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Citations for "Power and bipower variation with stochastic volatility and jumps"

by Neil Shephard & Ole E. Barndorff-Nielsen

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  1. Benoît Sévi & César Baena, 2012. "A reassessment of the risk-return tradeoff at the daily horizon," Economics Bulletin, AccessEcon, vol. 32(1), pages 190-203.
  2. Li, Jia & Todorov, Viktor & Tauchen, George, 2016. "Inference theory for volatility functional dependencies," Journal of Econometrics, Elsevier, vol. 193(1), pages 17-34.
  3. Hellström, Jörgen & Lönnbark, Carl, 2011. "Identi�cation of jumps in �financial price series," MPRA Paper 30977, University Library of Munich, Germany.
  4. Vortelinos, Dimitrios I., 2015. "Out-of-sample evaluation of macro announcements, linearity, long memory, heterogeneity and jumps in mini-futures markets," Review of Financial Economics, Elsevier, vol. 27(C), pages 58-67.
  5. Asgharian, Hossein & Nossman, Marcus, 2011. "Risk contagion among international stock markets," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 22-38, February.
  6. Benoît Sévi, 2014. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Working Papers 2014-602, Department of Research, Ipag Business School.
  7. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," Global COE Hi-Stat Discussion Paper Series gd08-032, Institute of Economic Research, Hitotsubashi University.
  8. M. Podolskij & D. Ziggel, 2010. "New tests for jumps in semimartingale models," Statistical Inference for Stochastic Processes, Springer, vol. 13(1), pages 15-41, April.
  9. Mancini, Cecilia & Renò, Roberto, 2011. "Threshold estimation of Markov models with jumps and interest rate modeling," Journal of Econometrics, Elsevier, vol. 160(1), pages 77-92, January.
  10. Torben G. Andersen & Tim Bollerslev & 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," PIER Working Paper Archive 03-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Sep 2003.
  11. Jiang, George J. & Oomen, Roel C.A., 2008. "Testing for jumps when asset prices are observed with noise-a "swap variance" approach," Journal of Econometrics, Elsevier, vol. 144(2), pages 352-370, June.
  12. 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.
  13. 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.
  14. Francesco Audrino & Yujia Hu, 2016. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Econometrics, MDPI, Open Access Journal, vol. 4(1), pages 8, February.
  15. 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.
  16. Ulrich Hounyo, 2013. "Bootstrapping realized volatility and realized beta under a local Gaussianity assumption," CREATES Research Papers 2013-30, Department of Economics and Business Economics, Aarhus University.
  17. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.).
  18. Frömmel, Michael & Han, Xing & Kratochvil, Stepan, 2014. "Modeling the daily electricity price volatility with realized measures," Energy Economics, Elsevier, vol. 44(C), pages 492-502.
  19. Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2013. "Does Realized Skewness Predict the Cross-Section of Equity Returns?," CREATES Research Papers 2013-41, Department of Economics and Business Economics, Aarhus University.
  20. Thibault Vatter & Hau-Tieng Wu & Valérie Chavez-Demoulin & Bin Yu, 2015. "Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality," Econometrics, MDPI, Open Access Journal, vol. 3(4), pages 864, December.
  21. 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.
  22. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers 10914, National Bureau of Economic Research, Inc.
  23. Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev, 2007. "No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications," NBER Working Papers 12963, National Bureau of Economic Research, Inc.
  24. Hecq Alain & Laurent Sébastien & Palm Franz, 2011. "Common intraday periodicity," Research Memorandum 010, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  25. Maheu, John M. & McCurdy, Thomas H., 2011. "Do high-frequency measures of volatility improve forecasts of return distributions?," Journal of Econometrics, Elsevier, vol. 160(1), pages 69-76, January.
  26. 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.
  27. Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2008. "Quantile forecasts of daily exchange rate returns from forecasts of realized volatility," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 729-750, September.
  28. repec:dau:papers:123456789/11155 is not listed on IDEAS
  29. Pirino, Davide, 2009. "Jump detection and long range dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1150-1156.
  30. Harry-Paul Vander Elst, 2015. "FloGARCH: Realizing Long Memory and Asymmetries in Returns Valitility," Working Papers ECARES ECARES 2015-12, ULB -- Universite Libre de Bruxelles.
  31. Evans, Kevin P., 2011. "Intraday jumps and US macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2511-2527, October.
  32. Tim Bollerslev & Viktor Todorov, 2011. "Tails, Fears, and Risk Premia," Journal of Finance, American Finance Association, vol. 66(6), pages 2165-2211, December.
  33. Chun Liu & John M. Maheu, 2008. "Are There Structural Breaks in Realized Volatility?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(3), pages 326-360, Summer.
