34
H index
50
i10 index
9514
Citations
National Bureau of Economic Research (NBER) (50% share) | 34 H index 50 i10 index 9514 Citations RESEARCH PRODUCTION: 52 Articles 95 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: |
Working Papers Series with more than one paper published | # docs |
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CFS Working Paper Series / Center for Financial Studies (CFS) | 7 |
Working Paper Series / Federal Reserve Bank of Chicago | 3 |
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.) | 2 |
Working Papers / New Economic School (NES) | 2 |
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 | |
2021 | A machine learning approach to volatility forecasting. (2021). Siggaard, Mathias ; Christensen, Kim ; Veliyev, Bezirgen. In: CREATES Research Papers. RePEc:aah:create:2021-03. 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 | |
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 | |
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 | |
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 | |
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 | 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 | |
2020 | 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 | |
2020 | 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 | |
2020 | 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 | 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 | 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 | |
2020 | 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 | |
2020 | 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 | |
2020 | 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 | |
2020 | 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 | |
2020 | 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 | |
2020 | 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 | |
2020 | 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 | |
2020 | 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 | |
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 | Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Fan, Rui ; Shin, Youngki ; Lee, Ji Hyung. In: Papers. RePEc:arx:papers:2101.11568. Full description at Econpapers || Download paper | |
2020 | The Term Structures of Loss and Gain Uncertainty. (2020). Feunou, Bruno ; Xu, Lai ; Tedongap, Romeo ; Aliouchkin, Ricardo Lopez. In: Staff Working Papers. RePEc:bca:bocawp:20-19. Full description at Econpapers || Download paper | |
2020 | The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News. (2020). Jin, Jianjian ; Ellwanger, Reinhard ; Alquist, Ron. In: Staff Working Papers. RePEc:bca:bocawp:20-8. Full description at Econpapers || Download paper | |
2020 | Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17). (2020). de Melo, Andre ; Noronha, George Augusto ; de Carvalho, Osmani Teixeira ; DA SILVA, TARCISO GOUVEIA . In: Working Papers Series. RePEc:bcb:wpaper:536. Full description at Econpapers || Download paper | |
2020 | Financial frictions and the wealth distribution. (2020). Nuño Barrau, Galo ; Hurtado, Samuel ; Fernandez-Villaverde, Jesus ; Nuo, Galo. In: Working Papers. RePEc:bde:wpaper:2013. Full description at Econpapers || Download paper | |
2020 | Social media and price discovery: the case of cross-listed firms. (2020). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: Discussion Papers. RePEc:bir:birmec:20-05. Full description at Econpapers || Download paper | |
2020 | The handicap for enhanced solidarity across advanced economies: The greater the economic openness higher the unequal distribution of income. (2020). Ozdemir, Onur. In: Annals of Public and Cooperative Economics. RePEc:bla:annpce:v:91:y:2020:i:4:p:585-632. Full description at Econpapers || Download paper | |
2020 | Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100. Full description at Econpapers || Download paper | |
2020 | Modelling Financial Contagion Using High Frequency Data. (2020). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330. Full description at Econpapers || Download paper | |
2020 | Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349. Full description at Econpapers || Download paper | |
2020 | Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146. Full description at Econpapers || Download paper | |
2020 | Term structure determinants of timeâ€varying risk of 1â€year bond returns. (2020). Khanapure, Revansiddha Basavaraj. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:365-384. Full description at Econpapers || Download paper | |
2020 | Trade signing in fast markets. (2020). Kolay, Madhuparna ; Carrion, Allen. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:385-404. Full description at Econpapers || Download paper | |
2020 | Decomposing the VIX: Implications for the predictability of stock returns. (2020). Chow, Victor K ; Li, Jingrui ; Jiang, Wanjun. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:645-668. Full description at Econpapers || Download paper | |
2020 | The Coâ€Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asiaâ€Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579. Full description at Econpapers || Download paper | |
2020 | PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES. (2020). Ibrushi, Denada ; Cenesizoglu, Tolga. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:649-673. Full description at Econpapers || Download paper | |
2020 | JUMPS, NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY. (2020). Yin, Xiangkang ; Zhao, Jing ; Xiao, Yuewen. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:705-731. Full description at Econpapers || Download paper | |
2020 | COMPARISON OF ESTIMATORS OF EQUITY RETURN STANDARD DEVIATION USING PITMAN CLOSENESS CRITERION AND CONTROL CHARTING APPLICATIONS. (2020). Dane, Lahtinen Kyre ; Alan, Chow ; Kelsey, Edwards. In: Studies in Business and Economics. RePEc:blg:journl:v:15:y:2020:i:1:p:5-12. Full description at Econpapers || Download paper | |
