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Citations for "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility"

by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold

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  1. Evzen Kocenda & Vit Bubak & Filip Zikes, 2011. "Volatility Transmission in Emerging European Foreign Exchange Markets," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan wp1020, William Davidson Institute at the University of Michigan.
  2. Vortelinos, Dimitrios I. & Thomakos, Dimitrios D., 2013. "Nonparametric realized volatility estimation in the international equity markets," International Review of Financial Analysis, Elsevier, Elsevier, vol. 28(C), pages 34-45.
  3. Shinichiro Shirota & Takayuki Hizu & Yasuhiro Omori, 2012. "Realized stochastic volatility with leverage and long memory," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-869, CIRJE, Faculty of Economics, University of Tokyo.
  4. M. A. Virasoro, 2011. "Non-Gaussianity of the Intraday Returns Distribution: its evolution in time," Papers 1112.0770, arXiv.org, revised Dec 2011.
  5. Fatum, Rasmus & Pedersen, Jesper, 2009. "Real-time effects of central bank intervention in the euro market," Journal of International Economics, Elsevier, Elsevier, vol. 78(1), pages 11-20, June.
  6. Fulvio Corsi & Davide Pirino & Roberto Reno', 2010. "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy 2010/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  7. Adam Clements & Yin Liao, 2013. "The dynamics of co-jumps, volatility and correlation," NCER Working Paper Series, National Centre for Econometric Research 91, National Centre for Econometric Research.
  8. Aït-Sahalia, Yacine & Jacod, Jean & Li, Jia, 2012. "Testing for jumps in noisy high frequency data," Journal of Econometrics, Elsevier, Elsevier, vol. 168(2), pages 207-222.
  9. Wang, Jianxin, 2013. "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 21(1), pages 1209-1231.
  10. Tim Bollerslev & Natalia Sizova & George Tauchen, 2011. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Review of Finance, European Finance Association, European Finance Association, vol. 16(1), pages 31-80.
  11. Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi, 2014. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Papers 1404.3555, arXiv.org.
  12. Julien Chevallier & Benoît Sévi, 2011. "On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting," Annals of Finance, Springer, Springer, vol. 7(1), pages 1-29, February.
  13. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014. "Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" 2014_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  14. Maheu, John M. & McCurdy, Thomas H., 2011. "Do high-frequency measures of volatility improve forecasts of return distributions?," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 69-76, January.
  15. Rangel, José Gonzalo, 2011. "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(5), pages 1263-1276, May.
  16. Mancini, Cecilia & Renò, Roberto, 2011. "Threshold estimation of Markov models with jumps and interest rate modeling," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 77-92, January.
  17. Liu, Chun, 2010. "Marginal likelihood calculation for gelfand-dey and Chib Method," MPRA Paper 34928, University Library of Munich, Germany.
  18. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2006-35, Board of Governors of the Federal Reserve System (U.S.).
  19. Wright, Jonathan H. & Zhou, Hao, 2009. "Bond risk premia and realized jump risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(12), pages 2333-2345, December.
  20. Thierry Ane & Carole Metais, 2010. "Jump Distribution Characteristics: Evidence from European Stock Markets," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 9(1), pages 1-22, April.
  21. Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011. "The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 48-57, January.
  22. Kim Christensen & Roel Oomen & Mark Podolskij, 2010. "Realised quantile-based estimation of the integrated variance," Post-Print, HAL hal-00732538, HAL.
  23. David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
  24. Chevallier, Julien, 2009. "Modelling the convenience yield in carbon prices using daily and realized measures," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/4608, Paris Dauphine University.
  25. Nirei, Makoto & Sushko, Vladyslav, 2011. "Jumps in foreign exchange rates and stochastic unwinding of carry trades," International Review of Economics & Finance, Elsevier, Elsevier, vol. 20(1), pages 110-127, January.
  26. Haugom, Erik & Ullrich, Carl J., 2012. "Forecasting spot price volatility using the short-term forward curve," Energy Economics, Elsevier, Elsevier, vol. 34(6), pages 1826-1833.
  27. Hynek Lavicka & Tomas Lichard & Jan Novotny, 2014. "Sand in the Wheels or Wheels in the Sand? Tobin Taxes and Market Crashes," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economic Institute, Prague wp511, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  28. Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg, 2014. "Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity," CREATES Research Papers 2014-05, School of Economics and Management, University of Aarhus.
  29. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 7(2), pages 80-109, June.
  30. Alain Hecq & Sébastien Laurent & Franz C. Palm, 2011. "Common Intraday Periodicity," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(2), pages 325-353, 2012 20 1.
  31. Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2008. "Quantile forecasts of daily exchange rate returns from forecasts of realized volatility," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(4), pages 729-750, September.