  34. Wang, Hao & Yue, Mengqi & Zhao, Hua, 2015. "Cojumps in China's spot and stock index futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 541-557.
  35. repec:gam:jecnmx:v:4:y:2016:i:1:p:8:d:64253 is not listed on IDEAS
  36. González-Urteaga, Ana & Muga, Luis & Santamaria, Rafael, 2015. "Momentum and default risk. Some results using the jump component," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 185-193.
  37. repec:ipg:wpaper:2014-565 is not listed on IDEAS
  38. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
  39. Ghysels, Eric & Sohn, Bumjean, 2009. "Which power variation predicts volatility well?," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 686-700, September.
  40. Mardi Dungey & Matteo Luciani & David Veredas, 2012. "Ranking Systemically Important Financial Institutions," Tinbergen Institute Discussion Papers 12-115/IV/DSF44, Tinbergen Institute.
  41. Atak, Alev & Kapetanios, George, 2013. "A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors," Economics Letters, Elsevier, vol. 120(2), pages 224-228.
  42. José Gonzalo Rangel, 2009. "Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics," Working Papers 2009-15, Banco de México.
  43. Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2007. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," International Finance Discussion Papers 905, Board of Governors of the Federal Reserve System (U.S.).
  44. Vetter, Mathias & Podolskij, Mark, 2006. "Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps," Technical Reports 2006,51, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  45. Markus Bibinger & Mathias Vetter, 2015. "Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(4), pages 707-743, August.
  46. 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.
  47. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2015. "Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting," CREATES Research Papers 2015-14, Department of Economics and Business Economics, Aarhus University.
  48. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Which continuous-time model is most appropriate for exchange rates?," Working Papers 2013-024, Federal Reserve Bank of St. Louis.
  49. Benjamin Y. Zhang & Hao Zhou & Haibin Zhu, 2005. "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series 2005-63, Board of Governors of the Federal Reserve System (U.S.).
  50. Bregantini, Daniele, 2013. "Moment-based estimation of stochastic volatility," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4755-4764.
  51. Christian T. Brownlees & Giampiero M. Gallo, 2010. "Comparison of Volatility Measures: a Risk Management Perspective," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(1), pages 29-56, Winter.
  52. Ole E. Barndorff-Nielsen & Sven Erik Graversen & Jean Jacod & Neil Shephard, 2005. "Limit theorems for bipower variation in financial econometrics," Economics Papers 2005-W06, Economics Group, Nuffield College, University of Oxford.
  53. Carla Ysusi, 2007. "Multipower Variation Under Market Microstructure Effects," Working Papers 2007-13, Banco de México.
  54. Dimitrios P. Louzis & Spyros Xanthopoulos‐Sisinis & Apostolos P. Refenes, 2013. "The Role of High‐Frequency Intra‐daily Data, Daily Range and Implied Volatility in Multi‐period Value‐at‐Risk Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 561-576, 09.
  55. Ye, Xu-Guo & Lin, Jin-Guan & Zhao, Yan-Yong & Hao, Hong-Xia, 2015. "Two-step estimation of the volatility functions in diffusion models with empirical applications," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 135-159.
  56. Ruiz, Esther & Hotta, Luiz & Trucíos, Carlos, 2015. "Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws1523, Universidad Carlos III de Madrid. Departamento de Estadística.
  57. Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011. "The Identification of Price Jumps," CERGE-EI Working Papers wp434, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  58. repec:dau:papers:123456789/11156 is not listed on IDEAS
  59. Tomas Krehlik & Jozef Barunik, 2016. "Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets," Papers 1603.07020, arXiv.org.
  60. Çelik, Sibel & Ergin, Hüseyin, 2014. "Volatility forecasting using high frequency data: Evidence from stock markets," Economic Modelling, Elsevier, vol. 36(C), pages 176-190.
  61. Liu, Jia & Maheu, John M, 2015. "Improving Markov switching models using realized variance," MPRA Paper 71120, University Library of Munich, Germany.
  62. 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.
  63. Bollerslev, Tim & Law, Tzuo Hann & Tauchen, George, 2008. "Risk, jumps, and diversification," Journal of Econometrics, Elsevier, vol. 144(1), pages 234-256, May.
  64. Federico M. Bandi & Roberto Reno, 2009. "Nonparametric Stochastic Volatility," Global COE Hi-Stat Discussion Paper Series gd08-035, Institute of Economic Research, Hitotsubashi University.
  65. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "Long Memory and Tail dependence in Trading Volume and Volatility," CREATES Research Papers 2009-30, Department of Economics and Business Economics, Aarhus University.
  66. Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," CREATES Research Papers 2007-22, Department of Economics and Business Economics, Aarhus University.
