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Torben G. Andersen

Not to be confused with: Torben Andersen Sr.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?," Center for Financial Institutions Working Papers 02-23, Wharton School Center for Financial Institutions, University of Pennsylvania.

    Mentioned in:

    1. Trading on Leaked Macroeconomic Data
      by noreply@blogger.com (Carola) in Quantitative Ease on 2015-07-08 22:14:00
    2. 'Trading on Leaked Macroeconomic Data'
      by Mark Thoma in Economist's View on 2015-07-08 15:39:09
  2. Author Profile
    1. Ranking Economists as of December 2015
      by Matthew Kahn in Environmental and Urban Economics on 2016-01-07 22:27:00

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2010. "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 233-261.

    Mentioned in:

    1. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns (Journal of Applied Econometrics 2010) in ReplicationWiki ()
  2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.

    Mentioned in:

    1. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (AER 2003) in ReplicationWiki ()

Working papers

  1. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Consistent Inference for Predictive Regressions in Persistent Economic Systems," NBER Working Papers 28568, National Bureau of Economic Research, Inc.

    Cited by:

    1. Christis Katsouris, 2023. "Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates," Papers 2302.05193, arXiv.org.
    2. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers 28570, National Bureau of Economic Research, Inc.
    3. Christis Katsouris, 2023. "Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models," Papers 2308.13915, arXiv.org.
    4. Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.

  2. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018. "The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets," CREATES Research Papers 2018-02, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Wong, Patrick, 2023. "Explaining intraday crude oil returns with higher order risk-neutral moments," Journal of Commodity Markets, Elsevier, vol. 31(C).
    2. Ke-Li Xu & Junjie Guo, 2021. "A New Test for Multiple Predictive Regression," CAEPR Working Papers 2022-001 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    3. Rui Fan & Ji Hyung Lee & Youngki Shin, 2021. "Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach," Papers 2101.11568, arXiv.org, revised Dec 2022.
    4. Salisu, Afees A. & Olaniran, Abeeb & Tchankam, Jean Paul, 2022. "Oil tail risk and the tail risk of the US Dollar exchange rates," Energy Economics, Elsevier, vol. 109(C).
    5. Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications," Working Papers 2023-016, Federal Reserve Bank of St. Louis.
    6. McMahon, Michael & Ahrens, Maximilian & Erdemlioglu, Deniz & Neely, Christopher J & Yang, Xiye, 2023. "Mind Your Language: Market Responses to Central Bank Speeches," CEPR Discussion Papers 18191, C.E.P.R. Discussion Papers.
    7. Liang Chen & Juan Jose Dolado & Jesus Gonzalo, 2019. "Quantile Factor Models," Papers 1911.02173, arXiv.org, revised Sep 2020.
    8. Liao, Yin & Pan, Zheyao, 2022. "Extreme risk connectedness among global major financial institutions: Links to globalization and emerging market fear," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    9. Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2021. "Tail Risks and Forecastability of Stock Returns of Advanced Economies: Evidence from Centuries of Data," Working Papers 202117, University of Pretoria, Department of Economics.
    10. Gagnon, Marie-Hélène & Power, Gabriel J. & Toupin, Dominique, 2023. "The sum of all fears: Forecasting international returns using option-implied risk measures," Journal of Banking & Finance, Elsevier, vol. 146(C).
    11. Nicolau, João & Rodrigues, Paulo M.M. & Stoykov, Marian Z., 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Journal of Econometrics, Elsevier, vol. 235(2), pages 2266-2284.
    12. Alexandridis, Antonios K. & Apergis, Iraklis & Panopoulou, Ekaterini & Voukelatos, Nikolaos, 2023. "Equity premium prediction: The role of information from the options market," Journal of Financial Markets, Elsevier, vol. 64(C).
    13. Masato Ubukata, 2022. "A time-varying jump tail risk measure using high-frequency options data," Empirical Economics, Springer, vol. 63(5), pages 2633-2653, November.
    14. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "International Tail Risk and World Fear," Hannover Economic Papers (HEP) dp-620, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    15. Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato, 2021. "Tail risk and return predictability for the Japanese equity market," Journal of Econometrics, Elsevier, vol. 222(1), pages 344-363.
    16. Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
    17. Salisu, Afees A. & Gupta, Rangan & Ji, Qiang, 2022. "Forecasting oil prices over 150 years: The role of tail risks," Resources Policy, Elsevier, vol. 75(C).
    18. Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Risk," Papers 2208.14267, arXiv.org, revised Jun 2023.
    19. Li, Zhenxiong & Yao, Xingzhi & Izzeldin, Marwan, 2023. "On the right jump tail inferred from the VIX market," International Review of Financial Analysis, Elsevier, vol. 86(C).

  3. Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018. "Option Panels in Pure-Jump Settings," CREATES Research Papers 2018-04, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Ulrich Hounyo & Rasmus T. Varneskov, 2018. "Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach," CREATES Research Papers 2018-16, Department of Economics and Business Economics, Aarhus University.

  4. Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Dong, Chaohua & Linton, Oliver & Peng, Bin, 2021. "A weighted sieve estimator for nonparametric time series models with nonstationary variables," Journal of Econometrics, Elsevier, vol. 222(2), pages 909-932.

  5. Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018. "Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span," CREATES Research Papers 2018-03, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
    2. Shobande, Olatunji A. & Ogbeifun, Lawrence, 2023. "Pooling cross-sectional and time series data for estimating causality between technological innovation, affluence and carbon dynamics: A comparative evidence from developed and developing countries," Technological Forecasting and Social Change, Elsevier, vol. 187(C).

  6. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018. "Short-Term Market Risks Implied by Weekly Options," CREATES Research Papers 2018-08, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Gong, Xu & Lin, Boqiang, 2018. "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, vol. 74(C), pages 370-386.
    2. Ian Dew-Becker & Stefano Giglio & Bryan T. Kelly, 2019. "Hedging Macroeconomic and Financial Uncertainty and Volatility," NBER Working Papers 26323, National Bureau of Economic Research, Inc.
    3. Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021. "Deep Structural Estimation:With an Application to Option Pricing," Cahiers de Recherches Economiques du Département d'économie 21.14, Université de Lausanne, Faculté des HEC, Département d’économie.
    4. Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
    5. Shvimer, Yossi & Herbon, Avi, 2020. "Comparative empirical study of binomial call-option pricing methods using S&P 500 index data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    6. Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2023. "Shot-noise cojumps: exact simulation and option pricing," LSE Research Online Documents on Economics 111537, London School of Economics and Political Science, LSE Library.
    7. Mykland, Per Aslak, 2019. "Combining statistical intervals and market prices: The worst case state price distribution," Journal of Econometrics, Elsevier, vol. 212(1), pages 272-285.
    8. Peter H. Gruber & Claudio Tebaldi & Fabio Trojani, 2021. "The Price of the Smile and Variance Risk Premia," Management Science, INFORMS, vol. 67(7), pages 4056-4074, July.
    9. H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
    10. Diego Amaya & Jean-François Bégin & Geneviève Gauthier, 2022. "The Informational Content of High-Frequency Option Prices," Management Science, INFORMS, vol. 68(3), pages 2166-2201, March.
    11. Steven Heston & Kris Jacobs & Hyung Joo Kim, 2023. "The Pricing Kernel in Options," Finance and Economics Discussion Series 2023-053, Board of Governors of the Federal Reserve System (U.S.).
    12. Hamed Ghanbari & Michael Oancea & Stylianos Perrakis, 2021. "Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences," European Financial Management, European Financial Management Association, vol. 27(2), pages 244-286, March.
    13. Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021. "Deep Structural Estimation: With an Application to Option Pricing," Papers 2102.09209, arXiv.org.
    14. Amengual, Dante & Xiu, Dacheng, 2018. "Resolution of policy uncertainty and sudden declines in volatility," Journal of Econometrics, Elsevier, vol. 203(2), pages 297-315.
    15. Oikonomou, Ioannis & Stancu, Andrei & Symeonidis, Lazaros & Wese Simen, Chardin, 2019. "The information content of short-term options," Journal of Financial Markets, Elsevier, vol. 46(C).
    16. Wan, Xiangwei & Yang, Nian, 2021. "Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
    17. Jonathan A. Milian, 2023. "The Efficiency of Weekly Option Prices around Earnings Announcements," JRFM, MDPI, vol. 16(5), pages 1-14, May.
    18. Johnson, James A. & Medeiros, Marcelo C. & Paye, Bradley S., 2022. "Jumps in stock prices: New insights from old data," Journal of Financial Markets, Elsevier, vol. 60(C).
    19. Stylianos Perrakis, 2022. "From innovation to obfuscation: continuous time finance fifty years later," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 369-401, September.
    20. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2023. "Informed options strategies before corporate events," Journal of Financial Markets, Elsevier, vol. 63(C).
    21. Hua, Shengya & Liu, Jingchen & Cheng, T.C.E. & Zhai, Xin, 2019. "Financing and ordering strategies for a supply chain under the option contract," International Journal of Production Economics, Elsevier, vol. 208(C), pages 100-121.
    22. Ging-Ginq Pan & Yung-Ming Shiu & Tu-Cheng Wu, 2019. "Is trading in the shortest-term index options profitable?," Review of Derivatives Research, Springer, vol. 22(1), pages 169-201, April.
    23. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2022. "Informed options strategies before corporate events," LawFin Working Paper Series 39, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
    24. Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2018. "Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 1-29.
    25. Federico M. Bandi & Aleksey Kolokolov & Davide Pirino & Roberto Renòo, 2020. "Zeros," Management Science, INFORMS, vol. 66(8), pages 3466-3479, August.
    26. Chen, Ying & Grith, Maria & Lai, Hannah L. H., 2023. "Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach," MPRA Paper 119022, University Library of Munich, Germany.

  7. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2018. "Time-Varying Periodicity in Intraday Volatility," CREATES Research Papers 2018-05, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Dette, Holger & Golosnoy, Vasyl & Kellermann, Janosch, 2022. "Correcting Intraday Periodicity Bias in Realized Volatility Measures," Econometrics and Statistics, Elsevier, vol. 23(C), pages 36-52.
    2. Song, Xinyu & Kim, Donggyu & Yuan, Huiling & Cui, Xiangyu & Lu, Zhiping & Zhou, Yong & Wang, Yazhen, 2021. "Volatility analysis with realized GARCH-Itô models," Journal of Econometrics, Elsevier, vol. 222(1), pages 393-410.
    3. Donggyu Kim & Xinyu Song & Yazhen Wang, 2020. "Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency," Papers 2006.12039, arXiv.org.
    4. Kim, Donggyu & Song, Xinyu & Wang, Yazhen, 2022. "Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    5. Leopoldo Catania & Roberto Di Mari & Paolo Santucci de Magistris, 2019. "Dynamic discrete mixtures for high frequency prices," Discussion Papers 19/05, University of Nottingham, Granger Centre for Time Series Econometrics.
    6. Donggyu Kim & Minseok Shin & Yazhen Wang, 2021. "Overnight GARCH-It\^o Volatility Models," Papers 2102.13467, arXiv.org, revised Jun 2022.
    7. Yinfen Tang & Tao Su & Zhiyuan Zhang, 2022. "Distribution-free specification test for volatility function based on high-frequency data with microstructure noise," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(8), pages 977-1022, November.
    8. Wu, Fan & Wang, Guan-jun & Kong, Xin-bing, 2022. "Inference on common intraday periodicity at high frequencies," Statistics & Probability Letters, Elsevier, vol. 191(C).
    9. Holger Dette & Vasyl Golosnoy & Janosch Kellermann, 2023. "The effect of intraday periodicity on realized volatility measures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(3), pages 315-342, April.
    10. Simon Clinet & Yoann Potiron, 2021. "Estimation for high-frequency data under parametric market microstructure noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.
    11. Dumitru, Ana-Maria & Hizmeri, Rodrigo & Izzeldin, Marwan, 2019. "Forecasting the Realized Variance in the Presence of Intraday Periodicity," EconStor Preprints 193631, ZBW - Leibniz Information Centre for Economics.
    12. Christensen, Kim & Thyrsgaard, Martin & Veliyev, Bezirgen, 2019. "The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing," Journal of Econometrics, Elsevier, vol. 212(2), pages 556-583.
    13. Choi, Jungjun & Yang, Xiye, 2022. "Asymptotic properties of correlation-based principal component analysis," Journal of Econometrics, Elsevier, vol. 229(1), pages 1-18.
    14. Qiang Liu & Zhi Liu & Chuanhai Zhang, 2020. "Heteroscedasticity test of high-frequency data with jumps and microstructure noise," Papers 2010.07659, arXiv.org.

  8. Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2017. "Volatility, information feedback and market microstructure noise: A tale of two regimes," CFS Working Paper Series 569, Center for Financial Studies (CFS).

    Cited by:

    1. Clinet, Simon & Potiron, Yoann, 2019. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
    2. Simon Clinet & Yoann Potiron, 2021. "Estimation for high-frequency data under parametric market microstructure noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.

  9. Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna Obizhaeva, 2016. "Intraday Trading Invariance in the E-mini S&P 500 Futures Market," Working Papers w0229, New Economic School (NES).

    Cited by:

    1. Mark D. Flood & John C. Liechty & Thomas Piontek, 2015. "Systemwide Commonalities in Market Liquidity," Working Papers 15-11, Office of Financial Research, US Department of the Treasury.
    2. Frédéric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Are trading invariants really invariant? Trading costs matter," Post-Print hal-02323318, HAL.
    3. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers 2017-26, Department of Economics and Business Economics, Aarhus University.
    4. Barardehi, Yashar H. & Bernhardt, Dan & Ruchti, Thomas G., 2019. "A test of speculative arbitrage: is the cross-section of volatility invariant?," The Warwick Economics Research Paper Series (TWERPS) 1204, University of Warwick, Department of Economics.
    5. Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2019. "Arbitrage bots in experimental asset markets," MPRA Paper 96224, University Library of Munich, Germany.
    6. Albert S. Kyle & Anna A. Obizhaeva & Yajun Wang, 2020. "Industrial Organization, Order Internalization, and Invariance," Working Papers w0274, New Economic School (NES).
    7. Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna Obizhaeva, 2016. "Invariance of buy-sell switching points," Working Papers w0232, Center for Economic and Financial Research (CEFIR).
    8. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2016. "Decoupling the short- and long-term behavior of stochastic volatility," Papers 1610.00332, arXiv.org, revised Jan 2021.
    9. Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna Obizhaeva, 2016. "Invariance of buy-sell switching points," Working Papers w0232, New Economic School (NES).
    10. Fr'ed'eric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Are trading invariants really invariant? Trading costs matter," Papers 1902.03457, arXiv.org.
    11. Mathias Pohl & Alexander Ristig & Walter Schachermayer & Ludovic Tangpi, 2018. "Theoretical and empirical analysis of trading activity," Papers 1803.04892, arXiv.org, revised Oct 2018.
    12. Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna A. Obizhaeva, 2020. "Invariance of Buy-Sell Switching Points," Working Papers w0273, New Economic School (NES).

  10. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers 21491, National Bureau of Economic Research, Inc.

    Cited by:

    1. José E. Figueroa-López & Sveinn Ólafsson, 2016. "Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps," Finance and Stochastics, Springer, vol. 20(4), pages 973-1020, October.
    2. Ging‐Ginq Pan & Yung‐Ming Shiu & Tu‐Cheng Wu, 2018. "Analysis of the clientele effect and the information content of short‐term index option returns in Taiwan," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 715-730, June.

  11. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2014. "The Risk Premia Embedded in Index Options," CREATES Research Papers 2014-56, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Viktor Todorov & Yang Zhang, 2022. "Information gains from using short‐dated options for measuring and forecasting volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 368-391, March.
    2. Peixuan Yuan, 2022. "Time-Varying Skew in VIX Derivatives Pricing," Management Science, INFORMS, vol. 68(10), pages 7761-7791, October.
    3. Paul Schneider & Christian Wagner & Josef Zechner, 2019. "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series 19-50, Swiss Finance Institute.
    4. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Dynamics of variance risk premia: A new model for disentangling the price of risk," Journal of Econometrics, Elsevier, vol. 217(2), pages 312-334.
    5. Xinglin Yang & Ji Chen, 2021. "VIX term structure: The role of jump propagation risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 785-810, June.
    6. Wong, Patrick, 2023. "Explaining intraday crude oil returns with higher order risk-neutral moments," Journal of Commodity Markets, Elsevier, vol. 31(C).
    7. Ian Dew-Becker & Stefano Giglio & Bryan T. Kelly, 2019. "Hedging Macroeconomic and Financial Uncertainty and Volatility," NBER Working Papers 26323, National Bureau of Economic Research, Inc.
    8. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers 28570, National Bureau of Economic Research, Inc.
    9. Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2017. "Equity index variance: Evidence from flexible parametric jump–diffusion models," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 85-103.
    10. Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
    11. Sangwon Suh & Eungyu Yoo & Sun‐Joong Yoon, 2021. "Stock market tail risk, tail risk premia, and return predictability," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1569-1596, October.
    12. Constantinides, George M. & Lian, Lei, 2021. "The Supply and Demand of S&P 500 Put Options," Critical Finance Review, now publishers, vol. 10(1), pages 1-20, April.
    13. Barone-Adesi, Giovanni & Fusari, Nicola & Mira, Antonietta & Sala, Carlo, 2020. "Option market trading activity and the estimation of the pricing kernel: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 216(2), pages 430-449.
    14. José P. Dapena & Juan A. Serur & Julián R. Siri, 2018. "Measuring and trading volatility on the US stock market: A regime switching approach," CEMA Working Papers: Serie Documentos de Trabajo. 659, Universidad del CEMA.
    15. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
    16. Gurdip Bakshi & John Crosby & Xiaohui Gao, 2023. "Dark Matter in (Volatility and) Equity Option Risk Premiums," Papers 2303.16371, arXiv.org.
    17. Lu, Junwen & Qu, Zhongjun, 2021. "Sieve estimation of option-implied state price density," Journal of Econometrics, Elsevier, vol. 224(1), pages 88-112.
    18. Ilze Kalnina & Dacheng Xiu, 2017. "Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 384-396, January.
    19. Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch & Seong-Min Yoon, 2020. "OPEC News and Jumps in the Oil Market," Working Papers 202053, University of Pretoria, Department of Economics.
    20. Konstantinos Gkillas & Rangan Gupta & Mark E. Wohar, 2020. "Oil shocks and volatility jumps," Review of Quantitative Finance and Accounting, Springer, vol. 54(1), pages 247-272, January.
    21. Yeap, Claudia & Kwok, Simon S. & Choy, S. T. Boris, 2016. "A Flexible Generalised Hyperbolic Option Pricing Model and its Special Cases," Working Papers 2016-14, University of Sydney, School of Economics.
    22. Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2023. "Shot-noise cojumps: exact simulation and option pricing," LSE Research Online Documents on Economics 111537, London School of Economics and Political Science, LSE Library.
    23. Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
    24. Salisu, Afees A. & Olaniran, Abeeb & Tchankam, Jean Paul, 2022. "Oil tail risk and the tail risk of the US Dollar exchange rates," Energy Economics, Elsevier, vol. 109(C).
    25. H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
    26. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019. "Unified inference for nonlinear factor models from panels with fixed and large time span," Journal of Econometrics, Elsevier, vol. 212(1), pages 4-25.
    27. Kwon, Ji Ho, 2019. "Tail risk and the consumption CAPM," Finance Research Letters, Elsevier, vol. 30(C), pages 69-75.
    28. Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2020. "Is the credit spread puzzle a myth?," Journal of Financial Economics, Elsevier, vol. 137(2), pages 297-319.
    29. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021. "Closed-form implied volatility surfaces for stochastic volatility models with jumps," Journal of Econometrics, Elsevier, vol. 222(1), pages 364-392.
    30. Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, Department of Economics and Business Economics, Aarhus University.
    31. Brignone, Riccardo & Gonzato, Luca & Lütkebohmert, Eva, 2023. "Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants," Journal of Banking & Finance, Elsevier, vol. 148(C).
    32. Todorov, Viktor & Zhang, Yang, 2023. "Bias reduction in spot volatility estimation from options," Journal of Econometrics, Elsevier, vol. 234(1), pages 53-81.
    33. Jiangze Du & Shaojie Lai & Kin Keung Lai & Shifei Zhou, 2021. "A novel term structure stochastic model with adaptive correlation for trend analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5485-5498, October.
    34. Hitesh Doshi & Hyung Joo Kim & Sang Byung Seo, 2023. "Options on Interbank Rates and Implied Disaster Risk," Finance and Economics Discussion Series 2023-054, Board of Governors of the Federal Reserve System (U.S.).
    35. PeiLin Hsieh & QinQin Zhang & Yajun Wang, 2018. "Jump risk and option liquidity in an incomplete market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1334-1369, November.
    36. Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019. "A general closed form option pricing formula," Review of Derivatives Research, Springer, vol. 22(1), pages 1-40, April.
    37. Christian Gourieroux & Joann Jasiak & Peng Xu, 2016. "The Tradability Premium on the S&P 500 Index," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 461-495.
    38. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
    39. Gagnon, Marie-Hélène & Power, Gabriel J. & Toupin, Dominique, 2023. "The sum of all fears: Forecasting international returns using option-implied risk measures," Journal of Banking & Finance, Elsevier, vol. 146(C).
    40. Nicolau, João & Rodrigues, Paulo M.M. & Stoykov, Marian Z., 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Journal of Econometrics, Elsevier, vol. 235(2), pages 2266-2284.
    41. Gkillas, Konstantinos & Boako, Gideon & Vortelinos, Dimitrios & Vasiliadis, Lavrentios, 2020. "Non-parametric quantile dependencies between volatility discontinuities and political risk," Finance Research Letters, Elsevier, vol. 32(C).
    42. Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2019. "The leverage effect and the basket-index put spread," Journal of Financial Economics, Elsevier, vol. 131(1), pages 186-205.
    43. George P. Gao & Xiaomeng Lu & Zhaogang Song, 2019. "Tail Risk Concerns Everywhere," Management Science, INFORMS, vol. 65(7), pages 3111-3130, July.
    44. Ballotta, Laura & Rayée, Grégory, 2022. "Smiles & smirks: Volatility and leverage by jumps," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1145-1161.
    45. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
    46. Masato Ubukata, 2022. "A time-varying jump tail risk measure using high-frequency options data," Empirical Economics, Springer, vol. 63(5), pages 2633-2653, November.
    47. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2021. "Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk," Quantitative Economics, Econometric Society, vol. 12(2), pages 647-682, May.
    48. Zhang, Zehua & Zhao, Ran, 2023. "Good volatility, bad volatility, and the cross section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
    49. Ji Ho Kwon, 2021. "On the factors of Bitcoin’s value at risk," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    50. Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato, 2021. "Tail risk and return predictability for the Japanese equity market," Journal of Econometrics, Elsevier, vol. 222(1), pages 344-363.
    51. Ulrich Horst & Wei Xu, 2019. "The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics," Papers 1911.12969, arXiv.org.
    52. Amengual, Dante & Xiu, Dacheng, 2018. "Resolution of policy uncertainty and sudden declines in volatility," Journal of Econometrics, Elsevier, vol. 203(2), pages 297-315.
    53. Yaw‐Huei Wang & Kuang‐Chieh Yen, 2018. "The information content of option‐implied tail risk on the future returns of the underlying asset," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(4), pages 493-510, April.
    54. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
    55. Wan, Xiangwei & Yang, Nian, 2021. "Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
    56. Bredin, Don & O'Sullivan, Conall & Spencer, Simon, 2021. "Forecasting WTI crude oil futures returns: Does the term structure help?," Energy Economics, Elsevier, vol. 100(C).
    57. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Variance swap payoffs, risk premia and extreme market conditions," Econometrics and Statistics, Elsevier, vol. 13(C), pages 106-124.
    58. Johnson, James A. & Medeiros, Marcelo C. & Paye, Bradley S., 2022. "Jumps in stock prices: New insights from old data," Journal of Financial Markets, Elsevier, vol. 60(C).
    59. Gkillas Konstantinos & Gupta Rangan & Vortelinos Dimitrios I., 2023. "Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(1), pages 25-47, February.
    60. Bruno Feunou & Cédric Okou, 2018. "Risk‐neutral moment‐based estimation of affine option pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
    61. Peter Van Tassel, 2017. "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers 149, Society for Economic Dynamics.
    62. Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
    63. Konstantinos Gkillas & Dimitrios Vortelinos & Christos Floros & Athanasios Tsagkanos, 2019. "Economic News Releases and Financial Markets in South Africa," Economies, MDPI, vol. 7(4), pages 1-13, November.
    64. Carverhill, Andrew & Luo, Dan, 2023. "A Bayesian analysis of time-varying jump risk in S&P 500 returns and options," Journal of Financial Markets, Elsevier, vol. 64(C).
    65. Lovreta, Lidija & Silaghi, Florina, 2020. "The surface of implied firm’s asset volatility," Journal of Banking & Finance, Elsevier, vol. 112(C).
    66. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    67. Kwon, Ji Ho, 2020. "Tail behavior of Bitcoin, the dollar, gold and the stock market index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    68. Xingzhi Yao & Marwan Izzeldin, 2018. "Forecasting using alternative measures of model‐free option‐implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 199-218, February.
    69. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.
    70. Tong Wang, 2023. "Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium," Review of Finance, European Finance Association, vol. 27(1), pages 325-367.
    71. Zhe Li, 2020. "Equity Option Pricing with Systematic and Idiosyncratic Volatility and Jump Risks," JRFM, MDPI, vol. 13(1), pages 1-18, January.
    72. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
    73. Lu, Zhongjin & Murray, Scott, 2019. "Bear beta," Journal of Financial Economics, Elsevier, vol. 131(3), pages 736-760.
    74. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xu, 2020. "The Term Structures of Loss and Gain Uncertainty," Staff Working Papers 20-19, Bank of Canada.
    75. David S. Bates, 2016. "How Crashes Develop: Intradaily Volatility and Crash Evolution," NBER Working Papers 22028, National Bureau of Economic Research, Inc.
    76. Li, Zhenxiong & Yao, Xingzhi & Izzeldin, Marwan, 2023. "On the right jump tail inferred from the VIX market," International Review of Financial Analysis, Elsevier, vol. 86(C).

  12. Torben G. Andersen & Oleg Bondarenko, 2013. "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers 2013-43, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Andersen, Torben G. & Bondarenko, Oleg, 2014. "VPIN and the flash crash," Journal of Financial Markets, Elsevier, vol. 17(C), pages 1-46.
    2. Andersen, Torben G. & Bondarenko, Oleg, 2014. "Reflecting on the VPIN dispute," Journal of Financial Markets, Elsevier, vol. 17(C), pages 53-64.

  13. Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen, 2013. "The Fine Structure of Equity-Index Option Dynamics," CREATES Research Papers 2013-52, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Hounyo, Ulrich & Varneskov, Rasmus T., 2020. "Inference for local distributions at high sampling frequencies: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 215(1), pages 1-34.
    2. Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
    3. Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
    4. Hounyo, Ulrich & Varneskov, Rasmus T., 2017. "A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation," Journal of Econometrics, Elsevier, vol. 198(1), pages 10-28.
    5. Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
    6. Chang, C-L. & McAleer, M.J., 2014. "Econometric Analysis of Financial Derivatives," Econometric Institute Research Papers EI 2015-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Ronald Gallant, A. & Tauchen, George, 2018. "Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale," Journal of Econometrics, Elsevier, vol. 205(1), pages 140-155.
    8. Dalderop, Jeroen, 2020. "Nonparametric filtering of conditional state-price densities," Journal of Econometrics, Elsevier, vol. 214(2), pages 295-325.
    9. Robert Davies & George Tauchen, 2018. "Data-Driven Jump Detection Thresholds for Application in Jump Regressions," Econometrics, MDPI, vol. 6(2), pages 1-25, March.

  14. Torben G. Andersen & Oleg Bondarenko, 2013. "Reflecting on the VPIN Dispute," CREATES Research Papers 2013-42, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Chang, Sanders S. & Wang, F. Albert, 2015. "Adverse selection and the presence of informed trading," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 19-33.
    2. Usman Arief & Zaäfri Ananto Husodo, 2021. "Private Information from Extreme Price Movements (Empirical Evidences from Southeast Asia Countries)," International Symposia in Economic Theory and Econometrics, in: Recent Developments in Asian Economics International Symposia in Economic Theory and Econometrics, volume 28, pages 221-242, Emerald Group Publishing Limited.
    3. Paparizos, Panagiotis & Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2016. "On high frequency dynamics between information asymmetry and volatility for securities," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 21-34.
    4. Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
    5. Chang, Sanders S. & Albert Wang, F., 2019. "Informed contrarian trades and stock returns," Journal of Financial Markets, Elsevier, vol. 42(C), pages 75-93.
    6. Steffen, Viktoria, 2023. "A literature review on extreme price movements with reversal," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    7. Ulze, Markus & Stadler, Johannes & Rathgeber, Andreas W., 2021. "No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 163-184.
    8. Quan Gan & Wang Chun Wei & David Johnstone, 2015. "A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1805-1821, November.

  15. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2013. "A robust neighborhood truncation approach to estimation of integrated quarticity," International Finance Discussion Papers 1078, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Pierre Bajgrowicz & Olivier Scaillet & Adrien Treccani, 2016. "Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News," Management Science, INFORMS, vol. 62(8), pages 2198-2217, August.
    2. Dette, Holger & Golosnoy, Vasyl & Kellermann, Janosch, 2022. "Correcting Intraday Periodicity Bias in Realized Volatility Measures," Econometrics and Statistics, Elsevier, vol. 23(C), pages 36-52.
    3. Wang, Bin & Zheng, Xu, 2022. "Testing for the presence of jump components in jump diffusion models," Journal of Econometrics, Elsevier, vol. 230(2), pages 483-509.
    4. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016. "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.
    5. Donggyu Kim & Minseok Shin & Yazhen Wang, 2021. "Overnight GARCH-It\^o Volatility Models," Papers 2102.13467, arXiv.org, revised Jun 2022.
    6. Mykland, Per A. & Zhang, Lan, 2021. "The Observed Asymptotic Variance: Hard edges, and a regression approach," Journal of Econometrics, Elsevier, vol. 222(1), pages 411-428.
    7. Holger Dette & Vasyl Golosnoy & Janosch Kellermann, 2023. "The effect of intraday periodicity on realized volatility measures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(3), pages 315-342, April.
    8. Simon Clinet & Yoann Potiron, 2021. "Estimation for high-frequency data under parametric market microstructure noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.
    9. Simon Clinet & Yoann Potiron, 2017. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Papers 1701.01185, arXiv.org, revised Jun 2018.
    10. Milan Ficura & Jiri Witzany, 2016. "Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 278-301, August.
    11. Yingjie Dong & Yiu-Kuen Tse, 2017. "Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility," Econometrics, MDPI, vol. 5(4), pages 1-19, November.
    12. Giulia Livieri & Maria Elvira Mancino & Stefano Marmi, 2019. "Asymptotic results for the Fourier estimator of the integrated quarticity," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 471-502, December.
    13. Mykland, Per A. & Zhang, Lan, 2016. "Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price," Journal of Econometrics, Elsevier, vol. 194(2), pages 242-262.

  16. Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2011. "Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX," CREATES Research Papers 2011-49, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Barunik, Jozef & Barunikova, Michaela, 2015. "Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression," FinMaP-Working Papers 43, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    2. Konstantinidi, Eirini & Skiadopoulos, George, 2016. "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
    3. Andersen, Torben G. & Bondarenko, Oleg, 2014. "VPIN and the flash crash," Journal of Financial Markets, Elsevier, vol. 17(C), pages 1-46.
    4. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012. "Parametric Inference and Dynamic State Recovery from Option Panels," Global COE Hi-Stat Discussion Paper Series gd12-266, Institute of Economic Research, Hitotsubashi University.
    5. Shan Lu, 2019. "Testing the Predictive Ability of Corridor Implied Volatility Under GARCH Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 129-168, June.
    6. Jozef Barunik & Michaela Barunikova, 2012. "Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression," Papers 1208.4831, arXiv.org, revised Feb 2013.
    7. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    8. Bondarenko, Oleg, 2014. "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, vol. 180(1), pages 81-97.
    9. Rohini Grover & Ajay Shah, 2014. "The imprecision of volatility indexes," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2014-031, Indira Gandhi Institute of Development Research, Mumbai, India.
    10. Takkabutr, Nattapol, 2013. "Option-Implied Risk Aversion Anomalies: Evidence From Japanese Market," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 54(2), pages 137-157, December.
    11. Kent Daniel & Ravi Jagannathan & Soohun Kim, 2012. "Tail Risk in Momentum Strategy Returns," NBER Working Papers 18169, National Bureau of Economic Research, Inc.