2020 | Informed trading in government bond markets. (2020). Czech, Robert ; Wang, Tianyu ; Lou, Dong ; Huang, Shiyang. In: Bank of England working papers. RePEc:boe:boeewp:0871. Full description at Econpapers || Download paper | |
2020 | Can Technical Indicators Provide Information for Future Volatility: International Evidence. (2020). Xun, Peng ; Tingting, Ying ; Nenghui, Zhu ; Yanlong, Shi ; Xiangxing, Tao ; Yafeng, Shi. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:1:p:53-66:n:4. Full description at Econpapers || Download paper | |
2020 | Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2007. Full description at Econpapers || Download paper | |
2020 | Intra-Industry Transfer of Information Inferred From Trading Volume. (2020). Hanousek, Jan ; Tresl, Jiri ; Ferris, Stephen P ; Brushko, Iuliia. In: CERGE-EI Working Papers. RePEc:cer:papers:wp663. Full description at Econpapers || Download paper | |
2020 | Cyber-Attacks and Cryptocurrencies. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8124. Full description at Econpapers || Download paper | |
2020 | Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market. (2020). Gil-Alana, Luis ; Martin-Valmayor, Miguel ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8171. Full description at Econpapers || Download paper | |
2020 | Energy Contagion in the COVID-19 Crisis. (2020). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8345. Full description at Econpapers || Download paper | |
2020 | Financial Frictions and the Wealth Distribution. (2020). Nuño Barrau, Galo ; Hurtado, Samuel ; Fernandez-Villaverde, Jesus ; Nuo, Galo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8482. Full description at Econpapers || Download paper | |
2020 | Expectation Dispersion, Uncertainty, and the Reaction to News. (2020). Enders, Zeno ; Dovern, Jonas ; Born, Benjamin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8801. Full description at Econpapers || Download paper | |
2020 | On Classifying the Effects of Policy Announcements on Volatility. (2020). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202008. Full description at Econpapers || Download paper | |
2020 | Demand shocks for public debt in the Eurozone. (2020). Giuliodori, Massimo ; Lengyel, Andras. In: DNB Working Papers. RePEc:dnb:dnbwpp:674. Full description at Econpapers || Download paper | |
2020 | Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a Copula Approach. (2020). Ehouman, Yao Axel. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-31. Full description at Econpapers || Download paper | |
2020 | Modeling and Forecasting USD/UGX Volatility through GARCH Family Models: Evidence from Gaussian, T and GED Distributions. (2020). Erkekoglu, Hatice ; Deng, Adire Simon ; Majok, Aweng Peter. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-02-31. Full description at Econpapers || Download paper | |
2021 | Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567. Full description at Econpapers || Download paper | |
2020 | The effect of return jumps on herd behavior. (2020). Wanidwaranan, Phasin ; Padungsaksawasdi, Chaiyuth. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020300599. Full description at Econpapers || Download paper | |
2020 | The COVID-19 global fear index and the predictability of commodity price returns. (2020). Salisu, Afees ; Raheem, Ibrahim ; Akanni, Lateef. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635020302136. Full description at Econpapers || Download paper | |
2020 | How does air pollution-induced fund-manager mood affect stock markets in China?. (2020). Lu, Jing ; Chou, Robin K ; Wu, Qinqin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303269. Full description at Econpapers || Download paper | |
2020 | Trading volume and realized higher-order moments in the Australian stock market. (2020). Jeyasreedharan, Nagaratnam ; Ahadzie, Richard Mawulawoe. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303403. Full description at Econpapers || Download paper | |
2020 | A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market. (2020). Ouenniche, Jamal ; Aziz, Saqib ; Mohmand, Yasir Tariq ; Aslam, Faheem. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303452. Full description at Econpapers || Download paper | |
2020 | Nonlinear and time-varying risk premia. (2020). Cai, Zongwu ; Mi, Xianhua ; Ma, Chaoqun. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x2030064x. Full description at Econpapers || Download paper | |
2020 | Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach. (2020). Zhang, Tonghui ; Yuan, Ying. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:140:y:2020:i:c:s0960077920306482. Full description at Econpapers || Download paper | |
2020 | The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233. Full description at Econpapers || Download paper | |
2020 | Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482. Full description at Econpapers || Download paper | |
2020 | The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Pham, Manh Cuong ; Lajbcygier, Paul ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603. Full description at Econpapers || Download paper | |
2020 | Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65. Full description at Econpapers || Download paper | |
2020 | The heterogeneous volume-volatility relations in the exchange-traded fund market: Evidence from China. (2020). Xu, Liao ; Zhao, Yang ; Shi, Yukun ; Gao, Han. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:400-408. Full description at Econpapers || Download paper | |
2020 | Crude oil and BRICS stock markets under extreme shocks: New evidence. (2020). He, Chengting ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:54-68. Full description at Econpapers || Download paper | |