  67. Bent Jesper Christensen & Rasmus T. Varneskov, 2016. "Dynamic Global Currency Hedging," CREATES Research Papers 2016-03, Department of Economics and Business Economics, Aarhus University.
  68. Jan Novotny, 2010. "Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis," CERGE-EI Working Papers wp412, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  69. 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.
  70. Gabriel P. Mathy, 2014. "Uncertainty Shocks and Equity Return Jumps and Volatility During the Great Depression," Working Papers 2014-02, American University, Department of Economics.
  71. Sharma, Prateek & Vipul,, 2016. "Forecasting stock market volatility using Realized GARCH model: International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 222-230.
  72. Bekaert, Geert & Hoerova, Marie, 2014. "The VIX, the variance premium and stock market volatility," Working Paper Series 1675, European Central Bank.
  73. Fulvio Corsi & Davide Pirino & Roberto Reno, 2009. "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series gd08-036, Institute of Economic Research, Hitotsubashi University.
  74. Valentina Corradi & Norman Swanson & Walter Distaso, 2006. "Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures," Departmental Working Papers 200620, Rutgers University, Department of Economics.
  75. Dimitrios Louzis & Spyros Xanthopoulos-Sisinis & Apostolos Refenes, 2011. "Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility," Post-Print hal-00709559, HAL.
  76. 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.
  77. Degiannakis, Stavros & Livada, Alexandra, 2013. "Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors," MPRA Paper 67968, University Library of Munich, Germany.
  78. 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.
  79. Lena Kleanthous & Pany Karamanou, 2011. "The ECB Monetary Policy and the Current Financial Crisis," Working Papers 2011-1, Central Bank of Cyprus.
  80. Norman R. Swanson & Valentina Corradi & Walter Distaso, 2011. "Predictive Inference for Integrated Volatility," Departmental Working Papers 201109, Rutgers University, Department of Economics.
  81. Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2011. "Realized Laplace transforms for estimation of jump diffusive volatility models," Journal of Econometrics, Elsevier, vol. 164(2), pages 367-381, October.
  82. Christopher F. Baum & Mustafa Caglayan & Oleksandr Talavera, 2010. "On the sensitivity of firms' investment to cash flow and uncertainty," Oxford Economic Papers, Oxford University Press, vol. 62(2), pages 286-306, April.
  83. David F. Hendry & Grayham E. Mizon, 2013. "Unpredictability in Economic Analysis, Econometric Modeling and Forecasting," Economics Papers 2013-W04, Economics Group, Nuffield College, University of Oxford.
  84. Tauchen, George & Zhou, Hao, 2011. "Realized jumps on financial markets and predicting credit spreads," Journal of Econometrics, Elsevier, vol. 160(1), pages 102-118, January.
  85. Lam, K.P. & Ng, H.S., 2009. "Intra-daily information of range-based volatility for MEM-GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2625-2632.
  86. Avouyi-Dovi, Sanvi & Idier, Julien, 2012. "The impact of unconventional monetary policy on the market for collateral: The case of the French bond market," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 428-438.
  87. 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.
  88. repec:lan:wpaper:3324 is not listed on IDEAS
  89. Yang-Ho Park & Nicole Abruzzo, 2016. "An Empirical Analysis of Futures Margin Changes: Determinants and Policy Implications," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(1), pages 65-100, February.
  90. Slim, Skander & Dahmene, Meriam, 2016. "Asymmetric information, volatility components and the volume–volatility relationship for the CAC40 stocks," Global Finance Journal, Elsevier, vol. 29(C), pages 70-84.
  91. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012. "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
  92. Ole Barndorff-Nielsen & Svend Erik Graversen & Jean Jacod & Mark Podolskij & Neil Shephard, 2004. "A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales," Economics Papers 2004-W29, Economics Group, Nuffield College, University of Oxford.
  93. Figueroa-López, José E. & Nisen, Jeffrey, 2013. "Optimally thresholded realized power variations for Lévy jump diffusion models," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2648-2677.
  94. Espinosa, Fernando & Vives, Josep, 2006. "A volatility-varying and jump-diffusion Merton type model of interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 157-166, February.
  95. Zdravetz Lazarov, 2005. "Assesing the Economic Significance of the Intra-daily Volatility Seasonalities," School of Economics and Finance Discussion Papers and Working Papers Series 203, School of Economics and Finance, Queensland University of Technology.
  96. Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Journal of Econometrics, Elsevier, vol. 159(2), pages 276-288, December.
  97. Hao Zhou & Tim Bollerslev & Michael S. Gibson, 2005. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  98. Gael M. Martin & Andrew Reidy & Jill Wright, 2007. "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?," Monash Econometrics and Business Statistics Working Papers 5/07, Monash University, Department of Econometrics and Business Statistics.
  99. Neil Shephard, 2005. "Stochastic volatility," Economics Series Working Papers 2005-W17, University of Oxford, Department of Economics.