  17. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2011. "Parametric Inference and Dynamic State Recovery from Option Panels," CREATES Research Papers 2012-11, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
    2. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Dynamics of variance risk premia: A new model for disentangling the price of risk," Journal of Econometrics, Elsevier, vol. 217(2), pages 312-334.
    3. Jarno Talponen, 2018. "Matching distributions: Recovery of implied physical densities from option prices," Papers 1803.03996, arXiv.org.
    4. Jarrow, Robert & Kwok, Simon, 2013. "Specification Tests of Calibrated Option Pricing Models," Working Papers 2013-08, University of Sydney, School of Economics, revised Dec 2014.
    5. Heejoon Han & Dennis Kristensen, 2012. "Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates," CREATES Research Papers 2012-25, Department of Economics and Business Economics, Aarhus University.
    6. Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021. "Deep Structural Estimation:With an Application to Option Pricing," Cahiers de Recherches Economiques du Département d'économie 21.14, Université de Lausanne, Faculté des HEC, Département d’économie.
    7. Guay, François & Schwenkler, Gustavo, 2021. "Efficient estimation and filtering for multivariate jump–diffusions," Journal of Econometrics, Elsevier, vol. 223(1), pages 251-275.
    8. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
    9. Eleftheria Kafousaki & Stavros Degiannakis, 2023. "Forecasting VIX: the illusion of forecast evaluation criteria," Economics and Business Letters, Oviedo University Press, vol. 12(3), pages 231-240.
    10. Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
    11. Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2023. "Shot-noise cojumps: exact simulation and option pricing," LSE Research Online Documents on Economics 111537, London School of Economics and Political Science, LSE Library.
    12. H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
    13. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019. "Unified inference for nonlinear factor models from panels with fixed and large time span," Journal of Econometrics, Elsevier, vol. 212(1), pages 4-25.
    14. Boswijk, H. Peter & Laeven, Roger J.A. & Yang, Xiye, 2018. "Testing for self-excitation in jumps," Journal of Econometrics, Elsevier, vol. 203(2), pages 256-266.
    15. Erik Vogt, 2014. "Option-implied term structures," Staff Reports 706, Federal Reserve Bank of New York.
    16. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
    17. Tim Bollerslev & Jia Li & Zhipeng Liao, 2021. "Fixed‐k inference for volatility," Quantitative Economics, Econometric Society, vol. 12(4), pages 1053-1084, November.
    18. Steven Heston & Kris Jacobs & Hyung Joo Kim, 2023. "The Pricing Kernel in Options," Finance and Economics Discussion Series 2023-053, Board of Governors of the Federal Reserve System (U.S.).
    19. Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
    20. Martin M. Andreasen & Andrew C. Meldrum, 2018. "A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States," Finance and Economics Discussion Series 2018-056, Board of Governors of the Federal Reserve System (U.S.).
    21. K. Victor Chow & Wanjun Jiang & Bingxin Li & Jingrui Li, 2020. "Decomposing the VIX: Implications for the predictability of stock returns," The Financial Review, Eastern Finance Association, vol. 55(4), pages 645-668, November.
    22. Nicolau, João & Rodrigues, Paulo M.M. & Stoykov, Marian Z., 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Journal of Econometrics, Elsevier, vol. 235(2), pages 2266-2284.
    23. Evgenii Vladimirov, 2023. "iCOS: Option-Implied COS Method," Papers 2309.00943, arXiv.org, revised Feb 2024.
    24. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    25. Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2011. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," NBER Working Papers 17149, National Bureau of Economic Research, Inc.
    26. Bruno Feunou & Cédric Okou, 2017. "Good Volatility, Bad Volatility and Option Pricing," Staff Working Papers 17-52, Bank of Canada.
    27. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2014. "The Risk Premia Embedded in Index Options," CREATES Research Papers 2014-56, Department of Economics and Business Economics, Aarhus University.
    28. Hui Chen & Antoine Didisheim & Simon Scheidegger, 2021. "Deep Structural Estimation: With an Application to Option Pricing," Papers 2102.09209, arXiv.org.
    29. Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015. "What is beneath the surface? Option pricing with multifrequency latent states," Journal of Econometrics, Elsevier, vol. 187(2), pages 498-511.
    30. Wan, Xiangwei & Yang, Nian, 2021. "Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
    31. Bruno Feunou & Cédric Okou, 2018. "Risk‐neutral moment‐based estimation of affine option pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
    32. Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018. "Option Panels in Pure-Jump Settings," CREATES Research Papers 2018-04, Department of Economics and Business Economics, Aarhus University.
    33. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
    34. Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xu, 2020. "The Term Structures of Loss and Gain Uncertainty," Staff Working Papers 20-19, Bank of Canada.
    35. Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2017. "Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads," International Finance Discussion Papers 1212, Board of Governors of the Federal Reserve System (U.S.).

  18. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011. "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," CREATES Research Papers 2011-23, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Per A. Mykland & Neil Shephard & Kevin Sheppard, 2012. "Efficient and feasible inference for the components of financial variation using blocked multipower variation," Economics Papers 2012-W02, Economics Group, Nuffield College, University of Oxford.
    2. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    3. Maria Elvira Mancino & Simona Sanfelici, 2011. "Estimation of Quarticity with High Frequency Data," Working Papers - Mathematical Economics 2011-06, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Jan 2012.
    4. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2010. "Jump-robust volatility estimation using nearest neighbor truncation," Staff Reports 465, Federal Reserve Bank of New York.
    5. Rasmus Tangsgaard Varneskov, 2011. "Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise," CREATES Research Papers 2011-31, Department of Economics and Business Economics, Aarhus University.
    6. Ewald, Christian & Zou, Yihan, 2021. "Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 37-52.
    7. Vortelinos, Dimitrios I., 2015. "The Greek equity market in European equity portfolios," Economic Modelling, Elsevier, vol. 49(C), pages 144-153.
    8. Rene Carmona & Laura Leal, 2021. "Optimal Execution with Quadratic Variation Inventories," Papers 2104.14615, arXiv.org.
    9. Chin Wen CHEONG & Lee Min CHERNG & Grace Lee Ching YAP, 2016. "Heterogeneous Market Hypothesis Evaluations using Various Jump-Robust Realized Volatility," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 50-64, December.

  19. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Belloni, Alexandre & Chen, Mingli & Chernozhukov, Victor, 2016. "Quantile Graphical Models : Prediction and Conditional Independence with Applications to Financial Risk Management," Economic Research Papers 269321, University of Warwick - Department of Economics.
    2. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers 19469, National Bureau of Economic Research, Inc.
    3. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015. "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 263-290, March.
    4. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    5. Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2015. "Estimating Global Bank Network Connectedness," PIER Working Paper Archive 15-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 25 Jul 2015.
    6. Makoto Takahashi & Toshiaki Watanabe & Yasuhiro Omori, 2014. "Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution," CIRJE F-Series CIRJE-F-949, CIRJE, Faculty of Economics, University of Tokyo.
    7. Mustafayeva, Konul & Wang, Weining, 2020. "Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data," IRTG 1792 Discussion Papers 2020-025, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    8. Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015. "Measuring Uncertainty," American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
    9. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
    10. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016. "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.
    11. Alexandre Belloni & Mingli Chen & Victor Chernozhukov, 2016. "Quantile Graphical Models: Prediction and Conditional Independence with Applications to Systemic Risk," Papers 1607.00286, arXiv.org, revised Oct 2019.
    12. Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306.
    13. Christoffersen, Peter & Lunde, Asger & Olesen, Kasper V., 2019. "Factor Structure in Commodity Futures Return and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(3), pages 1083-1115, June.
    14. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
    15. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2020. "Multivariate leverage effects and realized semicovariance GARCH models," Journal of Econometrics, Elsevier, vol. 217(2), pages 411-430.
    16. Daniele Massacci, 2017. "Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness," Management Science, INFORMS, vol. 63(9), pages 3072-3089, September.
    17. Hoga, Yannick, 2021. "The uncertainty in extreme risk forecasts from covariate-augmented volatility models," International Journal of Forecasting, Elsevier, vol. 37(2), pages 675-686.
    18. Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, Department of Economics and Business Economics, Aarhus University.
    19. F. Lilla, 2016. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models," Working Papers wp1084, Dipartimento Scienze Economiche, Universita' di Bologna.
    20. Linton, Oliver & Whang, Yoon-Jae & Yen, Yu-Min, 2016. "A nonparametric test of a strong leverage hypothesis," Journal of Econometrics, Elsevier, vol. 194(1), pages 153-186.
    21. Nurulhasanah Abdul Rahman & Rafisah Mat Radzi, 2015. "Determinants of Effective Financial Risk Management in Small Business: A Theoretical Framework," Information Management and Business Review, AMH International, vol. 7(2), pages 87-92.
    22. Bent Jesper Christensen & Rasmus Tangsgaard Varneskov, 2021. "Dynamic Global Currency Hedging [Arbitrage in the Foreign Exchange Market: Turning on the Microscope]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 97-127.
    23. David Happersberger & Harald Lohre & Ingmar Nolte, 2020. "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, vol. 26(4), pages 1107-1146, September.
    24. F. Lilla, 2017. "High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed," Working Papers wp1099, Dipartimento Scienze Economiche, Universita' di Bologna.
    25. Massacci, Daniele, 2014. "A two-regime threshold model with conditional skewed Student t distributions for stock returns," Economic Modelling, Elsevier, vol. 43(C), pages 9-20.
    26. Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper 72197, University Library of Munich, Germany, revised 10 Jun 2016.
    27. Alfeus, Mesias & Nikitopoulos, Christina Sklibosios, 2022. "Forecasting volatility in commodity markets with long-memory models," Journal of Commodity Markets, Elsevier, vol. 28(C).
    28. Hsuan‐Ling Chang & Yen‐Cheng Chang & Hung‐Wen Cheng & Po‐Hsiang Peng & Kevin Tseng, 2019. "Jump variance risk: Evidence from option valuation and stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 890-915, July.
    29. Yu Chen & Jie Hu & Weiping Zhang, 2020. "Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 28(6), pages 78-100, November.
    30. Isao Ishida & Virmantas Kvedaras, 2015. "Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity," Econometrics, MDPI, vol. 3(1), pages 1-53, January.
    31. Dias, Alexandra, 2013. "Market capitalization and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5248-5260.
    32. Liu, Zhenya & Lu, Shanglin & Li, Bo & Wang, Shixuan, 2023. "Time series momentum and reversal: Intraday information from realized semivariance," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 54-77.
    33. Francis X. Diebold, 2020. ""Big Data" and its Origins," Papers 2008.05835, arXiv.org, revised Jan 2021.
    34. Han-Ching Huang & Yong-Chern Su & Jen-Tien Tsui, 2015. "Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 390-398.
    35. Duan, Yunlong & Mu, Chang & Yang, Meng & Deng, Zhiqing & Chin, Tachia & Zhou, Li & Fang, Qifeng, 2021. "Study on early warnings of strategic risk during the process of firms’ sustainable innovation based on an optimized genetic BP neural networks model: Evidence from Chinese manufacturing firms," International Journal of Production Economics, Elsevier, vol. 242(C).
    36. Victor Olkhov, 2021. "To VaR, or Not to VaR, That is the Question," Papers 2101.08559, arXiv.org, revised Oct 2021.
    37. BALTES Nicolae & DRAGOE Alexandra-Gabriela-Maria, 2017. "Estimating The Return Of The Financial Titles Of The Companies From The Manufacturing Industry, Listed On The Bucharest Stock Exchange," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 69(3), pages 19-28, August.
    38. Cipollini, Fabrizio & Gallo, Giampiero M., 2019. "Modeling Euro STOXX 50 volatility with common and market-specific components," Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
    39. Richard Friberg & Mark Sanctuary, 2020. "Exchange rate risk and the skill composition of labor," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 156(2), pages 287-312, May.
    40. Nolte, Ingmar & Xu, Qi, 2015. "The economic value of volatility timing with realized jumps," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 45-59.
    41. Diebold, Francis X. & Yılmaz, Kamil, 2023. "Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 234(S), pages 70-90.
    42. Symitsi, Efthymia & Symeonidis, Lazaros & Kourtis, Apostolos & Markellos, Raphael, 2018. "Covariance forecasting in equity markets," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 153-168.
    43. Conrad, Christian & Glas, Alexander, 2018. "‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios," Working Papers 0655, University of Heidelberg, Department of Economics.
    44. Hammadi Zouari, 2022. "On the Effectiveness of Stock Index Futures for Tail Risk Protection," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 38-52, May.

  20. Torben G. Andersen & Oleg Bondarenko, 2011. "VPIN and the Flash Crash," CREATES Research Papers 2011-50, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Haochen Li & Yi Cao & Maria Polukarov & Carmine Ventre, 2023. "An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics," Papers 2308.14235, arXiv.org, revised Dec 2023.
    2. Torben G. Andersen & Oleg Bondarenko, 2015. "Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence," Review of Finance, European Finance Association, vol. 19(1), pages 1-54.
    3. Chang, Sanders S. & Wang, F. Albert, 2015. "Adverse selection and the presence of informed trading," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 19-33.
    4. Bellia, Mario & Christensen, Kim & Kolokolov, Aleksey & Pelizzon, Loriana & Renò, Roberto, 2022. "Do designated market makers provide liquidity during a flash crash?," SAFE Working Paper Series 270, Leibniz Institute for Financial Research SAFE, revised 2022.
    5. Yang, Haijun & Xue, Feng, 2021. "Analysis of stock market volatility: Adjusted VPIN with high-frequency data," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 210-222.
    6. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2014. "Effects of Limit Order Book Information Level on Market Stability Metrics," Working Papers 14-09, Office of Financial Research, US Department of the Treasury.
    7. Paparizos, Panagiotis & Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2016. "On high frequency dynamics between information asymmetry and volatility for securities," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 21-34.
    8. Cakici, Nusret & Goswami, Gautam & Tan, Sinan, 2014. "Options resilience during extreme volatility: Evidence from the market events of May 2010," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 262-274.
    9. Khaladdin Rzayev & Gbenga Ibikunle, 2021. "Order aggressiveness and flash crashes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2647-2673, April.
    10. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    11. Mengyu Zhang & Thanos Verousis & Iordanis Kalaitzoglou, 2022. "Information and the arrival rate of option trading volume," Post-Print hal-03648997, HAL.
    12. Thomas Pöppe & Michael Aitken & Dirk Schiereck & Ingo Wiegand, 2016. "A PIN per day shows what news convey: the intraday probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1187-1220, November.
    13. Chang, Sanders S. & Albert Wang, F., 2019. "Informed contrarian trades and stock returns," Journal of Financial Markets, Elsevier, vol. 42(C), pages 75-93.
    14. Yamada, Masahiro & Ito, Takatoshi, 2022. "Price discovery and liquidity recovery: Forex market reactions to macro announcements," Journal of International Money and Finance, Elsevier, vol. 120(C).
    15. Prodromou, Tina & Westerholm, P. Joakim, 2022. "Are high frequency traders responsible for extreme price movements?," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 94-111.
    16. Andersen, Torben G. & Bondarenko, Oleg, 2014. "Reflecting on the VPIN dispute," Journal of Financial Markets, Elsevier, vol. 17(C), pages 53-64.
    17. Xin Li & Xingyuan He & Lu Zhou & Shushu Xie, 2022. "Impact of Epidemics on Enterprise Innovation: An Analysis of COVID-19 and SARS," Sustainability, MDPI, vol. 14(9), pages 1-28, April.
    18. Chen, Xiaohong & Linton, Oliver & Schneeberger, Stefan & Yi, Yanping, 2019. "Semiparametric estimation of the bid–ask spread in extended roll models," Journal of Econometrics, Elsevier, vol. 208(1), pages 160-178.
    19. Xiaohong Chen & Oliver Linton & Stefan Schneeberger, 2016. "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," Cambridge Working Papers in Economics 1620, Faculty of Economics, University of Cambridge.
    20. Yildiz, Serhat & Van Ness, Bonnie & Van Ness, Robert, 2020. "VPIN, liquidity, and return volatility in the U.S. equity markets," Global Finance Journal, Elsevier, vol. 45(C).
    21. Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016. "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," CeMMAP working papers 12/16, Institute for Fiscal Studies.
    22. Mai, Nhat Chi, 2020. "Essays on the Vietnam Stock Market," OSF Preprints 3uaqt, Center for Open Science.
    23. Tobias Braun & Jonas A Fiegen & Daniel C Wagner & Sebastian M Krause & Thomas Guhr, 2018. "Impact and recovery process of mini flash crashes: An empirical study," PLOS ONE, Public Library of Science, vol. 13(5), pages 1-11, May.
    24. Rzayev, Khaladdin & Ibikunle, Gbenga, 2019. "A state-space modeling of the information content of trading volume," Journal of Financial Markets, Elsevier, vol. 46(C).
    25. Alexandru Stan, 2015. "A Price Crash Alerting Strategy for Agent-based Artificial Financial Markets," MIC 2015: Managing Sustainable Growth; Proceedings of the Joint International Conference, Portorož, Slovenia, 28–30 May 2015,, University of Primorska, Faculty of Management Koper.
    26. Chakrabarty, Bidisha & Pascual, Roberto & Shkilko, Andriy, 2015. "Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm," Journal of Financial Markets, Elsevier, vol. 25(C), pages 52-79.
    27. Herrmann, Klaus & Teis, Stefan & Yu, Weijun, 2014. "Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures," FAU Discussion Papers in Economics 15/2014, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    28. Steffen, Viktoria, 2023. "A literature review on extreme price movements with reversal," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    29. Ulze, Markus & Stadler, Johannes & Rathgeber, Andreas W., 2021. "No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 163-184.
    30. Allen Carrion & Madhuparna Kolay, 2020. "Trade signing in fast markets," The Financial Review, Eastern Finance Association, vol. 55(3), pages 385-404, August.
    31. Abad, David & Massot, Magdalena & Pascual, Roberto, 2018. "Evaluating VPIN as a trigger for single-stock circuit breakers," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 21-36.
    32. Jangkoo Kang & Kyung Yoon Kwon & Wooyeon Kim, 2020. "Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 164-191, February.
    33. Quan Gan & Wang Chun Wei & David Johnstone, 2015. "A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1805-1821, November.
    34. Santiago Velásquez & Juho Kanniainen & Saku Mäkinen & Jaakko Valli, 2018. "Layoff announcements and intra-day market reactions," Review of Managerial Science, Springer, vol. 12(1), pages 203-228, January.

  21. Torben G. Andersen & Luca Benzoni, 2010. "Stochastic Volatility," CREATES Research Papers 2010-10, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
    2. Isabel Casas & Helena Veiga, 2021. "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1015-1039, April.
    3. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian, 2008. "Option valuation with long-run and short-run volatility components," Journal of Financial Economics, Elsevier, vol. 90(3), pages 272-297, December.
    4. Peter Christoffersen & Kris Jacobs, 2002. "Which Volatility Model for Option Valuation?," CIRANO Working Papers 2002s-33, CIRANO.
    5. Mr. John J Matovu, 2007. "Volatility and Jump Risk Premia in Emerging Market Bonds," IMF Working Papers 2007/172, International Monetary Fund.
    6. Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
    7. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
    8. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
    9. Christopher J. Neely, 2005. "Using implied volatility to measure uncertainty about interest rates," Review, Federal Reserve Bank of St. Louis, vol. 87(May), pages 407-425.
    10. Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
    11. Dan Pirjol, 2016. "Eurodollar futures pricing in log-normal interest rate models in discrete time," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(6), pages 445-464, November.
    12. Peter F. Christoffersen & Francis X. Diebold, 2006. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, vol. 52(8), pages 1273-1287, August.
    13. Renò, Roberto, 2008. "Nonparametric Estimation Of The Diffusion Coefficient Of Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1174-1206, October.
    14. Liam A. Gallagher & Fionnuala Ryan, 2017. "A Portfolio Approach to Assessing an Auto-Enrolment Pension Scheme for Ireland," The Economic and Social Review, Economic and Social Studies, vol. 48(4), pages 515-548.
    15. Benoit Perron & Hyungsik Roger Moon, 2007. "An empirical analysis of nonstationarity in a panel of interest rates with factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 383-400.
    16. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
    17. Rasmus Tangsgaard Varneskov, 2011. "Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices," CREATES Research Papers 2011-35, Department of Economics and Business Economics, Aarhus University.
    18. Hui Guo & Christopher J. Neely & Jason Higbee, 2008. "Foreign Exchange Volatility Is Priced in Equities," Financial Management, Financial Management Association International, vol. 37(4), pages 769-790, December.
    19. Oleg Bondarenko & Iñaki Longarela, 2009. "A general framework for the derivation of asset price bounds: an application to stochastic volatility option models," Review of Derivatives Research, Springer, vol. 12(2), pages 81-107, July.
    20. Diep Duong & Norman Swanson, 2013. "Density and Conditional Distribution Based Specification Analysis," Departmental Working Papers 201312, Rutgers University, Department of Economics.
    21. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
    22. Théoret, Raymond & Racicot, François-Éric, 2010. "Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio," MPRA Paper 35911, University Library of Munich, Germany.
    23. Patrick K. Asea & Mthuli Ncube, 1997. "Heterogeneous Information Arrival and Option Pricing," NBER Working Papers 5950, National Bureau of Economic Research, Inc.
    24. Patrick Asea & Mthuli Nube, 1997. "Heterogeneous Information Arrival and Option Pricing," UCLA Economics Working Papers 763, UCLA Department of Economics.
    25. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
    26. Cai, Lili & Swanson, Norman R., 2011. "In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 743-764, September.
    27. Peter F. Christoffersen & Francis X. Diebold, 1998. "How Relevant is Volatility Forecasting for Financial Risk Management?," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-080, New York University, Leonard N. Stern School of Business-.
    28. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    29. Christoffersen, Peter & Mazzotta, Stefano, 2004. "The informational content of over-the-counter currency options," Working Paper Series 366, European Central Bank.
    30. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2011. "Can standard preferences explain the prices of out-of-the-money S&P 500 put options?," Working Paper Series WP-2011-11, Federal Reserve Bank of Chicago.
    31. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
    32. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
    33. Fornari, Fabio, 2008. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series 859, European Central Bank.
    34. Christoffersen, Peter & Jacobs, Kris, 2004. "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, vol. 72(2), pages 291-318, May.
    35. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    36. João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 65-82, June.
    37. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.).
    38. Monica Gentile & Roberto Renò, 2002. "Which Model for the Italian Interest Rates?," LEM Papers Series 2002/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    39. José Da Fonseca & Martino Grasselli & Florian Ielpo, 2011. "Hedging (Co)Variance Risk With Variance Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 899-943.
    40. Torben G. Andersen & Luca Benzoni, 2007. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models," NBER Working Papers 12962, National Bureau of Economic Research, Inc.
    41. An Chen & Thai Nguyen & Manuel Rach, 2021. "A collective investment problem in a stochastic volatility environment: The impact of sharing rules," Annals of Operations Research, Springer, vol. 302(1), pages 85-109, July.
    42. Pierre Collin-Dufresne & Christopher S. Jones & Robert S. Goldstein, 2004. "Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility," NBER Working Papers 10756, National Bureau of Economic Research, Inc.
    43. Mr. Jorge A Chan-Lau & Mr. Armando Méndez Morales, 2003. "Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies," IMF Working Papers 2003/001, International Monetary Fund.
    44. Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2007. "Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices," CREATES Research Papers 2007-37, Department of Economics and Business Economics, Aarhus University.
    45. Alexander J. McNeil, 2021. "Modelling Volatile Time Series with V-Transforms and Copulas," Risks, MDPI, vol. 9(1), pages 1-26, January.
    46. Uppal, Raman & DeMiguel, Victor & Plyakha, Yuliya & Vilkov, Grigory, 2010. "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers 7686, C.E.P.R. Discussion Papers.
    47. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society.
    48. Federico M. Bandi & Benoit Perron, 2006. "Long Memory and the Relation Between Implied and Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 636-670.
    49. Bhardwaj, Geetesh & Corradi, Valentina & Swanson, Norman R., 2008. "A Simulation-Based Specification Test for Diffusion Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 176-193, April.
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    1. Sévi, Benoît, 2015. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Economic Modelling, Elsevier, vol. 44(C), pages 243-251.
    2. Li, Jiang-Cheng & Tao, Chen & Li, Hai-Feng, 2022. "Dynamic forecasting performance and liquidity evaluation of financial market by Econophysics and Bayesian methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
    3. Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto, 2019. "Realized Volatility Forecasting: Robustness to Measurement Errors," Econometrics Working Papers Archive 2019_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    4. Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, vol. 30(C), pages 212-216.
    5. Makoto Takahashi & Yuta Yamauchi & Toshiaki Watanabe & Yasuhiro Omori, 2024. "Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting," Papers 2401.13179, arXiv.org.
    6. Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio, 2015. "Does realized skewness predict the cross-section of equity returns?," Journal of Financial Economics, Elsevier, vol. 118(1), pages 135-167.
    7. Xing, Dun-Zhong & Li, Hai-Feng & Li, Jiang-Cheng & Long, Chao, 2021. "Forecasting price of financial market crash via a new nonlinear potential GARCH model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    8. Shinhye Chang & Rangan Gupta & Stephen M. Miller & Mark E. Wohar, 2018. "Growth Volatility and Inequality in the U.S.: A Wavelet Analysis," Working Papers 201819, University of Pretoria, Department of Economics.
    9. Yun, Jaeho, 2020. "Variance risk premium in a small open economy with volatile capital flows: The case of Korea," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 105-125.
    10. Ben Ammar, Imen & Hellara, Slaheddine, 2022. "High-frequency trading, stock volatility, and intraday crashes," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 337-344.
    11. Chen, Cathy W.S. & Watanabe, Toshiaki & Lin, Edward M.H., 2023. "Bayesian estimation of realized GARCH-type models with application to financial tail risk management," Econometrics and Statistics, Elsevier, vol. 28(C), pages 30-46.
    12. Stoffman, Noah & Woeppel, Michael & Yavuz, M. Deniz, 2022. "Small innovators: No risk, No return," Journal of Accounting and Economics, Elsevier, vol. 74(1).
    13. Zhong, Guang-Yan & Li, Jiang-Cheng & Jiang, George J. & Li, Hai-Feng & Tao, Hui-Ming, 2018. "The time delay restraining the herd behavior with Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 335-346.
    14. Liu, Qiang & Liu, Yiqi & Liu, Zhi, 2018. "Estimating spot volatility in the presence of infinite variation jumps," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 1958-1987.
    15. Jiawen Luo & Langnan Chen, 2019. "Multivariate realized volatility forecasts of agricultural commodity futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1565-1586, December.
    16. Będowska-Sójka, Barbara & Kliber, Agata, 2021. "Information content of liquidity and volatility measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
    17. Zhong, Guang-Yan & He, Feng & Li, Jiang-Cheng & Mei, Dong-Cheng & Tang, Nian-Sheng, 2019. "Coherence resonance-like and efficiency of financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    18. Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, vol. 100(3), pages 475-495, June.
    19. Cipollini, Fabrizio & Gallo, Giampiero M., 2019. "Modeling Euro STOXX 50 volatility with common and market-specific components," Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
    20. Jonathan R. Stroud & Michael S. Johannes, 2014. "Bayesian Modeling and Forecasting of 24-Hour High-Frequency Volatility," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(508), pages 1368-1384, December.

  24. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Duration-Based Volatility Estimation," Global COE Hi-Stat Discussion Paper Series gd08-034, Institute of Economic Research, Hitotsubashi University.

    Cited by:

    1. Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2019. "Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 419-435, July.
    2. Filip Zikes & Jozef Barunik & Nikhil Shenai, 2012. "Modeling and Forecasting Persistent Financial Durations," Papers 1208.3087, arXiv.org, revised Apr 2013.
    3. Peter Reinhard Hansen & Guillaume Horel, 2009. "Quadratic Variation by Markov Chains," CREATES Research Papers 2009-13, Department of Economics and Business Economics, Aarhus University.
    4. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2010. "Jump-robust volatility estimation using nearest neighbor truncation," Staff Reports 465, Federal Reserve Bank of New York.
    5. Zu, Yang & Peter Boswijk, H., 2014. "Estimating spot volatility with high-frequency financial data," Journal of Econometrics, Elsevier, vol. 181(2), pages 117-135.
    6. Markus Bibinger & Markus Reiss & Nikolaus Hautsch & Peter Malec, 2014. "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," SFB 649 Discussion Papers SFB649DP2014-055, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  25. Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago.

    Cited by:

    1. Michel Beine & Oscar Bernal & Jean-Yves Gnabo & Christelle Lecourt, 2007. "Intervention Policy of the BoJ: a Unified Approach," LSF Research Working Paper Series 07-19, Luxembourg School of Finance, University of Luxembourg.
    2. Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 319-349.
    3. Cavit Pakel & Neil Shephard & Kevin Sheppard, 2009. "Nuisance parameters, composite likelihoods and a panel of GARCH models," OFRC Working Papers Series 2009fe03, Oxford Financial Research Centre.
    4. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics," Economics Papers 2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.
    5. Baum, Christopher F. & Zerilli, Paola & Chen, Liyuan, 2021. "Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data," Energy Economics, Elsevier, vol. 93(C).
    6. Degiannakis, Stavros & Livada, Alexandra, 2013. "Realized volatility or price range: Evidence from a discrete simulation of the continuous time diffusion process," Economic Modelling, Elsevier, vol. 30(C), pages 212-216.
    7. Ammann, Manuel & Buesser, Ralf, 2013. "Variance Risk Premiums in Foreign Exchange Markets," Working Papers on Finance 1304, University of St. Gallen, School of Finance.
    8. Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Raj S. Krishnasami Iyer & David Liu & Jonathan H. Wright, 2004. "The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market," International Finance Discussion Papers 823, Board of Governors of the Federal Reserve System (U.S.).
    9. Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2013. "Gold, Oil, and Stocks," Papers 1308.0210, arXiv.org, revised Mar 2014.
    10. Song, Shijia & Tian, Fei & Li, Handong, 2021. "An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution," Journal of Asian Economics, Elsevier, vol. 74(C).
    11. Christopher F Baum & Paola Zerilli, 2014. "Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility," Boston College Working Papers in Economics 860, Boston College Department of Economics.
    12. Lillie Lam & Laurence Fung & Ip-wing Yu, 2009. "Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes," Working Papers 0901, Hong Kong Monetary Authority.
    13. Mark J. Jensen & John M. Maheu, 2014. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," Working Paper series 31_14, Rimini Centre for Economic Analysis.
    14. Janis Becker & Christian Leschinski, 2021. "Estimating the volatility of asset pricing factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 269-278, March.
    15. Julien Chevallier & Benoît Sévi, 2009. "On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting," Working Papers 2009.113, Fondazione Eni Enrico Mattei.
    16. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2015. "Which continuous-time model is most appropriate for exchange rates?," Post-Print hal-01457402, HAL.
    17. Harry Vander Elst, 2015. "FloGARCH : Realizing long memory and asymmetries in returns volatility," Working Paper Research 280, National Bank of Belgium.
    18. Liu, Qiang & Liu, Yiqi & Liu, Zhi, 2018. "Estimating spot volatility in the presence of infinite variation jumps," Stochastic Processes and their Applications, Elsevier, vol. 128(6), pages 1958-1987.
    19. Griffin, Jim & Liu, Jia & Maheu, John M, 2016. "Bayesian Nonparametric Estimation of Ex-post Variance," MPRA Paper 71220, University Library of Munich, Germany.
    20. Ammann, Manuel & Buesser, Ralf, 2013. "Variance risk premiums in foreign exchange markets," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 16-32.
    21. Guan Wang & Pierre Yourougou & Yue Wang, 2012. "Which implied volatility provides the best measure of future volatility?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 93-105, January.
    22. Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018. "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper 445, Tor Vergata University, CEIS, revised 30 Oct 2018.
    23. Frédéric Abergel & Riadh Zaatour, 2012. "What drives option prices ?," Post-Print hal-00687675, HAL.
    24. Garland Durham, 2004. "Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects," Econometric Society 2004 North American Summer Meetings 294, Econometric Society.
    25. Davies, Laurie & Höhenrieder, Christian & Krämer, Walter, 2012. "Recursive computation of piecewise constant volatilities," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3623-3631.
    26. Yaacov Kopeliovich, 2015. "Optimal Portfolios Of Corporate Bonds And Hold To Maturity Strategies," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-34, December.
    27. 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, vol. 0(2), pages 116-141, June.
    28. Cipollini, Fabrizio & Gallo, Giampiero M., 2019. "Modeling Euro STOXX 50 volatility with common and market-specific components," Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
    29. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
    30. Gau, Yin-Feng & Wu, Zhen-Xing, 2017. "Macroeconomic announcements and price discovery in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 232-254.
    31. Wang, Jianxin, 2013. "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1209-1231.

  26. Neil Shephard & Torben Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Papers 2008-W04, Economics Group, Nuffield College, University of Oxford.

    Cited by:

    1. Jesus Fernandez-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2013. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," PIER Working Paper Archive 13-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    2. Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, June.
    3. Sergey S. Stepanov, 2009. "Resilience of Volatility," Papers 0911.5048, arXiv.org.
    4. Schmidt, Torsten, 2018. "Inflation Expectation Uncertainty, Inflation and the Outputgap," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181575, Verein für Socialpolitik / German Economic Association.
    5. Rossi, E. & Spazzini, F., 2010. "Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2786-2800, November.
    6. Tedeschi, Gabriele & Recchioni, Maria Cristina & Berardi, Simone, 2019. "An approach to identifying micro behavior: How banks’ strategies influence financial cycles," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 329-346.
    7. Jakub Mućk & Peter McAdam & Jakub Growiec, 2018. "Will The “True” Labor Share Stand Up? An Applied Survey On Labor Share Measures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(4), pages 961-984, September.
    8. Trojan, Sebastian, 2014. "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series 1425, University of St. Gallen, School of Economics and Political Science.