2020 | Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Huang, Zhuo ; Wang, Tianyi ; Liang, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157. Full description at Econpapers || Download paper | |
2020 | Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158. Full description at Econpapers || Download paper | |
2020 | Does board gender diversity influence firm profitability? A control function approach. (2020). Simioni, Michel ; Reddy, Krishna ; Houanti, Lhocine ; Ng, Rey. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:168-181. Full description at Econpapers || Download paper | |
2020 | Firm-specific information and systemic risk. (2020). Clements, Adam ; Liao, Y. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:480-493. Full description at Econpapers || Download paper | |
2020 | Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the United States experience. (2020). Ehouman, Yao Axel. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:198-217. Full description at Econpapers || Download paper | |
2020 | Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S.. (2020). , Jingyu ; Zhu, Yanjian ; Jiang, Yuexiang ; Wang, Jiazhen ; Yu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:428-444. 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 | 69 |
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: 69 | 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 | 598 |
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: 598 | 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: 598 | article | |
2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 379 |
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: 379 | 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: 379 | paper | |
2007 | Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 90 |
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: 90 | 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: 90 | paper | |
2007 | Construction and Interpretation of Model-Free Implied Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 30 |
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: 30 | 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 | 46 |
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: 46 | 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: 46 | 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: 46 | paper | |
2009 | Realized Volatility and Multipower Variation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 16 |
2009 | Jump-Robust Volatility Estimation using Nearest Neighbor Truncation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 191 |
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: 191 | 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: 191 | 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: 191 | paper | |
2010 | Stochastic Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 54 |
2009 | Stochastic volatility.(2009) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
2011 | A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
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: 7 | paper | |
2011 | Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 25 |
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: 25 | 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: 25 | 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: 25 | paper | |
2011 | Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 5 |
2011 | VPIN and the Flash Crash In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 23 |
2014 | VPIN and the flash crash.(2014) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
2011 | Parametric Inference and Dynamic State Recovery from Option Panels In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 15 |
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: 15 | 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: 15 | 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: 15 | article | |
2013 | Reflecting on the VPIN Dispute In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 5 |
2014 | Reflecting on the VPIN dispute.(2014) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | 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 | 10 |
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: 10 | article | |
2014 | The Risk Premia Embedded in Index Options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 38 |
2018 | The Risk Premia Embedded in Index Options.(2018) In: CREATES Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | 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: 38 | 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 | 3 |
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: 3 | 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 | 0 |
2018 | Time-Varying Periodicity in Intraday Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
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: 4 | article | |
2018 | Short-Term Market Risks Implied by Weekly Options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
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: 9 | article | |
2018 | Consistent Inference for Predictive Regressions in Persistent VAR Economies In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Intraday Trading Invariance in the E-mini S&P 500 Futures Market In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
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: 5 | 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: 5 | paper | |
2003 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review. [Full Text][Citation analysis] | article | 621 |
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: 621 | 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: 621 | 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: 621 | paper | |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review. [Full Text][Citation analysis] | article | 64 |