  100. Todorov, Viktor, 2009. "Estimation of continuous-time stochastic volatility models with jumps using high-frequency data," Journal of Econometrics, Elsevier, vol. 148(2), pages 131-148, February.
  101. Yusaku Nishimura & Ming Men, 2010. "The paradox of China's international stock market co-movement: Evidence from volatility spillover effects between China and G5 stock markets," Journal of Chinese Economic and Foreign Trade Studies, Emerald Group Publishing, vol. 3(3), pages 235-253, December.
  102. 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.
  103. Neda Todorova & Michael Soucek & Eduardo Roca, 2015. "Volatility spillovers from international commodity markets to the Australian equity market," Discussion Papers in Finance finance:201505, Griffith University, Department of Accounting, Finance and Economics.
  104. Jan Novotny, 2010. "Were Stocks during the Financial Crisis More Jumpy: A Comparative Study," CERGE-EI Working Papers wp416, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  105. Jin-Huei Yeh & Jying-Nan Wang & Chung-Ming Kuan, 2014. "A noise-robust estimator of volatility based on interquantile ranges," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 751-779, November.
  106. Podolskij, Mark & Vetter, Mathias, 2009. "Bipower-type estimation in a noisy diffusion setting," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2803-2831, September.
  107. Finbarr Murphy & Ehud Ronn, 2015. "The valuation and information content of options on crude-oil futures contracts," Review of Derivatives Research, Springer, vol. 18(2), pages 95-106, July.
  108. Fiszeder, Piotr & Perczak, Grzegorz, 2016. "Low and high prices can improve volatility forecasts during periods of turmoil," International Journal of Forecasting, Elsevier, vol. 32(2), pages 398-410.
  109. Tim Bollerslev & Viktor Todorov, 2010. "Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns," CREATES Research Papers 2010-64, Department of Economics and Business Economics, Aarhus University.
  110. Ole E. Barndorff-Nielsen & Neil Shephard & Matthias Winkel, 2005. "Limit theorems for multipower variation in the presence of jumps," Economics Papers 2005-W07, Economics Group, Nuffield College, University of Oxford.
  111. 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.
  112. Creal, Drew D., 2008. "Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2863-2876, February.
  113. Nima Nonejad, 2013. "A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory," CREATES Research Papers 2013-24, Department of Economics and Business Economics, Aarhus University.
  114. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
  115. Song, Zhaogang, 2011. "A martingale approach for testing diffusion models based on infinitesimal operator," Journal of Econometrics, Elsevier, vol. 162(2), pages 189-212, June.
  116. John Elder, Hong Miao, and Sanjay Ramchander, 2013. "Jumps in Oil Prices: The Role of Economic News," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  117. Torben B. Rasmussen, 2009. "Jump Testing and the Speed of Market Adjustment," CREATES Research Papers 2009-08, Department of Economics and Business Economics, Aarhus University.
  118. Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa, 2009. "Empirical evidence on jumps in the term structure of the US Treasury Market," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 430-445, June.
  119. Inekwe John Nkwoma, 2014. "Business Cycle Variability and Growth Linkage," Monash Economics Working Papers 38-14, Monash University, Department of Economics.
  120. Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely & Franz C. Palm, 2007. "Central bank intervention and exchange rate volatility, its continuous and jump components," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 201-223.
  121. GARCIA, René & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," CORE Discussion Papers 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  122. 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.
  123. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
  124. 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.
  125. Diep Duong & Norman Swanson, 2013. "Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction," Departmental Working Papers 201321, Rutgers University, Department of Economics.
  126. Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003. "Power variation & stochastic volatility: a review and some new results," Economics Papers 2003-W19, Economics Group, Nuffield College, University of Oxford.
  127. Benoît Sévi, 2014. "Forecasting the volatility of crude oil futures using intraday data," Working Papers 2014-53, Department of Research, Ipag Business School.
  128. Tim Bollerslev & Viktor Todorov, 2010. "Estimation of Jump Tails," CREATES Research Papers 2010-16, Department of Economics and Business Economics, Aarhus University.
  129. Marcelo Fernandes & Deniz Igan & Marcelo Pinheiro, 2015. "March Madness in Wall Street; (What) Does the Market Learn from Stress Tests?," IMF Working Papers 15/271, International Monetary Fund.
  130. Jondeau, Eric & Lahaye, Jérôme & Rockinger, Michael, 2015. "Estimating the price impact of trades in a high-frequency microstructure model with jumps," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages S205-S224.
  131. Michael Creel & Dennis Kristensen, 2014. "ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models," CREATES Research Papers 2014-30, Department of Economics and Business Economics, Aarhus University.