  27. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007. "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers 2007-20, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Rasmus Fatum & Michael M. Hutchison & Thomas Wu, 2010. "Asymmetries and state dependence: the impact of macro surprises on intraday exchange rates," Globalization Institute Working Papers 49, Federal Reserve Bank of Dallas.
    2. Wu, Zhen-Xing & Gau, Yin-Feng, 2022. "Informativeness of trades around macroeconomic announcements in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    3. Dungey, Mardi & Henry, Olan & McKenzie, Michael, 2010. "From Trade-to-Trade in US Treasuries," Working Papers 10446, University of Tasmania, Tasmanian School of Business and Economics, revised 01 May 2010.
    4. Imane El Ouadghiri & Remzi Uctum, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print hal-01386027, HAL.
    5. Hossein Asgharian & Mia Holmfeldt & Marcus Larson, 2011. "An event study of price movements following realized jumps," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 933-946.
    6. Tillmann, Peter, 2020. "Macroeconomic Surprises and the Demand for Information about Monetary Policy," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224545, Verein für Socialpolitik / German Economic Association.
    7. Giuliana Passamani & Roberto Tamborini & Matteo Tomaselli, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," DEM Working Papers 2016/10, Department of Economics and Management.
    8. 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 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.
    9. Michael D. Bauer & Eric T. Swanson, 2022. "A Reassessment of Monetary Policy Surprises and High-Frequency Identification," NBER Chapters, in: NBER Macroeconomics Annual 2022, volume 37, pages 87-155, National Bureau of Economic Research, Inc.
    10. Roman Frydman & Michael Goldberg & Nicholas Mangee, 2015. "New Evidence for the Present-Value Model of Stock Prices: Why the REH Version Failed Empirically," Working Papers Series 2, Institute for New Economic Thinking.
    11. Mihaela NICOLAU, 2010. "Financial Markets Interactions between Economic Theory and Practice," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 27-36.
    12. Adriano S. Koshiyama & Nikan Firoozye & Philip Treleaven, 2019. "A derivatives trading recommendation system: The mid‐curve calendar spread case," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 26(2), pages 83-103, April.
    13. Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2021. "Cojump risks and their impacts on option pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 399-410.
    14. Özbekler, Ali Gencay & Kontonikas, Alexandros & Triantafyllou, Athanasios, 2021. "Volatility forecasting in European government bond markets," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1691-1709.
    15. Fischer, Andreas M. & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," Journal of International Money and Finance, Elsevier, vol. 113(C).
    16. Beirne, John & Gieck, Jana, 2012. "Interdependence and contagion in global asset markets," Working Paper Series 1480, European Central Bank.
    17. Ellis B. Heath & Seth J. Kopchak, 2015. "The Response of the Mexican Equity Market to US Monetary Surprises," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 87-111, August.
    18. Gagan Deep Sharma & Mandeep Mahendru & Mrinalini Srivastava, 2019. "Can Central Banking Policies Make a Difference in Financial Market Performance in Emerging Economies? The Case of India," Economies, MDPI, vol. 7(2), pages 1-19, May.
    19. Wang, Wenhao & Lin, Zhitao & Hu, Bing, 2023. "Macro news effects on exchange rates: Difference between carry trade target and safe-haven currencies," Finance Research Letters, Elsevier, vol. 53(C).
    20. Yan, Meng & Chen, Jian & Song, Victor & Xu, Ke, 2022. "Trade friction and price discovery in the USD–CAD spot and forward markets," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    21. Tzuo Hann Law & Dongho Song & Amir Yaron, 2017. "Fearing the Fed: How Wall Street Reads Main Street," 2017 Meeting Papers 1632, Society for Economic Dynamics.
    22. Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor, 2012. "On the Effects of Private Information on Volatility," CREATES Research Papers 2012-08, Department of Economics and Business Economics, Aarhus University.
    23. Dunbar, Kwamie & Amin, Abu S., 2012. "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short-term debt," Review of Financial Economics, Elsevier, vol. 21(3), pages 141-152.
    24. Pierre Bajgrowicz & Olivier Scaillet & Adrien Treccani, 2016. "Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News," Management Science, INFORMS, vol. 62(8), pages 2198-2217, August.
    25. Kathryn M.E. Dominguez & Rasmus Fatum & Pavel Vacek, 2010. "Does Foreign Exchange Reserve Decumulation Lead to Currency Appreciation?," EPRU Working Paper Series 2010-06, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
    26. Claudio Raddatz & Sergio L. Schmukler, 2011. "On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios," NBER Chapters, in: Global Financial Crisis, National Bureau of Economic Research, Inc.
    27. Paiardini, Paola, 2014. "The impact of economic news on bond prices: Evidence from the MTS platform," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 302-322.
    28. Angelo Ranaldo & Dr. Enzo Rossi, 2007. "The reaction of asset markets to Swiss National Bank communication," Working Papers 2007-11, Swiss National Bank.
    29. ÅžimÅŸek, Alp & Caballero, Ricardo, 2022. "Monetary Policy and Asset Price Overshooting: A Rationale for the Wall/Main Street Disconnect," CEPR Discussion Papers 15163, C.E.P.R. Discussion Papers.
    30. Sensoy, Ahmet & Sobaci, Cihat, 2014. "Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey," Economic Modelling, Elsevier, vol. 43(C), pages 448-457.
    31. Paul Wohlfarth, 2018. "Measuring the Impact of Monetary Policy Attention on Global Asset Volatility Using Search Data," Birkbeck Working Papers in Economics and Finance 1803, Birkbeck, Department of Economics, Mathematics & Statistics.
    32. Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David, 2010. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," CFS Working Paper Series 2010/01, Center for Financial Studies (CFS).
    33. Funke, Michael & Shu, Chang & Cheng, Xiaoqiang & Eraslan, Sercan, 2015. "Assessing the CNH–CNY pricing differential: Role of fundamentals, contagion and policy," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 245-262.
    34. Maximo Camacho & Marcos Dal Bianco & Gabriel Perez Quiros, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Working Papers 1201, BBVA Bank, Economic Research Department.
    35. Yin Liao, 2012. "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers 2012-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    36. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
    37. Czech, Robert & Huang, Shiyang & Lou, Dong & Wang, Tianyu, 2021. "Informed trading in government bond markets," LSE Research Online Documents on Economics 118857, London School of Economics and Political Science, LSE Library.
    38. Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2022. "Interest Rate Surprises: A Tale of Two Shocks," Working Papers 2213, Federal Reserve Bank of Dallas.
    39. Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
    40. Wright, Jonathan & Gürkaynak, Refet, 2013. "Identification and Inference Using Event Studies," CEPR Discussion Papers 9388, C.E.P.R. Discussion Papers.
    41. Andrew Phiri, 2018. "Has the South African Reserve Bank responded to equity returns since the sub-prime crisis? An asymmetric convergence approach," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 10(3), pages 205-225.
    42. Yang, Yujun & Li, Jianping & Yang, Yimei, 2017. "The cross-correlation analysis of multi property of stock markets based on MM-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 23-33.
    43. Mardi Dungey & Lyudmyla Hvozdyk, 2010. "Cojumping: Evidence from the US Treasury Bond and Futures Markets," NCER Working Paper Series 56, National Centre for Econometric Research, revised 20 Jul 2010.
    44. Hans DEWACHTER & Deniz ERDEMLIOGLU & Jean-Yves GNABO & Christelle LECOURT, 2013. "The intra-day impact of communication on euro-dollar volatility and jumps," Working Papers of Department of Economics, Leuven ces13.04, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
    45. Yin-Wong Cheung & Rasmus Fatum & Yohei Yamamoto, 2017. "The Exchange Rate Effects of Macro News after the Global Financial Crisis," Globalization Institute Working Papers 305, Federal Reserve Bank of Dallas.
    46. Christos Floros & Konstantinos Gkillas & Christoforos Konstantatos & Athanasios Tsagkanos, 2020. "Realized Measures to Explain Volatility Changes over Time," JRFM, MDPI, vol. 13(6), pages 1-19, June.
    47. Daniel Jubinski & Marc Tomljanovich, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, John Wiley & Sons, vol. 22(3), pages 86-97, September.
    48. Basistha, Arabinda & Kurov, Alexander, 2008. "Macroeconomic cycles and the stock market's reaction to monetary policy," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2606-2616, December.
    49. Plakandaras, Vasilios & Gupta, Rangan & Balcilar, Mehmet & Ji, Qiang, 2022. "Evolving United States stock market volatility: The role of conventional and unconventional monetary policies," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    50. Skintzi, Vasiliki D., 2019. "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 20-28.
    51. Filippo Brutti & Philip Sauré, 2012. "Transmission of Sovereign Risk in the Euro Crisis," Working Papers 12.01, Swiss National Bank, Study Center Gerzensee.
    52. Imane El Ouadghiri & Remzi Uctum, 2015. "Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets," Working Papers hal-04141414, HAL.
    53. Jean-Yves Gnabo & J�rôme Lahaye & S�bastien Laurent & Christelle Lecourt, 2012. "Do jumps mislead the FX market?," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1521-1532, October.
    54. Li, Wei-Xuan & Chen, Clara Chia-Sheng & Nguyen, James, 2022. "Which market dominates the price discovery in currency futures? The case of the Chicago Mercantile Exchange and the Intercontinental Exchange," Global Finance Journal, Elsevier, vol. 52(C).
    55. Wang, Cindy S.H. & Fan, Rui & Xie, Yiqiang, 2023. "Market systemic risk, predictability and macroeconomics news," Finance Research Letters, Elsevier, vol. 56(C).
    56. Anna Cieslak & Pavol Povala, 2016. "Information in the Term Structure of Yield Curve Volatility," Journal of Finance, American Finance Association, vol. 71(3), pages 1393-1436, June.
    57. Aeimit Lakdawala & Michael Bauer & Philippe Mueller, 2019. "Market-Based Monetary Policy Uncertainty," 2019 Meeting Papers 1403, Society for Economic Dynamics.
    58. Pisun Xu & Jian Yang, 2011. "U.S. Monetary Policy Surprises and International Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 43(4), pages 459-490, November.
    59. Nicolas Boitout & Imane El Ouadghiri & Valérie Mignon, 2016. "On the impact of macroeconomic news surprises on Treasury-bond returns," Post-Print hal-01386014, HAL.
    60. Mr. Germán López-Espinosa & Mr. Antonio Rubia & Ms. Laura Valderrama & Mr. Antonio Moreno, 2012. "Systemic Risk and Asymmetric Responses in the Financial Industry," IMF Working Papers 2012/152, International Monetary Fund.
    61. Radu LUPU & Alexandra MATEESCU & Mihai MITRACHE, 2017. "Analysis of Macroeconomic Events Impact Using the Event Study Methodology," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 5(2), pages 3-13, June.
    62. Saban Nazlioglu & Shawkat Hammoudeh & Rangan Gupta, 2015. "Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test," Applied Economics, Taylor & Francis Journals, vol. 47(46), pages 4996-5011, October.
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  29. 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, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Gong, Xu & Lin, Boqiang, 2018. "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, vol. 74(C), pages 370-386.
    2. Yin Liao & Heather M. Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps," Monash Econometrics and Business Statistics Working Papers 11/10, Monash University, Department of Econometrics and Business Statistics.
    3. Matteo Bonato & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2020. "Investor Happiness and Predictability of the Realized Volatility of Oil Price," Working Papers 202009, University of Pretoria, Department of Economics.
    4. Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss," Working Papers 201903, University of Pretoria, Department of Economics.
    5. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2020. "Volatility forecasting using related markets’ information for the Tokyo stock exchange," Economic Modelling, Elsevier, vol. 90(C), pages 143-158.
    6. Byun, Suk Joon & Kim, Jun Sik, 2013. "The information content of risk-neutral skewness for volatility forecasting," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 142-161.
    7. Mihaela Craioveanu & Eric Hillebrand, 2012. "Why It Is Ok To Use The Har-Rv(1,5,21) Model," Working Papers 1201, University of Central Missouri, Department of Economics & Finance, revised Aug 2012.
    8. Zargar, Faisal Nazir & Kumar, Dilip, 2020. "Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 25-41.
    9. Golosnoy, Vasyl & Hamid, Alain & Okhrin, Yarema, 2014. "The empirical similarity approach for volatility prediction," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 321-329.
    10. Ng, F.C. & Li, W.K. & Yu, Philip L.H., 2016. "Diagnostic checking of the vector multiplicative error model," Computational Statistics & Data Analysis, Elsevier, vol. 94(C), pages 86-97.
    11. Fan, Lina & Yang, Hao & Zhai, Jia & Zhang, Xiaotao, 2023. "Forecasting stock volatility during the stock market crash period: The role of Hawkes process," Finance Research Letters, Elsevier, vol. 55(PA).
    12. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
    13. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
    14. David Ardia & Cl'ement Aymard & Tolga Cenesizoglu, 2023. "Fast and Furious: A High-Frequency Analysis of Robinhood Users' Trading Behavior," Papers 2307.11012, arXiv.org.
    15. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
    16. Klein, Tony & Todorova, Neda, 2021. "Night trading with futures in China: The case of Aluminum and Copper," Resources Policy, Elsevier, vol. 73(C).
    17. Jozef Barunik & Lukas Vacha, 2015. "Realized wavelet-based estimation of integrated variance and jumps in the presence of noise," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1347-1364, August.
    18. Chevallier, Julien & Sévi, Benoît, 2012. "On the volatility–volume relationship in energy futures markets using intraday data," Energy Economics, Elsevier, vol. 34(6), pages 1896-1909.
    19. Liu, Wenwen & Gui, Yiming & Qiao, Gaoxiu, 2022. "Dynamics lead-lag relationship of jumps among Chinese stock index and futures market during the Covid-19 epidemic," Research in International Business and Finance, Elsevier, vol. 61(C).
    20. Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 28/13, Monash University, Department of Econometrics and Business Statistics.
    21. Liao, Yin, 2013. "The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks," Pacific-Basin Finance Journal, Elsevier, vol. 23(C), pages 25-48.
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    27. Lyócsa, Štefan & Todorova, Neda, 2020. "Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 628-645.
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    38. Tian, Fengping & Yang, Ke & Chen, Langnan, 2017. "Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity," International Journal of Forecasting, Elsevier, vol. 33(1), pages 132-152.
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    44. Palandri, Alessandro, 2015. "Do negative and positive equity returns share the same volatility dynamics?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 486-505.
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    46. Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014. "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers 2014-48, Department of Economics and Business Economics, Aarhus University.
    47. Frantisek Cech & Jozef Barunik, 2017. "Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns," Working Papers IES 2017/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2017.
    48. Gongyue Jiang & Gaoxiu Qiao & Feng Ma & Lu Wang, 2022. "Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1518-1548, August.
    49. Izzeldin, Marwan & Muradoğlu, Yaz Gülnur & Pappas, Vasileios & Sivaprasad, Sheeja, 2021. "The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model," International Review of Financial Analysis, Elsevier, vol. 74(C).
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    52. Stefano Grassi & Nima Nonejad & Paolo Santucci de Magistris, 2014. "Forecasting with the Standardized Self-Perturbed Kalman Filter," CREATES Research Papers 2014-12, Department of Economics and Business Economics, Aarhus University.
    53. Audrino, Francesco & Corsi, Fulvio, 2010. "Modeling tick-by-tick realized correlations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2372-2382, November.
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    55. Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.
    56. Gaoxiu Qiao & Gongyue Jiang, 2023. "VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1238-1260, September.
    57. Pan, Ging-Ginq & Shiu, Yung-Ming & Wu, Tu-Cheng, 2022. "Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?," Journal of Financial Markets, Elsevier, vol. 57(C).
    58. Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 120(3), pages 464-490.
    59. Demetrescu, Matei & Golosnoy, Vasyl & Titova, Anna, 2020. "Bias corrections for exponentially transformed forecasts: Are they worth the effort?," International Journal of Forecasting, Elsevier, vol. 36(3), pages 761-780.
    60. Wanidwaranan, Phasin & Padungsaksawasdi, Chaiyuth, 2020. "The effect of return jumps on herd behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
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    62. Hu, Sunyang & Gu, Zongyuan & Wang, Yifeng & Zhang, Xiaolei, 2019. "An analysis of the clustering effect of a jump risk complex network in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 622-630.
    63. Hua, Jian & Manzan, Sebastiano, 2013. "Forecasting the return distribution using high-frequency volatility measures," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4381-4403.
    64. Pattanaporn Chatjuthamard & Pavitra Jindahra & Pattarake Sarajoti & Sirimon Treepongkaruna, 2021. "The effect of COVID‐19 on the global stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4923-4953, September.
    65. Liu, Yuanyuan & Niu, Zibo & Suleman, Muhammad Tahir & Yin, Libo & Zhang, Hongwei, 2022. "Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework," Energy, Elsevier, vol. 238(PA).
    66. Horpestad, Jone B. & Lyócsa, Štefan & Molnár, Peter & Olsen, Torbjørn B., 2019. "Asymmetric volatility in equity markets around the world," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 540-554.
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    72. Klein, Tony & Todorova, Neda, 2019. "Night Trading with Futures in China: The Case of Aluminum and Copper," QBS Working Paper Series 2019/06, Queen's University Belfast, Queen's Business School.
    73. Xu Gong & Boqiang Lin, 2018. "Structural breaks and volatility forecasting in the copper futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(3), pages 290-339, March.
    74. Huang, Chuangxia & Zhao, Xian & Deng, Yunke & Yang, Xiaoguang & Yang, Xin, 2022. "Evaluating influential nodes for the Chinese energy stocks based on jump volatility spillover network," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 81-94.
    75. Li, Wenlan & Cheng, Yuxiang & Fang, Qiang, 2020. "Forecast on silver futures linked with structural breaks and day-of-the-week effect," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
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    77. Qiao, Gaoxiu & Yang, Jiyu & Li, Weiping, 2020. "VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
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  30. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," CREATES Research Papers 2007-18, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo.
    2. Yu-Min Yen, 2013. "Testing Jumps via False Discovery Rate Control," PLOS ONE, Public Library of Science, vol. 8(4), pages 1-15, April.
    3. Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2012. "A nonparametric test of the leverage hypothesis," CeMMAP working papers CWP24/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Viktor Todorov & Yang Zhang, 2022. "Information gains from using short‐dated options for measuring and forecasting volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 368-391, March.
    5. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," JRFM, MDPI, vol. 7(2), pages 1-30, June.
    6. Zhang, Yaojie & He, Jiaxin & He, Mengxi & Li, Shaofang, 2023. "Geopolitical risk and stock market volatility: A global perspective," Finance Research Letters, Elsevier, vol. 53(C).
    7. Gong, Xu & Lin, Boqiang, 2018. "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, vol. 74(C), pages 370-386.
    8. Corsi, Fulvio & Kretschmer, Uta & Mittnik, Stefan & Pigorsch, Christian, 2005. "The volatility of realized volatility," CFS Working Paper Series 2005/33, Center for Financial Studies (CFS).
    9. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02505861, HAL.
    10. Hossein Asgharian & Mia Holmfeldt & Marcus Larson, 2011. "An event study of price movements following realized jumps," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 933-946.
    11. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Dynamics of variance risk premia: A new model for disentangling the price of risk," Journal of Econometrics, Elsevier, vol. 217(2), pages 312-334.
    12. Thierry Ane & Carole Metais, 2010. "Jump Distribution Characteristics: Evidence from European Stock Markets," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 9(1), pages 1-22, April.
    13. Yin Liao & Heather M. Anderson & Farshid Vahid, 2010. "Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps," Monash Econometrics and Business Statistics Working Papers 11/10, Monash University, Department of Econometrics and Business Statistics.
    14. Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013. "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series 1332, University of St. Gallen, School of Economics and Political Science.
    15. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
    16. 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 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.
    17. 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.
    18. 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 101, National Centre for Econometric Research.
    19. Mancini, Cecilia, 2017. "Truncated Realized Covariance when prices have infinite variation jumps," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1998-2035.
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  32. 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, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Imane El Ouadghiri & Remzi Uctum, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print hal-01386027, HAL.
    2. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02505861, HAL.
    3. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
    4. Thierry Ane & Carole Metais, 2010. "Jump Distribution Characteristics: Evidence from European Stock Markets," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 9(1), pages 1-22, April.
    5. Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013. "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series 1332, University of St. Gallen, School of Economics and Political Science.
    6. Degiannakis, Stavros & Floros, Christos, 2014. "Intra-Day Realized Volatility for European and USA Stock Indices," MPRA Paper 64940, University Library of Munich, Germany, revised Jan 2015.
    7. Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," MPRA Paper 96276, University Library of Munich, Germany.
    8. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Post-Print halshs-01442618, HAL.
    9. Nikolaus Hautsch & Lada M. Kyj & Peter Malec, 2015. "Do High‐Frequency Data Improve High‐Dimensional Portfolio Allocations?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 263-290, March.
    10. Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014. "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 443-459.
    11. Johannes Stübinger & Lucas Schneider, 2019. "Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500," JRFM, MDPI, vol. 12(2), pages 1-19, April.
    12. Giovanni Masala & Filippo Petroni, 2023. "Drawdown risk measures for asset portfolios with high frequency data," Annals of Finance, Springer, vol. 19(2), pages 265-289, June.
    13. Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016. "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 105-128.
    14. Mardi Dungey & Lyudmyla Hvozdyk, 2010. "Cojumping: Evidence from the US Treasury Bond and Futures Markets," NCER Working Paper Series 56, National Centre for Econometric Research, revised 20 Jul 2010.
    15. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Post-Print halshs-02505861, HAL.
    16. Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2019. "Overnight Momentum, Informational Shocks, and Late-Informed Trading in China," MPRA Paper 96784, University Library of Munich, Germany.
    17. BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016. "Multiplicative Conditional Correlation Models for Realized Covariance Matrices," LIDAM Discussion Papers CORE 2016041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    18. Chevallier, Julien & Sévi, Benoît, 2012. "On the volatility–volume relationship in energy futures markets using intraday data," Energy Economics, Elsevier, vol. 34(6), pages 1896-1909.
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    23. Barunik, Jozef & Vacha, Lukas, 2018. "Do co-jumps impact correlations in currency markets?," Journal of Financial Markets, Elsevier, vol. 37(C), pages 97-119.
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    25. Dungey, Mardi & Hvozdyk, Lyudmyla, 2010. "Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06)," Working Papers 10450, University of Tasmania, Tasmanian School of Business and Economics, revised 14 Jul 2010.
    26. Dion Bongaerts & Richard Roll & Dominik Rösch & Mathijs van Dijk & Darya Yuferova, 2022. "How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective," Management Science, INFORMS, vol. 68(4), pages 3071-3089, April.
    27. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    28. Chan, Kam Fong & Powell, John G. & Treepongkaruna, Sirimon, 2014. "Currency jumps and crises: Do developed and emerging market currencies jump together?," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 132-157.
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    46. Xinwei Feng & Lidan He & Zhi Liu, 2022. "Large Deviation Principles of Realized Laplace Transform of Volatility," Journal of Theoretical Probability, Springer, vol. 35(1), pages 186-208, March.
    47. Gongyue Jiang & Gaoxiu Qiao & Feng Ma & Lu Wang, 2022. "Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1518-1548, August.
    48. Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019. "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 639-664, December.
    49. Benoît Sévi & César Baena, 2011. "Brownian motion vs. pure-jump processes for individual stocks," Economics Bulletin, AccessEcon, vol. 31(4), pages 3138-3152.
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    51. Song, Shijia & Li, Handong, 2023. "Is a co-jump in prices a sparse jump?," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
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    59. Wanidwaranan, Phasin & Padungsaksawasdi, Chaiyuth, 2020. "The effect of return jumps on herd behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    60. Rituparna Sen & Pulkit Mehrotra, 2016. "Modeling Jumps and Volatility of the Indian Stock Market Using High-Frequency Data," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(1), pages 137-150, June.
    61. Nkwoma, Inekwe John, 2017. "Futures-Based Measures Of Monetary Policy And Jump Risk," Macroeconomic Dynamics, Cambridge University Press, vol. 21(2), pages 384-405, March.
    62. Chan, Kam Fong & Gray, Philip & van Campen, Bart, 2008. "A new approach to characterizing and forecasting electricity price volatility," International Journal of Forecasting, Elsevier, vol. 24(4), pages 728-743.
    63. Pattanaporn Chatjuthamard & Pavitra Jindahra & Pattarake Sarajoti & Sirimon Treepongkaruna, 2021. "The effect of COVID‐19 on the global stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4923-4953, September.
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    Cited by:

    1. Javier Mencía & Enrique Sentana, 2018. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 599-614, October.
    2. Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018. "The Risk-Asymmetry Index as a new Measure of Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 22(3-4), pages 173-210, September.
    3. Leonidas Tsiaras, 2010. "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," CREATES Research Papers 2010-34, Department of Economics and Business Economics, Aarhus University.
    4. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers 28570, National Bureau of Economic Research, Inc.
    5. Stefano Giglio & Ian Dew-Becker & David Berger, 2017. "Uncertainty Shocks as Second-Moment News Shocks," 2017 Meeting Papers 403, Society for Economic Dynamics.
    6. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
    7. Javier Mencía & Enrique Sentana, 2009. "Valuation of VIX Derivatives," Working Papers wp2009_0913, CEMFI.
    8. Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2008. "The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets," Working Paper 1181, Economics Department, Queen's University.
    9. Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007. "Modeling and predicting the CBOE market volatility index," Textos para discussão 548, Department of Economics PUC-Rio (Brazil).
    10. Barunik, Jozef & Barunikova, Michaela, 2015. "Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression," FinMaP-Working Papers 43, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    11. Muzzioli, Silvia, 2015. "The optimal corridor for implied volatility: From periods of calm to turmoil," Journal of Economics and Business, Elsevier, vol. 81(C), pages 77-94.
    12. Elyas Elyasani & Luca Gambarelli & Silvia Muzzioli, 2016. "The risk asymmetry index," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0061, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    13. Söylemez, Arif Orçun, 2020. "How Do Volatility and Return Series Interact?," MPRA Paper 104687, University Library of Munich, Germany.
    14. Chen, Yu-Lun & Tsai, Wei-Che, 2017. "Determinants of price discovery in the VIX futures market," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 59-73.
    15. Bu, Ruijun & Fu, Xi & Jawadi, Fredj, 2019. "Does the volatility of volatility risk forecast future stock returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 16-36.
    16. H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
    17. Tzang, Shyh-Weir & Hung, Chih-Hsing & Wang, Chou-Wen & Shyu, David So-De, 2011. "Do liquidity and sampling methods matter in constructing volatility indices? Empirical evidence from Taiwan," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 312-324, April.
    18. Birkelund, Ole Henrik & Haugom, Erik & Molnár, Peter & Opdal, Martin & Westgaard, Sjur, 2015. "A comparison of implied and realized volatility in the Nordic power forward market," Energy Economics, Elsevier, vol. 48(C), pages 288-294.
    19. Silvia Muzzioli, 2010. "Towards a volatility index for the Italian stock market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 10091, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    20. Andersen, Torben G. & Bondarenko, Oleg, 2014. "VPIN and the flash crash," Journal of Financial Markets, Elsevier, vol. 17(C), pages 1-46.
    21. Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2011. "Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX," CREATES Research Papers 2011-49, Department of Economics and Business Economics, Aarhus University.
    22. Dossani, Asad, 2021. "Central bank tone and currency risk premia," Journal of International Money and Finance, Elsevier, vol. 117(C).
    23. Silvia Muzzioli, 2013. "The Information Content of Option-Based Forecasts of Volatility: Evidence from the Italian Stock Market," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-46.
    24. Kräussl, Roman & Oladiran, Tobi & Stefanova, Denitsa, 2023. "ESG as protection against downside risk," CFS Working Paper Series 708, Center for Financial Studies (CFS).
    25. Bruno Feunou & Mohammad R Jahan-Parvar & Cédric Okou, 2018. "Downside Variance Risk Premium," Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 341-383.
    26. Shan Lu, 2019. "Testing the Predictive Ability of Corridor Implied Volatility Under GARCH Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 129-168, June.
    27. Jozef Barunik & Michaela Barunikova, 2012. "Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression," Papers 1208.4831, arXiv.org, revised Feb 2013.
    28. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    29. Torben G. Andersen & Oleg Bondarenko, 2013. "Assessing Measures of Order Flow Toxicity via Perfect Trade Classification," CREATES Research Papers 2013-43, Department of Economics and Business Economics, Aarhus University.
    30. Bondarenko, Oleg, 2014. "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, vol. 180(1), pages 81-97.
    31. Luca Gambarelli & Silvia Muzzioli, 2019. "Risk-asymmetry indices in Europe," Department of Economics 0157, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    32. Kian-Guan Lim & Christopher Ting, 2012. "The term structure of S&P 100 model-free volatilities," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1041-1058, November.
    33. Aragon, George O. & Spencer Martin, J., 2012. "A unique view of hedge fund derivatives usage: Safeguard or speculation?," Journal of Financial Economics, Elsevier, vol. 105(2), pages 436-456.
    34. Michael O'Neill & Kent Wang & Zhangxin (Frank) Liu & Tom Smith, 2016. "A State-Price Volatility Index for China's Stock Market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 607-626, September.
    35. Silvia Muzzioli, 2013. "The Optimal Corridor for Implied Volatility: from Calm to Turmoil Periods," Department of Economics (DEMB) 0029, University of Modena and Reggio Emilia, Department of Economics "Marco Biagi".
    36. Bekaert, Geert & Hoerova, Marie, 2014. "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, vol. 183(2), pages 181-192.
    37. Jianlei Han & Martina Linnenluecke & Zhangxin Liu & Zheyao Pan & Tom Smith, 2019. "A general equilibrium approach to pricing volatility risk," PLOS ONE, Public Library of Science, vol. 14(4), pages 1-18, April.
    38. Stefano Giglio & Ian Dew-Becker & David Berger, 2016. "Contractionary Volatility or Volatile Contractions?," 2016 Meeting Papers 673, Society for Economic Dynamics.
    39. Maria Gonzalez-Perez & Alfonso Novales, 2011. "The information content in a volatility index for Spain," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 2(2), pages 185-216, June.
    40. Silvia Muzzioli, 2013. "The Forecasting Performance of Corridor Implied Volatility in the Italian Market," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 359-386, March.
    41. Ouandlous, Arav & Barkoulas, John T. & Alhaj-Yaseen, Yaseen, 2018. "Persistence and discontinuity in the VIX dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 113(C), pages 333-344.
    42. Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
    43. Kiesel, Rüdiger & Rahe, Florentin, 2017. "Option pricing under time-varying risk-aversion with applications to risk forecasting," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 120-138.
    44. Silvia Muzzioli, 2011. "Corridor implied volatility and the variance risk premium in the Italian market," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0030, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    45. Xingzhi Yao & Marwan Izzeldin, 2018. "Forecasting using alternative measures of model‐free option‐implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 199-218, February.
    46. Ohnsorge,Franziska Lieselotte & Stocker,Marc & Some,Modeste Y., 2016. "Quantifying uncertainties in global growth forecasts," Policy Research Working Paper Series 7770, The World Bank.
    47. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
    48. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
    49. Kevin Daly, 2011. "An Overview of the Determinants of Financial Volatility: An Explanation of Measuring Techniques," Modern Applied Science, Canadian Center of Science and Education, vol. 5(5), pages 1-46, October.
    50. Tianyang Wang & James Dyer & Warren Hahn, 2015. "A copula-based approach for generating lattices," Review of Derivatives Research, Springer, vol. 18(3), pages 263-289, October.
    51. Miroslav Mateev & Elena Marinova, 2019. "Relation between Credit Default Swap Spreads and Stock Prices: A Non-linear Perspective," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 1-26, January.

  34. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2005. "A framework for exploring the macroeconomic determinants of systematic risk," CFS Working Paper Series 2005/04, Center for Financial Studies (CFS).

