microstructure Noise. (2014). Jing, Bing-Yi ; Liu, Zhi ; Kong, Xin-Bing.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:32:y:2014:i:3:p:457-467.

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  124. Estimation of Long Memory in Integrated Variance. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:33:y:2014:i:7:p:785-814.

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  125. Comparing «Realized volatility» models in the VaR calculation for the Russian equity market. (2014). Shcherba, Alexandr.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0240.

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  126. The real benchmark of DAX index products and the influence of information dissemination: A natural experiment. (2014). Roder, Klaus ; Lobe, Sebastian ; Schmidhammer, Christoph.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:15:y:2014:i:2:d:10.1057_jam.2014.13.

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  127. A noise-robust estimator of volatility based on interquantile ranges. (2014). Kuan, Chung-Ming ; Wang, Jying-Nan ; Yeh, Jin-Huei.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:43:y:2014:i:4:p:751-779.

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  128. Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David.
    In: Econometrics Working Papers Archive.
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  129. Optimally sampled realized range-based volatility estimators. (2014). VORTELINOS, DIMITRIOS.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:30:y:2014:i:c:p:34-50.

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  130. Realized volatility spillovers in the non-ferrous metal futures market. (2014). Worthington, Andrew ; Soucek, Michael ; Todorova, Neda ; Souek, Michael .
    In: Resources Policy.
    RePEc:eee:jrpoli:v:39:y:2014:i:c:p:21-31.

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  131. Forecasting volatility of the U.S. oil market. (2014). Molnár, Peter ; Haugom, Erik ; Westgaard, Sjur ; Molnar, Peter ; Langeland, Henrik .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:47:y:2014:i:c:p:1-14.

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  132. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:182:y:2014:i:2:p:364-384.

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  133. Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns. (2014). SADEFO, Jules ; Terraza, M. ; Kamdem, Sadefo J. ; Moussa, Mbairadjim A..
    In: Economic Modelling.
    RePEc:eee:ecmode:v:39:y:2014:i:c:p:247-256.

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  134. The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range. (2014). Soucek, Michael ; Souek, Michael ; Todorova, Neda.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:36:y:2014:i:c:p:332-340.

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  135. Pricing Nikkei 225 Options Using Realized Volatility. (2014). Ubukata, Masato ; Watanabe, Toshiaki .
    In: The Japanese Economic Review.
    RePEc:bla:jecrev:v:65:y:2014:i:4:p:431-467.

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  136. Indirect inference with time series observed with error. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-57.

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  137. 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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  138. Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. (2014). Quaedvlieg, Rogier ; Laurent, Sébastien ; Boudt, Kris ; Lunde, Asger.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-05.

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

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  141. The impact of jumps and thin trading on realized hedge ratios. (2013). Henry, Ólan ; Dungey, Mardi ; Hvodzdyk, Lyudmyla .
    In: Working Papers.
    RePEc:tas:wpaper:16318.

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  142. Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742.

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  143. The dynamics of co-jumps, volatility and correlation. (2013). Liao, Yin ; Clements, Adam.
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2013_3.

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  144. The dynamics of co-jumps, volatility and correlation. (2013). Clements, Adam ; Liao, Yin.
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2013_03.

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

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  146. Pricing Nikkei 225 Options Using Realized Volatility. (2013). Ubukata, Masato ; Watanabe, Toshiaki .
    In: Global COE Hi-Stat Discussion Paper Series.
    RePEc:hst:ghsdps:gd12-273.

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  147. Volatility inference in the presence of both endogenous time and microstructure noise. (2013). Zheng, Xinghua ; Zhang, Zhiyuan ; Li, Yingying.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:7:p:2696-2727.

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

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  150. The leverage effect puzzle: Disentangling sources of bias at high frequency. (2013). Fan, Jianqing ; Ait-Sahalia, Yacine.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:1:p:224-249.

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  151. 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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  152. A call auctions impact on price formation and order routing: Evidence from the NASDAQ stock market. (2013). Peng, Lin ; Schwartz, Robert A. ; Pagano, Michael S..
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:2:p:331-361.

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  153. Nonparametric realized volatility estimation in the international equity markets. (2013). VORTELINOS, DIMITRIOS ; Thomakos, Dimitrios.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:28:y:2013:i:c:p:34-45.