  132. repec:lan:wpaper:592830 is not listed on IDEAS
  133. Thierry Ane & Carole Metais, 2010. "Jump Distribution Characteristics: Evidence from European Stock Markets," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 9(1), pages 1-22, April.
  134. 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.
  135. Wang, Fangfang, 2014. "Optimal design of Fourier estimator in the presence of microstructure noise," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 708-722.
  136. Gnabo, Jean-Yves & Hvozdyk, Lyudmyla & Lahaye, Jérôme, 2014. "System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 147-174.
  137. Hynek Lavicka & Tomas Lichard & Jan Novotny, 2014. "Sand in the Wheels or Wheels in the Sand? Tobin Taxes and Market Crashes," CERGE-EI Working Papers wp511, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  138. Shin Kanaya & Taisuke Otsu, 2011. "Large Deviations of Realized Volatility," Cowles Foundation Discussion Papers 1798, Cowles Foundation for Research in Economics, Yale University.
  139. Ana-Maria Fuertes & Elena Kalotychou & Natasa Todorovic, 2015. "Daily volume, intraday and overnight returns for volatility prediction: profitability or accuracy?," Review of Quantitative Finance and Accounting, Springer, vol. 45(2), pages 251-278, August.
  140. Kim Christensen & Mark Podolskij & Mathias Vetter, 2009. "Bias-correcting the realized range-based variance in the presence of market microstructure noise," Finance and Stochastics, Springer, vol. 13(2), pages 239-268, April.
  141. Elezovic, Suad, 2009. "Functional modelling of volatility in the Swedish limit order book," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2107-2118, April.
  142. Carla Ysusi, 2006. "Estimating Integrated Volatility Using Absolute High-Frequency Returns," Working Papers 2006-13, Banco de México.
  143. Ozcan Ceylan, 2015. "Limited information-processing capacity and asymmetric stock correlations," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1031-1039, June.
  144. Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 1-23, March.
  145. George J. 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.
  146. Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, Department of Economics and Business Economics, Aarhus University.
  147. 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.
  148. Huang, Henry H. & Wang, Kent & Wang, Zhanglong, 2016. "A test of efficiency for the S&P 500 index option market using the generalized spectrum method," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 52-70.
  149. Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
  150. Yeh, Jin-Huei & Chen, Lien-Chuan, 2014. "Stabilizing the market with short sale constraint? New evidence from price jump activities," Finance Research Letters, Elsevier, vol. 11(3), pages 238-246.
  151. 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) 11112, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  152. Yoann Potiron, 2016. "Estimating the Integrated Parameter of the Locally Parametric Model in High-Frequency Data," Papers 1603.05700, arXiv.org.
  153. Hwang, Eunju & Shin, Dong Wan, 2014. "A bootstrap test for jumps in financial economics," Economics Letters, Elsevier, vol. 125(1), pages 74-78.
  154. Viktor Todorov & George Tauchen & Iaryna Grynkiv, 2011. "Volatility Activity: Specification and Estimation," Working Papers 11-23, Duke University, Department of Economics.
  155. Venter, J.H. & de Jongh, P.J., 2014. "Extended stochastic volatility models incorporating realised measures," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 687-707.
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  157. Patton, Andrew J., 2011. "Data-based ranking of realised volatility estimators," Journal of Econometrics, Elsevier, vol. 161(2), pages 284-303, April.
  158. Neil Shephard & Ole E. Barndorff-Nielsen, 2004. "Multipower Variation and Stochastic Volatility," Economics Series Working Papers 2004-FE-22, University of Oxford, Department of Economics.
  159. 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.
  160. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2006. "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Working Papers 1188, Queen's University, Department of Economics.
  161. Valenzuela, Marcela & Zer, Ilknur & Fryzlewicz, Piotr & Rheinländer, Thorsten, 2015. "Relative liquidity and future volatility," Journal of Financial Markets, Elsevier, vol. 24(C), pages 25-48.
  162. Todorova, Neda, 2015. "The course of realized volatility in the LME non-ferrous metal market," Economic Modelling, Elsevier, vol. 51(C), pages 1-12.
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  164. Piotr Fiszeder & Grzegorz Perczak, 2013. "A new look at variance estimation based on low, high and closing prices taking into account the drift," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(4), pages 456-481, November.
  165. 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.
  166. Zhi Liu, 2016. "Estimating integrated co-volatility with partially miss-ordered high frequency data," Statistical Inference for Stochastic Processes, Springer, vol. 19(2), pages 175-197, July.
  167. Haugom, Erik & Ullrich, Carl J., 2012. "Forecasting spot price volatility using the short-term forward curve," Energy Economics, Elsevier, vol. 34(6), pages 1826-1833.