    Cited by:

    1. Hassan, Gazi & Hisham, Al refai, 2010. "Can Macroeconomic Factors Explain Equity Returns in the Long Run? The Case of Jordan," MPRA Paper 22713, University Library of Munich, Germany.
    2. Fredj Jawadi & Wael Louhichi & Abdoulkarim Idi Cheffou & Hachmi Ben Ameur, 2019. "Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model," Annals of Operations Research, Springer, vol. 281(1), pages 275-295, October.
    3. Samet Günay, 2017. "Risk Configuration of S&P 500 Industries: Sigma-risk and Alpha-risk Approximation," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 11(2), pages 196-221, May.
    4. González, Mariano & Nave, Juan & Rubio, Gonzalo, 2018. "Macroeconomic determinants of stock market betas," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 26-44.
    5. Radosław Kurach, 2013. "Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 7(2), June.
    6. Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David, 2010. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," CFS Working Paper Series 2010/01, Center for Financial Studies (CFS).
    7. Roberto Pascual & David Veredas, 2009. "Does the open limit order book matter in explaining informational volatility?," ULB Institutional Repository 2013/183777, ULB -- Universite Libre de Bruxelles.
    8. Hooper, Vincent J. & Ng, Kevin & Reeves, Jonathan J., 2008. "Quarterly beta forecasting: An evaluation," International Journal of Forecasting, Elsevier, vol. 24(3), pages 480-489.
    9. Golosnoy, Vasyl & Hamid, Alain & Okhrin, Yarema, 2014. "The empirical similarity approach for volatility prediction," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 321-329.
    10. Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013. "The impact of jumps and thin trading on realized hedge ratios," Working Papers 2013-02, University of Tasmania, Tasmanian School of Business and Economics, revised 28 Mar 2013.
    11. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
    12. Marcelle Chauvet & Zeynep Senyuz & Emre Yoldas, 2013. "What does financial volatility tell us about macroeconomic fluctuations?," Finance and Economics Discussion Series 2013-61, Board of Governors of the Federal Reserve System (U.S.).
    13. Degiannakis, Stavros & Filis, George & Kizys, Renatas, 2014. "The effects of oil price shocks on stock market volatility: Evidence from European data," MPRA Paper 96296, University Library of Munich, Germany.
    14. Marshall, Andrew & Maulana, Tubagus & Tang, Leilei, 2009. "The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 250-259, December.
    15. Aït-Sahalia, Yacine & Kalnina, Ilze & Xiu, Dacheng, 2020. "High-frequency factor models and regressions," Journal of Econometrics, Elsevier, vol. 216(1), pages 86-105.
    16. Murillo Campello & Long Chen & Lu Zhang, 2005. "Expected returns, yield spreads, and asset pricing tests," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
    17. Bergsma, Kelley & Tayal, Jitendra, 2020. "Quarterly earnings announcements and intra-industry information transfer from the Pacific to the Atlantic," International Review of Financial Analysis, Elsevier, vol. 70(C).
    18. Peter Reinhard Hansen & Yiyao Luo, 2023. "Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas," Papers 2310.19992, arXiv.org.
    19. Christoffersen, Peter & Lunde, Asger & Olesen, Kasper V., 2019. "Factor Structure in Commodity Futures Return and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(3), pages 1083-1115, June.
    20. Lillie Lam & Laurence Fung & Ip-wing Yu, 2009. "Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes," Working Papers 0901, Hong Kong Monetary Authority.
    21. Peter C. B. Phillips & Jun Yu, 2009. "Information Loss in Volatility Measurement with Flat Price Trading," Global COE Hi-Stat Discussion Paper Series gd08-039, Institute of Economic Research, Hitotsubashi University.
    22. Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Econometrics, MDPI, vol. 11(3), pages 1-36, August.
    23. Tolga Cenesizoglu & Denada Ibrushi, 2020. "Predicting Systematic Risk With Macroeconomic And Financial Variables," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(3), pages 649-673, August.
    24. Andersen, Torben G. & Riva, Raul & Thyrsgaard, Martin & Todorov, Viktor, 2023. "Intraday cross-sectional distributions of systematic risk," Journal of Econometrics, Elsevier, vol. 235(2), pages 1394-1418.
    25. Zhou, Jian, 2013. "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, vol. 30(C), pages 196-204.
    26. Ilze KALNINA, 2015. "Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," Cahiers de recherche 13-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    27. Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," NBER Working Papers 11736, National Bureau of Economic Research, Inc.
    28. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, vol. 63(3), pages 168-186, May.
    29. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
    30. Dovonon, Prosper & Goncalves, Silvia & Meddahi, Nour, 2010. "Bootstrapping realized multivariate volatility measures," MPRA Paper 40123, University Library of Munich, Germany.
    31. Victor Olkhov, 2018. "Econophysics Beyond General Equilibrium: the Business Cycle Model," Papers 1804.04721, arXiv.org.
    32. Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2017. "Quantile relationships between standard, diffusion and jump betas across Japanese banks," Working Papers 2017-10, University of Tasmania, Tasmanian School of Business and Economics.
    33. Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014. "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers 2014-48, Department of Economics and Business Economics, Aarhus University.
    34. Sascha Mergner & Jan Bulla, 2008. "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 771-802.
    35. Chen, Bin-xia & Sun, Yan-lin, 2022. "The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    36. Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019. "The Memory of Beta Factors," Hannover Economic Papers (HEP) dp-661, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    37. Ciner, Cetin, 2015. "Time variation in systematic risk, returns and trading volume: Evidence from precious metals mining stocks," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 277-283.
    38. Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 120(3), pages 464-490.
    39. Cho, Sungjun, 2014. "What drives stochastic risk aversion?," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 44-63.
    40. Drobetz, Wolfgang & Menzel, Christina & Schröder, Henning, 2016. "Systematic risk behavior in cyclical industries: The case of shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 88(C), pages 129-145.
    41. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
    42. Hwang, Young-Soon & Min, Hong-Ghi & McDonald, Judith A. & Kim, Hwagyun & Kim, Bong-Han, 2010. "Using the credit spread as an option-risk factor: Size and value effects in CAPM," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2995-3009, December.
    43. Dimitrios Dadakas & Christos Karpetis & Athanasios Fassas & Erotokritos Varelas, 2016. "Sectoral Differences in the Choice of the Time Horizon during Estimation of the Unconditional Stock Beta," IJFS, MDPI, vol. 4(4), pages 1-13, December.
    44. Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.
    45. Richard Mawulawoe Ahadzie & Nagaratnam Jeyasreedharan, 2024. "Higher‐order moments and asset pricing in the Australian stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 75-128, March.
    46. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, 2013. "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
    47. Mohammad Abu Sayeed & Mardi Dungey & Wenying Yao, 2018. "High-frequency Characterisation of Indian Banking Stocks," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 213-238, August.
    48. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
    49. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market," CESifo Working Paper Series 8171, CESifo.
    50. Ray Ball & Gil Sadka & Ayung Tseng, 2022. "Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk," Review of Accounting Studies, Springer, vol. 27(2), pages 607-646, June.
    51. Clark Lundberg, 2019. "Identifying horizon-based heterogeneity in the cross section of portfolio returns," Economics Bulletin, AccessEcon, vol. 39(2), pages 1163-1175.
    52. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016. "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 445-461, August.
    53. Jacobsen, Brian J. & Liu, Xiaochun, 2008. "China's segmented stock market: An application of the conditional international capital asset pricing model," Emerging Markets Review, Elsevier, vol. 9(3), pages 153-173, September.
    54. Francesco FRANZONI & Tobias ADRIAN, 2008. "Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM," Swiss Finance Institute Research Paper Series 08-36, Swiss Finance Institute.
    55. Barahona, Ricardo & Driessen, Joost & Frehen, Rik, 2021. "Can unpredictable risk exposure be priced?," Journal of Financial Economics, Elsevier, vol. 139(2), pages 522-544.
    56. Andrew Phin & Todd Prono & Jonathan J. Reeves & Konark Saxena, 2018. "Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement," Finance and Economics Discussion Series 2018-081, Board of Governors of the Federal Reserve System (U.S.).
    57. Sun, Yucheng & Xu, Wen & Zhang, Chuanhai, 2023. "Identifying latent factors based on high-frequency data," Journal of Econometrics, Elsevier, vol. 233(1), pages 251-270.
    58. Todorov, Viktor & Bollerslev, Tim, 2010. "Jumps and betas: A new framework for disentangling and estimating systematic risks," Journal of Econometrics, Elsevier, vol. 157(2), pages 220-235, August.
    59. Insana, Alessandra, 2022. "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, vol. 109(C).
    60. Stavros Degiannakis & George Filis & Renatas Kizys, 2013. "Oil price shocks and stock market volatility: evidence from European data," Working Papers 161, Bank of Greece.
    61. Claudio Morana, 2008. "Realized Betas and the Cross-Section of Expected Returns," ICER Working Papers - Applied Mathematics Series 15-2008, ICER - International Centre for Economic Research.
    62. Doan, Bao & Lee, John B. & Liu, Qianqiu & Reeves, Jonathan J., 2022. "Beta measurement with high frequency returns," Finance Research Letters, Elsevier, vol. 47(PA).
    63. Sheunesu Zhou, 2021. "Analyzing the Relationship between Derivative Usage and Systemic Risk in South Africa," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 9(4), pages 217-234.
    64. Cenesizoglu, Tolga & Reeves, Jonathan J., 2018. "CAPM, components of beta and the cross section of expected returns," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 223-246.
    65. Tolga Cenesizoglu & Jonathan J. Reeves, 2013. "CAPM, Components of Beta and the Cross Section of Expected Returns," CIRANO Working Papers 2013s-09, CIRANO.
    66. Shuping Shi & Jun Yu, 2023. "Volatility Puzzle: Long Memory or Antipersistency," Management Science, INFORMS, vol. 69(7), pages 3861-3883, July.
    67. Richard D. F. Harris & Jian Shen & Evarist Stoja, 2010. "The Limits to Minimum‐Variance Hedging," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 737-761, June.
    68. Gribisch, Bastian & Hartkopf, Jan Patrick & Liesenfeld, Roman, 2020. "Factor state–space models for high-dimensional realized covariance matrices of asset returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 1-20.
    69. Phin, Andrew & Prono, Todd & Reeves, Jonathan J. & Saxena, Konark, 2022. "Shifts in beta and the TARP announcement," Finance Research Letters, Elsevier, vol. 47(PB).
    70. Le Dinh Hac & Dinh Tran Ngoc Huy & Nguyen Ngoc Thach & Bui Minh Chuyen & Pham Thi Hong Nhung & Tran Duc Thang & Tran Tuan Anh, 2021. "Enhancing risk management culture for sustainable growth of Asia commercial bank -ACB in Vietnam under mixed effects of macro factors," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 8(3), pages 291-307, March.
    71. Papageorgiou, Nicolas & Reeves, Jonathan J. & Xie, Xuan, 2016. "Betas and the myth of market neutrality," International Journal of Forecasting, Elsevier, vol. 32(2), pages 548-558.
    72. Cenesizoglu, Tolga & de Oliveira Ferrazoli Ribeiro, Fabio & Reeves, Jonathan J., 2017. "Beta forecasting at long horizons," International Journal of Forecasting, Elsevier, vol. 33(4), pages 936-957.
    73. Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago.
    74. Sascha Mergner, 2005. "Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques," Finance 0509024, University Library of Munich, Germany.
    75. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.

  35. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," NBER Working Papers 11188, National Bureau of Economic Research, Inc.

    Cited by:

    1. Courtenay, Roger & Clare, Andrew, 2001. "What can we learn about monetary policy transparency from financial market data?," Discussion Paper Series 1: Economic Studies 2001,06, Deutsche Bundesbank.
    2. Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse, 2006. "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence," Finance Working Papers 22481, East Asian Bureau of Economic Research.
    3. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
    4. Olkhov, Victor, 2021. "Three Remarks On Asset Pricing," MPRA Paper 109238, University Library of Munich, Germany.
    5. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 199-226, September.
    6. Zareipour, Hamidreza & Bhattacharya, Kankar & Canizares, Claudio A., 2007. "Electricity market price volatility: The case of Ontario," Energy Policy, Elsevier, vol. 35(9), pages 4739-4748, September.
    7. Victor Olkhov, 2020. "Volatility Depend on Market Trades and Macro Theory," Papers 2008.07907, arXiv.org.
    8. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    9. Lux, Thomas & Morales-Arias, Leonardo, 2010. "Relative forecasting performance of volatility models: Monte Carlo evidence," Kiel Working Papers 1582, Kiel Institute for the World Economy (IfW Kiel).
    10. Victoria Zinde-Walsh & Dongming Zhu, 2007. "Properties And Estimation Of Asymmetric Exponential Power Distribution," Departmental Working Papers 2007-11, McGill University, Department of Economics.
    11. Lux, Thomas & Morales-Arias, Leonardo, 2009. "Forecasting volatility under fractality, regime-switching, long memory and student-t innovations," Kiel Working Papers 1532, Kiel Institute for the World Economy (IfW Kiel).
    12. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
    13. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc.
    14. Eric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," CIRANO Working Papers 99s-26, CIRANO.
    15. Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," DEA Working Papers 14, Universitat de les Illes Balears, Departament d'Economía Aplicada.
    16. Olkhov, Victor, 2022. "The Market-Based Asset Price Probability," MPRA Paper 115382, University Library of Munich, Germany, revised 16 Nov 2022.
    17. Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011. "A reduced form framework for modeling volatility of speculative prices based on realized variation measures," Journal of Econometrics, Elsevier, vol. 160(1), pages 176-189, January.
    18. Victor Olkhov, 2020. "Price, Volatility and the Second-Order Economic Theory," Papers 2009.14278, arXiv.org, revised Apr 2021.
    19. Théoret, Raymond & Racicot, François-Éric, 2010. "Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio," MPRA Paper 35911, University Library of Munich, Germany.
    20. Luisa Bisaglia & Silvano Bordignon & Francesco Lisi, 2003. "k -Factor GARMA models for intraday volatility forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 251-254.
    21. Francois-Éric Racicot & Raymond Théoret, 2005. "Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices," RePAd Working Paper Series UQO-DSA-wp0312005, Département des sciences administratives, UQO.
    22. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
    23. Hao Zhou, 2003. "Itô conditional moment generator and the estimation of short rate processes," Finance and Economics Discussion Series 2003-32, Board of Governors of the Federal Reserve System (U.S.).
    24. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, Department of Economics and Business Economics, Aarhus University.
    25. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, vol. 95(2), pages 398-404, May.
    26. Yan-Leung Cheung & Yin-Wong Cheung & Alan T.K. Wan, 2008. "A High-Low Model of Daily Stock Price Ranges," CESifo Working Paper Series 2387, CESifo.
    27. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 8, pages 413-457, Elsevier.
    28. Rime, Dagfinn & Sucarrat, Genaro, 2007. "Exchange rate variability, market activity and heterogeneity," UC3M Working papers. Economics we077039, Universidad Carlos III de Madrid. Departamento de Economía.
    29. Qinkai Chen & Christian-Yann Robert, 2021. "Multivariate Realized Volatility Forecasting with Graph Neural Network," Papers 2112.09015, arXiv.org, revised Dec 2021.
    30. Bauer, Gregory H. & Vorkink, Keith, 2011. "Forecasting multivariate realized stock market volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 93-101, January.
    31. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
    32. Andrew Clare & Roger Courtenay, 2001. "Assessing the impact of macroeconomic news announcements on securities prices under different monetary policy regimes," Bank of England working papers 125, Bank of England.
    33. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
    34. Milan Ficura & Jiri Witzany, 2016. "Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 278-301, August.
    35. SUCARRAT, Genaro, 2006. "The first stage in Hendry’s reduction theory revisited," LIDAM Discussion Papers CORE 2006082, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    36. Victor Olkhov, 2021. "To VaR, or Not to VaR, That is the Question," Papers 2101.08559, arXiv.org, revised Oct 2021.
    37. 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, Department of Economics and Business Economics, Aarhus University.
    38. Bistra Radeva, 2019. "Stock price fluctuations and GARCH modelling of stock market indexes," Economics and computer science, Publishing house "Knowledge and business" Varna, issue 3, pages 6-19.
    39. Sizova, Natalia, 2011. "Integrated variance forecasting: Model based vs. reduced form," Journal of Econometrics, Elsevier, vol. 162(2), pages 294-311, June.
    40. Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?," Working Papers 2014-18, Faculty of Economic Sciences, University of Warsaw.
    41. Veiga, Helena, 2006. "Volatility forecasts: a continuous time model versus discrete time models," DES - Working Papers. Statistics and Econometrics. WS ws062509, Universidad Carlos III de Madrid. Departamento de Estadística.
    42. Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 1-23, March.
    43. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
    44. Ariño, Miguel A. & Canela, Miguel A., 2006. "Study of the dollar-euro exchange rate," IESE Research Papers D/620, IESE Business School, revised 30 Mar 2006.
    45. Abramov, Vyacheslav & Klebaner, Fima, 2006. "Forecasting and testing a non-constant volatility," MPRA Paper 207, University Library of Munich, Germany.
    46. Bretó, Carles & Veiga, Helena, 2011. "Forecasting volatility: does continuous time do better than discrete time?," DES - Working Papers. Statistics and Econometrics. WS ws112518, Universidad Carlos III de Madrid. Departamento de Estadística.

  36. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2005. "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets," NBER Working Papers 11312, National Bureau of Economic Research, Inc.

    Cited by:

    1. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014. "Macro News and Bond Yield Spreads in the Euro Area," Discussion Papers of DIW Berlin 1413, DIW Berlin, German Institute for Economic Research.
    2. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
    3. Mihaela NICOLAU, 2010. "Financial Markets Interactions between Economic Theory and Practice," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 27-36.
    4. Yuko Hashimoto & Takatoshi Ito, 2009. "Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture," NBER Working Papers 15020, National Bureau of Economic Research, Inc.
    5. Ielpo, Florian & Guégan, Dominique, 2006. "Further evidence on the impact of economic news on interest rates," MPRA Paper 3425, University Library of Munich, Germany, revised Jun 2007.
    6. Alenka Kavkler & Mejra Festić, 2011. "Modelling Stock Exchange Index Returns in Different GDP Growth Regimes," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(1), pages 3-22.
    7. Bredin, Don & Hyde, Stuart & O'Reilly, Gerard, 2005. "European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response," Research Technical Papers 10/RT/05, Central Bank of Ireland.
    8. Alessandro Beber & Michael W. Brandt, 2003. "The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," NBER Working Papers 9914, National Bureau of Economic Research, Inc.
    9. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
    10. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.
    11. Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 465-498, September.
    12. Hanno Lustig & Stijn Van Nieuwerburgh, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," NBER Working Papers 11564, National Bureau of Economic Research, Inc.
    13. Saban Nazlioglu & Shawkat Hammoudeh & Rangan Gupta, 2015. "Volatility transmission between Islamic and conventional equity markets: evidence from causality-in-variance test," Applied Economics, Taylor & Francis Journals, vol. 47(46), pages 4996-5011, October.
    14. Victor Fang & Chien-Ting Lin & Kunaal Parbhoo, 2008. "Macroeconomic News, Business Cycles and Australian Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 185-207, December.
    15. Enzo Weber, 2007. "Volatility and Causality in Asia Pacific Financial Markets," SFB 649 Discussion Papers SFB649DP2007-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    16. Fatih Ozatay & Erdal Ozmen & Gülbin Sahinbeyoglu, 2007. "Emerging Market Sovereign Spreads, Global Financial Conditions and U.S. Macroeconomic News," ERC Working Papers 0707, ERC - Economic Research Center, Middle East Technical University, revised Dec 2007.
    17. Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1051-1068, May.
    18. Özer Karagedikli & Pierre L. Siklos, 2008. "Explaining Movements in the NZ Dollar - Central Bank Communication and the Surprise Element in Monetary Policy?," Reserve Bank of New Zealand Discussion Paper Series DP2008/02, Reserve Bank of New Zealand.
    19. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, World-Wide," PIER Working Paper Archive 08-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    20. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
    21. Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2008. "The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets," Working Paper 1181, Economics Department, Queen's University.
    22. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series 2006-35, Board of Governors of the Federal Reserve System (U.S.).
    23. Jon Wongswan, 2005. "The response of global equity indexes to U.S. monetary policy announcements," International Finance Discussion Papers 844, Board of Governors of the Federal Reserve System (U.S.).
    24. Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2006. "The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps," Working Paper 1188, Economics Department, Queen's University.
    25. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, University Library of Munich, Germany.
    26. Schneider, Martin & Albuquerque, Rui & ,, 2006. "Global Private Information in International Equity Markets," CEPR Discussion Papers 5819, C.E.P.R. Discussion Papers.
    27. Patrice T. Robitaille & Jennifer E. Roush, 2006. "How do FOMC actions and U.S. macroeconomic data announcements move Brazilian sovereign yield spreads and stock prices?," International Finance Discussion Papers 868, Board of Governors of the Federal Reserve System (U.S.).
    28. Meredith J. Beechey & Jonathan H. Wright, 2008. "The high-frequency impact of news on long-term yields and forward rates: Is it real?," Finance and Economics Discussion Series 2008-39, Board of Governors of the Federal Reserve System (U.S.).
    29. Savaser, Tanseli, 2011. "Exchange rate response to macronews: Through the lens of microstructure," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 107-126, February.
    30. Joshua Hausman & Jon Wongswan, 2006. "Global asset prices and FOMC announcements," International Finance Discussion Papers 886, Board of Governors of the Federal Reserve System (U.S.).
    31. Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2017. "Macro News and Commodity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(1), pages 68-80, January.
    32. Marcel Fratzscher, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," NBER Working Papers 17357, National Bureau of Economic Research, Inc.
    33. Luc Arrondel & Hector Calvo Pardo & Xisco Oliver, 2007. "Temperant portfolio choice and background risk: evidence from France," PSE Working Papers halshs-00588069, HAL.
    34. Massimo Guidolin & Allan Timmerman, 2005. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Working Papers 2005-003, Federal Reserve Bank of St. Louis.
    35. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
    36. Hashimoto, Yuko & Ito, Takatoshi, 2010. "Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 334-354, September.
    37. Aron Drew & Özer Karagedikli, 2007. "Some Benefits of Monetary-Policy Transparency in New Zealand," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(11-12), pages 521-539, December.
    38. Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers 2005-41, Center for Research in Economics and Statistics.
    39. Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy.
    40. Alessandro Beber & Michael W. Brandt, 2009. "Resolving Macroeconomic Uncertainty in Stock and Bond Markets," Review of Finance, European Finance Association, vol. 13(1), pages 1-45.
    41. Laakkonen Helinä & Lanne Markku, 2009. "Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(1), pages 1-38, December.
    42. Erenburg, Grigori & Kurov, Alexander & Lasser, Dennis J., 2006. "Trading around macroeconomic announcements: Are all traders created equal?," Journal of Financial Intermediation, Elsevier, vol. 15(4), pages 470-493, October.
    43. Christopher J. Neely, 2011. "A survey of announcement effects on foreign exchange volatility and jumps," Review, Federal Reserve Bank of St. Louis, vol. 93(Sep), pages 361-385.
    44. Christiansen, Charlotte & Ranaldo, Angelo, 2005. "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Finance Research Group Working Papers F-2005-05, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    45. Marc Simpson & Sanjay Ramchander & James Webb, 2007. "The Asymmetric Response of Equity REIT Returns to Inflation," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 513-529, May.
    46. Ehrmann, Michael & Fratzscher, Marcel & Swanson, Eric & Gürkaynak, Refet S., 2007. "Convergence and anchoring of yield curves in the euro area," Working Paper Series 817, European Central Bank.
    47. P. Siklos, M. Bohl, 2006. "Policy Words and Policy Deeds: The ECB and the Euro," Working Papers eg0050, Wilfrid Laurier University, Department of Economics, revised 2006.
    48. Gropp, Reint E. & Kadareja, Arjan, 2007. "Stale information, shocks and volatility," ZEW Discussion Papers 07-012, ZEW - Leibniz Centre for European Economic Research.
    49. Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011. "A reduced form framework for modeling volatility of speculative prices based on realized variation measures," Journal of Econometrics, Elsevier, vol. 160(1), pages 176-189, January.
    50. Condie, Scott & Ganguli, Jayant, 2017. "The pricing effects of ambiguous private information," Journal of Economic Theory, Elsevier, vol. 172(C), pages 512-557.
    51. Guo, Hui & Savickas, Robert, 2008. "Forecasting foreign exchange rates using idiosyncratic volatility," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1322-1332, July.
    52. Stefano d'Addona & Axel H. Kind, 2005. "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance 0502018, University Library of Munich, Germany.
    53. Neil Shephard & Torben G. Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Series Working Papers 389, University of Oxford, Department of Economics.
    54. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis.
    55. Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George, 2008. "Risk, jumps, and diversification," Journal of Econometrics, Elsevier, vol. 144(1), pages 234-256, May.
    56. Celine Gimet & Sandra Montchaud, 2016. "What Drives European Football Clubs’ Stock Returns and Volatility?," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 23(3), pages 351-390, September.
    57. Troy Davig & Jeffrey R. Gerlach, 2006. "Monetary Policy, the Bond Market, and Changes in FOMC Communication Policy," Working Papers 31, Department of Economics, College of William and Mary.
    58. Michael Ehrmann & Marcel Fratzscher, 2009. "Global Financial Transmission of Monetary Policy Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 739-759, December.
    59. Pietro Cova & Mr. Alessandro Rebucci & Mr. Akito Matsumoto & Massimiliano Pisani, 2008. "New Shocks, Exchange Rates and Equity Prices," IMF Working Papers 2008/284, International Monetary Fund.
    60. Paola Paiardini, 2010. "The Price Impact of Economic News, Private Information and Trading Intensity," Birkbeck Working Papers in Economics and Finance 1011, Birkbeck, Department of Economics, Mathematics & Statistics.
    61. Andersson, Magnus & Hansen, Lars Jul & Sebestyén, Szabolcs, 2006. "Which news moves the euro area bond market?," Working Paper Series 631, European Central Bank.
    62. Mizrach, Bruce & Neely, Christopher J., 2008. "Information shares in the US Treasury market," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1221-1233, July.
    63. Robert F. Engle & Jose Gonzalo Rangel, 2005. "The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," Working Papers 2005/13, Czech National Bank.
    64. Alexandr Èerný & Michal Koblas, 2008. "Stock Market Integration and the Speed of Information Transmission," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(01-02), pages 2-20, January.
    65. Lindner Axel, 2009. "Evaluating Communication Strategies for Public Agencies: Transparency, Opacity, and Secrecy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-18, July.
    66. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
    67. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, April.
    68. Helena Chuliá & Hipòlit Torró, 2008. "The economic value of volatility transmission between the stock and bond markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1066-1094, November.
    69. Weihua Shi & Larry Eisenberg & Cheng-few Lee, 2009. "Intraday Patterns, Announcement Effects, and Volatility Persistence in the Japanese Government Bond Futures Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 63-85.
    70. George Jiang & Ingrid Lo & Adrien Verdelhan, 2008. "Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market," Staff Working Papers 08-22, Bank of Canada.
    71. Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
    72. Tamim Bayoumi & Andrew Swiston, 2010. "The Ties that Bind: Measuring International Bond Spillovers Using Inflation-Indexed Bond Yields," IMF Staff Papers, Palgrave Macmillan, vol. 57(2), pages 366-406, June.
    73. Herrmann, Klaus & Teis, Stefan & Yu, Weijun, 2014. "Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures," FAU Discussion Papers in Economics 15/2014, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    74. Gregory H. Bauer & Clara Vega, 2006. "The monetary origins of asymmetric information in international equity markets," International Finance Discussion Papers 872, Board of Governors of the Federal Reserve System (U.S.).
    75. Paolo Pasquariello & Clara Vega, 2006. "Informed and strategic order flow in the bond markets," International Finance Discussion Papers 874, Board of Governors of the Federal Reserve System (U.S.).
    76. Lindner, Axel, 2008. "Evaluating communication strategies for public agencies: transparency, opacity, and secrecy," IWH Discussion Papers 8/2008, Halle Institute for Economic Research (IWH).
    77. Apergis, Nicholas, 2015. "The role of FOMC minutes for US asset prices before and after the 2008 crisis: Evidence from GARCH volatility modeling," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 100-107.
    78. Viceira, Luis M., 2012. "Bond risk, bond return volatility, and the term structure of interest rates," International Journal of Forecasting, Elsevier, vol. 28(1), pages 97-117.
    79. Tuysuz, Sukriye, 2007. "The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility," MPRA Paper 5381, University Library of Munich, Germany.
    80. 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.
    81. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 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," Journal of Econometrics, Elsevier, vol. 138(1), pages 125-180, May.
    82. Laakkonen, Helinä, 2004. "The impact of macroeconomic news on exchange rate volatility," Bank of Finland Research Discussion Papers 24/2004, Bank of Finland.
    83. Bent Jesper Christensen & Morten Ø. Nielsen, 2005. "The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices," Working Paper 1186, Economics Department, Queen's University.
    84. Ghent, Andra, 2007. "Why do markets react badly to good news? Evidence from Fed Funds Futures," MPRA Paper 1708, University Library of Munich, Germany.
    85. Jon Faust & Jonathan H. Wright, 2008. "Efficient Prediction of Excess Returns," NBER Working Papers 14169, National Bureau of Economic Research, Inc.
    86. Jeffrey R. Gerlach, 2007. "Macroeconomic News And Stock Market Calendar And Weather Anomalies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 30(2), pages 283-300, June.

  37. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Practical volatility and correlation modeling for financial market risk management," CFS Working Paper Series 2005/02, Center for Financial Studies (CFS).

    Cited by:

    1. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    2. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    3. Olkhov, Victor, 2022. "Introduction of the Market-Based Price Autocorrelation," MPRA Paper 112003, University Library of Munich, Germany.
    4. Li, Leon, 2017. "Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 116-135.
    5. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers 2014-46, University of Paris Nanterre, EconomiX.
    6. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    7. Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011. "Predictive Inference for Integrated Volatility," Departmental Working Papers 201109, Rutgers University, Department of Economics.
    8. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, World-Wide," PIER Working Paper Archive 08-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    9. Othmar M. Lehner, 2013. "Crowdfunding social ventures: a model and research agenda," Venture Capital, Taylor & Francis Journals, vol. 15(4), pages 289-311, October.
    10. Erie Febrian & Aldrin Herwany, 2010. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Business, Management and Finance 201005, Department of Management and Business, Padjadjaran University, revised May 2010.
    11. O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
    12. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    13. Christophe Perignon & D. Smith, 2009. "The Level and Quality of Value-at-Risk Disclosure by Commercial Banks," Post-Print hal-00496102, HAL.
    14. James M. O'Brien & Pawel J. Szerszen, 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series 2014-21, Board of Governors of the Federal Reserve System (U.S.).
    15. Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
    16. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, vol. 95(2), pages 398-404, May.
    17. Erie Febrian & Aldrin Herwany, 2010. "Forecasting Stocks of Government Owned Companies (GOCS):Volatility Modeling," Working Papers in Business, Management and Finance 201002, Department of Management and Business, Padjadjaran University, revised Feb 2010.
    18. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
    19. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    20. Gaisser, Sandra & Memmel, Christoph & Schmidt, Rafael & Wehn, Carsten, 2009. "Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach," Discussion Paper Series 2: Banking and Financial Studies 2009,07, Deutsche Bundesbank.
    21. Markus Bibinger & Lars Winkelmann, 2014. "Common price and volatility jumps in noisy high-frequency data," SFB 649 Discussion Papers SFB649DP2014-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    22. Erie Febrian & Aldrin Herwany, 2009. "Volatility Model for Financial Market Risk Management : An Analysis on JSX Index Return Covariance Matrix," Working Papers in Economics and Development Studies (WoPEDS) 200907, Department of Economics, Padjadjaran University, revised Sep 2009.
    23. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    24. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
    25. Yoontae Jeon & Thomas H. McCurdy, 2017. "Time-Varying Window Length for Correlation Forecasts," Econometrics, MDPI, vol. 5(4), pages 1-29, December.
    26. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    27. Zhou, Xinmiao & Qian, Huanhuan & Pérez-Rodríguez, Jorge. V. & González López-Valcárcel, Beatriz, 2020. "Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    28. Jondeau, Eric, 2015. "The dynamics of squared returns under contemporaneous aggregation of GARCH models," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 80-93.
    29. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2007. "Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation," MPRA Paper 3963, University Library of Munich, Germany.
    30. Faheem Aslam & Paulo Ferreira & Khurrum Shahzad Mughal & Beenish Bashir, 2021. "Intraday Volatility Spillovers among European Financial Markets during COVID-19," IJFS, MDPI, vol. 9(1), pages 1-19, January.
    31. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
    32. Barbara Bedowska-Sojka, 2017. "Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 161-176.
    33. Krahnen, Jan-Pieter & Wilde, Christian, 2006. "Risk Transfer with CDOs and Systemic Risk in Banking," CEPR Discussion Papers 5618, C.E.P.R. Discussion Papers.
    34. Eric Hillebrand & Marcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
    35. Gao, Jun & Gao, Xiang & Gu, Chen, 2023. "Forecasting European stock volatility: The role of the UK," International Review of Financial Analysis, Elsevier, vol. 89(C).
    36. Eric Jondeau, 2008. "Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias," Swiss Finance Institute Research Paper Series 08-06, Swiss Finance Institute.

  38. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Practical volatility and correlation modeling for financial market risk management," CFS Working Paper Series 2005/02, Center for Financial Studies (CFS).

    Cited by:

    1. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    2. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    3. Olkhov, Victor, 2022. "Introduction of the Market-Based Price Autocorrelation," MPRA Paper 112003, University Library of Munich, Germany.
    4. Li, Leon, 2017. "Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 116-135.
    5. Sofiane Aboura & Julien Chevallier, 2014. "Cross-Market Spillovers with ‘Volatility Surprise’," EconomiX Working Papers 2014-46, University of Paris Nanterre, EconomiX.
    6. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    7. Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011. "Predictive Inference for Integrated Volatility," Departmental Working Papers 201109, Rutgers University, Department of Economics.
    8. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, World-Wide," PIER Working Paper Archive 08-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    9. Othmar M. Lehner, 2013. "Crowdfunding social ventures: a model and research agenda," Venture Capital, Taylor & Francis Journals, vol. 15(4), pages 289-311, October.
    10. Erie Febrian & Aldrin Herwany, 2010. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Business, Management and Finance 201005, Department of Management and Business, Padjadjaran University, revised May 2010.
    11. O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
    12. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    13. Christophe Perignon & D. Smith, 2009. "The Level and Quality of Value-at-Risk Disclosure by Commercial Banks," Post-Print hal-00496102, HAL.
    14. James M. O'Brien & Pawel J. Szerszen, 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series 2014-21, Board of Governors of the Federal Reserve System (U.S.).
    15. Francis X. Diebold & Kamil Yilmaz, 2010. "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," Koç University-TUSIAD Economic Research Forum Working Papers 1001, Koc University-TUSIAD Economic Research Forum, revised Mar 2010.
    16. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, vol. 95(2), pages 398-404, May.
    17. Erie Febrian & Aldrin Herwany, 2010. "Forecasting Stocks of Government Owned Companies (GOCS):Volatility Modeling," Working Papers in Business, Management and Finance 201002, Department of Management and Business, Padjadjaran University, revised Feb 2010.
    18. David S. Bates, 2009. "U.S. Stock Market Crash Risk, 1926-2006," NBER Working Papers 14913, National Bureau of Economic Research, Inc.
    19. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
    20. Gaisser, Sandra & Memmel, Christoph & Schmidt, Rafael & Wehn, Carsten, 2009. "Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach," Discussion Paper Series 2: Banking and Financial Studies 2009,07, Deutsche Bundesbank.
    21. Markus Bibinger & Lars Winkelmann, 2014. "Common price and volatility jumps in noisy high-frequency data," SFB 649 Discussion Papers SFB649DP2014-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    22. Erie Febrian & Aldrin Herwany, 2009. "Volatility Model for Financial Market Risk Management : An Analysis on JSX Index Return Covariance Matrix," Working Papers in Economics and Development Studies (WoPEDS) 200907, Department of Economics, Padjadjaran University, revised Sep 2009.
    23. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    24. McAleer, Michael & Medeiros, Marcelo C., 2008. "A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries," Journal of Econometrics, Elsevier, vol. 147(1), pages 104-119, November.
    25. Yoontae Jeon & Thomas H. McCurdy, 2017. "Time-Varying Window Length for Correlation Forecasts," Econometrics, MDPI, vol. 5(4), pages 1-29, December.
    26. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
    27. Zhou, Xinmiao & Qian, Huanhuan & Pérez-Rodríguez, Jorge. V. & González López-Valcárcel, Beatriz, 2020. "Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    28. Jondeau, Eric, 2015. "The dynamics of squared returns under contemporaneous aggregation of GARCH models," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 80-93.
    29. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2007. "Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation," MPRA Paper 3963, University Library of Munich, Germany.
    30. Faheem Aslam & Paulo Ferreira & Khurrum Shahzad Mughal & Beenish Bashir, 2021. "Intraday Volatility Spillovers among European Financial Markets during COVID-19," IJFS, MDPI, vol. 9(1), pages 1-19, January.
    31. Bates, David S., 2012. "U.S. stock market crash risk, 1926–2010," Journal of Financial Economics, Elsevier, vol. 105(2), pages 229-259.
    32. Barbara Bedowska-Sojka, 2017. "Evaluating the Accuracy of Time-varying Beta. The Evidence from Poland," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 161-176.
    33. Krahnen, Jan-Pieter & Wilde, Christian, 2006. "Risk Transfer with CDOs and Systemic Risk in Banking," CEPR Discussion Papers 5618, C.E.P.R. Discussion Papers.
    34. Eric Hillebrand & Marcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
    35. Gao, Jun & Gao, Xiang & Gu, Chen, 2023. "Forecasting European stock volatility: The role of the UK," International Review of Financial Analysis, Elsevier, vol. 89(C).
    36. Eric Jondeau, 2008. "Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias," Swiss Finance Institute Research Paper Series 08-06, Swiss Finance Institute.

  39. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2005. "A framework for exploring the macroeconomic determinants of systematic risk," CFS Working Paper Series 2005/04, Center for Financial Studies (CFS).