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  154. Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach. (2013). Soucek, Michael ; Souek, Michael ; Todorova, Neda.
    In: Energy Economics.
    RePEc:eee:eneeco:v:40:y:2013:i:c:p:586-597.

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  155. Long memory and tail dependence in trading volume and volatility. (2013). Santucci de Magistris, Paolo ; Rossi, Eduardo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:22:y:2013:i:c:p:94-112.

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  156. An empirical analysis of the downside risk-return trade-off at daily frequency. (2013). Sévi, Benoît ; Sevi, Benoit.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:189-197.

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

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  158. Limit Order Books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark .
    In: Papers.
    RePEc:arx:papers:1012.0349.

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  159. Does herding affect volatility? Implications for the Spanish stock market. (2012). Blasco, Natividad ; Ferreruela, Sandra ; Corredor, Pilar .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:2:p:311-327.

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  160. Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling. (2012). Corsi, Fulvio.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:30:y:2012:i:3:p:368-380.

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

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  162. Realized volatility and jumps in the Athens Stock Exchange. (2012). VORTELINOS, DIMITRIOS ; Thomakos, Dimitrios.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:22:y:2012:i:2:p:97-112.

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  163. Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model. (2012). Ceylan, Ozcan.
    In: GIAM Working Papers.
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  164. Estimation of long memory in integrated variance. (2012). Santucci de Magistris, Paolo ; Rossi, Eduardo.
    In: DEM Working Papers Series.
    RePEc:pav:demwpp:017.

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  165. Fuzzy risk adjusted performance measures: application to Hedge funds. (2012). SADEFO, Jules ; Moussa, Alfred Mbairadjim ; Terraza, Michel ; Kamdem, Jules Sadefo .
    In: Working Papers.
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  166. Value-at-Risk stressée chaotique d’un portefeuille bancaire. (2012). HENNANI, Rachida ; Moussa, Alfred Mbairadjim ; Terraza, Michel ; Kamdem, Jules Sadefo .
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  167. Realized dual-betas for leading Australian stocks: An evaluation of the estimation methods and the effect of the sampling interval. (2012). Kim, Jae ; Brooks, Robert ; Nath, H. B..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:83:y:2012:i:c:p:10-22.

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  168. Fuzzy risk adjusted performance measures: Application to hedge funds. (2012). SADEFO, Jules ; Terraza, M. ; Moussa, Mbairadjim A..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:51:y:2012:i:3:p:702-712.

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  169. Jumps in equilibrium prices and market microstructure noise. (2012). Mykland, Per A. ; Lee, Suzanne S..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:168:y:2012:i:2:p:396-406.

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  170. A simple microstructure return model explaining microstructure noise and Epps effects. (2012). Saichev, A. ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:1202.3915.

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  171. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data. (2012). Ait-Sahalia, Yacine ; Yacine Aït-Sahalia, ; Jacod, Jean.
    In: Journal of Economic Literature.
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  172. The Impact of Trading Activity by Trader Types on Asymmetric Volatility in Nasdaq-100 Index Futures. (2011). , George ; Tse, Yiuman ; Kittiakaraskun, Jullavut.
    In: Working Papers.
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  173. A branching particle approximation to a filtering micromovement model of asset price. (2011). Zeng, Yong ; Xiong, Jie.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:14:y:2011:i:2:p:111-140.

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  174. News--Good or Bad--and Its Impact on Volatility Predictions over Multiple Horizons. (2011). Ghysels, Eric ; Chen, Xilong .
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:24:y:2011:i:1:p:46-81.

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  175. The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency. (2011). Fan, Jianqing ; Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17592.

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  176. Pricing Nikkei 225 Options Using Realized Volatility. (2011). Ubukata, Masato ; Watanabe, Toshiaki .
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:11-e-18.

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  177. Explaining Share Price Disparity with Parameter Uncertainty: Evidence from Chinese A- and H-Shares. (2011). Li, Ka Fai ; Hui, Cho-Hoi ; Chung, Tsz-Kin.
    In: Working Papers.
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  178. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2011). Lunde, Asger ; Hansen, Peter Reinhard ; Barndorff-Nielsen, Ole E. ; Shephard, Neil.
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    RePEc:hal:journl:peer-00815564.

