Torben G. Andersen : Citation Profile


Are you Torben G. Andersen?

Northwestern University
Aarhus Universitet
National Bureau of Economic Research (NBER)

32

H index

45

i10 index

6721

Citations

RESEARCH PRODUCTION:

48

Articles

83

Papers

3

Chapters

RESEARCH ACTIVITY:

   21 years (1994 - 2015). See details.
   Cites by year: 320
   Journals where Torben G. Andersen has often published
   Relations with other researchers
   Recent citing documents: 378.    Total self citations: 72 (1.06 %)

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   Permalink: http://citec.repec.org/pan210
   Updated: 2017-03-25    RAS profile: 2016-08-26    
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Relations with other researchers


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:

Shephard, Neil (139)

Bollerslev, Tim (111)

Barndorff-Nielsen, Ole (96)

McAleer, Michael (93)

Diebold, Francis (88)

Laurent, Sébastien (80)

Patton, Andrew (78)

Christoffersen, Peter (77)

Sévi, Benoît (68)

Degiannakis, Stavros (65)

Medeiros, Marcelo (65)

Cites to:

Bollerslev, Tim (201)

Diebold, Francis (92)

Shephard, Neil (60)

Tauchen, George (46)

Meddahi, Nour (42)

Barndorff-Nielsen, Ole (39)

Gallant, A. (37)

Schwert, G. (36)

Engle, Robert (34)

Renault, Eric (27)

Dacorogna, Michel (20)

Main data


Where Torben G. Andersen has published?


Journals with more than one article published# docs
Journal of Business & Economic Statistics9
Journal of Econometrics8
Journal of Finance6
Econometric Theory3
Journal of Financial Markets2
International Economic Review2
Econometrica2
American Economic Review2
Journal of Financial Economics2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
CFS Working Paper Series / Center for Financial Studies (CFS)6
Working Paper Series / Federal Reserve Bank of Chicago3
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Torben G. Andersen (2017 and 2016)


YearTitle of citing document
2016Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2016-03.

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2016Volatility Discovery. (2016). Dias, Gustavo Fruet ; Scherrer, Cristina M ; Papailias, Fotis . In: CREATES Research Papers. RePEc:aah:create:2016-07.

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2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: CREATES Research Papers. RePEc:aah:create:2016-17.

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2016Volume, Volatility and Public News Announcements. (2016). Li, Jia ; Xue, Yuan . In: CREATES Research Papers. RePEc:aah:create:2016-19.

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2016Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. (2016). Violante, Francesco ; Barletta, Andrea . In: CREATES Research Papers. RePEc:aah:create:2016-20.

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2016Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach. (2016). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2016-27.

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2016The Drift Burst Hypothesis. (2016). Oomen, Roel ; Christensen, Kim ; Reno, Roberto . In: CREATES Research Papers. RePEc:aah:create:2016-28.

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2017Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). , Jeroen ; Violante, Francesco ; Stentoft, Lars . In: CREATES Research Papers. RePEc:aah:create:2017-10.

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2016Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees. (2016). Van Nieuwerburgh, Stijn ; Kelly, Bryan ; Lustig, Hanno . In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:6:p:1278-1319.

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2016The Response of Tail Risk Perceptions to Unconventional Monetary Policy. (2016). Sushko, Vladyslav ; Schrimpf, Andreas ; Hattori, Masazumi . In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:8:y:2016:i:2:p:111-36.

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2016Informed Trading in Oil-Futures Market. (2016). Sévi, Benoît ; Rousse, Olivier . In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:249788.

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2016Bin Size Independence in Intra-day Seasonalities for Relative Prices. (2016). Guevara, Esteban . In: Papers. RePEc:arx:papers:1501.05176.

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2016Semimartingale detection and goodness-of-fit tests. (2016). Bull, Adam D.. In: Papers. RePEc:arx:papers:1506.00088.

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2016Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility. (2016). Paliathanasis, A ; Tamizhmani, K M ; Krishnakumar, K. In: Papers. RePEc:arx:papers:1508.06797.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2016FX Options in Target Zone. (2016). Carr, Peter ; Kakushadze, Zura . In: Papers. RePEc:arx:papers:1512.01527.

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2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2017Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei . In: Papers. RePEc:arx:papers:1602.00731.

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2016Should employers pay their employees better? An asset pricing approach. (2016). Aboura, Sofiane ; Valeyre, Sebastien ; Bonnin, Francois ; Liu, Qian ; Grebenkov, Denis . In: Papers. RePEc:arx:papers:1602.00931.

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2016Do co-jumps impact correlations in currency markets?. (2016). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1602.05489.

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2016Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution. (2016). Stavroyiannis, Stavros . In: Papers. RePEc:arx:papers:1602.05749.

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio . In: Papers. RePEc:arx:papers:1604.01338.

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2016What does past correlation structure tell us about the future? An answer from network filtering. (2016). di Matteo, Tiziana ; Aste, Tomaso . In: Papers. RePEc:arx:papers:1605.08908.

