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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 ; Hansen, Peter ; Lunde, Asger ; Barndorff-Nielsen, Ole E..
In: Post-Print.
RePEc:hal:journl:hal-00815564.

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  62. The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures. (2019). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu.
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  89. A Vine-copula extension for the HAR model. (2019). Magris, Martin.
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  90. Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu.
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  91. Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan.
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  92. A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2019). Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo ; Buccheri, Giuseppe .
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  93. The Economic Value of VIX ETPs. (2019). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim.
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  94. Realized networks. (2018). Nualart, Eulalia ; Brownlees, Christian ; Sun, Yucheng.
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  95. Multiple-lock Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2018). Omori, Yasuhiro ; Kurose, Yuta.
    In: CIRJE F-Series.
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  96. A latent dynamic factor approach to forecasting multivariate stock market volatility. (2018). Gribisch, Bastian.
    In: Empirical Economics.
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  97. Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2018). Maheu, John ; Yang, Qiao ; Jin, Xin.
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  98. Dynamic hedging with futures: a copula-based GARCH model with high-frequency data. (2018). Lai, Yu-Sheng.
    In: Review of Derivatives Research.
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  99. 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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  100. Dynamic hedging performance and downside risk: Evidence from Nikkei index futures. (2018). Ubukata, Masato.
    In: International Review of Economics & Finance.
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  101. Do co-jumps impact correlations in currency markets?. (2018). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
    In: Journal of Financial Markets.
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  102. Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan.
    In: Energy.
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  103. Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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

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

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

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

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  109. Volatility, diversification and contagion. (2018). Sentana, Enrique.
    In: CEPR Discussion Papers.
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  110. Volatility, Diversification and Contagion. (2018). Sentana, Enrique.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2018_1803.

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  111. Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann.
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  112. Realizing Correlations Across Asset Classes. (2018). Vander Elst, Harry ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S.
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  113. Cross-sectional noise reduction and more efficient estimation of Integrated Variance. (2018). Mirone, Giorgio.
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  114. Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information. (2017). Hautsch, Nikolaus ; Voigt, Stefan.
    In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking.
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  115. Large-scale portfolio allocation under transaction costs and model uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan.
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  116. Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns. (2017). Lucas, Andre ; Opschoor, Anne.
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  117. The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility. (2017). , Philip ; Ng, F C ; Li, W K.
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  118. Forecasting REIT volatility with high-frequency data: a comparison of alternative methods. (2017). Zhou, Jian.
    In: Applied Economics.
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  119. Time endogeneity and an optimal weight function in pre-averaging covariance estimation. (2017). Koike, Yuta.
    In: Statistical Inference for Stochastic Processes.
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  120. 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.
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  121. 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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  122. Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Maheu, John ; Yang, Qiao ; Jin, Xin.
    In: MPRA Paper.
    RePEc:pra:mprapa:81920.

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  123. Contagion in cyber security attacks. (2017). Baldwin, Adrian ; Williams, Julian ; Pym, David ; Ioannidis, Christos ; Gheyas, Iffat .
    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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  124. Nonlinear shrinkage estimation of large integrated covariance matrices. (2017). Lam, Clifford ; Hu, Charlie ; Feng, Phoenix.
    In: Biometrika.
    RePEc:oup:biomet:v:104:y:2017:i:2:p:481-488..

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

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  126. 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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  127. 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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  128. Nonlinear shrinkage estimation of large integrated covariance matrices. (2017). Hu, Charlie ; Feng, Phoenix ; Lam, Clifford.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:69812.

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  129. Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan.
    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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  130. Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro .
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    RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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

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

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

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  134. 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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  135. 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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  136. 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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  137. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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  138. 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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  139. 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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  140. Cholesky Realized Stochastic Volatility Model. (2016). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro .
    In: CIRJE F-Series.
    RePEc:tky:fseres:2016cf1019.

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

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  143. 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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  144. 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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  145. Forecasting Covariance Matrices: A Mixed Approach. (2016). Halbleib, Roxana ; Voev, Valeri .
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:14:y:2016:i:2:p:383-417..

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

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

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

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  149. 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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  150. 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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  151. Estimating Probability of Informed Trading on the Bucharest Stock Exchange. (2016). Cepoi, Cosmin Octavian ; Toma, Filip Mihai .
    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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  152. Asymptotic theory for large volatility matrix estimation based on high-frequency financial data. (2016). Zou, Jian ; Kim, Donggyu ; Wang, Yazhen.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:126:y:2016:i:11:p:3527-3577.

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

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  154. 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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  155. 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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  156. Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Ait-Sahalia, Yacine ; Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

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  157. 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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  158. 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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  159. 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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  160. Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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

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

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  163. 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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  164. 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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  165. 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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  166. Volatility Discovery. (2016). Scherrer, Cristina M ; Papailias, Fotis ; Dias, Gustavo Fruet .
    In: CREATES Research Papers.
    RePEc:aah:create:2016-07.

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

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

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  169. The SIML Estimation of Integrated Covariance and Hedging Coefficient under Round-off Errors, Micro-market Price Adjustments and Random Sampling. (2015). Misaki, Hiroumi ; Sato, Seisho ; Kunitomo, Naoto.
    In: CIRJE F-Series.
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  170. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). McAleer, Michael ; Asai, Manabu.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150018.

