38
H index
55
i10 index
11860
Citations
National Bureau of Economic Research (NBER) (50% share) | 38 H index 55 i10 index 11860 Citations RESEARCH PRODUCTION: 55 Articles 98 Papers 3 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Torben G. Andersen. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2020 | Adaptive Inference in Heteroskedastic Fractional Time Series Models. (2020). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2020-08. Full description at Econpapers || Download paper | |
2020 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12. Full description at Econpapers || Download paper | |
2021 | A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03. Full description at Econpapers || Download paper | |
2021 | The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
2020 | Exploring the Inflationary Effect of Oil Price Volatility in Africas Oil Exporting Countries. (2020). Adekunle, Ibrahim A ; George, Emmanuel O ; Ogede, Sina J. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/020. Full description at Econpapers || Download paper | |
2021 | Multifactorial analysis of the price formation in the terms of a risk-free rate. (2021). Radu, Iulian ; Anghel, Mdlina-Gabriela ; Anghelache, Constantin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(628):y:2021:i:3(628):p:33-44. Full description at Econpapers || Download paper | |
2021 | Preisvolatilität auf Agrarmärkten. (2021). Brummer, Bernhard. In: IAMO Discussion Papers. RePEc:ags:iamodp:310089. Full description at Econpapers || Download paper | |
2021 | Impact of rough stochastic volatility models on long-term life insurance pricing. (2021). Hainaut, Donatien ; Barbarin, Jerome ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021017. Full description at Econpapers || Download paper | |
2021 | Unpacking the black box of ICO white papers: a topic modeling approach. (2021). Torsin, Wouter ; Thewissen, James ; Shrestha, Prabal ; Pastwa, Anna M. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021018. Full description at Econpapers || Download paper | |
2021 | Modelación de la Volatilidad del Tipo de Cambio del Dólar en el Perú: Aplicación de los Modelos GARCH y EGARCH.. (2021). Alva, Victor Chung. In: Revista de Análisis Económico y Financiero. RePEc:alp:revaef:07-02. Full description at Econpapers || Download paper | |
2020 | Volatility Transmission between Oil Prices and Stock Prices as a New Source of Instability: Lessons from the UK Experience. (2020). Of, Dundee University ; Robertson, John . In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2020:p:217-223. Full description at Econpapers || Download paper | |
2021 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332. Full description at Econpapers || Download paper | |
2021 | Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587. Full description at Econpapers || Download paper | |
2020 | Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
2020 | Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479. Full description at Econpapers || Download paper | |
2021 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
2020 | Econophysics of Asset Price, Return and Multiple Expectations. (2019). Olkhov, Victor. In: Papers. RePEc:arx:papers:1901.05024. Full description at Econpapers || Download paper | |
2020 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper | |
2020 | Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077. Full description at Econpapers || Download paper | |
2021 | Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos. In: Papers. RePEc:arx:papers:1904.05312. Full description at Econpapers || Download paper | |
2021 | An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413. Full description at Econpapers || Download paper | |
2020 | Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144. Full description at Econpapers || Download paper | |
2020 | Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173. Full description at Econpapers || Download paper | |
2020 | Artificial intelligence approach to momentum risk-taking. (2019). Cherednik, Ivan. In: Papers. RePEc:arx:papers:1911.08448. Full description at Econpapers || Download paper | |
2020 | Revisiting the Epps effect using volume time averaging: An exercise in R. (2019). Gebbie, Tim ; Bukuru, Roger ; Chang, Patrick. In: Papers. RePEc:arx:papers:1912.02416. Full description at Econpapers || Download paper | |
2021 | Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228. Full description at Econpapers || Download paper | |
2020 | Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911. Full description at Econpapers || Download paper | |
2020 | Deep Learning for Asset Bubbles Detection. (2020). Marchal, Alexis ; Bashchenko, Oksana. In: Papers. RePEc:arx:papers:2002.06405. Full description at Econpapers || Download paper | |
2020 | Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849. Full description at Econpapers || Download paper | |
2021 | Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135. Full description at Econpapers || Download paper | |
2020 | A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics. (2020). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10194. Full description at Econpapers || Download paper | |
2020 | Investigating the influence Brexit had on Financial Markets, in particular the GBP/EUR exchange rate. (2020). Filletti, Michael. In: Papers. RePEc:arx:papers:2003.05895. Full description at Econpapers || Download paper | |