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  179. Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2011). Shephard, Neil ; Hansen, Peter ; Lunde, Asger ; Barndorff-Nielsen, Ole E..
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    RePEc:hal:journl:hal-00815564.

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  180. Multiplicative Error Models. (2011). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2011_03.

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  181. Does the Bund dominate price discovery in Euro bond futures? Examining information shares. (2011). Menkhoff, Lukas ; Fricke, Christoph.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1057-1072.

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  182. Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets. (2011). Yang, Minxian ; Wang, Jianxin.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:14:y:2011:i:1:p:82-108.

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  183. Data-based ranking of realised volatility estimators. (2011). Patton, Andrew.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:284-303.

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  184. Subsampling high frequency data. (2011). Kalnina, Ilze.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:262-283.

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

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  186. 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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  187. Variance dynamics: Joint evidence from options and high-frequency returns. (2011). Wu, Liuren.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:280-287.

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  188. Causality effects in return volatility measures with random times. (2011). Renault, Eric ; Werker, Bas J. M., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:272-279.

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  189. Volatility forecasting and microstructure noise. (2011). Sinko, Arthur ; Ghysels, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:257-271.

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  190. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2011). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:235-245.

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  191. Realized volatility forecasting and market microstructure noise. (2011). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:220-234.

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  192. Estimating quadratic variation when quoted prices change by a constant increment. (2011). Large, Jeremy.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:2-11.

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  193. Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations. (2011). Bandi, Federico M. ; Russell, Jeffrey R..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:145-159.

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  194. 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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  195. Modeling microstructure noise with mutually exciting point processes. (2011). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F..
    In: Papers.
    RePEc:arx:papers:1101.3422.

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  196. Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes. (2010). Maillet, Bertrand ; Medecin, Jean-Philippe R..
    In: Working Papers.
    RePEc:ven:wpaper:2010_10.

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  197. Price discovery in fragmented markets. (2010). de Jong, F. C. J. M., ; Schotman, P. C..
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:4650a9e7-c4cf-41cf-a771-e400c56d3e0b.

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  198. Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06). (2010). Dungey, Mardi.
    In: Working Papers.
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  199. Did the turmoil affect money-market segmentation in the Euro area?. (2010). Zagaglia, Paolo.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:17:y:2010:i:18:p:1783-1788.

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  200. Zero-intelligence realized variance estimation. (2010). Oomen, Roel ; Gatheral, Jim.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:14:y:2010:i:2:p:249-283.

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  201. Realising the future: forecasting with high-frequency-based volatility (HEAVY) models. (2010). Sheppard, Kevin ; Shephard, Neil.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:2:p:197-231.

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  202. Does the Bund dominate price discovery in Euro bond futures? Examining information shares. (2010). Menkhoff, Lukas ; Fricke, Christoph.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-449.

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  203. Realised quantile-based estimation of the integrated variance. (2010). Christensen, Kim ; Oomen, Roel ; Podolskij, Mark.
    In: Post-Print.
    RePEc:hal:journl:peer-00732538.

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  204. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David ; Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo.
    In: Econometrics Working Papers Archive.
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  205. Behavior of realized volatility and correlation in exchange markets. (2010). Safari, Amir ; Seese, Detlef .
    In: International Econometric Review (IER).
    RePEc:erh:journl:v:2:y:2010:i:2:p:73-96.

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  206. The properties of realized correlation: Evidence from the French, German and Greek equity markets. (2010). VORTELINOS, DIMITRIOS.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:50:y:2010:i:3:p:273-290.

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  207. 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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  208. Liquidity biases in asset pricing tests. (2010). Bessembinder, Hendrik ; Asparouhova, Elena ; Kalcheva, Ivalina .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:96:y:2010:i:2:p:215-237.

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  209. A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices. (2010). Shackleton, Mark ; Yu, Peng ; Taylor, Stephen J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:11:p:2678-2693.

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  210. Investigating the determinants of banking coexceedances in Europe in the summer of 2008. (2010). lucey, brian ; Sevic, Aleksandar .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:3:p:275-283.

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  211. Correcting microstructure comovement biases for integrated covariance. (2010). Yeh, Jin-Huei ; Wang, Jying-Nan.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:7:y:2010:i:3:p:184-191.