    Cited by:

    1. Hassan, Gazi & Hisham, Al refai, 2010. "Can Macroeconomic Factors Explain Equity Returns in the Long Run? The Case of Jordan," MPRA Paper 22713, University Library of Munich, Germany.
    2. Fredj Jawadi & Wael Louhichi & Abdoulkarim Idi Cheffou & Hachmi Ben Ameur, 2019. "Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model," Annals of Operations Research, Springer, vol. 281(1), pages 275-295, October.
    3. Samet Günay, 2017. "Risk Configuration of S&P 500 Industries: Sigma-risk and Alpha-risk Approximation," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 11(2), pages 196-221, May.
    4. González, Mariano & Nave, Juan & Rubio, Gonzalo, 2018. "Macroeconomic determinants of stock market betas," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 26-44.
    5. Radosław Kurach, 2013. "Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 7(2), June.
    6. Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David, 2010. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," CFS Working Paper Series 2010/01, Center for Financial Studies (CFS).
    7. Roberto Pascual & David Veredas, 2009. "Does the open limit order book matter in explaining informational volatility?," ULB Institutional Repository 2013/183777, ULB -- Universite Libre de Bruxelles.
    8. Hooper, Vincent J. & Ng, Kevin & Reeves, Jonathan J., 2008. "Quarterly beta forecasting: An evaluation," International Journal of Forecasting, Elsevier, vol. 24(3), pages 480-489.
    9. Golosnoy, Vasyl & Hamid, Alain & Okhrin, Yarema, 2014. "The empirical similarity approach for volatility prediction," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 321-329.
    10. Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013. "The impact of jumps and thin trading on realized hedge ratios," Working Papers 2013-02, University of Tasmania, Tasmanian School of Business and Economics, revised 28 Mar 2013.
    11. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015. "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers 1507, Athens University of Economics and Business.
    12. Marcelle Chauvet & Zeynep Senyuz & Emre Yoldas, 2013. "What does financial volatility tell us about macroeconomic fluctuations?," Finance and Economics Discussion Series 2013-61, Board of Governors of the Federal Reserve System (U.S.).
    13. Degiannakis, Stavros & Filis, George & Kizys, Renatas, 2014. "The effects of oil price shocks on stock market volatility: Evidence from European data," MPRA Paper 96296, University Library of Munich, Germany.
    14. Marshall, Andrew & Maulana, Tubagus & Tang, Leilei, 2009. "The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 250-259, December.
    15. Aït-Sahalia, Yacine & Kalnina, Ilze & Xiu, Dacheng, 2020. "High-frequency factor models and regressions," Journal of Econometrics, Elsevier, vol. 216(1), pages 86-105.
    16. Murillo Campello & Long Chen & Lu Zhang, 2005. "Expected returns, yield spreads, and asset pricing tests," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
    17. Bergsma, Kelley & Tayal, Jitendra, 2020. "Quarterly earnings announcements and intra-industry information transfer from the Pacific to the Atlantic," International Review of Financial Analysis, Elsevier, vol. 70(C).
    18. Peter Reinhard Hansen & Yiyao Luo, 2023. "Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas," Papers 2310.19992, arXiv.org.
    19. Christoffersen, Peter & Lunde, Asger & Olesen, Kasper V., 2019. "Factor Structure in Commodity Futures Return and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(3), pages 1083-1115, June.
    20. Lillie Lam & Laurence Fung & Ip-wing Yu, 2009. "Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes," Working Papers 0901, Hong Kong Monetary Authority.
    21. Peter C. B. Phillips & Jun Yu, 2009. "Information Loss in Volatility Measurement with Flat Price Trading," Global COE Hi-Stat Discussion Paper Series gd08-039, Institute of Economic Research, Hitotsubashi University.
    22. Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Econometrics, MDPI, vol. 11(3), pages 1-36, August.
    23. Tolga Cenesizoglu & Denada Ibrushi, 2020. "Predicting Systematic Risk With Macroeconomic And Financial Variables," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(3), pages 649-673, August.
    24. Andersen, Torben G. & Riva, Raul & Thyrsgaard, Martin & Todorov, Viktor, 2023. "Intraday cross-sectional distributions of systematic risk," Journal of Econometrics, Elsevier, vol. 235(2), pages 1394-1418.
    25. Zhou, Jian, 2013. "Conditional market beta for REITs: A comparison of modeling techniques," Economic Modelling, Elsevier, vol. 30(C), pages 196-204.
    26. Ilze KALNINA, 2015. "Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," Cahiers de recherche 13-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    27. Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," NBER Working Papers 11736, National Bureau of Economic Research, Inc.
    28. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, vol. 63(3), pages 168-186, May.
    29. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
    30. Dovonon, Prosper & Goncalves, Silvia & Meddahi, Nour, 2010. "Bootstrapping realized multivariate volatility measures," MPRA Paper 40123, University Library of Munich, Germany.
    31. Victor Olkhov, 2018. "Econophysics Beyond General Equilibrium: the Business Cycle Model," Papers 1804.04721, arXiv.org.
    32. Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2017. "Quantile relationships between standard, diffusion and jump betas across Japanese banks," Working Papers 2017-10, University of Tasmania, Tasmanian School of Business and Economics.
    33. Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014. "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers 2014-48, Department of Economics and Business Economics, Aarhus University.
    34. Sascha Mergner & Jan Bulla, 2008. "Time-varying beta risk of Pan-European industry portfolios: A comparison of alternative modeling techniques," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 771-802.
    35. Chen, Bin-xia & Sun, Yan-lin, 2022. "The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    36. Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019. "The Memory of Beta Factors," Hannover Economic Papers (HEP) dp-661, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    37. Ciner, Cetin, 2015. "Time variation in systematic risk, returns and trading volume: Evidence from precious metals mining stocks," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 277-283.
    38. Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 120(3), pages 464-490.
    39. Cho, Sungjun, 2014. "What drives stochastic risk aversion?," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 44-63.
    40. Drobetz, Wolfgang & Menzel, Christina & Schröder, Henning, 2016. "Systematic risk behavior in cyclical industries: The case of shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 88(C), pages 129-145.
    41. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
    42. Hwang, Young-Soon & Min, Hong-Ghi & McDonald, Judith A. & Kim, Hwagyun & Kim, Bong-Han, 2010. "Using the credit spread as an option-risk factor: Size and value effects in CAPM," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2995-3009, December.
    43. Dimitrios Dadakas & Christos Karpetis & Athanasios Fassas & Erotokritos Varelas, 2016. "Sectoral Differences in the Choice of the Time Horizon during Estimation of the Unconditional Stock Beta," IJFS, MDPI, vol. 4(4), pages 1-13, December.
    44. Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.
    45. Richard Mawulawoe Ahadzie & Nagaratnam Jeyasreedharan, 2024. "Higher‐order moments and asset pricing in the Australian stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 75-128, March.
    46. Panagiotis Samartzis & Nikitas Pittis & Nikolaos Kourogenis & Phoebe Koundouri, 2013. "Factor Models of Stock Returns: GARCH Errors versus Autoregressive Betas," DEOS Working Papers 1318, Athens University of Economics and Business.
    47. Mohammad Abu Sayeed & Mardi Dungey & Wenying Yao, 2018. "High-frequency Characterisation of Indian Banking Stocks," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2_suppl), pages 213-238, August.
    48. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
    49. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market," CESifo Working Paper Series 8171, CESifo.
    50. Ray Ball & Gil Sadka & Ayung Tseng, 2022. "Using accounting earnings and aggregate economic indicators to estimate firm-level systematic risk," Review of Accounting Studies, Springer, vol. 27(2), pages 607-646, June.
    51. Clark Lundberg, 2019. "Identifying horizon-based heterogeneity in the cross section of portfolio returns," Economics Bulletin, AccessEcon, vol. 39(2), pages 1163-1175.
    52. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016. "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(5), pages 445-461, August.
    53. Jacobsen, Brian J. & Liu, Xiaochun, 2008. "China's segmented stock market: An application of the conditional international capital asset pricing model," Emerging Markets Review, Elsevier, vol. 9(3), pages 153-173, September.
    54. Francesco FRANZONI & Tobias ADRIAN, 2008. "Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM," Swiss Finance Institute Research Paper Series 08-36, Swiss Finance Institute.
    55. Barahona, Ricardo & Driessen, Joost & Frehen, Rik, 2021. "Can unpredictable risk exposure be priced?," Journal of Financial Economics, Elsevier, vol. 139(2), pages 522-544.
    56. Andrew Phin & Todd Prono & Jonathan J. Reeves & Konark Saxena, 2018. "Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement," Finance and Economics Discussion Series 2018-081, Board of Governors of the Federal Reserve System (U.S.).
    57. Sun, Yucheng & Xu, Wen & Zhang, Chuanhai, 2023. "Identifying latent factors based on high-frequency data," Journal of Econometrics, Elsevier, vol. 233(1), pages 251-270.
    58. Todorov, Viktor & Bollerslev, Tim, 2010. "Jumps and betas: A new framework for disentangling and estimating systematic risks," Journal of Econometrics, Elsevier, vol. 157(2), pages 220-235, August.
    59. Insana, Alessandra, 2022. "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, vol. 109(C).
    60. Stavros Degiannakis & George Filis & Renatas Kizys, 2013. "Oil price shocks and stock market volatility: evidence from European data," Working Papers 161, Bank of Greece.
    61. Claudio Morana, 2008. "Realized Betas and the Cross-Section of Expected Returns," ICER Working Papers - Applied Mathematics Series 15-2008, ICER - International Centre for Economic Research.
    62. Doan, Bao & Lee, John B. & Liu, Qianqiu & Reeves, Jonathan J., 2022. "Beta measurement with high frequency returns," Finance Research Letters, Elsevier, vol. 47(PA).
    63. Sheunesu Zhou, 2021. "Analyzing the Relationship between Derivative Usage and Systemic Risk in South Africa," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 9(4), pages 217-234.
    64. Cenesizoglu, Tolga & Reeves, Jonathan J., 2018. "CAPM, components of beta and the cross section of expected returns," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 223-246.
    65. Tolga Cenesizoglu & Jonathan J. Reeves, 2013. "CAPM, Components of Beta and the Cross Section of Expected Returns," CIRANO Working Papers 2013s-09, CIRANO.
    66. Shuping Shi & Jun Yu, 2023. "Volatility Puzzle: Long Memory or Antipersistency," Management Science, INFORMS, vol. 69(7), pages 3861-3883, July.
    67. Richard D. F. Harris & Jian Shen & Evarist Stoja, 2010. "The Limits to Minimum‐Variance Hedging," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 737-761, June.
    68. Gribisch, Bastian & Hartkopf, Jan Patrick & Liesenfeld, Roman, 2020. "Factor state–space models for high-dimensional realized covariance matrices of asset returns," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 1-20.
    69. Phin, Andrew & Prono, Todd & Reeves, Jonathan J. & Saxena, Konark, 2022. "Shifts in beta and the TARP announcement," Finance Research Letters, Elsevier, vol. 47(PB).
    70. Le Dinh Hac & Dinh Tran Ngoc Huy & Nguyen Ngoc Thach & Bui Minh Chuyen & Pham Thi Hong Nhung & Tran Duc Thang & Tran Tuan Anh, 2021. "Enhancing risk management culture for sustainable growth of Asia commercial bank -ACB in Vietnam under mixed effects of macro factors," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 8(3), pages 291-307, March.
    71. Papageorgiou, Nicolas & Reeves, Jonathan J. & Xie, Xuan, 2016. "Betas and the myth of market neutrality," International Journal of Forecasting, Elsevier, vol. 32(2), pages 548-558.
    72. Cenesizoglu, Tolga & de Oliveira Ferrazoli Ribeiro, Fabio & Reeves, Jonathan J., 2017. "Beta forecasting at long horizons," International Journal of Forecasting, Elsevier, vol. 33(4), pages 936-957.
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    74. Sascha Mergner, 2005. "Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques," Finance 0509024, University Library of Munich, Germany.
    75. Claudio Morana, 2007. "Estimating, Filtering and Forecasting Realized Betas," ICER Working Papers - Applied Mathematics Series 6-2007, ICER - International Centre for Economic Research.

  40. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2004. "Realized beta: Persistence and predictability," CFS Working Paper Series 2004/16, Center for Financial Studies (CFS).

    Cited by:

    1. Dovern, Jonas, 2006. "Predicting GDP components: do leading indicators increase predictability?," Kiel Advanced Studies Working Papers 436, Kiel Institute for the World Economy (IfW Kiel).
    2. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    3. David W. Berger & Alain P. Chaboud & Erik Hjalmarsson & Edward Howorka, 2006. "What drives volatility persistence in the foreign exchange market?," International Finance Discussion Papers 862, Board of Governors of the Federal Reserve System (U.S.).
    4. A. Mbairadjim Moussa & J. Sadefo Kamdem & A.F. Shapiro & M. Terraza, 2014. "CAPM with fuzzy returns and hypothesis testing," Post-Print hal-02901727, HAL.
    5. Helmut Herwartz, 2006. "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 89-104, March.
    6. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Arnold F. Shapiro & Michel Terraza, 2012. "Capital asset pricing model with fuzzy returns and hypothesis testing," Working Papers 12-33, LAMETA, Universtiy of Montpellier, revised Sep 2012.
    7. Papavassiliou, Vassilios G., 2013. "A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 184-197.
    8. Stoja, Evarist & Polanski, Arnold & Nguyen, Linh H. & Pereverzin, Aleksandr, 2023. "Does systematic tail risk matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    9. Richard M. Levich & Valerio Poti, 2008. "Predictability and 'Good Deals' in Currency Markets," NBER Working Papers 14597, National Bureau of Economic Research, Inc.
    10. Fernandes, José L. B. & Hasman, Augusto & Peña, Juan Ignacio, 2006. "Risk premium: insights over the threshold," DEE - Working Papers. Business Economics. WB wb062808, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    11. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
    12. Haselmann, Rainer & Herwartz, Helmut, 2008. "Portfolio performance and the Euro: Prospects for new potential EMU members," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 314-330, March.
    13. Nekhili, Ramzi & Bouri, Elie, 2023. "Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management," Energy Economics, Elsevier, vol. 119(C).

  41. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Wu, Jin, 2004. "Realized beta: Persistence and predictability," CFS Working Paper Series 2004/16, Center for Financial Studies (CFS).

    Cited by:

    1. Dovern, Jonas, 2006. "Predicting GDP components: do leading indicators increase predictability?," Kiel Advanced Studies Working Papers 436, Kiel Institute for the World Economy (IfW Kiel).
    2. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    3. David W. Berger & Alain P. Chaboud & Erik Hjalmarsson & Edward Howorka, 2006. "What drives volatility persistence in the foreign exchange market?," International Finance Discussion Papers 862, Board of Governors of the Federal Reserve System (U.S.).
    4. A. Mbairadjim Moussa & J. Sadefo Kamdem & A.F. Shapiro & M. Terraza, 2014. "CAPM with fuzzy returns and hypothesis testing," Post-Print hal-02901727, HAL.
    5. Helmut Herwartz, 2006. "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 89-104, March.
    6. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Arnold F. Shapiro & Michel Terraza, 2012. "Capital asset pricing model with fuzzy returns and hypothesis testing," Working Papers 12-33, LAMETA, Universtiy of Montpellier, revised Sep 2012.
    7. Papavassiliou, Vassilios G., 2013. "A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 184-197.
    8. Stoja, Evarist & Polanski, Arnold & Nguyen, Linh H. & Pereverzin, Aleksandr, 2023. "Does systematic tail risk matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    9. Richard M. Levich & Valerio Poti, 2008. "Predictability and 'Good Deals' in Currency Markets," NBER Working Papers 14597, National Bureau of Economic Research, Inc.
    10. Fernandes, José L. B. & Hasman, Augusto & Peña, Juan Ignacio, 2006. "Risk premium: insights over the threshold," DEE - Working Papers. Business Economics. WB wb062808, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    11. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
    12. Haselmann, Rainer & Herwartz, Helmut, 2008. "Portfolio performance and the Euro: Prospects for new potential EMU members," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 314-330, March.
    13. Nekhili, Ramzi & Bouri, Elie, 2023. "Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management," Energy Economics, Elsevier, vol. 119(C).

  42. Jesper Lund & Torben G. Andersen & Luca Benzoni, 2004. "Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature," Econometric Society 2004 North American Winter Meetings 432, Econometric Society.

    Cited by:

    1. José Carlos Nogueira Cavalcante Filho & Edson Daniel Lopes Gonçalves, 2015. "Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate," Brazilian Business Review, Fucape Business School, vol. 12(1), pages 80-103, January.

  43. Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).

    Cited by:

    1. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford.
    2. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
    3. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
    4. Dominique Guegan & Florian Ielpo, 2007. "Further evidence on the impact of economic news on interest rates," Post-Print halshs-00188331, HAL.
    5. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
    6. Mende, Alexander, 2005. "09/11 on the USD/EUR Foreign Exchange Market," Hannover Economic Papers (HEP) dp-312, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    7. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    8. Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre.
    9. Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015. "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series 1501, University of St. Gallen, School of Economics and Political Science.
    10. Dufour, Jean-Marie & García, René & Taamouti, Abderrahim, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
    11. Zheng, Tingguo & Zuo, Haomiao, 2013. "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 643-662.
    12. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
    13. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
    14. Basel Awartani & Valentina Corradi, 2004. "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 North American Summer Meetings 487, Econometric Society.
    15. Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April.
    16. Jeremy Large, 2005. "Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment," Economics Series Working Papers 2005-FE-05, University of Oxford, Department of Economics.
    17. Heather Anderson & Fashid Vahid, 2005. "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?," ANU Working Papers in Economics and Econometrics 2005-451, Australian National University, College of Business and Economics, School of Economics.
    18. Talpsepp, Tõnn & Rieger, Marc Oliver, 2010. "Explaining asymmetric volatility around the world," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 938-956, December.
    19. 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 0914, Birkbeck, Department of Economics, Mathematics & Statistics.
    20. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
    21. Wanidwaranan, Phasin & Padungsaksawasdi, Chaiyuth, 2020. "The effect of return jumps on herd behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    22. Lars Forsberg & Eric Ghysels, 2007. "Why Do Absolute Returns Predict Volatility So Well?," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 31-67.
    23. Ysusi Carla, 2006. "Detecting Jumps in High-Frequency Financial Series Using Multipower Variation," Working Papers 2006-10, Banco de México.
    24. Hassan Zada & Arshad Hassan & Wing-Keung Wong, 2021. "Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets," Economies, MDPI, vol. 9(2), pages 1-26, June.
    25. Çelik, Sibel & Ergin, Hüseyin, 2014. "Volatility forecasting using high frequency data: Evidence from stock markets," Economic Modelling, Elsevier, vol. 36(C), pages 176-190.
    26. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2007. "Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation," MPRA Paper 3963, University Library of Munich, Germany.
    27. Wagner, Niklas & Szimayer, Alexander, 2004. "Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany," Research in International Business and Finance, Elsevier, vol. 18(3), pages 237-251, September.
    28. Eric Ghysels & Arthur Sinko & Rossen Valkanov, 2007. "MIDAS Regressions: Further Results and New Directions," Econometric Reviews, Taylor & Francis Journals, vol. 26(1), pages 53-90.
    29. Perron, Benoit, 2004. "Détection non paramétrique de sauts dans la volatilité des marchés financiers," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 229-251, Juin-Sept.
    30. Tao, Minjing & Wang, Yahzen & Yao, Qiwei & Zou, Jian, 2011. "Large volatility matrix inference via combining low-frequency and high-frequency approaches," LSE Research Online Documents on Economics 39321, London School of Economics and Political Science, LSE Library.
    31. Antoine Bouveret & Martin Haferkorn & Gaetano Marseglia & Onofrio Panzarino, 2022. "Flash crashes on sovereign bond markets – EU evidence," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 20, Bank of Italy, Directorate General for Markets and Payment System.
    32. Jian Chen & Xiaoquan Liu, 2010. "The model-free measures and the volatility spread," Applied Economics Letters, Taylor & Francis Journals, vol. 17(18), pages 1829-1833.
    33. Ysusi Carla, 2006. "Estimating Integrated Volatility Using Absolute High-Frequency Returns," Working Papers 2006-13, Banco de México.
    34. Tim Leung & Theodore Zhao, 2024. "A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices," Mathematics, MDPI, vol. 12(6), pages 1-21, March.

  44. Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).

    Cited by:

    1. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford.
    2. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
    3. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
    4. Dominique Guegan & Florian Ielpo, 2007. "Further evidence on the impact of economic news on interest rates," Post-Print halshs-00188331, HAL.
    5. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
    6. Mende, Alexander, 2005. "09/11 on the USD/EUR Foreign Exchange Market," Hannover Economic Papers (HEP) dp-312, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    7. Gregory Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
    8. Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," OFRC Working Papers Series 2005fe09, Oxford Financial Research Centre.
    9. Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015. "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series 1501, University of St. Gallen, School of Economics and Political Science.
    10. Dufour, Jean-Marie & García, René & Taamouti, Abderrahim, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
    11. Zheng, Tingguo & Zuo, Haomiao, 2013. "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 643-662.
    12. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
    13. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
    14. Basel Awartani & Valentina Corradi, 2004. "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 North American Summer Meetings 487, Econometric Society.
    15. Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April.
    16. Jeremy Large, 2005. "Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment," Economics Series Working Papers 2005-FE-05, University of Oxford, Department of Economics.
    17. Heather Anderson & Fashid Vahid, 2005. "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?," ANU Working Papers in Economics and Econometrics 2005-451, Australian National University, College of Business and Economics, School of Economics.
    18. Talpsepp, Tõnn & Rieger, Marc Oliver, 2010. "Explaining asymmetric volatility around the world," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 938-956, December.
    19. 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 0914, Birkbeck, Department of Economics, Mathematics & Statistics.
    20. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
    21. Wanidwaranan, Phasin & Padungsaksawasdi, Chaiyuth, 2020. "The effect of return jumps on herd behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    22. Lars Forsberg & Eric Ghysels, 2007. "Why Do Absolute Returns Predict Volatility So Well?," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 31-67.
    23. Ysusi Carla, 2006. "Detecting Jumps in High-Frequency Financial Series Using Multipower Variation," Working Papers 2006-10, Banco de México.
    24. Hassan Zada & Arshad Hassan & Wing-Keung Wong, 2021. "Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets," Economies, MDPI, vol. 9(2), pages 1-26, June.
    25. Çelik, Sibel & Ergin, Hüseyin, 2014. "Volatility forecasting using high frequency data: Evidence from stock markets," Economic Modelling, Elsevier, vol. 36(C), pages 176-190.
    26. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2007. "Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation," MPRA Paper 3963, University Library of Munich, Germany.
    27. Wagner, Niklas & Szimayer, Alexander, 2004. "Local and spillover shocks in implied market volatility: evidence for the U.S. and Germany," Research in International Business and Finance, Elsevier, vol. 18(3), pages 237-251, September.
    28. Eric Ghysels & Arthur Sinko & Rossen Valkanov, 2007. "MIDAS Regressions: Further Results and New Directions," Econometric Reviews, Taylor & Francis Journals, vol. 26(1), pages 53-90.
    29. Perron, Benoit, 2004. "Détection non paramétrique de sauts dans la volatilité des marchés financiers," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 229-251, Juin-Sept.
    30. Tao, Minjing & Wang, Yahzen & Yao, Qiwei & Zou, Jian, 2011. "Large volatility matrix inference via combining low-frequency and high-frequency approaches," LSE Research Online Documents on Economics 39321, London School of Economics and Political Science, LSE Library.
    31. Antoine Bouveret & Martin Haferkorn & Gaetano Marseglia & Onofrio Panzarino, 2022. "Flash crashes on sovereign bond markets – EU evidence," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 20, Bank of Italy, Directorate General for Markets and Payment System.
    32. Jian Chen & Xiaoquan Liu, 2010. "The model-free measures and the volatility spread," Applied Economics Letters, Taylor & Francis Journals, vol. 17(18), pages 1829-1833.
    33. Ysusi Carla, 2006. "Estimating Integrated Volatility Using Absolute High-Frequency Returns," Working Papers 2006-13, Banco de México.
    34. Tim Leung & Theodore Zhao, 2024. "A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices," Mathematics, MDPI, vol. 12(6), pages 1-21, March.

  45. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers 2002s-91, CIRANO.

    Cited by:

    1. Corsi, Fulvio & Kretschmer, Uta & Mittnik, Stefan & Pigorsch, Christian, 2005. "The volatility of realized volatility," CFS Working Paper Series 2005/33, Center for Financial Studies (CFS).
    2. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
    3. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
    4. Alessandra Amendola & Giuseppe Storti, 2009. "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers SFB649DP2009-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Neil Shephard & Ole Barndorff-Nielsen, 2003. "A feasible central limit theory for realised volatility under leverage," Economics Series Working Papers 2004-FE-03, University of Oxford, Department of Economics.
    6. Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
    7. Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).
    8. Christoffersen, Peter & Mazzotta, Stefano, 2004. "The informational content of over-the-counter currency options," Working Paper Series 366, European Central Bank.
    9. Scott I. White & Adam E. Clements & Stan Hurn, 2004. "Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility," Econometric Society 2004 Australasian Meetings 46, Econometric Society.
    10. Amendola, Alessandra & Storti, Giuseppe, 2008. "A GMM procedure for combining volatility forecasts," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3047-3060, February.

  46. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers 0279, National Bureau of Economic Research, Inc.

    Cited by:

    1. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
    2. Anisha Ghosh & Oliver Linton, 2019. "Estimation with Mixed Data Frequencies: A Bias-Correction Approach," CeMMAP working papers CWP65/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    3. Campbell, Sean D. & Diebold, Francis X., 2004. "Weather forecasting for weather derivatives," CFS Working Paper Series 2004/10, Center for Financial Studies (CFS).
    4. Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 volatility using ultra-high frequency data," Research in International Business and Finance, Elsevier, vol. 28(C), pages 68-81.
    5. Zagaglia, Paolo, 2008. "Money-market segmentation in the euro area: what has changed during the turmoil?," Bank of Finland Research Discussion Papers 23/2008, Bank of Finland.
    6. Haselmann, Rainer & Helmut, Herwartz, 2005. "The Introduction of the Euro and its Effects on Investment Decisions," Economics Working Papers 2005-15, Christian-Albrechts-University of Kiel, Department of Economics.
    7. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics," Economics Papers 2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.
    8. Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
    9. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers 2002s-91, CIRANO.
    10. Laarni Bulan & Christopher Mayer & C. Tsuriel Somerville, "undated". "Irreversible Investment, Real Options, and Competition: Evidence from Real Estate Development," Zell/Lurie Center Working Papers 391, Wharton School Samuel Zell and Robert Lurie Real Estate Center, University of Pennsylvania.
    11. Victor Olkhov, 2020. "Volatility Depend on Market Trades and Macro Theory," Papers 2008.07907, arXiv.org.
    12. Sabrina Camargo & Silvio M. Duarte Queiros & Celia Anteneodo, 2013. "Bridging stylized facts in finance and data non-stationarities," Papers 1302.3197, arXiv.org, revised May 2013.
    13. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series 2006-35, Board of Governors of the Federal Reserve System (U.S.).
    14. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477.
    15. Brousseau, Vincent & Durré, Alain, 2013. "Interest rate volatility: a consol rate-based measure," Working Paper Series 1505, European Central Bank.
    16. Turgut Kısınbay, 2010. "Predictive ability of asymmetric volatility models at medium-term horizons," Applied Economics, Taylor & Francis Journals, vol. 42(30), pages 3813-3829.
    17. Christensen, Kim & Podolskij, Mark, 2006. "Range-Based Estimation of Quadratic Variation," Technical Reports 2006,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    18. Martin Martens & Dick van Dijk & Michiel de Pooter, 2004. "Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity," Tinbergen Institute Discussion Papers 04-067/4, Tinbergen Institute.
    19. Michael W. Brandt & Francis X. Diebold, 2006. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," The Journal of Business, University of Chicago Press, vol. 79(1), pages 61-74, January.
    20. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336.
    21. Henker, Thomas & Husodo, Zaäfri A., 2010. "Noise and efficient variance in the Indonesia Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 18(2), pages 199-216, April.
    22. Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001. "Some recent developments in stochastic volatility modelling," Economics Papers 2001-W25, Economics Group, Nuffield College, University of Oxford.
    23. Frowin Schulz & Karl Mosler, 2011. "The effect of infrequent trading on detecting price jumps," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(1), pages 27-58, March.
    24. Ravi Bansal & Varoujan Khatchatrian & Amir Yaron, 2004. "Interpretable Asset Markets?," 2004 Meeting Papers 136b, Society for Economic Dynamics.
    25. Julian Pareja Vasseur & Juan Giraldo Cerón & Santiago Zapata Valencia, 2017. "Market Risk, Non-parametric Methods: Hong-Kong Case," Economia Coyuntural,Revista de temas de perspectivas y coyuntura, Instituto de Investigaciones Economicas y Sociales 'Jose Ortiz Mercado' (IIES-JOM), Facultad de Ciencias Economicas, Administrativas y Financieras, Universidad Autonoma Gabriel Rene Moreno, vol. 2(4), pages 45-80.
    26. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
    27. Nadhem Selmi & Nejib Hachicha, 2014. "Were Oil Price Markets the Source of Credit Crisis in European Countries? Evidence Using a VAR-MGARCH-DCC Model," International Journal of Energy Economics and Policy, Econjournals, vol. 4(2), pages 169-177.
    28. Lars Forsberg & Tim Bollerslev, 2002. "Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 535-548.
    29. Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi, 2002. "Measuring and forecasting financial variability using realised variance with and without a model," Economics Papers 2002-W21, Economics Group, Nuffield College, University of Oxford.
    30. Li, Handong & Cao, Shi-Nan & Wang, Yan, 2010. "The properties and mechanism of long-term memory in nonparametric volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3254-3259.
    31. Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George, 2008. "Risk, jumps, and diversification," Journal of Econometrics, Elsevier, vol. 144(1), pages 234-256, May.
    32. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
    33. Oliver Linton & Anisha Ghosh, 2007. "Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error," FMG Discussion Papers dp605, Financial Markets Group.
    34. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    35. Werner, Thomas & Stapf, Jelena, 2003. "How wacky is the DAX? The changing structure of German stock market volatility," Discussion Paper Series 1: Economic Studies 2003,18, Deutsche Bundesbank.
    36. Sean D. Campbell & Canlin Li, 2004. "Alternative estimates of the presidential premium," Finance and Economics Discussion Series 2004-69, Board of Governors of the Federal Reserve System (U.S.).
    37. Jeremy Large, 2005. "Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment," Economics Series Working Papers 2005-FE-05, University of Oxford, Department of Economics.
    38. B. Jungbacker & S.J. Koopman, 2005. "Model-based Measurement of Actual Volatility in High-Frequency Data," Tinbergen Institute Discussion Papers 05-002/4, Tinbergen Institute.
    39. Jianqing Fan & Yingying Fan & Jinchi Lv, 0. "Aggregation of Nonparametric Estimators for Volatility Matrix," Journal of Financial Econometrics, Oxford University Press, vol. 5(3), pages 321-357.
    40. Hellström, Jörgen & Lönnbark, Carl, 2011. "Identi�cation of jumps in �financial price series," MPRA Paper 30977, University Library of Munich, Germany.
    41. Yi, Chae-Deug, 2020. "Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    42. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2010. "Jump-robust volatility estimation using nearest neighbor truncation," Staff Reports 465, Federal Reserve Bank of New York.
    43. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
    44. Fornari, Fabio, 2010. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 722-743, September.
    45. Fornari, Fabio, 2008. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series 859, European Central Bank.
    46. Juan Manuel Julio & Norberto Rodríguez & Hector Zárate, 2005. "Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach," Borradores de Economia 347, Banco de la Republica de Colombia.
    47. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.).
    48. Amir Safari & Detlef Seese, 2009. "Non-parametric estimation of a multiscale CHARN model using SVR," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 105-121.
    49. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
    50. E. C. Brechmann & M. Heiden & Y. Okhrin, 2018. "A multivariate volatility vine copula model," Econometric Reviews, Taylor & Francis Journals, vol. 37(4), pages 281-308, April.
    51. Robert F. Engle & Giampiero M. Gallo, 2003. "A Multiple Indicators Model For Volatility Using Intra-Daily Data," Econometrics Working Papers Archive wp2003_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    52. Daniel Jubinski & Amy F. Lipton, 2012. "Equity volatility, bond yields, and yield spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(5), pages 480-503, May.
    53. Degiannakis, Stavros, 2004. "Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper 96330, University Library of Munich, Germany.
    54. Christensen, Kim & Podolskij, Mark, 2007. "Realized range-based estimation of integrated variance," Journal of Econometrics, Elsevier, vol. 141(2), pages 323-349, December.
    55. Hyeong-Ohk Bae & Seung-Yeal Ha & Yongsik Kim & Hyuncheul Lim & Jane Yoo, 2020. "Volatility Flocking by Cucker–Smale Mechanism in Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 387-414, September.
    56. Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
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    61. YI, Chae-Deug, 2023. "Exchange rate volatility and intraday jump probability with periodicity filters using a local robust variance," Finance Research Letters, Elsevier, vol. 55(PA).
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  47. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO.