2020 | Where do we stand in cryptocurrencies economic research? A survey based on hybrid analysis. (2020). Fernandez Bariviera, Aurelio ; Merediz-Sola, Ignasi. In: Papers. RePEc:arx:papers:2003.09723. Full description at Econpapers || Download paper | |
2021 | Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062. Full description at Econpapers || Download paper | |
2021 | Time-varying volatility in Bitcoin market and information flow at minute-level frequency. (2020). Antulov-Fantulin, Nino ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2004.00550. Full description at Econpapers || Download paper | |
2021 | Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013. Full description at Econpapers || Download paper | |
2020 | Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015. Full description at Econpapers || Download paper | |
2021 | Clustering volatility regimes for dynamic trading strategies. (2020). Prakash, Arjun ; Menzies, Max ; James, Nick ; Francis, Gilad. In: Papers. RePEc:arx:papers:2004.09963. Full description at Econpapers || Download paper | |
2020 | A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400. Full description at Econpapers || Download paper | |
2020 | Temporal mixture ensemble models for intraday volume forecasting in cryptocurrency exchange markets. (2020). Lillo, Fabrizio ; Guo, Tian ; Antulov-Fantulin, Nino. In: Papers. RePEc:arx:papers:2005.09356. Full description at Econpapers || Download paper | |
2020 | The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158. Full description at Econpapers || Download paper | |
2020 | Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458. Full description at Econpapers || Download paper | |
2020 | Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307. Full description at Econpapers || Download paper | |
2020 | Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen. In: Papers. RePEc:arx:papers:2006.12039. Full description at Econpapers || Download paper | |
2020 | Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). Alonso-Gonz, P J ; Ramos, E ; J. J. N'u~nez-Vel'azquez, . In: Papers. RePEc:arx:papers:2006.16383. Full description at Econpapers || Download paper | |
2020 | Equity Tail Risk in the Treasury Bond Market. (2020). Rubin, Mirco ; Ruzzi, Dario. In: Papers. RePEc:arx:papers:2007.05933. Full description at Econpapers || Download paper | |
2022 | Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837. Full description at Econpapers || Download paper | |
2020 | Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147. Full description at Econpapers || Download paper | |
2021 | On the Origin(s) of the Term Big Data. (2020). Diebold, Francis. In: Papers. RePEc:arx:papers:2008.05835. Full description at Econpapers || Download paper | |
2021 | Long vs Short Time Scales: the Rough Dilemma and Beyond. (2020). Grasselli, Martino ; Garcin, Matthieu. In: Papers. RePEc:arx:papers:2008.07822. Full description at Econpapers || Download paper | |
2020 | Volatility Depend on Market Trades and Macro Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907. Full description at Econpapers || Download paper | |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361. Full description at Econpapers || Download paper | |
2020 | Volatility Forecasting with 1-dimensional CNNs via transfer learning. (2020). , J'Ozsef ; Petneh, G'Abor ; Aradi, Bernadett. In: Papers. RePEc:arx:papers:2009.05508. Full description at Econpapers || Download paper | |
2020 | Distillation of News Flow into Analysis of Stock Reactions. (2020). Bommes, Elisabeth ; Chen, Cathy Y ; Hardle, Wolfgang Karl ; Zhang, Junni L. In: Papers. RePEc:arx:papers:2009.10392. Full description at Econpapers || Download paper | |
2021 | The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2020). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2009.10972. Full description at Econpapers || Download paper | |
2021 | Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278. Full description at Econpapers || Download paper | |
2020 | Are cryptocurrencies becoming more interconnected?. (2020). Perez-Laborda, Alejandro ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios. In: Papers. RePEc:arx:papers:2009.14561. Full description at Econpapers || Download paper | |
2022 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610. Full description at Econpapers || Download paper | |
2020 | A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets. (2020). Hao, Wenyan ; Chi, Yeguang. In: Papers. RePEc:arx:papers:2010.07402. Full description at Econpapers || Download paper | |
2020 | Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659. Full description at Econpapers || Download paper | |
2020 | High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477. Full description at Econpapers || Download paper | |
2022 | Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061. Full description at Econpapers || Download paper | |
2021 | Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939. Full description at Econpapers || Download paper | |
2021 | On Classifying the Effects of Policy Announcements on Volatility. (2020). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2011.14094. Full description at Econpapers || Download paper | |
2020 | A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708. Full description at Econpapers || Download paper | |
2021 | Quantum Technology for Economists. (2021). Hull, Isaiah ; Sattath, OR ; Wendin, Goran ; Diamanti, Eleni. In: Papers. RePEc:arx:papers:2012.04473. Full description at Econpapers || Download paper | |