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2016Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03597.

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2016Asymmetric volatility connectedness on forex markets. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1607.08214.

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2016Entropy and efficiency of the ETF market. (2016). Calcagnile, Lucio Maria ; Marmi, Stefano ; Corsi, Fulvio . In: Papers. RePEc:arx:papers:1609.04199.

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2016Decoupling the short- and long-term behavior of stochastic volatility. (2016). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger . In: Papers. RePEc:arx:papers:1610.00332.

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2016Detection of intensity bursts using Hawkes processes: an application to high frequency financial data. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Filimonov, Vladimir . In: Papers. RePEc:arx:papers:1610.05383.

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2016Early exercise decision in American options with dividends, stochastic volatility and jumps. (2016). Scaillet, Olivier ; Galluccio, Stefano ; Cosma, Antonio ; Pederzoli, Paola . In: Papers. RePEc:arx:papers:1612.03031.

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2016Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations. (2016). Li, Cheng . In: Papers. RePEc:arx:papers:1612.04507.

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2016Optimal Investment under Information Driven Contagious Distress. (2016). Bo, Lijun ; Capponi, Agostino . In: Papers. RePEc:arx:papers:1612.06133.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488.

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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185.

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2016On the statistical properties of multiplicative GARCH models. (2016). Conrad, Christian ; Kleen, Onno . In: Working Papers. RePEc:awi:wpaper:0613.

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2016Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil. (2016). Accioly, Victor Bello ; de Melo, Beatriz Vaz . In: Brazilian Business Review. RePEc:bbz:fcpbbr:v:13:y:2016:i:2:p1-26.

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2016Time-Varying Crash Risk: The Role of Stock Market Liquidity. (2016). Feunou, Bruno ; Christoffersen, Peter ; Jeon, Yoontae ; Ornthanalai, Chayawat . In: Staff Working Papers. RePEc:bca:bocawp:16-35.

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2016Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility. (2016). Talmi, Jonathan ; Ehrmann, Michael. In: Staff Working Papers. RePEc:bca:bocawp:16-37.

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2016BTP futures and cash relationships: a high frequency data analysis. (2016). Puorro, Alfonso ; Potente, Francesco ; Panzarino, Onofrio . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1083_16.

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2016Monetary Policy and the Stock Market: Time-Series Evidence. (2016). Weber, Michael ; Neuhierl, Andreas . In: Working Papers. RePEc:bfi:wpaper:2016-26.

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2016The Chinese Stock Market Does not React to the Japanese Market: Using Intraday Data to Analyse Return and Volatility Spillover Effects. (2016). Tsutsui, Yoshiro ; Nishimura, Yusaku ; Hirayama, Kenjiro . In: The Japanese Economic Review. RePEc:bla:jecrev:v:67:y:2016:i:3:p:280-294.

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2016Information in the Term Structure of Yield Curve Volatility. (2016). Cieslak, Anna ; Povala, Pavol . In: Journal of Finance. RePEc:bla:jfinan:v:71:y:2016:i:3:p:1393-1436.

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2016Policy and macro signals as inputs to inflation expectation formation. (2016). Hubert, Paul ; Maule, Becky . In: Bank of England working papers. RePEc:boe:boeewp:0581.

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2016High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1084.

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2016Estimating stochastic volatility models using realized measures. (2016). Jeremias, Bekierman ; Bastian, Gribisch . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:3:p:279-300:n:3.

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2016Realised Variance Forecasting Under Box-Cox Transformations. (2016). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:16/4.

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2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

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2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Schneeberger, Stefan . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1620.

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2016Macro News and Exchange Rates in the BRICS. (2016). Spagnolo, Nicola ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5748.

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2016Exchange Rates and Macro News in Emerging Markets. (2016). Spagnolo, Nicola ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5816.

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2016Monetary Policy and the Stock Market: Time-Series Evidence. (2016). Weber, Michael ; Neuhierl, Andreas . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6199.

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2016Intraday Trading Invariance in the E-mini S&P 500 Futures Market. (2016). Obizhaeva, Anna ; Kyle, Albert S ; Bondarenko, Oleg ; Andersen, Torben G. In: Working Papers. RePEc:cfr:cefirw:w0229.

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2016Bootstrapping high-frequency jump tests. (2016). Dovonon, Prosper ; Meddahi, Nour ; Hounyo, Ulrich ; Gonalves, Silvia . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-24.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model. (2016). Augustyniak, Maciej ; Dufays, Arnaud ; Bauwens, Luc . In: CORE Discussion Papers. RePEc:cor:louvco:2016042.

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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11307.

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2016A new combination approach to reducing forecast errors with an application to volatility forecasting. (2016). Wilfling, Bernd ; Weigt, Till . In: CQE Working Papers. RePEc:cqe:wpaper:4616.

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2017Trends in distributional characteristics : Existence of global warming. (2017). Gonzalo, Jesus ; Gadea, Maria Dolores . In: UC3M Working papers. Economics. RePEc:cte:werepe:24121.