  32. Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris, 2014. "Forecasting with the Standardized Self-Perturbed Kalman Filter," Studies in Economics, Department of Economics, University of Kent 1405, Department of Economics, University of Kent.
  33. Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013. "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers, University of Oxford, Department of Economics 645, University of Oxford, Department of Economics.
  34. Fengler, Matthias & Okhrin, Ostap, 2012. "Realized Copula," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 1214, University of St. Gallen, School of Economics and Political Science.
  35. Fuertes, Ana-Maria & Izzeldin, Marwan & Kalotychou, Elena, 2009. "On forecasting daily stock volatility: The role of intraday information and market conditions," International Journal of Forecasting, Elsevier, Elsevier, vol. 25(2), pages 259-281.
  36. Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, School of Economics and Management, University of Aarhus.
  37. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "Forecasting Exchange Rate Volatility in the Presence of Jumps," Working Papers, Queen's University, Department of Economics 1187, Queen's University, Department of Economics.
  38. Todorova, Neda & Souček, Michael, 2014. "The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range," Economic Modelling, Elsevier, Elsevier, vol. 36(C), pages 332-340.
  39. Peter Reinhard Hansen & Zhuo (Albert) Huang & Howard Howan Shek, . "Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility," CREATES Research Papers 2010-13, School of Economics and Management, University of Aarhus.
  40. Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, School of Economics and Management, University of Aarhus.
  41. Pukthuanthong, Kuntara & Roll, Richard, 2012. "Internationally correlated jumps," Working Paper Series, European Central Bank 1436, European Central Bank.
  42. Large, Jeremy, 2011. "Estimating quadratic variation when quoted prices change by a constant increment," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 2-11, January.
  43. Selma Chaker, 2013. "Volatility and Liquidity Costs," Working Papers, Bank of Canada 13-29, Bank of Canada.
  44. Jiang, George J. & Oomen, Roel C.A., 2008. "Testing for jumps when asset prices are observed with noise-a "swap variance" approach," Journal of Econometrics, Elsevier, Elsevier, vol. 144(2), pages 352-370, June.
  45. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Volatility jumps and their economic determinants," CREATES Research Papers 2014-27, School of Economics and Management, University of Aarhus.
  46. Julien Chevallier & Benoît Sévi, 2009. "On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting," Working Papers, HAL halshs-00387286, HAL.
  47. Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 235-245, January.
  48. Bregantini, Daniele, 2013. "Moment-based estimation of stochastic volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(12), pages 4755-4764.
  49. Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk - realised semivariance," OFRC Working Papers Series, Oxford Financial Research Centre 2008fe01, Oxford Financial Research Centre.
  50. Benoît Sévi & César Baena, 2011. "Brownian motion vs. pure-jump processes for individual stocks," Economics Bulletin, AccessEcon, vol. 31(4), pages 3138-3152.
  51. Evans, Kevin P., 2011. "Intraday jumps and US macroeconomic news announcements," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(10), pages 2511-2527, October.
  52. Adam Clements & Yin Liao, 2014. "The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index," NCER Working Paper Series, National Centre for Econometric Research 101, National Centre for Econometric Research.
  53. Shirota, Shinichiro & Hizu, Takayuki & Omori, Yasuhiro, 2014. "Realized stochastic volatility with leverage and long memory," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 618-641.
  54. Fang, Yan & Ielpo, Florian & Sévi, Benoît, 2012. "Empirical bias in intraday volatility measures," Finance Research Letters, Elsevier, Elsevier, vol. 9(4), pages 231-237.
  55. Jensen, Mark J & Maheu, John M, 2013. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," MPRA Paper 52132, University Library of Munich, Germany.
  56. Geert Bekaert & Marie Hoerova, 2013. "The VIX, the Variance Premium and Stock Market Volatility," NBER Working Papers 18995, National Bureau of Economic Research, Inc.
  57. Frowin Schulz & Karl Mosler, 2011. "The effect of infrequent trading on detecting price jumps," AStA Advances in Statistical Analysis, Springer, Springer, vol. 95(1), pages 27-58, March.
  58. Fulvio Corsi & Davide Pirino & Roberto Reno, 2009. "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd08-036, Institute of Economic Research, Hitotsubashi University.
  59. Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, School of Economics and Management, University of Aarhus.
  60. David E. Allen & Michael McAleer & Marcel Scharth, 2013. "Realized Volatility Risk," Tinbergen Institute Discussion Papers, Tinbergen Institute 13-092/III, Tinbergen Institute.
  61. Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, Elsevier, vol. 25(2), pages 304-327.
  62. Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely & Franz C. Palm, 2007. "Central bank intervention and exchange rate volatility, its continuous and jump components," Working Papers, Federal Reserve Bank of St. Louis 2006-031, Federal Reserve Bank of St. Louis.