2020 | Filtering the intensity of public concern from social media count data with jumps. (2020). , Carlo ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2012.13267. Full description at Econpapers || Download paper | |
2021 | To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559. Full description at Econpapers || Download paper | |
2021 | Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568. Full description at Econpapers || Download paper | |
2021 | The VIX index under scrutiny of machine learning techniques and neural networks. (2021). Wong, Kin Wai ; Hirsa, Ali ; Cao, Wenxin ; Fu, Yiwen ; Sun, Hanze ; Osterrieder, Joerg ; Misheva, Branka Hadji. In: Papers. RePEc:arx:papers:2102.02119. Full description at Econpapers || Download paper | |
2021 | Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209. Full description at Econpapers || Download paper | |
2021 | State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404. Full description at Econpapers || Download paper | |
2021 | Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467. Full description at Econpapers || Download paper | |
2021 | High-dimensional estimation of quadratic variation based on penalized realized variance. (2021). Podolskij, Mark ; Nielsen, Mikkel Slot ; Christensen, Kim. In: Papers. RePEc:arx:papers:2103.03237. Full description at Econpapers || Download paper | |
2021 | Frequency-Dependent Higher Moment Risks. (2021). BarunÃk, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264. Full description at Econpapers || Download paper | |
2021 | Optimal Execution with Quadratic Variation Inventories. (2021). Carmona, Rene ; Leal, Laura. In: Papers. RePEc:arx:papers:2104.14615. Full description at Econpapers || Download paper | |
2021 | Three Remarks On Asset Pricing. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903. Full description at Econpapers || Download paper | |
2021 | Asset volatility forecasting:The optimal decay parameter in the EWMA model. (2021). Araneda, Axel A. In: Papers. RePEc:arx:papers:2105.14382. Full description at Econpapers || Download paper | |
2021 | A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288. Full description at Econpapers || Download paper | |
2022 | Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262. Full description at Econpapers || Download paper | |
2021 | The Role of Binance in Bitcoin Volatility Transmission. (2021). Kaeck, Andreas ; Heck, Daniel ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.00298. Full description at Econpapers || Download paper | |
2021 | Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923. Full description at Econpapers || Download paper | |
2021 | On the short term stability of financial ARCH price processes. (2021). Zumbach, Gilles. In: Papers. RePEc:arx:papers:2107.06758. Full description at Econpapers || Download paper | |
2021 | Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs. (2021). Boulet, Lucien. In: Papers. RePEc:arx:papers:2109.01044. Full description at Econpapers || Download paper | |
2021 | Trading styles and long-run variance of asset prices. (2021). Dodd, James ; Middleton, Lawrence ; Rijavec, Simone. In: Papers. RePEc:arx:papers:2109.08242. Full description at Econpapers || Download paper | |
2021 | Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility. (2021). Jos'e Javier N'u~nez-Vel'azquez, ; Alonso-Gonz, Pablo J ; Ramos, Eduardo. In: Papers. RePEc:arx:papers:2109.12621. Full description at Econpapers || Download paper | |
2021 | Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039. Full description at Econpapers || Download paper | |
2021 | Sector Volatility Prediction Performance Using GARCH Models and Artificial Neural Networks. (2021). Nybo, Curtis. In: Papers. RePEc:arx:papers:2110.09489. Full description at Econpapers || Download paper | |
2021 | Ask Who, Not What: Bitcoin Volatility Forecasting with Twitter Data. (2021). Kaempf, Killian ; Erkul, Mert ; Akbiyik, Eren M ; Antulov-Fantulin, Nino ; Vasiliauskaite, Vaiva. In: Papers. RePEc:arx:papers:2110.14317. Full description at Econpapers || Download paper | |
2021 | Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300. Full description at Econpapers || Download paper | |
2021 | Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376. Full description at Econpapers || Download paper | |
2021 | Exponential GARCH-Ito Volatility Models. (2021). Kim, Donggyu. In: Papers. RePEc:arx:papers:2111.04267. Full description at Econpapers || Download paper | |
2021 | Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective. (2021). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2111.09655. Full description at Econpapers || Download paper | |
2021 | Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302. Full description at Econpapers || Download paper | |
2021 | Multivariate Realized Volatility Forecasting with Graph Neural Network. (2021). Robert, Christian-Yann ; Chen, Qinkai. In: Papers. RePEc:arx:papers:2112.09015. Full description at Econpapers || Download paper | |
2022 | Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2112.14529. Full description at Econpapers || Download paper | |
2022 | Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities. (2022). James, Nick. In: Papers. RePEc:arx:papers:2112.15321. Full description at Econpapers || Download paper | |
2022 | New volatility evolution model after extreme events. (2022). Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling ; Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong. In: Papers. RePEc:arx:papers:2201.03213. Full description at Econpapers || Download paper | |