    Cited by:

    1. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
    2. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
    3. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
    4. Ke Yang & Langnan Chen & Fengping Tian, 2015. "Realized Volatility Forecast of Stock Index Under Structural Breaks," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(1), pages 57-82, January.
    5. Kim, Jihyun & Meddahi, Nour, 2020. "Volatility regressions with fat tails," Journal of Econometrics, Elsevier, vol. 218(2), pages 690-713.
    6. Corradi, Valentina & Distaso, Walter & Swanson, Norman R., 2009. "Predictive density estimators for daily volatility based on the use of realized measures," Journal of Econometrics, Elsevier, vol. 150(2), pages 119-138, June.
    7. Sugra Ingilab Humbatova & Natig Gadim-Oglu Hajiyev, 2022. "The Impact of Oil Prices on Income in Azerbaijan," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 207-216.
    8. Tim Bollerslev & Natalia Sizova & George Tauchen, 2009. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Working Papers 10-73, Duke University, Department of Economics.
    9. Álvaro Cartea & Dimitrios Karyampas, 2009. "Volatility and Covariation of Financial Assets: A High-Frequency Analysis," Birkbeck Working Papers in Economics and Finance 0913, Birkbeck, Department of Economics, Mathematics & Statistics.
    10. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    11. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers 2002s-91, CIRANO.
    12. Wang, Gang & Sharma, Paritosh & Jain, Vipin & Shukla, Avanish & Shahzad Shabbir, Malik & Tabash, Mosab I. & Chawla, Chanchal, 2022. "The relationship among oil prices volatility, inflation rate, and sustainable economic growth: Evidence from top oil importer and exporter countries," Resources Policy, Elsevier, vol. 77(C).
    13. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
    14. Chaker, Selma, 2019. "The signal and the noise volatilities," Research in International Business and Finance, Elsevier, vol. 50(C), pages 79-105.
    15. Politis, Dimitris N & Thomakos, Dimitrios D, 2008. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," University of California at San Diego, Economics Working Paper Series qt982208kx, Department of Economics, UC San Diego.
    16. Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011. "Predictive Inference for Integrated Volatility," Departmental Working Papers 201109, Rutgers University, Department of Economics.
    17. Rentschler, Jun E., 2013. "Oil price volatility, economic growth and the hedging role of renewable energy," Policy Research Working Paper Series 6603, The World Bank.
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    19. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016. "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.
    20. Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2006. "The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps," Working Paper 1188, Economics Department, Queen's University.
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    33. John M Maheu & Thomas H McCurdy, 2008. "Do high-frequency measures of volatility improve forecasts of return distributions?," Working Papers tecipa-324, University of Toronto, Department of Economics.
    34. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    35. Cheng Jiang & Kose John & David Larsen, 2021. "R&D investment intensity and jump volatility of stock price," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 235-277, July.
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    41. Ole E. Barndorff-Nielsen & Bent Nielsen & Neil Shephard & Carla Ysusi, 2002. "Measuring and forecasting financial variability using realised variance with and without a model," Economics Papers 2002-W21, Economics Group, Nuffield College, University of Oxford.
    42. Basel Awartani & Valentina Corradi, 2004. "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 North American Summer Meetings 487, Econometric Society.
    43. Mehdi Mili & Jean‐Michel Sahut & Frédéric Teulon, 2020. "Shift‐contagion in energy markets and global crisis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 725-736, August.
    44. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil).
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    48. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
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    50. Torben G. Andersen & Viktor Todorov, 2009. "Realized Volatility and Multipower Variation," CREATES Research Papers 2009-49, Department of Economics and Business Economics, Aarhus University.
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    54. Aït-Sahalia, Yacine & Mancini, Loriano, 2008. "Out of sample forecasts of quadratic variation," Journal of Econometrics, Elsevier, vol. 147(1), pages 17-33, November.
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    56. Bozhechkova, Alexandra (Божечкова, Александра) & Ivanov, Evgeny (Иванов, Евгений) & Orekhov, Mikhail (Орехов, Михаил) & Trunin, Pavel (Трунин, Павел) & Chembulatova, Maria (Чембулатова, Мария) & Yakov, 2021. "Analysis of the Behavior of Banks and Companies in the Conditions of Exchange Volatility in Russia [Анализ Поведения Банков И Компаний В Условиях Курсовой Волатильности В России]," Working Papers w20220176, Russian Presidential Academy of National Economy and Public Administration.
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    59. Peter R. Hansen & Asger Lunde, 2010. "Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error," CREATES Research Papers 2010-08, Department of Economics and Business Economics, Aarhus University.
    60. Elena Andreou, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," University of Cyprus Working Papers in Economics 03-2016, University of Cyprus Department of Economics.
    61. Kim, Jihyun & Meddahi, Nour, 2020. "Volatility Regressions with Fat Tails," TSE Working Papers 20-1097, Toulouse School of Economics (TSE).
    62. Liu, Yuanyuan & Niu, Zibo & Suleman, Muhammad Tahir & Yin, Libo & Zhang, Hongwei, 2022. "Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework," Energy, Elsevier, vol. 238(PA).
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    64. Martens, Martin & van Dijk, Dick & de Pooter, Michiel, 2009. "Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements," International Journal of Forecasting, Elsevier, vol. 25(2), pages 282-303.
    65. Xiaohong Chen & Lars Peter Hansen & Jos´e A. Scheinkman, 2005. "Principal Components and the Long Run," Levine's Bibliography 122247000000000997, UCLA Department of Economics.
    66. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.).
    67. Gajurel, Dinesh & Chowdhury, Biplob, 2020. "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers 2020-11, University of Tasmania, Tasmanian School of Business and Economics.
    68. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market," CESifo Working Paper Series 8171, CESifo.
    69. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    70. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.
    71. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
    72. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, April.
    73. Zhu, Xuehong & Zhang, Hongwei & Zhong, Meirui, 2017. "Volatility forecasting using high frequency data: The role of after-hours information and leverage effects," Resources Policy, Elsevier, vol. 54(C), pages 58-70.
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    75. Xiaohong Chen & Lars Peter Hansen & Jose Scheinkman, 2009. "Principal Components and Long Run Implications of Multivariate Diffusions," Cowles Foundation Discussion Papers 1694, Cowles Foundation for Research in Economics, Yale University.
    76. Daniel Jubinski & Amy F. Lipton, 2012. "Equity volatility, bond yields, and yield spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(5), pages 480-503, May.
    77. Jihyun Kim & Nour Meddahi, 2020. "Volatility Regressions with Fat Tails," Post-Print hal-03142647, HAL.
    78. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
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    85. 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, vol. 0(2), pages 116-141, June.
    86. Xuan Yao & Xiaofeng Hui & Kaican Kang, 2021. "Can night trading sessions improve forecasting performance of gold futures' volatility in China?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 849-860, August.
    87. Ding, Yi & Kambouroudis, Dimos & McMillan, David G., 2021. "Forecasting realised volatility: Does the LASSO approach outperform HAR?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
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    89. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 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," Journal of Econometrics, Elsevier, vol. 138(1), pages 125-180, May.
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  48. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics.

    Cited by:

    1. Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2006. "Forecasting stock market volatility with macroeconomic variables in real time," Discussion Paper Series 2: Banking and Financial Studies 2006,01, Deutsche Bundesbank.
    2. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo.
    3. Mykola Pinchuk, 2023. "Bitcoin Does Not Hedge Inflation," Papers 2301.10117, arXiv.org.
    4. Rasmus Fatum & Michael M. Hutchison & Thomas Wu, 2010. "Asymmetries and state dependence: the impact of macro surprises on intraday exchange rates," Globalization Institute Working Papers 49, Federal Reserve Bank of Dallas.
    5. Martin D. D. Evans & Richard K. Lyons, 2017. "Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 11, pages 457-475, World Scientific Publishing Co. Pte. Ltd..
    6. Wu, Zhen-Xing & Gau, Yin-Feng, 2022. "Informativeness of trades around macroeconomic announcements in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    7. Lucio Sarno & Giorgio Valente, 2009. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," Journal of the European Economic Association, MIT Press, vol. 7(4), pages 786-830, June.
    8. Evans, Kevin P. & Speight, Alan E.H., 2010. "Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility," Research in International Business and Finance, Elsevier, vol. 24(1), pages 82-101, January.
    9. Mehmet Ivrendi & Douglas K. Pearce, 2014. "Asset prices and expected monetary policy: evidence from daily data," Applied Economics, Taylor & Francis Journals, vol. 46(9), pages 985-995, March.
    10. Imane El Ouadghiri & Remzi Uctum, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print hal-01386027, HAL.
    11. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Econometrics of testing for jumps in financial economics using bipower variation," Economics Papers 2003-W21, Economics Group, Nuffield College, University of Oxford.
    12. Yuriy Gorodnichenko & Viacheslav Sheremirov & Oleksandr Talavera, 2018. "Price Setting in Online Markets: Does IT Click?," Journal of the European Economic Association, European Economic Association, vol. 16(6), pages 1764-1811.
    13. Ravi Bansal & Ivan Shaliastovich, 2011. "Learning and Asset-price Jumps," The Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2738-2780.
    14. Tillmann, Peter, 2020. "Macroeconomic Surprises and the Demand for Information about Monetary Policy," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224545, Verein für Socialpolitik / German Economic Association.
    15. Markku Lanne, 2009. "Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases," Economics Bulletin, AccessEcon, vol. 29(3), pages 2231-2240.
    16. Fuchs, Fabian U., 2022. "Macroeconomic determinants of foreign exchange rate exposure," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 77-102.
    17. Peter Andersen & Suk-Joong Kim, 2018. "Intraday Timing of AUD Intervention by the Reserve Bank of Australia: Evidence from Microstructural Analyses," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 2, pages 43-71, World Scientific Publishing Co. Pte. Ltd..
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    4. A. Paliathanasis & K. Krishnakumar & K. M. Tamizhmani & P. G. L. Leach, 2015. "Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility," Papers 1508.06797, arXiv.org, revised May 2016.
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    1515. Rivera-Castro, Miguel A. & Miranda, José G.V. & Borges, Ernesto P. & Cajueiro, Daniel O. & Andrade, Roberto F.S., 2012. "A top–bottom price approach to understanding financial fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1489-1496.
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    1518. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.
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    1520. Nick James, 2021. "Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities," Papers 2112.15321, arXiv.org, revised Mar 2022.
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    1523. Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.
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    1529. Adam Clements & Yin Liao & Yusui Tang, 2022. "Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 86-99, January.
    1530. Jose Olmo, 2023. "A nonparametric predictive regression model using partitioning estimators based on Taylor expansions," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(3), pages 294-318, May.
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    1533. Daniel Felix Ahelegbey & Luis Carvalho & Eric D. Kolaczyk, 2020. "A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series," DEM Working Papers Series 181, University of Pavia, Department of Economics and Management.
    1534. Yacine Ait-Sahalia, 2003. "Disentangling Volatility from Jumps," NBER Working Papers 9915, National Bureau of Economic Research, Inc.
    1535. Urquhart, Andrew & McGroarty, Frank, 2016. "Are stock markets really efficient? Evidence of the adaptive market hypothesis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 39-49.
    1536. Anine E. Bolko & Kim Christensen & Mikko S. Pakkanen & Bezirgen Veliyev, 2020. "Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures," CREATES Research Papers 2020-12, Department of Economics and Business Economics, Aarhus University.
    1537. Wesselhöfft, Niels & Härdle, Wolfgang Karl, 2019. "Estimating low sampling frequency risk measure by high-frequency data," IRTG 1792 Discussion Papers 2019-003, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    1538. Cenesizoglu, Tolga & de Oliveira Ferrazoli Ribeiro, Fabio & Reeves, Jonathan J., 2017. "Beta forecasting at long horizons," International Journal of Forecasting, Elsevier, vol. 33(4), pages 936-957.
    1539. Brause, Alexander, 2008. "Foreign exchange interventions in emerging market countries: New lessons from Argentina," W.E.P. - Würzburg Economic Papers 79, University of Würzburg, Department of Economics.
    1540. Pawel Janus & André Lucas & Anne Opschoor & Dick J.C. van Dijk, 2014. "New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels," Tinbergen Institute Discussion Papers 14-073/IV, Tinbergen Institute, revised 19 Aug 2015.
    1541. Haugom, Erik & Westgaard, Sjur & Solibakke, Per Bjarte & Lien, Gudbrand, 2011. "Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data," Energy Economics, Elsevier, vol. 33(6), pages 1206-1215.
    1542. Torben G. Andersen & Luca Benzoni, 2008. "Realized volatility," Working Paper Series WP-08-14, Federal Reserve Bank of Chicago.
    1543. Mala Dutt & Sanjay Sehgal, 2018. "Domestic and International Information Linkages between Gold Spot and Futures Markets: An Empirical Study for India," Metamorphosis: A Journal of Management Research, , vol. 17(1), pages 1-17, June.
    1544. Chen, Wei-Peng & Choudhry, Taufiq & Wu, Chih-Chiang, 2013. "The extreme value in crude oil and US dollar markets," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 191-210.
    1545. Wang, Yudong & Wei, Yu & Wu, Chongfeng & Yin, Libo, 2018. "Oil and the short-term predictability of stock return volatility," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 90-104.
    1546. Kyungsub Lee, 2013. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Papers 1311.5036, arXiv.org, revised Jul 2015.
    1547. Chun-Hung Chen & Wei-Choun Yu & Eric Zivot, 2009. "Predicting Stock Volatility Using After-Hours Information," Working Papers UWEC-2009-01, University of Washington, Department of Economics.
    1548. María García Centeno & Román Mínguez Salido, 2009. "Estimation of Asymmetric Stochastic Volatility Models for Stock-Exchange Index Returns," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(1), pages 71-87, February.
    1549. Lee, Hyunchul & Kim, Heeho, 2020. "Time varying integration of European stock markets and monetary drivers," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 369-385.
    1550. 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, vol. 36(C), pages 332-340.
    1551. Lovcha, Yuliya & Pérez Laborda, Àlex, 2018. "Volatility Spillovers in a Long-Memory VAR: an Application to Energy Futures Returns," Working Papers 2072/307362, Universitat Rovira i Virgili, Department of Economics.
    1552. Zhenwei Li & Jing Han & Yuping Song, 2020. "On the forecasting of high‐frequency financial time series based on ARIMA model improved by deep learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1081-1097, November.
    1553. Per Mykland, 2012. "A Gaussian calculus for inference from high frequency data," Annals of Finance, Springer, vol. 8(2), pages 235-258, May.
    1554. Eleonora Iachini & Stefano Nobili, 2014. "An indicator of systemic liquidity risk in the Italian financial markets," Questioni di Economia e Finanza (Occasional Papers) 217, Bank of Italy, Economic Research and International Relations Area.
    1555. Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016. "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 136-149.
    1556. Christophe HURLIN & Sessi TOKPAVI, 2006. "Backtesting VaR Accuracy: A Simple and Powerful Test," LEO Working Papers / DR LEO 268, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    1557. Grønborg, Niels S. & Lunde, Asger & Olesen, Kasper V. & Vander Elst, Harry, 2022. "Realizing correlations across asset classes," Journal of Financial Markets, Elsevier, vol. 59(PA).
    1558. Qiang Liu & Zhi Liu & Chuanhai Zhang, 2020. "Heteroscedasticity test of high-frequency data with jumps and microstructure noise," Papers 2010.07659, arXiv.org.
    1559. Adam Clements & Yin Liao, 2013. "The dynamics of co-jumps, volatility and correlation," NCER Working Paper Series 91, National Centre for Econometric Research.
    1560. Richard Gerlach & Chao Wang, 2016. "Forecasting risk via realized GARCH, incorporating the realized range," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 501-511, April.
    1561. Rafiq, Shuddhasawtta & Salim, Ruhul & Bloch, Harry, 2009. "Impact of crude oil price volatility on economic activities: An empirical investigation in the Thai economy," Resources Policy, Elsevier, vol. 34(3), pages 121-132, September.
    1562. Nishimura, Yusaku & Tsutsui, Yoshiro & Hirayama, Kenjiro, 2018. "Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets," Economic Modelling, Elsevier, vol. 69(C), pages 237-248.
    1563. Wamg, Jianxin, 2011. "Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors," Asian Development Review, Asian Development Bank, vol. 28(2), pages 32-57.
    1564. Brenner, Menachem & Pasquariello, Paolo & Subrahmanyam, Marti, 2009. "On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(6), pages 1265-1289, December.
    1565. Selma Chaker & Nour Meddahi, 2013. "Volatility Forecasting when the Noise Variance Is Time-Varying," Staff Working Papers 13-48, Bank of Canada.
    1566. Jose Faias & Pedro Santa-Clara, 2011. "Optimal Option Portfolio Strategies," EcoMod2011 3041, EcoMod.
    1567. Fildes, Robert, 2006. "The forecasting journals and their contribution to forecasting research: Citation analysis and expert opinion," International Journal of Forecasting, Elsevier, vol. 22(3), pages 415-432.
    1568. Loïc Maréchal, 2021. "Do economic variables forecast commodity futures volatility?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1735-1774, November.
    1569. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
    1570. Shiyi Chen & Dengke Chen & Wolfgang K. Härdle, 2014. "The Influence of Oil Price Shocks on China’s Macroeconomy : A Perspective of International Trade," SFB 649 Discussion Papers SFB649DP2014-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    1571. Ahmed A. A. Khalifa & Hong Miao & Sanjay Ramchander, 2011. "Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(1), pages 55-80, January.
    1572. Anshul Verma & Riccardo Junior Buonocore & Tiziana di Matteo, 2017. "A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering," Papers 1712.02138, arXiv.org, revised May 2018.
    1573. Ané, Thierry & Métais, Carole, 2009. "The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 134-150, June.
    1574. Cedric Okou & Eric Jacquier, 2014. "Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs," CIRANO Working Papers 2014s-36, CIRANO.
    1575. Birru, Justin & Figlewski, Stephen, 2012. "Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008," Journal of Financial Markets, Elsevier, vol. 15(2), pages 151-180.
    1576. Yang, Minxian, 2019. "The risk return relationship: Evidence from index returns and realised variances," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
    1577. Thomakos, Dimitrios D. & Wang, Tao & Wille, Luc T., 2002. "Modeling daily realized futures volatility with singular spectrum analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(3), pages 505-519.
    1578. Bo Yu & Bruce Mizrach & Norman R. Swanson, 2020. "New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section," Econometrics, MDPI, vol. 8(2), pages 1-52, May.
    1579. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je & Gau, Yin-Feng, 2022. "Risk-return trade-off in the Australian Securities Exchange: Accounting for overnight effects, realized higher moments, long-run relations, and fractional cointegration," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 384-401.

  51. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000. "The Distribution of Stock Return Volatility," NBER Working Papers 7933, National Bureau of Economic Research, Inc.

    Cited by:

    1. Hau, Harald, 2002. "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," CEPR Discussion Papers 3651, C.E.P.R. Discussion Papers.
    2. Adam Wu, 2017. "Systematic Noise: Micro-movements in Equity Options Markets," Papers 1708.06855, arXiv.org.
    3. Magdalena Vorzsak & Carmen Maria Gut, 2008. "Constraints Concerning Investment And Participation In Professional Training In The Companies From The Romanian Manufacturing Industry," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    4. Theodoros Diasakos, 2008. "Comparative Statics of Asset Prices," Carlo Alberto Notebooks 72, Collegio Carlo Alberto, revised 2011.
    5. M. Illueca & J. A. LaFuente, 2006. "New evidence on expiration‐day effects using realized volatility: An intraday analysis for the Spanish stock exchange," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(9), pages 923-938, September.
    6. Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance 0504009, University Library of Munich, Germany, revised 17 Jan 2006.
    7. Özer Karagedikli & Pierre L. Siklos, 2008. "Explaining Movements in the NZ Dollar - Central Bank Communication and the Surprise Element in Monetary Policy?," Reserve Bank of New Zealand Discussion Paper Series DP2008/02, Reserve Bank of New Zealand.
    8. Sam Howison & David Lamper, 2001. "Trading volume in models of financial derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(2), pages 119-135.
    9. John M. Maheu & Thomas McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
    10. Tiberiu Cristian Avramescu, 2008. "Romanian Tourism: A Regional Approach," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    11. John Cotter, 2004. "Realized volatility and minimum capital requirements," Money Macro and Finance (MMF) Research Group Conference 2003 20, Money Macro and Finance Research Group.
    12. Šárka Brychtová, 2008. "Spa Healing Sources In Czech Republic," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    13. Chang, Yoosoon & Isaac Miller, J. & Park, Joon Y., 2009. "Extracting a common stochastic trend: Theory with some applications," Journal of Econometrics, Elsevier, vol. 150(2), pages 231-247, June.
    14. Mihaela Dragan & Zenovia Cristiana Pop, 2008. "CRITERIA FOR PRODUCT QUALITY IN THE FRAME OF INTERCULTURAL MARKET STRATEGIES OF SMALL AND MEDIUM SIZED ENTERPRISES - a brief review of literature -," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    15. Hayette Gatfaoui, 2006. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Post-Print hal-00589918, HAL.
    16. Manole Velicanu & Gheorghe Matei, 2008. "Decision Support Systems: Present And Future Trends," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    17. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    18. Rasmus T. Varneskov & Pierre Perron, 2017. "Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns," Boston University - Department of Economics - Working Papers Series WP2017-006, Boston University - Department of Economics.
    19. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000. "The Distribution of Stock Return Volatility," NBER Working Papers 7933, National Bureau of Economic Research, Inc.
    20. Cristina Silvia Nistor & Crina Ioana Filip & Adela Deaconu, 2008. "Derivative Instruments – Alternatives To Cover The Foreign Exchange Rate In The Case Of Import-Export Operations - Accounting Approach For Romania," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    21. David S. Bates, 2003. "Maximum Likelihood Estimation of Latent Affine Processes," NBER Working Papers 9673, National Bureau of Economic Research, Inc.
    22. Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics.
    23. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility and the GARCH forecasting performance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 183-200, July.
    24. Cristina Curutiu, 2008. "Methods Of Portfolio Management - A Review Of Literature -," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    25. Partenie Dumbrava & Ioan Pop & Eniko Fazakas & Jozsef Fazakas & Ludovica Breban, 2008. "The Environmental Impact Of Beer Production," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    26. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
    27. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
    28. Srečko Devjak & Andraž Grum, 2006. "Third Moment of Yield Probability Distributions for Instruments on Slovenian Financial Markets," Prague Economic Papers, Prague University of Economics and Business, vol. 2006(4), pages 364-373.
    29. Su, Ender & Wong, Kai Wen, 2018. "Measuring bank downside systemic risk in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 172-193.
    30. Stavros Degiannakis & Alexandra Livada & Epaminondas Panas, 2008. "Rolling-sampled parameters of ARCH and Levy-stable models," Applied Economics, Taylor & Francis Journals, vol. 40(23), pages 3051-3067.
    31. Srecko Devjak & Andraz Grum, 2005. "Market Risk Control In Stable Paretian Markets," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 14(2), pages 147-160, december.
    32. Degiannakis, Stavros, 2004. "Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper 96330, University Library of Munich, Germany.
    33. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch small und mid caps? : Eine empirische Untersuchung basierend auf europäischen Aktienindizes," Papers 05-10, Sonderforschungsbreich 504.
    34. Adina Negrusa & Oana Adriana Gica, 2008. "Analysis Of Potential Sme’S Role For Developing Tourism In Transylvania," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    35. Eugenie Hol & Siem Jan Koopman, 2000. "Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility," Tinbergen Institute Discussion Papers 00-104/4, Tinbergen Institute.
    36. Høg, Esben, 2008. "Volatility and realized quadratic variation of differenced returns : A wavelet method approach," Finance Research Group Working Papers F-2008-06, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    37. Ivanovski, Zoran & Stojanovski, Toni & Narasanov, Zoran, 2015. "Volatility And Kurtosis Of Daily Stock Returns At Mse," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(2), pages 209-221.
    38. Adrian Grosanu & Paula Ramona Rachisan, 2008. "The Implementation Of Profit Centres Inside An Economic Entity," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
    39. Haugom, Erik & Westgaard, Sjur & Solibakke, Per Bjarte & Lien, Gudbrand, 2011. "Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data," Energy Economics, Elsevier, vol. 33(6), pages 1206-1215.

  52. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-059, New York University, Leonard N. Stern School of Business-.

    Cited by:

    1. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Ralf Becker & Adam Clements, 2007. "Are combination forecasts of S&P 500 volatility statistically superior?," NCER Working Paper Series 17, National Centre for Econometric Research.
    3. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    4. Meddahi, N., 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. Dmitri Koulikov, 2002. "Modeling Sequences of Long Memory Positive Weakly Stationary Random Variables," William Davidson Institute Working Papers Series 493, William Davidson Institute at the University of Michigan.
    6. Adusei Jumah, 2001. "The effects of dollar-sterling exchange rate volatility on futures markets for coffee and cocoa," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 28(3), pages 307-328, October.
    7. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2000. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," NBER Working Papers 7488, National Bureau of Economic Research, Inc.
    8. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics," Economics Papers 2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.
    9. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities," CIRANO Working Papers 2002s-91, CIRANO.
    10. Klaassen, F.J.G.M., 1999. "Why is it so Difficult to Find An Effect of Exchange Rate Risk on Trade?," Discussion Paper 1999-73, Tilburg University, Center for Economic Research.
    11. Elena Andreou & Eric Ghysels, 2000. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results," CIRANO Working Papers 2000s-19, CIRANO.
    12. Michel Beine, 2004. "Conditional covariance and direct Central Bank intervention in the foreign exchange markets," ULB Institutional Repository 2013/10431, ULB -- Universite Libre de Bruxelles.
    13. Dimitrios D. Thomakos & Michail S. Koubouros, 2005. "Realized Volatility and Asymmetries in the A.S.E. Returns," Finance 0504009, University Library of Munich, Germany, revised 17 Jan 2006.
    14. Campbell, John Y & Kim, Sangjoon & Lettau, Martin, 1998. "Dispersion and Volatility in Stock Returns: An Empirical Investigation," CEPR Discussion Papers 1923, C.E.P.R. Discussion Papers.
    15. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477.
    16. Perez, Ana & Ruiz, Esther, 2001. "Finite sample properties of a QML estimator of stochastic volatility models with long memory," Economics Letters, Elsevier, vol. 70(2), pages 157-164, February.
    17. Eric Hillebrand & Marcelo Cunha Medeiros, 2007. "Forecasting realized volatility models:the benefits of bagging and nonlinear specifications," Textos para discussão 547, Department of Economics PUC-Rio (Brazil).
    18. John M. Maheu & Thomas McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
    19. Laurent Calvet, 2000. "Forecasting Multifractal Volatility," Harvard Institute of Economic Research Working Papers 1902, Harvard - Institute of Economic Research.
    20. John Cotter, 2004. "Realized volatility and minimum capital requirements," Money Macro and Finance (MMF) Research Group Conference 2003 20, Money Macro and Finance Research Group.
    21. Ole E. Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2001. "Some recent developments in stochastic volatility modelling," Economics Papers 2001-W25, Economics Group, Nuffield College, University of Oxford.
    22. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-061, New York University, Leonard N. Stern School of Business-.
    23. Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2005. "Ultra high frequency volatility estimation with dependent microstructure noise," Discussion Paper Series 1: Economic Studies 2005,30, Deutsche Bundesbank.
    24. Murat Körs & Mehmet Baha Karan, 2023. "Stock exchange volatility forecasting under market stress with MIDAS regression," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 295-306, January.
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    1. Ralf Becker & Adam Clements, 2007. "Are combination forecasts of S&P 500 volatility statistically superior?," NCER Working Paper Series 17, National Centre for Econometric Research.
    2. Benavides, Guillermo & Capistrán, Carlos, 2012. "Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 627-639.
    3. Elisa Alòs & Maria Elvira Mancino & Tai-Ho Wang, 2019. "Volatility and volatility-linked derivatives: estimation, modeling, and pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 321-349, December.
    4. Long H. Vo, 2017. "Estimating Financial Volatility with High-Frequency Returns," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 2(2), pages 84-114, October.
    5. Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016. "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 105-128.
    6. Karthik Raju & Saravanan Rangaswamy, 2017. "Forecasting volatility in the Indian equity market using return and range-based models," Applied Economics, Taylor & Francis Journals, vol. 49(49), pages 5027-5039, October.
    7. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    8. Selma Chaker & Nour Meddahi, 2013. "A Distributional Approach to Realized Volatility," Staff Working Papers 13-49, Bank of Canada.
    9. Karmakar, Madhusudan & Paul, Samit, 2016. "Intraday risk management in International stock markets: A conditional EVT approach," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 34-55.
    10. Amir Safari & Detlef Seese, 2010. "Behavior of realized volatility and correlation in exchange markets," International Econometric Review (IER), Econometric Research Association, vol. 2(2), pages 73-96, September.
    11. Becker, Ralf & Clements, Adam E. & White, Scott I., 2007. "Does implied volatility provide any information beyond that captured in model-based volatility forecasts?," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2535-2549, August.
    12. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2011. "An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(4), pages 669-707, June.
    13. Bandi, Federico M. & Russell, Jeffrey R. & Yang, Chen, 2008. "Realized volatility forecasting and option pricing," Journal of Econometrics, Elsevier, vol. 147(1), pages 34-46, November.
    14. Maria Elvira Mancino & Simona Sanfelici, 2011. "Estimation of Quarticity with High Frequency Data," Working Papers - Mathematical Economics 2011-06, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, revised Jan 2012.
    15. Daniel Djupsjobacka, 2010. "Implications of market microstructure for realized variance measurement," The European Journal of Finance, Taylor & Francis Journals, vol. 16(1), pages 27-43.
    16. Chu, Carlin C.F. & Lam, K.P., 2011. "Modeling intraday volatility: A new consideration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 388-418, July.
    17. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    18. Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012. "On the forecasting accuracy of multivariate GARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 934-955, September.
    19. Byun, Suk Joon & Cho, Hangjun, 2013. "Forecasting carbon futures volatility using GARCH models with energy volatilities," Energy Economics, Elsevier, vol. 40(C), pages 207-221.
    20. 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 13/19, University of Canterbury, Department of Economics and Finance.
    21. Ingmar Nolte & Valeri Voev, 2008. "Estimating High-Frequency Based (Co-) Variances: A Unified Approach," CREATES Research Papers 2008-31, Department of Economics and Business Economics, Aarhus University.
    22. Giorgio Mirone, 2017. "Inference from the futures: ranking the noise cancelling accuracy of realized measures," CREATES Research Papers 2017-24, Department of Economics and Business Economics, Aarhus University.
    23. Eugenie Hol & Siem Jan Koopman, 2002. "Stock Index Volatility Forecasting with High Frequency Data," Tinbergen Institute Discussion Papers 02-068/4, Tinbergen Institute.
    24. Becker Ralf & Clements Adam E & Hurn Stan, 2011. "Semi-Parametric Forecasting of Realized Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-23, May.
    25. Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013. "On loss functions and ranking forecasting performances of multivariate volatility models," Journal of Econometrics, Elsevier, vol. 173(1), pages 1-10.
    26. Becker, Ralf & Clements, Adam E. & McClelland, Andrew, 2009. "The jump component of S&P 500 volatility and the VIX index," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1033-1038, June.
    27. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2008. "A multivariate integer count hurdle model: theory and application to exchange rate dynamics," Studies in Empirical Economics, in: Luc Bauwens & Winfried Pohlmeier & David Veredas (ed.), High Frequency Financial Econometrics, pages 31-48, Springer.
    28. Becker, Ralf & Clements, Adam E. & White, Scott I., 2006. "On the informational efficiency of S&P500 implied volatility," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 139-153, August.
    29. Antonakakis, Nikolaos & Darby, Julia, 2012. "Forecasting Volatility in Developing Countries' Nominal Exchange Returns," MPRA Paper 40875, University Library of Munich, Germany.
    30. Long, Xiangdong & Su, Liangjun & Ullah, Aman, 2011. "Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 109-125.
    31. Mancino, M.E. & Sanfelici, S., 2008. "Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2966-2989, February.
    32. E. C. Brechmann & M. Heiden & Y. Okhrin, 2018. "A multivariate volatility vine copula model," Econometric Reviews, Taylor & Francis Journals, vol. 37(4), pages 281-308, April.
    33. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2007. "Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation," MPRA Paper 3963, University Library of Munich, Germany.
    34. Gang-Zhi Fan & Zsuzsa Huszár & Weina Zhang, 2013. "The Relationships between Real Estate Price and Expected Financial Asset Risk and Return: Theory and Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 46(4), pages 568-595, May.
    35. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018.
    36. Roland Füss & Ferdinand Mager & Michael Stein & Lu Zhao, 2018. "Financial crises, price discovery, and information transmission: a high-frequency perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 333-365, November.
    37. Scott I. White & Adam E. Clements & Stan Hurn, 2004. "Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility," Econometric Society 2004 Australasian Meetings 46, Econometric Society.
    38. Adam Clements & Annastiina Silvennoinen, 2009. "On the economic benefit of utility based estimation of a volatility model," NCER Working Paper Series 44, National Centre for Econometric Research.
    39. Małgorzata Just & Aleksandra Łuczak, 2020. "Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods," Sustainability, MDPI, vol. 12(6), pages 1-22, March.
    40. Su, Fei & Zhang, Jingjing, 2018. "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 35-55.
    41. Dimpfl, Thomas & Peter, Franziska J., 2021. "Nothing but noise? Price discovery across cryptocurrency exchanges," Journal of Financial Markets, Elsevier, vol. 54(C).
    42. Georgios Chortareas & John Nankervis & Ying Jiang, 2007. "Forecasting Exchange Rate Volatility with High Frequency Data: Is the Euro Different?," Money Macro and Finance (MMF) Research Group Conference 2006 79, Money Macro and Finance Research Group.
    43. Scott I White & Ralf Becker & Adam E Clements, 2004. "Forward looking information in S&P 500 options," Econometric Society 2004 Australasian Meetings 233, Econometric Society.
    44. Adam Clements & Ralf Becker, 2009. "A nonparametric approach to forecasting realized volatility," NCER Working Paper Series 43, National Centre for Econometric Research.
    45. Yalama, Abdullah & Celik, Sibel, 2013. "Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market," Economic Modelling, Elsevier, vol. 30(C), pages 67-72.
    46. Linlan Xiao & Vigdis Boasson & Sergey Shishlenin & Victoria Makushina, 2018. "Volatility forecasting: combinations of realized volatility measures and forecasting models," Applied Economics, Taylor & Francis Journals, vol. 50(13), pages 1428-1441, March.
    47. Wang, Yuanfang & Roberts, Matthew C., 2005. "Realized Volatility in the Agricultural Futures Market," 2005 Annual meeting, July 24-27, Providence, RI 19211, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    48. A. Saichev & D. Sornette, 2014. "A simple microstructure return model explaining microstructure noise and Epps effects," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 25(06), pages 1-36.
    49. André Schöne, 2010. "Zum Informationsgehalt der Volatilitätsindizes VDAX und VDAX-New der Deutsche Börse AG," Schmalenbach Journal of Business Research, Springer, vol. 62(6), pages 625-661, September.
    50. Fei, Tianlun & Liu, Xiaoquan & Wen, Conghua, 2019. "Cross-sectional return dispersion and volatility prediction," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).