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  212. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2010). Loretan, Mico ; Hjalmarsson, Erik ; Chaboud, Alain P. ; Chiquoine, Benjamin .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:2:p:212-240.

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  213. Realised quantile-based estimation of the integrated variance. (2010). Podolskij, Mark ; Christensen, Kim ; Oomen, Roel.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:74-98.

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  214. Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. (2010). Podolskij, Mark ; Christensen, Kim ; Kinnebrock, Silja .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:116-133.

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  215. A blocking and regularization approach to high dimensional realized covariance estimation. (2009). Hautsch, Nikolaus ; Kyj, Lada M..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200920.

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  216. High-Frequency and Model-Free Volatility Estimators. (2009). Åšlepaczuk, Robert ; Zakrzewski, Grzegorz .
    In: Working Papers.
    RePEc:war:wpaper:2009-13.

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  217. Unexpected volatility and intraday serial correlation. (2009). Renò, Roberto ; Reno, Roberto ; Bianco, Simone .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:4:p:465-475.

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  218. Forecasting realized volatility: a Bayesian model-averaging approach. (2009). Maheu, John ; Liu, Chun.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:24:y:2009:i:5:p:709-733.

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  219. On portfolio optimization: How and when do we benefit from high-frequency data?. (2009). Liu, Qianqiu .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:24:y:2009:i:4:p:560-582.

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

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  221. Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology. (2009). Mancino, Maria Elvira ; Elvira, Mancino Maria .
    In: Working Papers - Mathematical Economics.
    RePEc:flo:wpaper:2009-09.

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  222. Rise of the machines: algorithmic trading in the foreign exchange market. (2009). Hjalmarsson, Erik ; Chaboud, Alain ; Vega, Clara ; Chiquoine, Benjamin .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:980.

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  223. Distribution and Dynamics of Central-European Exchange Rates: Evidence from Intraday Data. (2009). Bubak, Vit ; Ike, Filip.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:59:y:2009:i:4:p:334-359.

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  224. 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.
    RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276.

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  225. Bond risk premia and realized jump risk. (2009). Zhou, Hao ; Wright, Jonathan H..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:12:p:2333-2345.

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  226. Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements. (2009). van Dijk, Dick ; De Pooter, Michiel ; Martens, Martin .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:2:p:282-303.

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  227. On forecasting daily stock volatility: The role of intraday information and market conditions. (2009). Izzeldin, Marwan ; Fuertes, Ana-Maria ; Kalotychou, Elena .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:2:p:259-281.

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  228. Optimal combinations of realised volatility estimators. (2009). Sheppard, Kevin ; Patton, Andrew.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:2:p:218-238.

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  229. Asymmetric volatility in the foreign exchange markets. (2009). Yang, Minxian ; Wang, Jianxin.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:4:p:597-615.

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  230. Empirical evidence on jumps in the term structure of the US Treasury Market. (2009). Smith, L. Vanessa ; Dungey, Mardi ; McKenzie, Michael .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:430-445.

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  231. Estimating the structural credit risk model when equity prices are contaminated by trading noises. (2009). Fulop, Andras ; Duan, Jin-Chuan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:2:p:288-296.

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  232. Predictive density estimators for daily volatility based on the use of realized measures. (2009). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:2:p:119-138.

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  233. Pre-trade transparency on the Italian Stock Exchange: a trade size model on panel data. (2009). Quaranta, Anna Grazia ; Lucarelli, Caterina ; Bontempi, Maria ; Mazzoli, C..
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  234. Resilience of Volatility. (2009). Stepanov, Sergey S..
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    RePEc:arx:papers:0911.5048.

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  235. Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-49.

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  236. Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. (2009). Podolskij, Mark ; Christensen, Kim ; Kinnebrock, Silja .
    In: CREATES Research Papers.
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  237. Long Memory and Tail dependence in Trading Volume and Volatility. (2009). Santucci de Magistris, Paolo ; Rossi, Eduardo.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-30.

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  238. Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-27.