2022 | Optimal trend following portfolios. (2022). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2201.06635. Full description at Econpapers || Download paper | |
2022 | Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data. (2022). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:2201.10173. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2007 | A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 92 |
2011 | A reduced form framework for modeling volatility of speculative prices based on realized variation measures.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 92 | article | |
2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 752 |
2005 | Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 752 | paper | |
2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility.(2007) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 752 | article | |
2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 486 |
2007 | Real-time price discovery in global stock, bond and foreign exchange markets.(2007) In: Journal of International Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 486 | article | |
2006 | Real-time price discovery in global stock, bond and foreign exchange markets.(2006) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 486 | paper | |
2007 | Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 97 |
2010 | Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns.(2010) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | article | |
2008 | Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns.(2008) In: Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | paper | |
2007 | Construction and Interpretation of Model-Free Implied Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 55 |
2007 | Construction and Interpretation of Model-Free Implied Volatility.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 55 | paper | |
2007 | Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 54 |
2010 | Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models.(2010) In: Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | article | |
2006 | Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models.(2006) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
2007 | Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
2009 | Realized Volatility and Multipower Variation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 20 |
2009 | Jump-Robust Volatility Estimation using Nearest Neighbor Truncation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 238 |
2012 | Jump-robust volatility estimation using nearest neighbor truncation.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 238 | article | |
2010 | Jump-robust volatility estimation using nearest neighbor truncation.(2010) In: Staff Reports. [Full Text][Citation analysis] This paper has another version. Agregated cites: 238 | paper | |
2009 | Jump-Robust Volatility Estimation using Nearest Neighbor Truncation.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 238 | paper | |
2010 | Stochastic Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 60 |
2009 | Stochastic volatility.(2009) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 60 | paper | |
2011 | A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
2011 | A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2011 | Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 50 |
2013 | Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | chapter | |
2012 | Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
2011 | Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
2011 | Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 10 |
2011 | VPIN and the Flash Crash In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 31 |
2014 | VPIN and the flash crash.(2014) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | article | |
2011 | Parametric Inference and Dynamic State Recovery from Option Panels In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 24 |
2012 | Parametric Inference and Dynamic State Recovery from Option Panels.(2012) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2012 | Parametric Inference and Dynamic State Recovery from Option Panels.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2015 | Parametric Inference and Dynamic State Recovery From Option Panels.(2015) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | article | |
2013 | Reflecting on the VPIN Dispute In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
2014 | Reflecting on the VPIN dispute.(2014) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2013 | Assessing Measures of Order Flow Toxicity via Perfect Trade Classification In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | The Fine Structure of Equity-Index Option Dynamics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 11 |
2015 | The fine structure of equity-index option dynamics.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2014 | The Risk Premia Embedded in Index Options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 59 |
2018 | The Risk Premia Embedded in Index Options.(2018) In: CREATES Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 59 | paper | |
2015 | The risk premia embedded in index options.(2015) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 59 | article | |
2018 | The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