  55. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.

    Cited by:

    1. Wai Yan Cheng & Michael Chak Sham Wong & Clement Yuk Pang Wong, 2003. "Market risk management of banks: implications from the accuracy of Value-at-Risk forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 23-33.
    2. Klaassen, F.J.G.M., 1998. "Improving Garch Volatility Forecasts," Discussion Paper 1998-52, Tilburg University, Center for Economic Research.
    3. Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2017. "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," MPRA Paper 80435, University Library of Munich, Germany.
    4. Luwen Zhang & Li Wang, 2023. "Generalized Method of Moments Estimation of Realized Stochastic Volatility Model," JRFM, MDPI, vol. 16(8), pages 1-12, August.
    5. PERRON, Benoît, 1999. "Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off," Cahiers de recherche 9901, Universite de Montreal, Departement de sciences economiques.
    6. Capobianco, Enrico, 2003. "Empirical volatility analysis: feature detection and signal extraction with function dictionaries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 319(C), pages 495-518.
    7. Oliver Pfante & Nils Bertschinger, 2019. "Volatility Inference And Return Dependencies In Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-44, May.
    8. Mr. Torbjorn I. Becker & Mr. Amadou N Sy, 2005. "Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis?," IMF Working Papers 2005/034, International Monetary Fund.
    9. Chrétien, Stéphane & Ortega, Juan-Pablo, 2014. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 210-236.
    10. Vuorenmaa, Tommi A., 2005. "A wavelet analysis of scaling laws and long-memory in stock market volatility," Bank of Finland Research Discussion Papers 27/2005, Bank of Finland.
    11. Peter F. Christoffersen & Francis X. Diebold, 1998. "How Relevant is Volatility Forecasting for Financial Risk Management?," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-080, New York University, Leonard N. Stern School of Business-.
    12. Rosenow, Bernd, 2008. "Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 279-302, January.
    13. Enrico Capobianco, 1999. "Statistical Analysis of Financial Volatility by Wavelet Shrinkage," Methodology and Computing in Applied Probability, Springer, vol. 1(4), pages 423-443, December.
    14. Peter R. Hansen & Asger Lunde, 2010. "Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error," CREATES Research Papers 2010-08, Department of Economics and Business Economics, Aarhus University.
    15. Martens, Martin & van Dijk, Dick & de Pooter, Michiel, 2009. "Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements," International Journal of Forecasting, Elsevier, vol. 25(2), pages 282-303.
    16. Martin Anderson & Shan Chen & James Hacking & Marc R Lieberman & Mark Lundin & Vaida Maleckaite & Allan Martin & Ryan Parham & Mark Steed, 2014. "Modern pension fund diversification," Journal of Asset Management, Palgrave Macmillan, vol. 15(3), pages 205-217, June.
    17. Ceci, Vladimiro & Manganelli, Simone & Vecchiato, Walter, 2002. "Sensitivity analysis of volatility: a new tool for risk management," Working Paper Series 194, European Central Bank.
    18. Eskandar A. Tooma, 2003. "Modeling and Forecasting Egyptian Stock Market Volatility Before and After Price Limits," Working Papers 0310, Economic Research Forum, revised Apr 2003.
    19. Lee, Gabriel S. & Boss, Michael & Klisz, Chris, 2001. "Empirical Performance of the Czech and Hungarian Index Options under Jump," Economics Series 91, Institute for Advanced Studies.
    20. St'ephane Chr'etien & Juan-Pablo Ortega, 2011. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Papers 1101.5475, arXiv.org.
    21. Kevin Daly, 2011. "An Overview of the Determinants of Financial Volatility: An Explanation of Measuring Techniques," Modern Applied Science, Canadian Center of Science and Education, vol. 5(5), pages 1-46, October.
    22. Maher Asal, 2012. "Has the Euro Boosted Equity Markets in the Euro Area?," Journal of Business Administration Research, Journal of Business Administration Research, Sciedu Press, vol. 1(2), pages 51-70, October.

  56. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc.

    Cited by:

    1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 199-226, September.
    3. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.
    4. Michael Melvin & Xixi Yin, "undated". "Public Information Arrival, Exchange Rate Volatility, and Quote Frequency," Working Papers 96/1, Arizona State University, Department of Economics.
    5. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, vol. 3(Dec), pages 31-50.
    6. Yin-Wong Cheung & Menzie D. Chinn, 2000. "Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market," CESifo Working Paper Series 251, CESifo.
    7. Magdalena E. Sokalska & Ananda Chanda & Robert F. Engle, 2005. "High Frequency Multiplicative Component Garch," Computing in Economics and Finance 2005 409, Society for Computational Economics.
    8. Neil Beattie & Jean-François Fillion, 1999. "An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention," Staff Working Papers 99-4, Bank of Canada.
    9. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York.

  57. Torben G. Andersen & Tim Bollerslev, 1996. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," NBER Working Papers 5752, National Bureau of Economic Research, Inc.

    Cited by:

    1. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," CESifo Working Paper Series 4736, CESifo.
    2. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
    3. Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching," Economics Working Papers 2014-07, Christian-Albrechts-University of Kiel, Department of Economics.
    4. Jurado Pedroza Wilfrido, 2021. "Around-the-Clock USD/MXN Volatility: Macroeconomic Announcement Spillovers and FX Market Intervention Mechanisms," Working Papers 2021-05, Banco de México.
    5. Evans, Kevin P. & Speight, Alan E.H., 2010. "Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility," Research in International Business and Finance, Elsevier, vol. 24(1), pages 82-101, January.
    6. Liesenfeld, Roman, 1997. "Trading volume and the short and long-run components of volatility," Tübinger Diskussionsbeiträge 102, University of Tübingen, School of Business and Economics.
    7. VEREDAS, David & RODRIGUEZ-POO, Juan & ESPASA, Antoni, 2002. "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," LIDAM Discussion Papers CORE 2002023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. Lu, Yang K. & Perron, Pierre, 2010. "Modeling and forecasting stock return volatility using a random level shift model," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 138-156, January.
    9. Phuong Pham, Thu & Joakim Westerholm, P., 2013. "An international trend in market design: Endogenous effects of limit order book transparency on volatility, spreads, depth and volume," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 202-223.
    10. Gordon R. Richards, 2004. "A fractal forecasting model for financial time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(8), pages 586-601.
    11. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    12. Kyongwook Choi & Wei-Choun Yu & Eric Zivot, 2008. "Long Memory versus Structural Breaks in Modeling and Forecasting Realized Volatility," Working Papers UWEC-2008-20-FC, University of Washington, Department of Economics.
    13. Muneer Shaik & S. Maheswaran, 2019. "Robust Volatility Estimation with and Without the Drift Parameter," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(1), pages 57-91, March.
    14. Samet Günay, 2016. "Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets," IJFS, MDPI, vol. 4(2), pages 1-17, May.
    15. Michael Frömmel & Eyup Kadioglu, 2023. "Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
    16. Grace Lee Ching Yap, 2020. "Optimal Filter Approximations for Latent Long Memory Stochastic Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 547-568, August.
    17. Broto, Carmen & Ruiz Ortega, Esther, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de Estadística.
    18. Mengxi He & Xianfeng Hao & Yaojie Zhang & Fanyi Meng, 2021. "Forecasting stock return volatility using a robust regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1463-1478, December.
    19. Pierre Perron & Zhongjun Qu, 2008. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-004, Boston University - Department of Economics.
    20. Dark Jonathan Graeme, 2010. "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-50, March.
    21. Pedro J. F. de Lima & Michelle L. Barnes, 2000. "Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities," School of Economics and Public Policy Working Papers 2000-05, University of Adelaide, School of Economics and Public Policy.
    22. Mulligan, Robert F. & Koppl, Roger, 2011. "Monetary policy regimes in macroeconomic data: An application of fractal analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 201-211, May.
    23. Yogo Purwono & Irwan Adi Ekaputra & Zaäfri Ananto Husodo, 2018. "Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 295-321, February.
    24. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers 28570, National Bureau of Economic Research, Inc.
    25. Kousik Guhathakurta & Sharad Nath Bhattacharya & Mousumi Bhattacharya, 2012. "Exploring Presence of Long Memory in Emerging and Developed Stock Markets," Working papers 107, Indian Institute of Management Kozhikode.
    26. Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008. "A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 225-241, April.
    27. Lucien Boulet, 2021. "Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs," Papers 2109.01044, arXiv.org.
    28. Golosnoy, Vasyl & Hamid, Alain & Okhrin, Yarema, 2014. "The empirical similarity approach for volatility prediction," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 321-329.
    29. Long H. Vo, 2017. "Estimating Financial Volatility with High-Frequency Returns," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 2(2), pages 84-114, October.
    30. Morales-Zumaquero, Amalia & Sosvilla-Rivero, Simón, 2018. "Volatility spillovers between foreign exchange and stock markets in industrialized countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 121-136.
    31. David McMillan & Alan Speight, 2005. "Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(3), pages 199-226, September.
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    Cited by:

    1. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
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    5. Gordon R. Richards, 2004. "A fractal forecasting model for financial time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(8), pages 586-601.
    6. Márcio Laurini, 2012. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," IBMEC RJ Economics Discussion Papers 2012-02, Economics Research Group, IBMEC Business School - Rio de Janeiro.
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Articles

  1. Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2022. "Local mispricing and microstructural noise: A parametric perspective," Journal of Econometrics, Elsevier, vol. 230(2), pages 510-534.

    Cited by:

    1. Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024. "Jump detection in high-frequency order prices," Papers 2403.00819, arXiv.org.

  2. Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato, 2021. "Tail risk and return predictability for the Japanese equity market," Journal of Econometrics, Elsevier, vol. 222(1), pages 344-363.

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    1. Wong, Patrick, 2023. "Explaining intraday crude oil returns with higher order risk-neutral moments," Journal of Commodity Markets, Elsevier, vol. 31(C).
    2. Masato Ubukata, 2023. "Variance Risk Premium Components in Japan for Predictability: Evidence from the COVID-19 Pandemic," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(8), pages 1-27, August.
    3. Ni, Zhongxin & Wang, Linyu & Li, Weishu, 2021. "Do fund managers time implied tail risk? — Evidence from Chinese mutual funds," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    4. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
    5. Masato Ubukata, 2022. "A time-varying jump tail risk measure using high-frequency options data," Empirical Economics, Springer, vol. 63(5), pages 2633-2653, November.
    6. Li, Hengxin & Wang, Ruodu, 2023. "PELVE: Probability Equivalent Level of VaR and ES," Journal of Econometrics, Elsevier, vol. 234(1), pages 353-370.
    7. Chuzhi Zhu & Minzhi Wang & Chenghao Su, 2022. "Prediction of consumer repurchase behavior based on LSTM neural network model," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 13(3), pages 1042-1053, December.
    8. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
    9. Li, Zhenxiong & Yao, Xingzhi & Izzeldin, Marwan, 2023. "On the right jump tail inferred from the VIX market," International Review of Financial Analysis, Elsevier, vol. 86(C).
    10. Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.

  3. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2021. "Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk," Quantitative Economics, Econometric Society, vol. 12(2), pages 647-682, May.

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    1. Andersen, Torben G. & Riva, Raul & Thyrsgaard, Martin & Todorov, Viktor, 2023. "Intraday cross-sectional distributions of systematic risk," Journal of Econometrics, Elsevier, vol. 235(2), pages 1394-1418.
    2. Insana, Alessandra, 2022. "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, vol. 109(C).

  4. Torben Andersen & Ilya Archakov & Leon Grund & Nikolaus Hautsch & Yifan Li & Sergey Nasekin & Ingmar Nolte & Manh Cuong Pham & Stephen Taylor & Viktor Todorov, 2021. "A Descriptive Study of High-Frequency Trade and Quote Option Data [Stealth Trading in Options Markets]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 128-177.

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    1. Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2023. "Stock illiquidity and option returns," Journal of Financial Markets, Elsevier, vol. 63(C).

  5. Andersen, Torben G. & Varneskov, Rasmus T., 2021. "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
    See citations under working paper version above.
  6. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2020. "The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 662-678, July.
    See citations under working paper version above.
  7. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019. "Unified inference for nonlinear factor models from panels with fixed and large time span," Journal of Econometrics, Elsevier, vol. 212(1), pages 4-25.
    See citations under working paper version above.
  8. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019. "Inference For Option Panels In Pure-Jump Settings," Econometric Theory, Cambridge University Press, vol. 35(5), pages 901-942, October.

    Cited by:

    1. Hounyo, Ulrich & Varneskov, Rasmus T., 2020. "Inference for local distributions at high sampling frequencies: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 215(1), pages 1-34.

  9. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2019. "Time-Varying Periodicity in Intraday Volatility," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(528), pages 1695-1707, October.
    See citations under working paper version above.
  10. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2017. "Short-Term Market Risks Implied by Weekly Options," Journal of Finance, American Finance Association, vol. 72(3), pages 1335-1386, June.
    See citations under working paper version above.
  11. Torben G. Andersen & Oleg Bondarenko, 2015. "Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence," Review of Finance, European Finance Association, vol. 19(1), pages 1-54.

    Cited by:

    1. Torben G. Andersen & Oleg Bondarenko & Albert S. Kyle & Anna A. Obizhaeva, 2020. "Intraday Trading Invariance in the E-mini S&P 500 Futures Market," Working Papers w0272, New Economic School (NES).
    2. Easley, David & de Prado, Marcos Lopez & O'Hara, Maureen, 2016. "Discerning information from trade data," Journal of Financial Economics, Elsevier, vol. 120(2), pages 269-285.
    3. Prodromou, Tina & Westerholm, P. Joakim, 2022. "Are high frequency traders responsible for extreme price movements?," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 94-111.
    4. Yildiz, Serhat & Van Ness, Bonnie & Van Ness, Robert, 2020. "VPIN, liquidity, and return volatility in the U.S. equity markets," Global Finance Journal, Elsevier, vol. 45(C).
    5. Chakrabarty, Bidisha & Pascual, Roberto & Shkilko, Andriy, 2015. "Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm," Journal of Financial Markets, Elsevier, vol. 25(C), pages 52-79.
    6. Allen Carrion & Madhuparna Kolay, 2020. "Trade signing in fast markets," The Financial Review, Eastern Finance Association, vol. 55(3), pages 385-404, August.
    7. Abad, David & Massot, Magdalena & Pascual, Roberto, 2018. "Evaluating VPIN as a trigger for single-stock circuit breakers," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 21-36.
    8. Huang, Yan & Kou, Gang & Peng, Yi, 2017. "Nonlinear manifold learning for early warnings in financial markets," European Journal of Operational Research, Elsevier, vol. 258(2), pages 692-702.

  12. Torben G. Andersen & Oleg Bondarenko & Maria T. Gonzalez-Perez, 2015. "Exploring Return Dynamics via Corridor Implied Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 28(10), pages 2902-2945.

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    1. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Dynamics of variance risk premia: A new model for disentangling the price of risk," Journal of Econometrics, Elsevier, vol. 217(2), pages 312-334.
    2. Wong, Patrick, 2023. "Explaining intraday crude oil returns with higher order risk-neutral moments," Journal of Commodity Markets, Elsevier, vol. 31(C).
    3. Yang-Ho Park, 2019. "Variance Disparity and Market Frictions," Finance and Economics Discussion Series 2019-059, Board of Governors of the Federal Reserve System (U.S.).
    4. Deniz Erdemlioglu & Nikola Gradojevic, 2020. "Heterogeneous investment horizons, risk regimes, and realized jumps," Post-Print hal-02995997, HAL.
    5. Chen, Yu-Lun & Yang, J. Jimmy, 2021. "Trader positions in VIX futures," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 1-17.
    6. Torben G. Andersen & Rasmus T. Varneskov, 2021. "Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions," NBER Working Papers 28570, National Bureau of Economic Research, Inc.
    7. Zheyao Pan, 2018. "A state‐price volatility index for the U.S. government bond market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 573-597, November.
    8. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
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    88. Vladim'ir Hol'y & Petra Tomanov'a, 2020. "Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data," Papers 2003.13062, arXiv.org, revised Dec 2021.
    89. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
    90. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022. "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 230-251, March.
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    92. Loïc Maréchal, 2021. "Do economic variables forecast commodity futures volatility?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1735-1774, November.

  21. Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011. "A reduced form framework for modeling volatility of speculative prices based on realized variation measures," Journal of Econometrics, Elsevier, vol. 160(1), pages 176-189, January.
    See citations under working paper version above.
  22. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2010. "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 233-261.
    See citations under working paper version above.
  23. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, April.
    See citations under working paper version above.
  24. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November.
    See citations under working paper version above.
  25. Andersen, Torben G. & Lewbel, Arthur & Ng, Serena, 2007. "Editors' Report 2006," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 503-503, October.

    Cited by:

    1. Sharif, Naubahar & Huang, Can, 2010. "Innovation strategy, firm survival and relocation: The case of Hong Kong-owned manufacturing in Guangdong province, China," MERIT Working Papers 2010-052, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    2. Carolyn Cordery & Rachel Baskerville & Brenda Porter, 2010. "Control or collaboration?," Accounting, Auditing & Accountability Journal, Emerald Group Publishing Limited, vol. 23(6), pages 793-813, August.

  26. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 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," Journal of Econometrics, Elsevier, vol. 138(1), pages 125-180, May.
    See citations under working paper version above.
  27. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
    See citations under working paper version above.
  28. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," American Economic Review, American Economic Association, vol. 95(2), pages 398-404, May.
    See citations under working paper version above.
  29. Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2005. "Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities," Econometrica, Econometric Society, vol. 73(1), pages 279-296, January.

    Cited by:

    1. Fredj Jawadi & Wael Louhichi & Abdoulkarim Idi Cheffou & Hachmi Ben Ameur, 2019. "Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model," Annals of Operations Research, Springer, vol. 281(1), pages 275-295, October.
    2. Ralf Becker & Adam Clements, 2007. "Are combination forecasts of S&P 500 volatility statistically superior?," NCER Working Paper Series 17, National Centre for Econometric Research.
    3. Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent, 2014. "Do We Need Ultra-High Frequency Data to Forecast Variances?," Working Papers halshs-01078158, HAL.
    4. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre.
    5. Degiannakis, Stavros & Floros, Christos, 2014. "Intra-Day Realized Volatility for European and USA Stock Indices," MPRA Paper 64940, University Library of Munich, Germany, revised Jan 2015.
    6. Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," MPRA Paper 96276, University Library of Munich, Germany.
    7. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Modelling and Forecasting Noisy Realized Volatility," KIER Working Papers 758, Kyoto University, Institute of Economic Research.
    8. Ke Yang & Langnan Chen & Fengping Tian, 2015. "Realized Volatility Forecast of Stock Index Under Structural Breaks," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(1), pages 57-82, January.
    9. Corradi, Valentina & Distaso, Walter & Swanson, Norman R., 2009. "Predictive density estimators for daily volatility based on the use of realized measures," Journal of Econometrics, Elsevier, vol. 150(2), pages 119-138, June.
    10. Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 volatility using ultra-high frequency data," Research in International Business and Finance, Elsevier, vol. 28(C), pages 68-81.
    11. Leonidas Tsiaras, 2010. "The Forecast Performance of Competing Implied Volatility Measures: The Case of Individual Stocks," CREATES Research Papers 2010-34, Department of Economics and Business Economics, Aarhus University.
    12. Kinateder, Harald & Papavassiliou, Vassilios G., 2019. "Sovereign bond return prediction with realized higher moments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 53-73.
    13. Sucarrat, Genaro, 2020. "Identification of Volatility Proxies as Expectations of Squared Financial Return," MPRA Paper 101953, University Library of Munich, Germany.
    14. LAURENT, Sébastien & VIOLANTE, Francesco, 2012. "Volatility forecasts evaluation and comparison," LIDAM Reprints CORE 2414, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    15. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    16. Yeh, Jin-Huei & Wang, Jying-Nan, 2010. "Correcting microstructure comovement biases for integrated covariance," Finance Research Letters, Elsevier, vol. 7(3), pages 184-191, September.
    17. Mende, Alexander, 2005. "09/11 on the USD/EUR Foreign Exchange Market," Hannover Economic Papers (HEP) dp-312, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    18. , 2019. "The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility," Working Papers 1902, Federal Reserve Bank of Dallas, revised 17 Dec 2022.
    19. Degiannakis, Stavros & Filis, George & Kizys, Renatas, 2014. "The effects of oil price shocks on stock market volatility: Evidence from European data," MPRA Paper 96296, University Library of Munich, Germany.
    20. Christensen, K. & Podolskij, M. & Thamrongrat, N. & Veliyev, B., 2017. "Inference from high-frequency data: A subsampling approach," Journal of Econometrics, Elsevier, vol. 197(2), pages 245-272.
    21. Chaker, Selma, 2019. "The signal and the noise volatilities," Research in International Business and Finance, Elsevier, vol. 50(C), pages 79-105.
    22. Lux, Thomas & Morales-Arias, Leonardo, 2010. "Forecasting volatility under fractality, regime-switching, long memory and student-t innovations," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2676-2692, November.
    23. Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011. "Predictive Inference for Integrated Volatility," Departmental Working Papers 201109, Rutgers University, Department of Economics.
    24. Lux, Thomas & Morales-Arias, Leonardo, 2010. "Relative forecasting performance of volatility models: Monte Carlo evidence," Kiel Working Papers 1582, Kiel Institute for the World Economy (IfW Kiel).
    25. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016. "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.
    26. Alok Dixit & Shivam Singh, 2018. "Ad-Hoc Black–Scholes vis-à-vis TSRV-based Black–Scholes: Evidence from Indian Options Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 57-88, March.
    27. Lux, Thomas & Morales-Arias, Leonardo, 2009. "Forecasting volatility under fractality, regime-switching, long memory and student-t innovations," Kiel Working Papers 1532, Kiel Institute for the World Economy (IfW Kiel).
    28. Eleftheria Kafousaki & Stavros Degiannakis, 2023. "Forecasting VIX: the illusion of forecast evaluation criteria," Economics and Business Letters, Oviedo University Press, vol. 12(3), pages 231-240.
    29. Brousseau, Vincent & Durré, Alain, 2013. "Interest rate volatility: a consol rate-based measure," Working Paper Series 1505, European Central Bank.
    30. Alessandra Amendola & Giuseppe Storti, 2009. "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers SFB649DP2009-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    31. Ilze Kalnina & Dacheng Xiu, 2017. "Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 384-396, January.
    32. John Garvey & Martin Mullins, 2009. "An Examination of "New" and "Old" Terrorism Using High-Frequency Data," Economics of Security Working Paper Series 18, DIW Berlin, German Institute for Economic Research.
    33. Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019.
    34. Wu, Liuren, 2011. "Variance dynamics: Joint evidence from options and high-frequency returns," Journal of Econometrics, Elsevier, vol. 160(1), pages 280-287, January.
    35. Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015. "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes," Journal of Econometrics, Elsevier, vol. 187(1), pages 293-311.
    36. Luc, BAUWENS & Genaro, SUCARRAT, 2006. "General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation," Discussion Papers (ECON - Département des Sciences Economiques) 2006013, Université catholique de Louvain, Département des Sciences Economiques.
    37. Mykland, Per Aslak, 2019. "Combining statistical intervals and market prices: The worst case state price distribution," Journal of Econometrics, Elsevier, vol. 212(1), pages 272-285.
    38. Bollerslev, Tim & Zhou, Hao, 2006. "Volatility puzzles: a simple framework for gauging return-volatility regressions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 123-150.
    39. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Post-Print hal-01448237, HAL.
    40. Wen Cheong Chin & Min Cherng Lee, 2018. "S&P500 volatility analysis using high-frequency multipower variation volatility proxies," Empirical Economics, Springer, vol. 54(3), pages 1297-1318, May.
    41. Fleming, Jeff & Kirby, Chris, 2011. "Long memory in volatility and trading volume," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1714-1726, July.
    42. Peter C. B. Phillips & Jun Yu, 2009. "Information Loss in Volatility Measurement with Flat Price Trading," Global COE Hi-Stat Discussion Paper Series gd08-039, Institute of Economic Research, Hitotsubashi University.
    43. Lux, Thomas & Morales-Arias, Leonardo & Sattarhoff, Cristina, 2011. "A Markov-switching multifractal approach to forecasting realized volatility," Kiel Working Papers 1737, Kiel Institute for the World Economy (IfW Kiel).
    44. Li, Zhinan & Pei, Shan & Li, Ting & Wang, Yu, 2023. "Risk spillover network in the supply chain system during the COVID-19 crisis: Evidence from China," Economic Modelling, Elsevier, vol. 126(C).
    45. Cordis, Adriana S. & Kirby, Chris, 2014. "Discrete stochastic autoregressive volatility," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 160-178.
    46. Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2015. "Forecasting implied volatility indices worldwide: A new approach," MPRA Paper 72084, University Library of Munich, Germany.
    47. Fabian Hollstein & Marcel Prokopczuk & Chardin Wese Simen, 2020. "The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas," Management Science, INFORMS, vol. 66(6), pages 2474-2494, June.
    48. Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George, 2019. "Futures-based forecasts: How useful are they for oil price volatility forecasting?," Energy Economics, Elsevier, vol. 81(C), pages 639-649.
    49. Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-33.
    50. Julien Chevallier & Benoît Sévi, 2009. "On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting," Working Papers 2009.113, Fondazione Eni Enrico Mattei.
    51. Kevin Sheppard & Andrew J. Patton, 2008. "Evaluating Volatility and Correlation Forecasts," Economics Series Working Papers 2008fe22, University of Oxford, Department of Economics.
    52. Johannes W. Fedderke, 2020. "The South African – United States Sovereign Bond Spread and its Association with Macroeconomic Fundamentals," Working Papers 830, Economic Research Southern Africa.
    53. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    54. Ilze KALNINA, 2015. "Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," Cahiers de recherche 13-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    55. Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011. "A reduced form framework for modeling volatility of speculative prices based on realized variation measures," Journal of Econometrics, Elsevier, vol. 160(1), pages 176-189, January.
    56. Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, vol. 25(2), pages 304-327.
    57. Michel Beine & Charles S. Bos & Sébastien Laurent, 2007. "The Impact of Central Bank FX Interventions on Currency Components," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 154-183.
    58. Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour, 2011. "Realized volatility forecasting and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 220-234, January.
    59. Mario Domingues de Paula Simões & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Leonardo Lima Gomes, 2016. "Electricity prices forecast analysis using the extreme value theory," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 1-22.
    60. Gagnon, Marie-Hélène & Gimet, Céline, 2013. "The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4599-4614.
    61. Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2014. "The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship," CAMA Working Papers 2014-71, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    62. Wang, Kent & Liu, Junwei & Liu, Zhi, 2013. "Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1777-1786.
    63. Prasad, Nalin & Grant, Andrew & Kim, Suk-Joong, 2018. "Time varying volatility indices and their determinants: Evidence from developed and emerging stock markets," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 115-126.
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    75. Degiannakis, Stavros & Filis, George & Hassani, Hossein, 2018. "Forecasting global stock market implied volatility indices," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 111-129.
    76. Yang, Ke & Tian, Fengping & Chen, Langnan & Li, Steven, 2017. "Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 276-291.
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    79. Vassilios G. Papavassiliou, 2016. "Allowing For Jump Measurements In Volatility: A High-Frequency Financial Data Analysis Of Individual Stocks," Bulletin of Economic Research, Wiley Blackwell, vol. 68(2), pages 124-132, April.
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    81. Peter R. Hansen & Asger Lunde, 2010. "Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error," CREATES Research Papers 2010-08, Department of Economics and Business Economics, Aarhus University.
    82. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2010. "Jump-robust volatility estimation using nearest neighbor truncation," Staff Reports 465, Federal Reserve Bank of New York.
    83. Yudong Wang & Zhiyuan Pan & Chongfeng Wu, 2017. "Time‐Varying Parameter Realized Volatility Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(5), pages 566-580, August.
    84. 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 10/06, Monash University, Department of Econometrics and Business Statistics.
    85. Turan G. Bali & Lin Peng, 2006. "Is there a risk–return trade‐off? Evidence from high‐frequency data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1169-1198, December.
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    89. Bali, Turan G. & Weinbaum, David, 2007. "A conditional extreme value volatility estimator based on high-frequency returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 361-397, February.
    90. Martens, Martin & van Dijk, Dick & de Pooter, Michiel, 2009. "Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements," International Journal of Forecasting, Elsevier, vol. 25(2), pages 282-303.
    91. Onofrio Panzarino & Francesco Potente & Alfonso Puorro, 2016. "BTP futures and cash relationships: a high frequency data analysis," Temi di discussione (Economic working papers) 1083, Bank of Italy, Economic Research and International Relations Area.
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    96. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
    97. Papantonis Ioannis & Tzavalis Elias & Agapitos Orestis & Rompolis Leonidas S., 2023. "Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(2), pages 171-198, April.
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  36. Torben G. Andersen & Tim Bollerslev & Ashish Das, 2001. "Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns," Journal of Finance, American Finance Association, vol. 56(1), pages 305-327, February.

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    1. Dette, Holger & Golosnoy, Vasyl & Kellermann, Janosch, 2022. "Correcting Intraday Periodicity Bias in Realized Volatility Measures," Econometrics and Statistics, Elsevier, vol. 23(C), pages 36-52.
    2. Macaro, Christian, 2010. "Bayesian non-parametric signal extraction for Gaussian time series," Journal of Econometrics, Elsevier, vol. 157(2), pages 381-395, August.
    3. Kim Christensen & Ulrich Hounyo & Mark Podolskij, 2017. "Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment," CREATES Research Papers 2017-30, Department of Economics and Business Economics, Aarhus University.
    4. Hassan Tanha & Michael Dempsey, 2016. "The Information Content of ASX SPI 200 Implied Volatility," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-14, March.
    5. Gabrys Robertas & Hörmann Siegfried & Kokoszka Piotr, 2013. "Monitoring the Intraday Volatility Pattern," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 87-116, July.
    6. Atanda Mustapha Saidi, 2017. "Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa," Working Paper Series 2390, African Development Bank.
    7. Mohanty, Sunil K. & Mishra, Sibanjan, 2020. "Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    8. Gau, Yin-Feng, 2005. "Intraday volatility in the Taipei FX market," Pacific-Basin Finance Journal, Elsevier, vol. 13(4), pages 471-487, September.
    9. Chamil W SENARATHNE & Wei JIANGUO, 2020. "Testing for Heteroskedastic Mixture of Ordinary Least Squares Errors," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 73-91, July.
    10. Ozturk, Sait R. & van der Wel, Michel & van Dijk, Dick, 2017. "Intraday price discovery in fragmented markets," Journal of Financial Markets, Elsevier, vol. 32(C), pages 28-48.
    11. Voges, Michelle & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks," Hannover Economic Papers (HEP) dp-599, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    12. Lien, Donald & Yang, Li, 2005. "Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 730-747, September.
    13. Ana Lasaosa, 2005. "Learning the rules of the new game? Comparing the reactions in financial markets to announcements before and after the Bank of England's operational independence," Bank of England working papers 255, Bank of England.
    14. BOUDT, Kris & CROUX, Christophe & LAURENT, Sabéastien, 2011. "Robust estimation of intraweek periodicity in volatility and jump detection," LIDAM Reprints CORE 2411, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    15. Hai-Chuan Xu & Wei Chen & Xiong Xiong & Wei Zhang & Wei-Xing Zhou & H Eugene Stanley, 2016. "Limit-order book resiliency after effective market orders: Spread, depth and intensity," Papers 1602.00731, arXiv.org, revised Feb 2017.
    16. Philippe Masset & Martin Wallmeier, 2010. "A High†Frequency Investigation of the Interaction between Volatility and DAX Returns," European Financial Management, European Financial Management Association, vol. 16(3), pages 327-344, June.
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    18. Gajurel, Dinesh & Chowdhury, Biplob, 2020. "Realized volatility, jump and beta: evidence from Canadian stock market," Working Papers 2020-11, University of Tasmania, Tasmanian School of Business and Economics.
    19. Su, Fei & Wang, Xinyi & Yuan, Yulin, 2022. "The intraday dynamics and intraday price discovery of bitcoin," Research in International Business and Finance, Elsevier, vol. 60(C).
    20. Wan, Jer-Yuh & Kao, Chung-Wei, 2008. "The euro and pound volatility dynamics: An investigation from conditional jump process," Research in International Business and Finance, Elsevier, vol. 22(2), pages 193-207, June.
    21. Endres, Sylvia & Stübinger, Johannes, 2018. "A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns," FAU Discussion Papers in Economics 07/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    22. Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2020. "The distribution of index futures realised volatility under seasonality and microstructure noise," Economic Modelling, Elsevier, vol. 93(C), pages 398-414.
    23. Cai, Jun & Hamao, Yasushi & Ho, Richard Y.K., 2008. "Tick size change and liquidity provision for Japanese stock trading near [yen sign]1000," Japan and the World Economy, Elsevier, vol. 20(1), pages 19-39, January.
    24. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 2006. "Bootstrap tests of multiple inequality restrictions on variance ratios," Economics Letters, Elsevier, vol. 91(3), pages 343-348, June.
    25. Yao, Wenying & Tian, Jing, 2015. "The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements," Working Papers 2015-05, University of Tasmania, Tasmanian School of Business and Economics.
    26. Singh, Ritvik & Gangwar, Rachna, 2018. "A Temporal Analysis of Intraday Volatility of Nifty Futures on the National Stock Exchange," MPRA Paper 89689, University Library of Munich, Germany.
    27. Dumitru, Ana-Maria & Hizmeri, Rodrigo & Izzeldin, Marwan, 2019. "Forecasting the Realized Variance in the Presence of Intraday Periodicity," EconStor Preprints 193631, ZBW - Leibniz Information Centre for Economics.
    28. Dinesh Gajurel & Biplob Chowdhury, 2021. "Realized Volatility, Jump and Beta: evidence from Canadian Stock Market," Applied Economics, Taylor & Francis Journals, vol. 53(55), pages 6376-6397, November.
    29. Kyong Shik Eom & Kyung Yoon Kwon & Sung Chae La & Jong-Ho Park, 2022. "Dynamic and Static Volatility Interruptions: Evidence from the Korean Stock Markets," JRFM, MDPI, vol. 15(3), pages 1-19, February.
    30. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
    31. Alva, Kenedy & Romo, Juan & Ruiz Ortega, Esther, 2009. "Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market," DES - Working Papers. Statistics and Econometrics. WS ws092809, Universidad Carlos III de Madrid. Departamento de Estadística.
    32. Singh, Ritvik & Gangwar, Rachna, 2018. "A Temporal Analysis of Intraday Volatility of Nifty Futures on the National Stock Exchange," EconStor Preprints 183471, ZBW - Leibniz Information Centre for Economics.
    33. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  37. Andersen, Torben G, 2000. "Some Reflections on Analysis of High-Frequency Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 146-153, April.