  168. Cartea, Álvaro & Karyampas, Dimitrios, 2009. "The relationship between the volatility of returns and the number of jumps in financial markets," DEE - Working Papers. Business Economics. WB wb097508, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  169. Taamouti, Abderrahim & García, René & Dufour, Jean-Marie, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
  170. Walter Distaso & Basel Awartani & Valentina Corradi, 2004. "Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average," Econometric Society 2004 Australasian Meetings 273, Econometric Society.
  171. Guido Russi, 2012. "Estimating the Leverage Effect Using High Frequency Data," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 1-24, February.
  172. Wu, Liuren, 2011. "Variance dynamics: Joint evidence from options and high-frequency returns," Journal of Econometrics, Elsevier, vol. 160(1), pages 280-287, January.
  173. 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.
  174. Benoît Sévi & César Baena, 2013. "The explanatory power of signed jumps for the risk-return tradeoff," Economics Bulletin, AccessEcon, vol. 33(2), pages 1029-1046.
  175. Wang, Chengyang & Nishiyama, Yoshihiko, 2015. "Volatility forecast of stock indices by model averaging using high-frequency data," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 324-337.
  176. Nirei, Makoto & Sushko, Vladyslav, 2011. "Jumps in foreign exchange rates and stochastic unwinding of carry trades," International Review of Economics & Finance, Elsevier, vol. 20(1), pages 110-127, January.
  177. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working Papers 0905, University of Nevada, Las Vegas , Department of Economics.
  178. Benoît Sévi & César Baena, 2011. "Brownian motion vs. pure-jump processes for individual stocks," Economics Bulletin, AccessEcon, vol. 31(4), pages 3138-3152.
  179. Giot, Pierre & Laurent, Sébastien & Petitjean, Mikael, 2010. "Trading activity, realized volatility and jumps," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 168-175, January.
  180. Peter Christoffersen & Bruno Feunou & Yoontae Jeon, 2014. "Option Valuation with Observable Volatility and Jump Dynamics," CREATES Research Papers 2015-07, Department of Economics and Business Economics, Aarhus University.
  181. Todorov, Viktor, 2011. "Econometric analysis of jump-driven stochastic volatility models," Journal of Econometrics, Elsevier, vol. 160(1), pages 12-21, January.
  182. Liu, Cheng & Tang, Cheng Yong, 2014. "A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data," Journal of Econometrics, Elsevier, vol. 180(2), pages 217-232.
  183. Maciej Kostrzewski, 2014. "Bayesian DEJD model and detection of asymmetric jumps," Papers 1404.2050, arXiv.org.
  184. Hung, Jui-Cheng, 2015. "Evaluation of realized multi-power variations in minimum variance hedging," Economic Modelling, Elsevier, vol. 51(C), pages 672-679.
  185. Ole E. Barndorff-Nielsen & Silja Kinnebrock & Neil Shephard, 2008. "Measuring downside risk - realised semivariance," OFRC Working Papers Series 2008fe01, Oxford Financial Research Centre.
  186. Dimitrios I. Vortelinos, 2015. "The Effect of Macro News on Volatility and Jumps," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 425-447, November.
  187. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
  188. 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.
  189. 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.
  190. Ubukata, Masato & Watanabe, Toshiaki, 2015. "Evaluating the performance of futures hedging using multivariate realized volatility," Journal of the Japanese and International Economies, Elsevier, vol. 38(C), pages 148-171.
  191. Gonçalves, Sílvia & Meddahi, Nour, 2011. "Box-Cox transforms for realized volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 129-144, January.
  192. Dumitru, Ana-Maria & Urga, Giovanni, 2016. "Jumps and Information Asymmetry in the US Treasury Market," EconStor Preprints 130148, ZBW - German National Library of Economics.
  193. Ullrich, Carl J., 2012. "Realized volatility and price spikes in electricity markets: The importance of observation frequency," Energy Economics, Elsevier, vol. 34(6), pages 1809-1818.
  194. Wu, Feng & Myers, Robert J. & Guan, Zhengfei & Wang, Zhiguang, 2015. "Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 260-274.
  195. Charles S. Bos & Pawel Janus & Siem Jan Koopman, 2009. "Spot Variance Path Estimation and its Application to High Frequency Jump Testing," Tinbergen Institute Discussion Papers 09-110/4, Tinbergen Institute.
  196. Souček, Michael & Todorova, Neda, 2014. "Realized volatility transmission: The role of jumps and leverage effects," Economics Letters, Elsevier, vol. 122(2), pages 111-115.
  197. Vuorenmaa, Tommi A., 2008. "Decimalization, Realized Volatility, and Market Microstructure Noise," MPRA Paper 8692, University Library of Munich, Germany.
  198. 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.
  199. Chun Liu & John M Maheu, 2008. "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers tecipa-313, University of Toronto, Department of Economics.