2020 | The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets.(2020) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2018 | Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Unified inference for nonlinear factor models from panels with fixed and large time span.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2018 | Option Panels in Pure-Jump Settings In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Time-Varying Periodicity in Intraday Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
2019 | Time-Varying Periodicity in Intraday Volatility.(2019) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2018 | Short-Term Market Risks Implied by Weekly Options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 14 |
2017 | Short-Term Market Risks Implied by Weekly Options.(2017) In: Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2018 | Consistent Inference for Predictive Regressions in Persistent VAR Economies In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Intraday Trading Invariance in the E-mini S&P 500 Futures Market In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
2020 | Intraday Trading Invariance in the E-mini S&P 500 Futures Market.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2016 | Intraday Trading Invariance in the E-mini S&P 500 Futures Market.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2003 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review. [Full Text][Citation analysis] | article | 779 |
2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 779 | paper | |
2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 779 | paper | |
2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?.(2002) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 779 | paper | |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review. [Full Text][Citation analysis] | article | 72 |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | paper | |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | paper | |
2005 | A framework for exploring the macroeconomic determinants of systematic risk.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | paper | |
2001 | The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 992 |
1994 | Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
1996 | GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 276 |
1995 | GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study.(1995) In: Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 276 | paper | |
EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study.() In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] This paper has another version. Agregated cites: 276 | paper | ||
2000 | Some Reflections on Analysis of High-Frequency Data. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 20 |
2005 | Editors Report 2004 In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2006 | Editor Report 2005.(2006) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2006 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2007 | Editorial Announcement In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2007 | Editors Report 2006 In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 2 |
2006 | Editor Report 2005.(2006) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
1996 | Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility. In: Journal of Finance. [Full Text][Citation analysis] | article | 372 |
1997 | Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. In: Journal of Finance. [Full Text][Citation analysis] | article | 333 |
1996 | Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns.(1996) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 333 | paper | |
2001 | Variance?ratio Statistics and High?frequency Data: Testing for Changes in Intraday Volatility Patterns In: Journal of Finance. [Full Text][Citation analysis] | article | 31 |
1998 | Towards a unified framework for high and low frequency return volatility modeling In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 5 |
2002 | Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 110 |
2004 | ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 110 | article | |
2002 | Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 13 |
2002 | Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2002 | CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
1998 | THE ECONOMETRICS OF FINANCIAL MARKETS In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
2000 | SIMULATION-BASED ECONOMETRIC METHODS In: Econometric Theory. [Full Text][Citation analysis] | article | 10 |
2014 | A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY In: Econometric Theory. [Full Text][Citation analysis] | article | 13 |
2013 | A robust neighborhood truncation approach to estimation of integrated quarticity.(2013) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2019 | INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS In: Econometric Theory. [Full Text][Citation analysis] | article | 1 |
2003 | Modeling and Forecasting Realized Volatility In: Econometrica. [Citation analysis] | article | 1708 |
2001 | Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1708 | paper | |
2001 | Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1708 | paper | |
2005 | Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica. [Full Text][Citation analysis] | article | 148 |
2004 | Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 1 |
2006 | Volatility and Correlation Forecasting In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 252 |