  63. Álvaro Cartea & Dimitrios Karyampas, 2009. "The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics 0914, Birkbeck, Department of Economics, Mathematics & Statistics.
  64. Charles S. Bos & Phillip Gould, 2007. "Dynamic Correlations and Optimal Hedge Ratios," Tinbergen Institute Discussion Papers, Tinbergen Institute 07-025/4, Tinbergen Institute.
  65. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2011. "Multivariate High-Frequency-Based Volatility (HEAVY) Models," Economics Papers, Economics Group, Nuffield College, University of Oxford 2011-W01, Economics Group, Nuffield College, University of Oxford.
  66. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2014. "Multi-jumps," MPRA Paper 58175, University Library of Munich, Germany.
  67. Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013. "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 1332, University of St. Gallen, School of Economics and Political Science.
  68. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "Are realized volatility models good candidates for alternative Value at Risk prediction strategies?," MPRA Paper 30364, University Library of Munich, Germany.
  69. Ying Chen & Wolfgang Härdle & Uta Pigorsch, 2009. "Localized Realized Volatility Modelling," SFB 649 Discussion Papers SFB649DP2009-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  70. Chulia-Soler, H. & Martens, M.P.E. & van Dijk, D.J.C., 2007. "The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2007-066-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  71. Corsi, Fulvio & Kretschmer, Uta & Mittnik, Stefan & Pigorsch, Christian, 2005. "The volatility of realized volatility," CFS Working Paper Series, Center for Financial Studies (CFS) 2005/33, Center for Financial Studies (CFS).
  72. Yow-Jen Jou & Chih-Wei Wang & Wan-Chien Chiu, 2013. "Is the realized volatility good for option pricing during the recent financial crisis?," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 40(1), pages 171-188, January.
  73. Dungey, Mardi & Hvozdyk, Lyudmyla, 2012. "Cojumping: Evidence from the US Treasury bond and futures markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(5), pages 1563-1575.
  74. Park, Beum-Jo, 2010. "Surprising information, the MDH, and the relationship between volatility and trading volume," Journal of Financial Markets, Elsevier, Elsevier, vol. 13(3), pages 344-366, August.
  75. Thomas Dimpfl & Robert C. Jung, 2012. "Financial market spillovers around the globe," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 22(1), pages 45-57, January.
  76. Neil Shephard & Kevin Sheppard, 2012. "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Series Working Papers, University of Oxford, Department of Economics 593, University of Oxford, Department of Economics.
  77. Chun Liu & John M Maheu, 2008. "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers, University of Toronto, Department of Economics tecipa-313, University of Toronto, Department of Economics.
  78. Ai-ru (Meg) Cheng & Kuntal Das & Takeshi Shimatani, 2013. "Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility," Working Papers in Economics, University of Canterbury, Department of Economics and Finance 13/19, University of Canterbury, Department of Economics and Finance.
  79. Tim Bollerslev & Viktor Todorov, 2010. "Estimation of Jump Tails," Working Papers, Duke University, Department of Economics 10-37, Duke University, Department of Economics.
  80. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers 2009-30, School of Economics and Management, University of Aarhus.
  81. Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle, 2013. "Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 21/13, Monash University, Department of Econometrics and Business Statistics.
  82. Esben Hoeg & Per Frederiksen, 2006. "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006, Society for Computational Economics 194, Society for Computational Economics.
  83. Éric Jacquier & Cédric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers, CIRANO 2013s-14, CIRANO.
  84. O'Brien, James M. & Szerszen, Pawel J., 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2014-21, Board of Governors of the Federal Reserve System (U.S.).
  85. Tim Bollerslev & Tzuo Hann Law & George Tauchen, 2007. "Risk, Jumps, and Diversification," CREATES Research Papers 2007-19, School of Economics and Management, University of Aarhus.
  86. Atak, Alev & Kapetanios, George, 2013. "A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors," Economics Letters, Elsevier, Elsevier, vol. 120(2), pages 224-228.
  87. Diep Duong & Norman R. Swanson, 2011. "Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps," Departmental Working Papers, Rutgers University, Department of Economics 201117, Rutgers University, Department of Economics.
  88. Oscar Bernal Diaz & Jean-Yves Gnabo, 2007. "Talks, financial operations or both? Generalizing central banks' FX reaction functions," DULBEA Working Papers, ULB -- Universite Libre de Bruxelles 07-03.RS, ULB -- Universite Libre de Bruxelles.
  89. Ullrich, Carl J., 2012. "Realized volatility and price spikes in electricity markets: The importance of observation frequency," Energy Economics, Elsevier, Elsevier, vol. 34(6), pages 1809-1818.
  90. Dimpfl, Thomas & Jank, Stephan, 2011. "Can internet search queries help to predict stock market volatility?," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) 11-15, University of Cologne, Centre for Financial Research (CFR).