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  201. Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
  202. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2013. "Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals," Working Papers on Finance 1318, University of St. Gallen, School of Finance.
  203. Abramov, Vyacheslav & Klebaner, Fima, 2006. "Forecasting and testing a non-constant volatility," MPRA Paper 207, University Library of Munich, Germany.
  204. Martin L. Scholtus & Dick van Dijk & Bart Frijns, 2012. "Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements," Tinbergen Institute Discussion Papers 12-121/III, Tinbergen Institute.
  205. Baruník, Jozef & Hlínková, Michaela, 2016. "Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression," Economic Modelling, Elsevier, vol. 54(C), pages 503-514.
  206. Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2015. "Collective synchronization and high frequency systemic instabilities in financial markets," Papers 1505.00704, arXiv.org.
  207. 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.
  208. 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.
  209. 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.
  210. Yacine Aït-Sahalia & Jean Jacod, 2012. "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," Journal of Economic Literature, American Economic Association, vol. 50(4), pages 1007-50, December.
  211. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers 2014-29, Department of Economics and Business Economics, Aarhus University.
  212. Mehmet Balcilar & Matteo Bonato & Riza Demirer & Rangan Gupta, 2016. "The Effect of Investor Sentiment on Gold Market Dynamics," Working Papers 201638, University of Pretoria, Department of Economics.
  213. Cui, Jing & Zhao, Hua, 2015. "Intraday jumps in China's Treasury bond market and macro news announcements," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 211-223.
  214. Bollerslev, Tim & Todorov, Viktor, 2014. "Time-varying jump tails," Journal of Econometrics, Elsevier, vol. 183(2), pages 168-180.
  215. Park, Yang-Ho, 2015. "Volatility-of-volatility and tail risk hedging returns," Journal of Financial Markets, Elsevier, vol. 26(C), pages 38-63.
  216. Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Villupuram, Sriram, 2014. "Currency jumps, cojumps and the role of macro news," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 42-62.
  217. Li, Gang & Zhang, Chu, 2016. "On the relationship between conditional jump intensity and diffusive volatility," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 196-213.
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  219. Anderson, Heather M. & Vahid, Farshid, 2007. "Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 76-90, January.
  220. Bjursell, Johan & Gentle, James E. & Wang, George H.K., 2015. "Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets," Energy Economics, Elsevier, vol. 48(C), pages 336-349.
  221. Lanne, Markku, 2007. "Forecasting realized exchange rate volatility by decomposition," International Journal of Forecasting, Elsevier, vol. 23(2), pages 307-320.
  222. 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.
  223. El Ouadghiri, Imane & Uctum, Remzi, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Economic Modelling, Elsevier, vol. 54(C), pages 218-234.
  224. Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas, 2016. "Modeling and forecasting exchange rate volatility in time-frequency domain," European Journal of Operational Research, Elsevier, vol. 251(1), pages 329-340.
  225. Karyampas, Dimitrios & Cartea, Álvaro, 2009. "Volatility and covariation of financial assets: a high-frequency analysis," DEE - Working Papers. Business Economics. WB wb097609, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  226. Fulvio Corsi & Roberto Renò, 2012. "Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 368-380, January.
  227. Preve, Daniel, 2015. "Linear programming-based estimators in nonnegative autoregression," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages S225-S234.
  228. Bandi, F.M. & Renò, R., 2016. "Price and volatility co-jumps," Journal of Financial Economics, Elsevier, vol. 119(1), pages 107-146.
  229. Christensen, Kim & Podolskij, Mark, 2007. "Realized range-based estimation of integrated variance," Journal of Econometrics, Elsevier, vol. 141(2), pages 323-349, December.
  230. José Figueroa-López, 2012. "Statistical estimation of Lévy-type stochastic volatility models," Annals of Finance, Springer, vol. 8(2), pages 309-335, May.
  231. Tseng, Tseng-Chan & Lee, Chien-Chiang & Chen, Mei-Ping, 2015. "Volatility forecast of country ETF: The sequential information arrival hypothesis," Economic Modelling, Elsevier, vol. 47(C), pages 228-234.
  232. Clements, A.E. & Hurn, A.S. & Volkov, V.V., 2015. "Volatility transmission in global financial markets," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 3-18.
  233. Ma, Feng & Wei, Yu & Huang, Dengshi & Chen, Yixiang, 2014. "Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 171-180.
  234. Yu, Jialin, 2007. "Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan," Journal of Econometrics, Elsevier, vol. 141(2), pages 1245-1280, December.
  235. Qu, Hui & Chen, Wei & Niu, Mengyi & Li, Xindan, 2016. "Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models," Energy Economics, Elsevier, vol. 54(C), pages 68-76.