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    1. Aslan, Aylin & Sensoy, Ahmet, 2020. "Intraday efficiency-frequency nexus in the cryptocurrency markets," Finance Research Letters, Elsevier, vol. 35(C).
    2. Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2020. "Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 269-280.
    3. Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Econometrics, MDPI, vol. 11(3), pages 1-36, August.
    4. Burc Kayahan & Thanasis Stengos & Burak Saltoglu, 2002. "Intra-Day Features of Realized Volatility: Evidence from an Emerging Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(1), pages 17-24, April.
    5. Akter, Sonia & Fauzia, Talitha & Pundit, Madhavi & Schroder, Marcel, 2022. "A Gender-Specific Earthquake Recovery Assessment Using Administrative and Satellite Data: The Case of Indonesia’s 2016 Aceh Earthquake," ADB Economics Working Paper Series 674, Asian Development Bank, revised 07 Feb 2023.
    6. Ryszard Kokoszczyński & Natalia Nehrebecka & Paweł Sakowski & Paweł Strawiński & Robert Ślepaczuk, 2010. "Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures," Working Papers 2010-03, Faculty of Economic Sciences, University of Warsaw.
    7. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates," Faculty Working Papers 02/11, School of Economics and Business Administration, University of Navarra.
    8. Dao, Thong M. & McGroarty, Frank & Urquhart, Andrew, 2019. "The Brexit vote and currency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 59(C), pages 153-164.
    9. Giorgio Mirone, 2017. "Inference from the futures: ranking the noise cancelling accuracy of realized measures," CREATES Research Papers 2017-24, Department of Economics and Business Economics, Aarhus University.
    10. Monira Essa Aloud, 2016. "Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 55-64.
    11. Pascual, Lorenzo & Romo, Juan & Ruiz Ortega, Esther, 2000. "Forecasting returns and volatilities in GARCH processes using the bootstrap," DES - Working Papers. Statistics and Econometrics. WS 10059, Universidad Carlos III de Madrid. Departamento de Estadística.
    12. Brandvold, Morten & Molnár, Peter & Vagstad, Kristian & Andreas Valstad, Ole Christian, 2015. "Price discovery on Bitcoin exchanges," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 18-35.
    13. Su, Fei & Wang, Xinyi & Yuan, Yulin, 2022. "The intraday dynamics and intraday price discovery of bitcoin," Research in International Business and Finance, Elsevier, vol. 60(C).
    14. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, April.
    15. Batten, Jonathan A. & Lucey, Brian M. & McGroarty, Frank & Peat, Maurice & Urquhart, Andrew, 2018. "Does intraday technical trading have predictive power in precious metal markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 102-113.
    16. Vinicius Ratton Brandi & Beatriz Vaz de Melo Mendes, 2004. "Assessing Drawdown-at-Risk in Brazilian Real Foreign Exchange Rates," Brazilian Review of Finance, Brazilian Society of Finance, vol. 2(2), pages 207-223.
    17. Giray GOZGOR & Cahit MEMIS, 2015. "Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range-based estimator," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 61(5), pages 214-221.
    18. Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.
    19. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany.
    20. Siem Jan Koopman & Rutger Lit & André Lucas, 2014. "The Dynamic Skellam Model with Applications," Tinbergen Institute Discussion Papers 14-032/IV/DSF73, Tinbergen Institute, revised 06 Jul 2015.
    21. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
    22. Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
    23. Carol Alexander & Daniel Heck & Andreas Kaeck, 2021. "The Role of Binance in Bitcoin Volatility Transmission," Papers 2107.00298, arXiv.org, revised Aug 2021.
    24. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2006. "Bootstrap prediction for returns and volatilities in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2293-2312, May.
    25. Ahmad, Wasim & Prakash, Ravi & Uddin, Gazi Salah & Chahal, Rishman Jot Kaur & Rahman, Md. Lutfur & Dutta, Anupam, 2020. "On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?," Energy Economics, Elsevier, vol. 91(C).

  38. Andersen, Torben G., 2000. "Simulation-Based Econometric Methods," Econometric Theory, Cambridge University Press, vol. 16(1), pages 131-138, February.

    Cited by:

    1. Peter C.B. Phillips & Jun Yu, 2007. "Simulation-based Estimation of Contingent-claims Prices," Cowles Foundation Discussion Papers 1596, Cowles Foundation for Research in Economics, Yale University.
    2. Peter Fuleky & Eric Zivot, 2010. "Indirect Inference Based on the Score," Working Papers UWEC-2010-08, University of Washington, Department of Economics.
    3. Gould, Brian W. & Yen, Steven T., 2002. "Food Demand In Mexico: A Quasi-Maximum Likelihood Approach," 2002 Annual meeting, July 28-31, Long Beach, CA 19667, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    4. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
    5. Christian Gouriéroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Development Economics Working Papers 22421, East Asian Bureau of Economic Research.
    6. Antonis Demos & Stelios Arvanitis, 2010. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators," DEOS Working Papers 1004, Athens University of Economics and Business.
    7. Peter C.B. Phillips & Jun Yu, 2007. "Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance," Cowles Foundation Discussion Papers 1597, Cowles Foundation for Research in Economics, Yale University.
    8. Chihwa Kao & Lung-fei Lee & Mark M. Pitt, 2000. "Simulated Maximum Likelihood Estimation of the Linear Expenditure System with Binding Non-Negativity Constraints," CEMA Working Papers 50, China Economics and Management Academy, Central University of Finance and Economics, revised Apr 2001.
    9. Siem Jan Koopman & Neil Shephard, 2002. "Testing the Assumptions Behind the Use of Importance Sampling," Economics Papers 2002-W17, Economics Group, Nuffield College, University of Oxford.
    10. Yu, Jun, 2014. "Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results," Econometric Theory, Cambridge University Press, vol. 30(4), pages 737-774, August.

  39. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 107-130, June.

    Cited by:

    1. Evans, Kevin P. & Speight, Alan E.H., 2010. "Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility," Research in International Business and Finance, Elsevier, vol. 24(1), pages 82-101, January.
    2. Mohamed Mehanaoui, 2017. "Financial Market Integration: Evidence from Cross-Listed French Firms," JRFM, MDPI, vol. 10(4), pages 1-11, October.
    3. Degiannakis, Stavros & Floros, Christos, 2014. "Intra-Day Realized Volatility for European and USA Stock Indices," MPRA Paper 64940, University Library of Munich, Germany, revised Jan 2015.
    4. Degiannakis, Stavros, 2004. "Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper 80488, University Library of Munich, Germany.
    5. John Cotter, 2004. "Minimum capital requirement calculations for UK futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(2), pages 193-220, February.
    6. Long H. Vo, 2017. "Estimating Financial Volatility with High-Frequency Returns," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 2(2), pages 84-114, October.
    7. Daniel Jubinski & Marc Tomljanovich, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, John Wiley & Sons, vol. 22(3), pages 86-97, September.
    8. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2014. "Intraday Return and Volatility Spillover Mechanism from Chinese to Japanese Stock Market," Discussion Papers in Economics and Business 14-01, Osaka University, Graduate School of Economics.
    9. Kris Boudt & James Thewissen, 2019. "Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics," Financial Management, Financial Management Association International, vol. 48(1), pages 77-115, March.
    10. Faten Ben Slimane & Mohamed Mehanaoui & Irfan A. Kazi, 2014. "Interdependency and Spillover during the Financial Crisis of 2007 to 2009 – Evidence from High Frequency Intraday Data," Working Papers 2014-126, Department of Research, Ipag Business School.
    11. Degiannakis, Stavros & Xekalaki, Evdokia, 2007. "Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models," MPRA Paper 96324, University Library of Munich, Germany.
    12. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CARF F-Series CARF-F-145, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    13. Naimoli, Antonio & Storti, Giuseppe, 2019. "Heterogeneous component multiplicative error models for forecasting trading volumes," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1332-1355.
    14. Dan Gabriel ANGHEL & Elena Valentina ŢILICĂ & Victor DRAGOTĂ, 2020. "Intraday Patterns in Returns on the Romanian and Bulgarian Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 92-114, July.
    15. John Cotter, 2004. "Realized volatility and minimum capital requirements," Money Macro and Finance (MMF) Research Group Conference 2003 20, Money Macro and Finance Research Group.
    16. Yusaku Nishimura & Yoshiro Tsutsui & Kenjiro Hirayama, 2016. "The Chinese Stock Market Does not React to the Japanese Market: Using Intraday Data to Analyse Return and Volatility Spillover Effects," The Japanese Economic Review, Springer, vol. 67(3), pages 280-294, September.
    17. Yoshiro Tsutsui & Kenjiro Hirayama, 2008. "How Fast Do Tokyo and New York Stock Exchanges Respond to Each Other?: An Analysis with High-Frequency Data," Discussion Papers in Economics and Business 08-32, Osaka University, Graduate School of Economics.
    18. Cakan Esin & Rangan Gupta, 2017. "Does the US. macroeconomic news make the South African stock market riskier?," Journal of Developing Areas, Tennessee State University, College of Business, vol. 51(4), pages 17-27, October-D.
    19. Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2020. "Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 269-280.
    20. Kurt Riedel, 2021. "The value of the high, low and close in the estimation of Brownian motion," Statistical Inference for Stochastic Processes, Springer, vol. 24(1), pages 179-210, April.
    21. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers 2017-26, Department of Economics and Business Economics, Aarhus University.
    22. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
    23. Jonathan Batten & Brian Lucey & Frank McGroarty & Maurice Peat & Andrew Urquhart, 2017. "Stylized facts of intraday precious metals," PLOS ONE, Public Library of Science, vol. 12(4), pages 1-21, April.
    24. Gau, Yin-Feng & Hua, Mingshu, 2007. "Intraday exchange rate volatility: ARCH, news and seasonality effects," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 135-158, March.
    25. Yoshiro Tsutsui & Kenjiro Hirayama, 2004. "Market Efficiency and International Linkage of Stock Prices: An Analysis with High-Frequency Data," ISER Discussion Paper 0620, Institute of Social and Economic Research, Osaka University.
    26. Sylvie Lecarpentier Moyal & Georges Prat & Patricia Renou Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers 2013-27, Department of Research, Ipag Business School.
    27. Chu, Carlin C.F. & Lam, K.P., 2011. "Modeling intraday volatility: A new consideration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 388-418, July.
    28. Gropp, Reint E. & Kadareja, Arjan, 2007. "Stale information, shocks and volatility," ZEW Discussion Papers 07-012, ZEW - Leibniz Centre for European Economic Research.
    29. Grossmann, Axel & Love, Inessa & Orlov, Alexei G., 2014. "The dynamics of exchange rate volatility: A panel VAR approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 1-27.
    30. Evans, Kevin & Speight, Alan, 2010. "International macroeconomic announcements and intraday euro exchange rate volatility," Journal of the Japanese and International Economies, Elsevier, vol. 24(4), pages 552-568, December.
    31. Dimitrios I. Vortelinos & Konstantinos Gkillas, 2018. "Intraday realised volatility forecasting and announcements," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 9(1), pages 88-118.
    32. Gau, Yin-Feng, 2005. "Intraday volatility in the Taipei FX market," Pacific-Basin Finance Journal, Elsevier, vol. 13(4), pages 471-487, September.
    33. Jan Hanousek & Evžen Kočenda, 2010. "Vliv vnitrodenních makroekonomických zpráv na akciové trhy nových států EU [Effect of Intraday Information Flow on the Emerging European Stock Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2010(4), pages 435-457.
    34. Aman, Hiroyuki & Moriyasu, Hiroshi, 2017. "Volatility and public information flows: Evidence from disclosure and media coverage in the Japanese stock market," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 660-676.
    35. Lenart, Łukasz, 2013. "Non-parametric frequency identification and estimation in mean function for almost periodically correlated time series," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 252-269.
    36. Hanousek, Jan & Kocenda, Evzen & Kutan, Ali M., 2009. "The reaction of asset prices to macroeconomic announcements in new EU markets: Evidence from intraday data," Journal of Financial Stability, Elsevier, vol. 5(2), pages 199-219, June.
    37. Jubinski, Daniel & Tomljanovich, Marc, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, Elsevier, vol. 22(3), pages 86-97.
    38. Hussain, Syed Mujahid, 2011. "Simultaneous monetary policy announcements and international stock markets response: An intraday analysis," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 752-764, March.
    39. Wang, Jying-Nan & Liu, Hung-Chun & Hsu, Yuan-Teng, 2020. "Time-of-day periodicities of trading volume and volatility in Bitcoin exchange: Does the stock market matter?," Finance Research Letters, Elsevier, vol. 34(C).
    40. Lien, Donald & Yang, Li, 2005. "Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 730-747, September.
    41. Andersson, Magnus & Hansen, Lars Jul & Sebestyén, Szabolcs, 2006. "Which news moves the euro area bond market?," Working Paper Series 631, European Central Bank.
    42. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2016. "Decoupling the short- and long-term behavior of stochastic volatility," Papers 1610.00332, arXiv.org, revised Jan 2021.
    43. Hai-Chuan Xu & Wei Chen & Xiong Xiong & Wei Zhang & Wei-Xing Zhou & H Eugene Stanley, 2016. "Limit-order book resiliency after effective market orders: Spread, depth and intensity," Papers 1602.00731, arXiv.org, revised Feb 2017.
    44. Haniff, Mohd Nizal & Pok, Wee Ching, 2010. "Intraday volatility and periodicity in the Malaysian stock returns," Research in International Business and Finance, Elsevier, vol. 24(3), pages 329-343, September.
    45. Ilze Kalnina & Oliver Linton, 2006. "Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError," STICERD - Econometrics Paper Series 509, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    46. Dan Gabriel Anghel, 2020. "What Can Machine Learning Tell Us About Intraday Price Patterns in a Frontier Stock Market?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(5), pages 205-220, October.
    47. Sobhesh Kumar Agarwalla & Ajay Pandey, 2013. "Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1046-1070, November.
    48. B.B. Chakrabarti & Vivek Rajvanshi, 2017. "Intraday Periodicity and Volatility Forecasting: Evidence from Indian Crude Oil Futures Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(1), pages 1-28, April.
    49. Katsuyuki Takahashi & Isao Shoji, 2011. "An empirical analysis of the volatility of the Japanese stock price index: a non-parametric approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(7), pages 1381-1394, June.
    50. Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers hal-04141172, HAL.
    51. Kin-Yip Ho & Ka Cheng Tsui, 2004. "Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach," Money Macro and Finance (MMF) Research Group Conference 2004 12, Money Macro and Finance Research Group.
    52. Agarwalla, Sobhesh Kumar & Pandey, Ajay, 2012. "Whether Cross-Listing, Stock-specific and Market-wide Calendar Events impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market using High-frequency Data," IIMA Working Papers WP2012-11-03, Indian Institute of Management Ahmedabad, Research and Publication Department.
    53. Kalnina, Ilze & Linton, Oliver, 2006. "Estimating quadratic variation consistently in the presence of correlated measurement error," LSE Research Online Documents on Economics 4413, London School of Economics and Political Science, LSE Library.
    54. Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2020. "The distribution of index futures realised volatility under seasonality and microstructure noise," Economic Modelling, Elsevier, vol. 93(C), pages 398-414.
    55. Nishimura, Yusaku & Sun, Bianxia, 2018. "The intraday volatility spillover index approach and an application in the Brexit vote," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 241-253.
    56. Nowak, Sylwia & Andritzky, Jochen & Jobst, Andreas & Tamirisa, Natalia, 2011. "Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2584-2597, October.
    57. Evzen Kocenda & Jan Hanousek, 2010. "Foreign News and Spillovers in Emerging European Stock Markets," William Davidson Institute Working Papers Series wp983, William Davidson Institute at the University of Michigan.
    58. Hua, Mingshu & Gau, Yin-Feng, 2006. "Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market," Pacific-Basin Finance Journal, Elsevier, vol. 14(2), pages 193-208, April.
    59. James Brugler & Oliver Linton, 2014. "Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality?," CeMMAP working papers CWP07/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    60. Mehmet Balcilar & Esin Cakan & Rangan Gupta, 2016. "Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test," Working Papers 201631, University of Pretoria, Department of Economics.
    61. Degiannakis, Stavros, 2004. "Volatility Forecasting: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper 96330, University Library of Munich, Germany.
    62. Degiannakis, Stavros & Filis, George, 2022. "Oil price volatility forecasts: What do investors need to know?," Journal of International Money and Finance, Elsevier, vol. 123(C).
    63. Brzeszczyński, Janusz & Kutan, Ali M., 2015. "Public information arrival and investor reaction during a period of institutional change: An episode of early years of a newly independent central bank," Journal of Comparative Economics, Elsevier, vol. 43(3), pages 727-753.
    64. Edmonds, Radcliffe Jr. & Kutan, Ali M., 2002. "Is public information really irrelevant in explaining asset returns?," Economics Letters, Elsevier, vol. 76(2), pages 223-229, July.
    65. Wang, Cheng & Bouri, Elie & Xu, Yahua & Zhang, Dingsheng, 2023. "Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks," Energy Economics, Elsevier, vol. 127(PB).
    66. Lin, Wen-Yuan & Tsai, I-Chun, 2019. "Black swan events in China's stock markets: Intraday price behaviors on days of volatility," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 395-411.
    67. Wang, Gang-Jin & Xie, Chi & Zhao, Longfeng & Jiang, Zhi-Qiang, 2018. "Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 205-230.
    68. Isa E. Hafalir & Serkan Imisiker, 2022. "Call Auctions with Contingent Orders," Games, MDPI, vol. 13(5), pages 1-8, September.
    69. Behrendt, Simon & Schmidt, Alexander, 2018. "The Twitter myth revisited: Intraday investor sentiment, Twitter activity and individual-level stock return volatility," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 355-367.
    70. Richards, Daniel W. & Willows, Gizelle D., 2019. "Monday mornings: Individual investor trading on days of the week and times within a day," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 105-115.
    71. Vince Vella & Wing Lon Ng, 2015. "A Dynamic Fuzzy Money Management Approach for Controlling the Intraday Risk‐Adjusted Performance of AI Trading Algorithms," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 22(2), pages 153-178, April.
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    1. Ahmed, Walid M.A., 2021. "How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    2. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    3. Ivan Cherednik, 2019. "Artificial intelligence approach to momentum risk-taking," Papers 1911.08448, arXiv.org, revised Mar 2020.
    4. Corradi, Valentina & Distaso, Walter & Swanson, Norman R., 2009. "Predictive density estimators for daily volatility based on the use of realized measures," Journal of Econometrics, Elsevier, vol. 150(2), pages 119-138, June.
    5. Beine, Michel & Laurent, Sebastien & Lecourt, Christelle, 2003. "Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis," European Economic Review, Elsevier, vol. 47(5), pages 891-911, October.
    6. Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 volatility using ultra-high frequency data," Research in International Business and Finance, Elsevier, vol. 28(C), pages 68-81.
    7. Degiannakis, Stavros, 2004. "Forecasting Realized Intra-day Volatility and Value at Risk: Evidence from a Fractional Integrated Asymmetric Power ARCH Skewed-t Model," MPRA Paper 80488, University Library of Munich, Germany.
    8. Jui-Cheng Hung & Tien-Wei Lou & Yi-Hsien Wang & Jun-De Lee, 2013. "Evaluating and improving GARCH-based volatility forecasts with range-based estimators," Applied Economics, Taylor & Francis Journals, vol. 45(28), pages 4041-4049, October.
    9. Avdoulas, Christos & Bekiros, Stelios & Boubaker, Sabri, 2016. "Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach," Economic Modelling, Elsevier, vol. 58(C), pages 580-587.
    10. Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
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    6. Broto, Carmen & Ruiz Ortega, Esther, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de Estadística.
    7. Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004. "A simple estimation method and finite-sample inference for a stochastic volatility model," Econometric Society 2004 North American Summer Meetings 153, Econometric Society.
    8. Paolo Girardello & Orietta Nicolis & Giovanni Tondini, 2003. "Comparing Conditional Variance Models: Theory and Empirical Evidence," Multinational Finance Journal, Multinational Finance Journal, vol. 7(3-4), pages 177-206, September.
    9. De Clerk, Luke & Savel’ev, Sergey, 2022. "AI algorithms for fitting GARCH parameters to empirical financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
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    16. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
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    3. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics.

  44. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.

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    2. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility and the GARCH forecasting performance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 183-200, July.
    3. Dye, Ronald A., 2001. "An evaluation of "essays on disclosure" and the disclosure literature in accounting," Journal of Accounting and Economics, Elsevier, vol. 32(1-3), pages 181-235, December.
    4. Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2020. "The distribution of index futures realised volatility under seasonality and microstructure noise," Economic Modelling, Elsevier, vol. 93(C), pages 398-414.
    5. Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.
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    Cited by:

    1. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
    2. Andersen, Torben G & Sorensen, Bent E, 1996. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-352, July.
    3. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    4. Matteo Pelagatti & Giacomo Sbrana, 2020. "Estimating high dimensional multivariate stochastic volatility models," Working Papers 428, University of Milano-Bicocca, Department of Economics, revised Jan 2020.
    5. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2002. "Range‐Based Estimation of Stochastic Volatility Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1047-1091, June.
    6. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    7. N. Taylor & Y. Xu, 2017. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1021-1035, July.
    8. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2001. "High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models," NBER Working Papers 8162, National Bureau of Economic Research, Inc.
    9. Kshatriya, Saranya & Prasanna, Krishna, 2021. "Jump Interdependencies: Stochastic linkages among international stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    10. G. Dhaene, 2004. "Indirect Inference for Stochastic Volatility Models via the Log-Squared Observations," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(3), pages 421-440.

  50. Andersen, Torben G & Sorensen, Bent E, 1996. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-352, July.
    See citations under working paper version above.
  51. Andersen, Torben G, 1996. "Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.

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    3. Antonio A. F. Santos, 2021. "Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 455-479, February.
    4. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2013. "Semiparametric Vector Mem," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1067-1086, November.
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    7. Qadan, Mahmoud, 2018. "Switches in price discovery: Are U.S. traders more qualified in making valuations?," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 221-234.
    8. Torben G. Andersen & Oleg Bondarenko, 2015. "Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence," Review of Finance, European Finance Association, vol. 19(1), pages 1-54.
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    11. Jung, Robert & Liesenfeld, Roman & Richard, Jean-François, 2008. "Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity," Economics Working Papers 2008-12, Christian-Albrechts-University of Kiel, Department of Economics.
    12. Andersen, Torben G & Sorensen, Bent E, 1996. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-352, July.
    13. Doojin Ryu & Doowon Ryu & Heejin Yang, 2021. "The impact of net buying pressure on index options prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 27-45, January.
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    24. Nikolay Gospodinov & Ibrahim Jamali, 2014. "The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks," FRB Atlanta Working Paper 2014-14, Federal Reserve Bank of Atlanta.
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    27. Nunzio Cappuccio & Diego Lubian & Davide Raggi, 2003. "MCMC Bayesian Estimation of a Skew-GED Stochastic Volatily Model," Working Papers 07/2003, University of Verona, Department of Economics.
    28. Cai, Mei-Ling & Chen, Zhang-HangJian & Li, Sai-Ping & Xiong, Xiong & Zhang, Wei & Yang, Ming-Yuan & Ren, Fei, 2022. "New volatility evolution model after extreme events," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
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    33. Mei-Ling Cai & Zhang-HangJian Chen & Sai-Ping Li & Xiong Xiong & Wei Zhang & Ming-Yuan Yang & Fei Ren, 2022. "New volatility evolution model after extreme events," Papers 2201.03213, arXiv.org.
    34. Kitamura, Yoshihiro, 2010. "Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets," Research in International Business and Finance, Elsevier, vol. 24(2), pages 158-171, June.
    35. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    36. Rangel, José Gonzalo, 2011. "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
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Chapters

  1. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
    See citations under working paper version above.
  2. Torben G. Andersen & Tim Bollerslev & Peter Christoffersen & Francis X. Diebold, 2007. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Chapters, in: The Risks of Financial Institutions, pages 513-544, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  3. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.

    Cited by:

    1. Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
    2. Francis X. Diebold & Georg Strasser, 2010. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," NBER Working Papers 16469, National Bureau of Economic Research, Inc.
    3. 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.
    4. Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 319-349.
    5. Sattarhoff, Cristina & Gronwald, Marc, 2022. "Measuring informational efficiency of the European carbon market — A quantitative evaluation of higher order dependence," International Review of Financial Analysis, Elsevier, vol. 84(C).
    6. Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99R, Brandeis University, Department of Economics and International Business School, revised Aug 2016.
    7. Degiannakis, Stavros & Floros, Christos, 2014. "Intra-Day Realized Volatility for European and USA Stock Indices," MPRA Paper 64940, University Library of Munich, Germany, revised Jan 2015.
    8. Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," MPRA Paper 96276, University Library of Munich, Germany.
    9. Davide Pettenuzzo & Rossen Valkanov & Allan Timmermann, 2014. "A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics," Working Papers 76, Brandeis University, Department of Economics and International Business School.
    10. Peter Christoffersen & Jeremy Berkowitz & Denis Pelletier, 2008. "Evaluating Value-at-Risk Models with Desk-Level Data," CREATES Research Papers 2009-35, Department of Economics and Business Economics, Aarhus University.
    11. Degiannakis, Stavros & Floros, Christos, 2013. "Modeling CAC40 volatility using ultra-high frequency data," Research in International Business and Finance, Elsevier, vol. 28(C), pages 68-81.
    12. Benavides, Guillermo & Capistrán, Carlos, 2012. "Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 627-639.
    13. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    14. Gadea Rivas, María Dolores & Gonzalo, Jesús, 2017. "Trends in distributional characteristics : Existence of global warming," UC3M Working papers. Economics 24121, Universidad Carlos III de Madrid. Departamento de Economía.
    15. Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018. "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, vol. 128(2), pages 207-233.
    16. Pal, Debdatta, 2022. "Does hospitality industry stock volatility react asymmetrically to health and economic crises?," Economic Modelling, Elsevier, vol. 108(C).
    17. Lucien Boulet, 2021. "Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs," Papers 2109.01044, arXiv.org.
    18. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    19. Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013. "The impact of jumps and thin trading on realized hedge ratios," Working Papers 2013-02, University of Tasmania, Tasmanian School of Business and Economics, revised 28 Mar 2013.
    20. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
    21. Singh, Manohar & Nejadmalayeri, Ali & Lucey, Brian, 2013. "Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 476-485.
    22. Olkhov, Victor, 2022. "Introduction of the Market-Based Price Autocorrelation," MPRA Paper 112003, University Library of Munich, Germany.
    23. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2016. "A MIDAS approach to modeling first and second moment dynamics," Journal of Econometrics, Elsevier, vol. 193(2), pages 315-334.
    24. Christian T. Brownlees & Giampiero Gallo, 2006. "Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns," Econometrics Working Papers Archive wp2006_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    25. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
    26. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2011. "The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting," MPRA Paper 35252, University Library of Munich, Germany.
    27. Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto, 2019. "Realized Volatility Forecasting: Robustness to Measurement Errors," Econometrics Working Papers Archive 2019_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    28. Dong Hwan Oh & Andrew J. Patton, 2015. "High-Dimensional Copula-Based Distributions with Mixed Frequency Data," Finance and Economics Discussion Series 2015-50, Board of Governors of the Federal Reserve System (U.S.).
    29. Chaker, Selma, 2019. "The signal and the noise volatilities," Research in International Business and Finance, Elsevier, vol. 50(C), pages 79-105.
    30. Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
    31. Olkhov, Victor, 2018. "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper 89105, University Library of Munich, Germany.
    32. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics, MDPI, vol. 5(2), pages 1-24, April.
    33. Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Multiplicative Error Models," Econometrics Working Papers Archive 2011_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Apr 2011.
    34. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
    35. LeBaron, Blake, 2012. "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 424-445.
    36. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
    37. Politis, Dimitris N & Thomakos, Dimitrios D, 2008. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," University of California at San Diego, Economics Working Paper Series qt982208kx, Department of Economics, UC San Diego.
    38. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, World-Wide," PIER Working Paper Archive 08-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    39. Alizadeh, Amir H. & Huang, Chih-Yueh & Marsh, Ian W., 2021. "Modelling the volatility of TOCOM energy futures: A regime switching realised volatility approach," Energy Economics, Elsevier, vol. 93(C).
    40. Rizvi, Syed Kumail Abbas & Naqvi, Bushra, 2008. "Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan," MPRA Paper 19488, University Library of Munich, Germany.
    41. Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich.
    42. Amir Safari & Detlef Seese, 2010. "Behavior of realized volatility and correlation in exchange markets," International Econometric Review (IER), Econometric Research Association, vol. 2(2), pages 73-96, September.
    43. Victor Olkhov, 2022. "Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model," Papers 2204.07506, arXiv.org, revised Mar 2024.
    44. Victor Olkhov, 2022. "Market-Based Price Autocorrelation," Papers 2202.09323, arXiv.org, revised Feb 2024.
    45. Huisman, Ronald & Van der Sar, Nico L. & Zwinkels, Remco C.J., 2021. "Volatility expectations and disagreement," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 379-393.
    46. Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
    47. Catania, Leopoldo & Grassi, Stefano, 2022. "Forecasting cryptocurrency volatility," International Journal of Forecasting, Elsevier, vol. 38(3), pages 878-894.
    48. Charlotte Christiansen & Maik Schmeling & Andreas Schrimpf, 2012. "A Comprehensive Look at Financial Volatility Prediction by Economic Variables," BIS Working Papers 374, Bank for International Settlements.
    49. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024.
    50. Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015. "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes," Journal of Econometrics, Elsevier, vol. 187(1), pages 293-311.
    51. Haakon Kavli & Kevin Kotzé, 2014. "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 209-238, June.
    52. Abadir, Karim M. & Luati, Alessandra & Paruolo, Paolo, 2023. "GARCH density and functional forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 470-483.
    53. Irving Arturo De Lira Salvatierra & Andrew J. Patton, 2013. "Dynamic Copula Models and High Frequency Data," Working Papers 13-28, Duke University, Department of Economics.
    54. Liu, Jing & Ma, Feng & Zhang, Yaojie, 2019. "Forecasting the Chinese stock volatility across global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 466-477.
    55. Louzis, Dimitrios P. & Xanthopoulos-Sisinis, Spyros & Refenes, Apostolos P., 2014. "Realized volatility models and alternative Value-at-Risk prediction strategies," Economic Modelling, Elsevier, vol. 40(C), pages 101-116.
    56. Luc, BAUWENS & Genaro, SUCARRAT, 2006. "General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation," Discussion Papers (ECON - Département des Sciences Economiques) 2006013, Université catholique de Louvain, Département des Sciences Economiques.
    57. Marina Theodosiou, 2010. "Calendar Time Sampling of High Frequency Financial Asset Price and the Verdict on Jumps," Working Papers 2010-7, Central Bank of Cyprus.
    58. Bollerslev, Tim & Medeiros, Marcelo C. & Patton, Andrew J. & Quaedvlieg, Rogier, 2022. "From zero to hero: Realized partial (co)variances," Journal of Econometrics, Elsevier, vol. 231(2), pages 348-360.
    59. Timmermann, Allan, 2018. "Forecasting Methods in Finance," CEPR Discussion Papers 12692, C.E.P.R. Discussion Papers.
    60. Andres, P. & Harvey, A., 2012. "The Dyanamic Location/Scale Model: with applications to intra-day financial data," Cambridge Working Papers in Economics 1240, Faculty of Economics, University of Cambridge.
    61. Farmer, J. Doyne & Kleinnijenhuis, Alissa & Wetzer, Thom & Aymanns, Christopher, 2018. "Models of Financial Stability and Their Application in Stress Tests," INET Oxford Working Papers 2018-06, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
    62. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    63. Becker, R. & Clements, A.E. & Doolan, M.B. & Hurn, A.S., 2015. "Selecting volatility forecasting models for portfolio allocation purposes," International Journal of Forecasting, Elsevier, vol. 31(3), pages 849-861.
    64. Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
    65. Lux, Thomas & Morales-Arias, Leonardo & Sattarhoff, Cristina, 2011. "A Markov-switching multifractal approach to forecasting realized volatility," Kiel Working Papers 1737, Kiel Institute for the World Economy (IfW Kiel).
    66. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
    67. Cristina Sattarhoff & Marc Gronwald, 2018. "How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market," CESifo Working Paper Series 7102, CESifo.
    68. Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers 2013.62, Fondazione Eni Enrico Mattei.
    69. Steffen Henzel & Malte Rengel, 2013. "Dimensions of macroeconomic uncertainty: A common factor analysis," ifo Working Paper Series 167, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    70. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707.
    71. Ewing, Bradley T. & Malik, Farooq, 2017. "Modelling asymmetric volatility in oil prices under structural breaks," Energy Economics, Elsevier, vol. 63(C), pages 227-233.
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    218. Manner, Hans & Reznikova, Olga, 2010. "Forecasting international stock market correlations: does anything beat a CCC?," Discussion Papers in Econometrics and Statistics 7/10, University of Cologne, Institute of Econometrics and Statistics.

  4. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Ginger Wu, 2006. "Realized Beta: Persistence and Predictability," Advances in Econometrics, in: Econometric Analysis of Financial and Economic Time Series, pages 1-39, Emerald Group Publishing Limited.
    See citations under working paper version above.
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