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: 64 | 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: 64 | 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: 64 | paper | |
2001 | The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 855 |
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 | 155 |
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: 155 | 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: 155 | paper | ||
2000 | Some Reflections on Analysis of High-Frequency Data. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 18 |
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 | 315 |
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 | 236 |
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: 236 | paper | |
2001 | Varianceâ€ratio Statistics and Highâ€frequency Data: Testing for Changes in Intraday Volatility Patterns In: Journal of Finance. [Full Text][Citation analysis] | article | 28 |
1998 | Towards a unified framework for high and low frequency return volatility modeling In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 1 |
2002 | Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 97 |
2004 | ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | 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 | 12 |
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: 12 | 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: 12 | 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 | 10 |
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: 10 | 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 | 1465 |
2001 | Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1465 | 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: 1465 | paper | |
2005 | Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica. [Full Text][Citation analysis] | article | 136 |
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 | 131 |
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 | 114 |
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: 114 | paper | |
2011 | Realized volatility forecasting and market microstructure noise In: Journal of Econometrics. [Full Text][Citation analysis] | article | 78 |
1997 | GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
1997 | Estimating continuous-time stochastic volatility models of the short-term interest rate In: Journal of Econometrics. [Full Text][Citation analysis] | article | 210 |
1999 | Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study In: Journal of Econometrics. [Full Text][Citation analysis] | article | 103 |
1997 | Intraday periodicity and volatility persistence in financial markets In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 505 |
1999 | Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 114 |
2000 | Intraday and interday volatility in the Japanese stock market In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 90 |
2001 | The distribution of realized stock return volatility In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 798 |
2008 | Realized volatility In: Working Paper Series. [Full Text][Citation analysis] | paper | 33 |
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 | 77 |
1999 | The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 77 | 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: 77 | 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 | 80 |
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: 80 | 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: 80 | 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: 80 | 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 | 35 |
2009 | Duration-Based Volatility Estimation In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] | paper | 3 |
1998 | Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts. In: International Economic Review. [Citation analysis] | article | 1124 |
2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 20 |
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: 20 | 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: 20 | 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: 20 | paper | |
2002 | Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 52 |
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: 52 | paper | |
2005 | Volatility Forecasting In: NBER Working Papers. [Full Text][Citation analysis] | paper | 43 |
2005 | Volatility Forecasting.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2005 | Volatility forecasting.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | paper | |
2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 91 |
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: 91 | 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: 91 | paper | |
2015 | The Pricing of Short-Term market Risk: Evidence from Weekly Options In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Cross-Sectional Dispersion of Risk in Trading Time 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 | 8 |
1997 | Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
2000 | The Distribution of Stock Return Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 34 |
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: 34 | paper | |
2001 | An Empirical Investigation of Continuous-Time Equity Return Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 31 |
2008 | Stochastic Volatility: Origins and Overview In: Economics Papers. [Full Text][Citation analysis] | paper | 8 |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | 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 | 21 |
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 | 28 |
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: 28 | paper | |
2004 | Realized Beta: Persistence and Predictability In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 9 |
2004 | Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2017 | Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
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