  236. Douglas G. Santos & Flavio A. Ziegelmann, 2014. "Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(4), pages 284-299, 07.
  237. Carla Ysusi, 2006. "Detecting Jumps in High-Frequency Financial Series Using Multipower Variation," Working Papers 2006-10, Banco de México.
  238. Imane El Ouadghiri & Remzi Uctum, 2015. "Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets," EconomiX Working Papers 2015-14, University of Paris West - Nanterre la Défense, EconomiX.
  239. Dimitrios Karyampas & Paola Paiardini, 2011. "Probability of Informed Trading and Volatility for an ETF," Birkbeck Working Papers in Economics and Finance 1101, Birkbeck, Department of Economics, Mathematics & Statistics.
  240. 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.
  241. Fang, Yan & Ielpo, Florian & Sévi, Benoît, 2012. "Empirical bias in intraday volatility measures," Finance Research Letters, Elsevier, vol. 9(4), pages 231-237.
  242. Bee, Marco & Dupuis, Debbie J. & Trapin, Luca, 2016. "Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 86-99.
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  244. Cuchiero, Christa & Teichmann, Josef, 2015. "Fourier transform methods for pathwise covariance estimation in the presence of jumps," Stochastic Processes and their Applications, Elsevier, vol. 125(1), pages 116-160.
  245. Vitali Alexeev & Mardi Dungey & Wenying Yao, 2016. "Continuous and Jump Betas: Implications for Portfolio Diversification," Econometrics, MDPI, Open Access Journal, vol. 4(2), pages 27, June.
  246. Bandi, Federico M. & Renò, Roberto, 2012. "Time-varying leverage effects," Journal of Econometrics, Elsevier, vol. 169(1), pages 94-113.
  247. Jia, Zhanliang & Cui, Meilan & Li, Handong, 2012. "Research on the relationship between the multifractality and long memory of realized volatility in the SSECI," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 740-749.
  248. Andras Fulop & Junye Li & Jun Yu, 2012. "Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach," Global COE Hi-Stat Discussion Paper Series gd12-264, Institute of Economic Research, Hitotsubashi University.
  249. Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan, 2016. "Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market," Energy Economics, Elsevier, vol. 56(C), pages 215-228.
  250. Baum, Christopher F. & Zerilli, Paola, 2016. "Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility," Energy Economics, Elsevier, vol. 53(C), pages 175-181.
  251. Avouyi-Dovi, S. & Idier, J., 2010. "Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market," Working papers 278, Banque de France.
  252. Visser, Marcel P., 2008. "Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure," MPRA Paper 11100, University Library of Munich, Germany.
  253. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor, 2015. "The risk premia embedded in index options," Journal of Financial Economics, Elsevier, vol. 117(3), pages 558-584.
  254. Fuess, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael, 2015. "Something in the Air: Information Density, News Surprises, and Price Jumps," Working Papers on Finance 1517, University of St. Gallen, School of Finance.
  255. Markku Lanne, 2006. "Forecasting Realized Volatility by Decomposition," Economics Working Papers ECO2006/20, European University Institute.
  256. Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013. "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper 63293, University Library of Munich, Germany, revised 10 Mar 2014.
  257. Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010. "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 74-98, November.
  258. Rosa, Carlo, 2014. "The high-frequency response of energy prices to U.S. monetary policy: Understanding the empirical evidence," Energy Economics, Elsevier, vol. 45(C), pages 295-303.
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  260. 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.
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  262. Garcia, René & Lewis, Marc-André & Pastorello, Sergio & Renault, Éric, 2011. "Estimation of objective and risk-neutral distributions based on moments of integrated volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 22-32, January.
  263. Jan Novotný & Jan Hanousek & Evžen Kočenda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
  264. Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
  265. Jonathan J. Reeves & Xuan Xie, 2014. "Forecasting stock return volatility at the quarterly frequency: an evaluation of time series approaches," Applied Financial Economics, Taylor & Francis Journals, vol. 24(5), pages 347-356, March.
  266. Boudt, Kris & Croux, Christophe & Laurent, Sébastien, 2011. "Robust estimation of intraweek periodicity in volatility and jump detection," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 353-367, March.
  267. 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.
  268. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR).
  269. David S. Bates, 2016. "How Crashes Develop: Intradaily Volatility and Crash Evolution," NBER Working Papers 22028, National Bureau of Economic Research, Inc.
  270. Tian, Shuairu & Hamori, Shigeyuki, 2015. "Modeling interest rate volatility: A Realized GARCH approach," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 158-171.
  271. Jawadi, Fredj & Louhichi, Waël & Idi Cheffou, Abdoulkarim, 2015. "Testing and modeling jump contagion across international stock markets: A nonparametric intraday approach," Journal of Financial Markets, Elsevier, vol. 26(C), pages 64-84.
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