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  239. Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise. (2009). Voev, Valeri ; Nolte, Ingmar.
    In: CREATES Research Papers.
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  240. The quality of price formation at market openings and closings: Evidence from the Nasdaq stock market. (2008). Peng, Lin ; Schwartz, Robert A. ; Pagano, Michael S..
    In: CFS Working Paper Series.
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  241. Do high-frequency measures of volatility improve forecasts of return distributions?. (2008). McCurdy, Tom ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-324.

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  242. Forecasting Realized Volatility: A Bayesian Model Averaging Approach. (2008). Maheu, John ; Liu, Chun.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-313.

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

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  244. Using Samples of Unequal Length in Generalized Method of Moments Estimation. (2008). Wachter, Jessica ; Lynch, Anthony W..
    In: NBER Working Papers.
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  245. On forecasting daily stock volatility: the role of intraday information and market conditions. (2008). Kalotychou, Elena ; Izzeldin, Marwan.
    In: Working Papers.
    RePEc:lan:wpaper:592830.

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  246. On forecasting daily stock volatility: the role of intraday information and market conditions. (2008). Fuertes, Ana-Maria ; Izzeldin, Marwan ; Kalotychou, Elena .
    In: Working Papers.
    RePEc:lan:wpaper:3324.

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  247. On forecasting daily stock volatility: the role of intraday information and market conditions. (2008). Kalotychou, E ; Izzeldin, M.
    In: Working Papers.
    RePEc:lan:wpaper:3046.

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  248. The predictive value of temporally disaggregated volatility: evidence from index futures markets. (2008). Taylor, Nick.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:27:y:2008:i:8:p:721-742.

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  249. Range-based covariance estimation using high-frequency data: The realized co-range. (2008). van Dijk, Dick ; Bannouh, K. ; van Dijk, D. J. C., ; Martens, M. P. E., .
    In: Econometric Institute Research Papers.
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  250. 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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  251. Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error. (2008). LINTON, OLIVER ; Kalnina, Ilze.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:47-59.

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  252. Realized volatility forecasting and option pricing. (2008). Yang, Chen ; Russell, Jeffrey R. ; Bandi, Federico M..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:34-46.

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  253. Out of sample forecasts of quadratic variation. (2008). Ait-Sahalia, Yacine ; Mancini, Loriano.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:147:y:2008:i:1:p:17-33.

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

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  255. Testing for jumps when asset prices are observed with noise-a swap variance approach. (2008). Oomen, Roel ; Jiang, George J..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:144:y:2008:i:2:p:352-370.

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  256. Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise. (2008). Mancino, Maria Elvira ; Sanfelici, S..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:6:p:2966-2989.

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  257. NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS. (2008). Renò, Roberto ; Reno, Roberto.
    In: Econometric Theory.
    RePEc:cup:etheor:v:24:y:2008:i:05:p:1174-1206_08.

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  258. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2008). Loretan, Mico ; Hjalmarsson, Erik ; Chaboud, Alain ; Chiquoine, Benjamin .
    In: BIS Working Papers.
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  259. Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution. (2008). Vetter, Mathias ; Podolskij, Mark ; Jacod, Jean.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-61.

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  260. Microstructure noise in the continuous case: the pre-averaging approach. (2007). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias .
    In: Technical Reports.
    RePEc:zbw:sfb475:200741.

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  261. Medium‐term horizon volatility forecasting: A comparative study. (2007). Date, Paresh ; Hawkes, Richard.
    In: Applied Stochastic Models in Business and Industry.
    RePEc:wly:apsmbi:v:23:y:2007:i:6:p:465-481.

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  262. Are there Structural Breaks in Realized Volatility?. (2007). Maheu, John ; Liu, Chun.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-304.

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  263. Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment. (2007). Large, Jeremy.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:340.

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  264. Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2007_04.

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  265. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2007). Loretan, Mico ; Hjalmarsson, Erik ; Chaboud, Alain ; Chiquoine, Benjamin .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:905.

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  266. EMPIRICAL EVIDENCE ON JUMPS IN THE TERM STRUCTURE OF THE US TREASURY MARKET. (2007). Smith, L. Vanessa ; Dungey, Mardi ; McKenzie, Michael .
    In: CAMA Working Papers.
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  267. Realized range-based estimation of integrated variance. (2007). Podolskij, Mark ; Christensen, Kim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:323-349.

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

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

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