  91. Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien, 2013. "Robust forecasting of dynamic conditional correlation GARCH models," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(2), pages 244-257.
  92. Nima Nonejad, 2013. "A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory," CREATES Research Papers 2013-24, School of Economics and Management, University of Aarhus.
  93. Charles S. Bos, 2008. "Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute 08-011/4, Tinbergen Institute.
  94. repec:lan:wpaper:592830 is not listed on IDEAS
  95. repec:lan:wpaper:3324 is not listed on IDEAS
  96. Bernal, Oscar & Gnabo, Jean-Yves, 2009. "Announcements, financial operations or both? Generalizing central banks' FX reaction functions," Journal of the Japanese and International Economies, Elsevier, vol. 23(4), pages 367-394, December.
  97. Neil Shephard & Kevin Sheppard, 2010. "Realising the future: forecasting with high-frequency-based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(2), pages 197-231.
  98. Chun Liu & John M Maheu, 2010. "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers, University of Toronto, Department of Economics tecipa-401, University of Toronto, Department of Economics.
  99. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, Elsevier, vol. 147(1), pages 104-119, November.
  100. Andras Fulop & Junye Li & Jun Yu, 2012. "Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University gd12-264, Institute of Economic Research, Hitotsubashi University.
  101. Matei, Marius, 2011. "Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 116-141, June.
  102. Vortelinos, Dimitrios I., 2010. "The properties of realized correlation: Evidence from the French, German and Greek equity markets," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 50(3), pages 273-290, August.
  103. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 684-700, November.
  104. Chevallier, Julien & Sévi, Benoît, 2012. "On the volatility-volume relationship in energy futures markets using intraday data," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/6887, Paris Dauphine University.
  105. Boudt, Kris & Croux, Christophe & Laurent, Sébastien, 2011. "Robust estimation of intraweek periodicity in volatility and jump detection," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(2), pages 353-367, March.
  106. Jan Novotný & Jan Hanousek & Evžen Kočenda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan wp1050, William Davidson Institute at the University of Michigan.
  107. Stefano Grassi & Paolo Santucci de Magistris, 2013. "It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model," CREATES Research Papers 2013-03, School of Economics and Management, University of Aarhus.
  108. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  109. Fleming, Jeff & Paye, Bradley S., 2011. "High-frequency returns, jumps and the mixture of normals hypothesis," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 119-128, January.
  110. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2012. "Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(3), pages 447-472.
  111. Liu, Chun & Maheu, John M., 2012. "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 20(3), pages 329-348.
  112. Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev, 2007. "No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications," NBER Working Papers 12963, National Bureau of Economic Research, Inc.
  113. Markku Lanne, 2006. "Forecasting Realized Volatility by Decomposition," Economics Working Papers, European University Institute ECO2006/20, European University Institute.
  114. Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012. "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, Elsevier, Elsevier, vol. 28(2), pages 384-399.
  115. Audrino, Francesco & Hu, Yujia, 2011. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 1138, University of St. Gallen, School of Economics and Political Science.
  116. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2006. "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Working Papers, Queen's University, Department of Economics 1188, Queen's University, Department of Economics.
  117. Filip Zikes & Jozef Barunik, 2013. "Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility," Papers 1308.4276, arXiv.org.
  118. Benoît Sévi & César Baena, 2012. "A reassessment of the risk-return tradeoff at the daily horizon," Economics Bulletin, AccessEcon, vol. 32(1), pages 190-203.
  119. repec:dgr:uvatin:2008011 is not listed on IDEAS
  120. Souček, Michael & Todorova, Neda, 2013. "Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach," Energy Economics, Elsevier, Elsevier, vol. 40(C), pages 586-597.
  121. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Which continuous-time model is most appropriate for exchange rates?," Working Papers, Federal Reserve Bank of St. Louis 2013-024, Federal Reserve Bank of St. Louis.
  122. Todorov, Viktor, 2009. "Estimation of continuous-time stochastic volatility models with jumps using high-frequency data," Journal of Econometrics, Elsevier, Elsevier, vol. 148(2), pages 131-148, February.
  123. Asai, Manabu & Brugal, Ivan, 2013. "Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 25(C), pages 202-213.
  124. Shuichi Nagata, 2012. "Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes," Economics Bulletin, AccessEcon, vol. 32(1), pages 306-314.
  125. Gael M. Martin & Andrew Reidy & Jill Wright, 2006. "Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 10/06, Monash University, Department of Econometrics and Business Statistics.
  126. Asger Lunde & Kasper V. Olesen, 2013. "Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange," CREATES Research Papers 2013-19, School of Economics and Management, University of Aarhus.
  127. repec:dgr:uvatin:2011125 is not listed on IDEAS
  128. Yacine A�t-Sahalia & Jean Jacod, 2012. "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 50(4), pages 1007-50, December.
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