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 In: Journal of Econometrics. [Full Text][Citation analysis] | article | 121 |
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.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 121 | paper | |
2011 | Realized volatility forecasting and market microstructure noise In: Journal of Econometrics. [Full Text][Citation analysis] | article | 92 |
2021 | Tail risk and return predictability for the Japanese equity market In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
2021 | Consistent inference for predictive regressions in persistent economic systems In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2021 | Consistent Inference for Predictive Regressions in Persistent Economic Systems.(2021) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1997 | GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
1997 | Estimating continuous-time stochastic volatility models of the short-term interest rate In: Journal of Econometrics. [Full Text][Citation analysis] | article | 227 |
1999 | Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study In: Journal of Econometrics. [Full Text][Citation analysis] | article | 112 |
1997 | Intraday periodicity and volatility persistence in financial markets In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 567 |
1999 | Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 144 |
2000 | Intraday and interday volatility in the Japanese stock market In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 98 |
2001 | The distribution of realized stock return volatility In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 924 |
2008 | Realized volatility In: Working Paper Series. [Full Text][Citation analysis] | paper | 35 |
1999 | The Distribution of Exchange Rate Volatility In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 84 |
1999 | The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 84 | paper | |
1999 | The Distribution of Exchange Rate Volatility.(1999) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 84 | paper | |
1999 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 100 |
2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: Multinational Finance Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | article | |
2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
1999 | Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian.(1999) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
1999 | (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 36 |
2009 | Duration-Based Volatility Estimation In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] | paper | 6 |
1998 | Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts. In: International Economic Review. [Citation analysis] | article | 1374 |
2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 38 |
2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2005 | Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | paper | |
2002 | Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 71 |
2002 | Parametric and Nonparametric Volatility Measurement.(2002) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
2005 | Volatility Forecasting In: NBER Working Papers. [Full Text][Citation analysis] | paper | 47 |
2005 | Volatility Forecasting.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
2005 | Volatility forecasting.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 102 |
2004 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets.(2004) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 102 | paper | |
2004 | Real-time price discovery in stock, bond and foreign exchange markets.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 102 | paper | |
2015 | The Pricing of Short-Term market Risk: Evidence from Weekly Options In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2019 | Cross-Sectional Dispersion of Risk in Trading Time In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
1996 | DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: NBER Working Papers. [Full Text][Citation analysis] | paper | 9 |
1997 | Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 23 |
2000 | The Distribution of Stock Return Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 41 |
2000 | The Distribution of Stock Return Volatility.(2000) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2001 | An Empirical Investigation of Continuous-Time Equity Return Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 258 |
2008 | Stochastic Volatility: Origins and Overview In: Economics Papers. [Full Text][Citation analysis] | paper | 10 |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2004 | Discussion In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2015 | Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence In: Review of Finance. [Full Text][Citation analysis] | article | 6 |
2015 | Exploring Return Dynamics via Corridor Implied Volatility In: Review of Financial Studies. [Full Text][Citation analysis] | article | 31 |
2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 41 |
2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2004 | Realized Beta: Persistence and Predictability In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 13 |
2004 | Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2021 | Recalcitrant betas: Intraday variation in the cross?sectional dispersion of systematic risk In: Quantitative Economics. [Full Text][Citation analysis] | article | 0 |
2017 | Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
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