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  171. New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels. (2015). van Dijk, Dick ; Lucas, Andre ; Opschoor, and Anne ; Janus, Pawel ; André Lucas, .
    In: Tinbergen Institute Discussion Papers.
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  172. Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps. (2015). Bibinger, Markus ; Vetter, Mathias.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:67:y:2015:i:4:p:707-743.

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

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  174. 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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  175. 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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  176. Principal Component Analysis of High Frequency Data. (2015). Ait-Sahalia, Yacine ; Xiu, Dacheng.
    In: NBER Working Papers.
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  177. 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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  178. 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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  179. The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling. (2015). Sato, Seisho ; Misaki, Hiroumi ; Kunitomo, Naoto.
    In: Asia-Pacific Financial Markets.
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    RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

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  2. Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility. (2013). Das, Kuntal ; Cheng, Ai-Ru ; Shimatani, Takeshi .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:13/19.

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

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  4. Exchange Rate Regime and Wage Determination in Central and Eastern Europe. (2008). Ziegler, Christina ; Schnabl, Gunther.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2471.

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  5. Model Averaging in Risk Management with an Application to Futures Markets. (2008). Schleicher, Christoph ; Pesaran, M ; Zaffaroni, P..
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0808.

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  6. 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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  7. Vector Multiplicative Error Models: Representation and Inference. (2006). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12690.

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  8. Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital. (2006). Pastor, Lubos ; Swaminathan, Bhaskaran ; Sinha, Meenakshi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11941.

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  9. NEW EVIDENCE ON EXPIRATION-DAY EFFECTS USING REALIZED VOLATILITY: AN INTRADAY ANALYSIS FOR THE SPANISH STOCK EXCHANGE. (2006). Lafuente, Juan Angel ; Illueca, Manuel ; Muoz, Manuel Illueca .
    In: Working Papers. Serie EC.
    RePEc:ivi:wpasec:2006-05.

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  10. Stock returns and volatility: pricing the short-run and long-run components of market risk. (2006). Rosenberg, Joshua ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:254.

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  11. Understanding stock return predictability. (2006). Guo, Hui ; Savickas, Robert .
    In: Working Papers.
    RePEc:fip:fedlwp:2006-019.

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  12. Equity market volatility and expected risk premium. (2006). Zhang, Lu ; Guo, Hui ; Chen, Long.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-007.

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  13. Aggregate idiosyncratic volatility in G7 countries. (2006). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-027.

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  14. Refined Inference on Long Memory in Realized Volatility. (2006). Phillips, Peter ; Lieberman, Offer.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1549.

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  15. Unexpected volatility and intraday serial correlation. (2006). Roberto Ren'o, ; Bianco, Simone .
    In: Papers.
    RePEc:arx:papers:physics/0610023.

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  16. Limit theorems for bipower variation in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Sven Erik.
    In: Economics Papers.
    RePEc:nuf:econwp:0506.

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  17. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:0505.

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  18. Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects. (2005). Kim, Jae ; Doucouliagos, Chris.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2005-22.

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  19. Idiosyncratic volatility, stock market volatility, and expected stock returns. (2005). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-028.

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  20. Oil price volatility and U.S. macroeconomic activity. (2005). Kliesen, Kevin ; Guo, Hui.
    In: Review.
    RePEc:fip:fedlrv:y:2005:i:nov:p:669-84:n:v.87no.6.

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  21. Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets. (2005). Zalewska, Ania ; Schotman, Peter C.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5352.

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  22. A Feasible Central Limit Theory for Realised Volatility Under Leverage. (2004). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:043.

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  23. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales. (2004). Shephard, Neil ; Podolskij, Mark ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Svend Erik .
    In: Economics Papers.
    RePEc:nuf:econwp:0429.

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  24. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise. (2004). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0428.

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  25. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10914.

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  26. A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1. (2004). Jagannathan, Ravi ; Basak, Gopal K. ; Ma, Tongshu .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10447.

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  27. Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management. (2004). Pesaran, M ; d'Italia, Banca ; Zaffaroni, Paolo.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:101.

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  28. Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management. (2004). Wagner, Martin ; Schmidheiny, Kurt ; Hlouskova, Jaroslava.
    In: Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP).
    RePEc:lau:crdeep:04.10.

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  29. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2004). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-56.

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  30. Microstructure noise, realized volatility, and optimal sampling. (2004). Bandi, Federico M. ; Russell, Jeffrey R..
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:220.

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  31. Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility. (2004). Hurn, Stan ; Clements, Adam ; White, Scott I..
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:46.

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  32. The informational content of over-the-counter currency options. (2004). Christoffersen, Peter ; Mazzotta, Stefano .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004366.

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  33. Option Valuation with Long-run and Short-run Volatility Components. (2004). Christoffersen, Peter ; Jacobs, Kris ; Wang, Yintian.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-56.

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  34. The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-20.

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  35. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-19.

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

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  37. Estimation Risk in Financial Risk Management. (2004). Goncalves, Silvia ; Christoffersen, Peter ; 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). Pesaran, M ; Zaffaroni, Paolo.
    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 ; Barndorff-Nielsen, Ole.
    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 ; Barndorff-Nielsen, Ole ; 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 ; Barndorff-Nielsen, Ole.
    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 ; April, ; Brandt, Michael W..
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-15.

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