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2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model. (2016). LINTON, OLIVER ; Chen, Xiaohong ; Yi, Yanping ; Schneeberger, Stefan . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2033.

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2016VOLATILITY ESTIMATORS WITH HIGH-FREQUENCY DATA FROM BUCHAREST STOCK EXCHANGE. (2016). Damian, Virgil ; Cepoi, Cosmin Octavian . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:3:p:247-264.

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2016Macro News and Exchange Rates in the BRICS. (2016). Spagnolo, Nicola ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1545.

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2016Equity Premium Prediction: Are Economic and Technical Indicators Unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1552.

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2016Exchange Rates and Macro News in Emerging Markets. (2016). Spagnolo, Nicola ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1558.

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2017On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis. (2017). JAWADI, Fredj ; ben ameur, hachmi ; Cheffou, Abdoulkarim Idi ; Louhichi, Wael . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-11.

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2016Did the global financial crisis alter equilibrium adjustment dynamics between the US federal fund fund rates and stock price volatility in the SSA region?. (2016). Phiri, Andrew. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00204.

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2016Is the intrinsic value of macroeconomic news announcements related to their asset price impact?. (2016). Strasser, Georg ; Scotti, Chiara ; Vega, Clara . In: Working Paper Series. RePEc:ecb:ecbwps:20161882.

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2016Price drift before U.S. macroeconomic news: private information about public announcements?. (2016). Strasser, Georg ; Kurov, Alexander ; Wolfe, Marketa ; Sancetta, Alessio . In: Working Paper Series. RePEc:ecb:ecbwps:20161901.

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2016Does It Matter If Statistical Agencies Frame the Months CPI Report on a 1-Month or 12-Month Basis?. (2016). Saiki, Ayako ; Frankel, Jeffrey. In: Working Paper Series. RePEc:ecl:harjfk:16-011.

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2016Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market. (2016). Aloud, Monira Essa . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-01-08.

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2016A hybrid model for explaining the short-term dynamics of energy efficiency of China’s thermal power plants. (2016). Li, Ming-Jia ; Tao, Wen-Quan ; Song, Chen-Xi . In: Applied Energy. RePEc:eee:appene:v:169:y:2016:i:c:p:738-747.

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2016Forecasting volatility of wind power production. (2016). Ritter, Matthias ; Shen, Zhiwei . In: Applied Energy. RePEc:eee:appene:v:176:y:2016:i:c:p:295-308.

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2016Political risk and international valuation. (2016). Siegel, Stephan ; Bekaert, Geert ; Lundblad, Christian T ; Harvey, Campbell R. In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:1-23.

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2016Media-expressed negative tone and firm-level stock returns. (2016). Kearney, Colm ; Hutson, Elaine ; Liu, Sha ; Han, Jingguang ; Ahmad, Khurshid . In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:152-172.

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2016State space modeling of Gegenbauer processes with long memory. (2016). Proietti, Tommaso ; Dissanayake, G S ; Peiris, M S. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:115-130.

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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; Laurent, Sébastien ; Lecourt, Christelle . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:383-400.

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2016Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

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2016On selection of statistics for approximate Bayesian computing (or the method of simulated moments). (2016). Kristensen, Dennis ; Creel, Michael. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:99-114.

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2016Diagnostic checking of the vector multiplicative error model. (2016). Ng, F C ; Li, W K. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:86-97.

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2016Direct comparison of agent-based models of herding in financial markets. (2016). Barde, Sylvain . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:73:y:2016:i:c:p:329-353.

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2016The stock–bond comovements and cross-market trading. (2016). CHONG, Terence Tai Leung ; Zhang, Yang ; Leung, Terence Tai ; Zheng, Huanhuan ; Li, Mengling . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:73:y:2016:i:c:p:417-438.

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2016No contagion from Russia toward global equity markets after the 2014 international sanctions. (2016). Castagneto-Gissey, G ; Nivorozhkin, E. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:52:y:2016:i:c:p:79-98.

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2016Spatial price transmission on agricultural commodity markets under different volatility regimes. (2016). Ganneval, S. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pa:p:173-185.

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2016On the risk comovements between the crude oil market and U.S. dollar exchange rates. (2016). Keddad, Benjamin ; DE TRUCHIS, Gilles. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pa:p:206-215.

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2016Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange. (2016). Jayawardena, Nirodha I ; Su, Jen-Je ; Li, Bin ; Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:592-608.

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2016Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model. (2016). Huang, Zhuo ; Wang, Tianyi ; Liu, Hao . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:812-821.

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2016Aggregation and long-memory: An analysis based on the discrete Fourier transform. (2016). Shi, Wendong ; Sun, Jingwei . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:470-476.

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2016Jumps in equilibrium prices and asymmetric news in foreign exchange markets. (2016). El Ouadghiri, Imane ; Uctum, Remzi . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:218-234.

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2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. (2016). Baruník, Jozef ; Hlinkova, Michaela ; Barunik, Jozef . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514.

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2016A high-frequency analysis of the interactions between REIT return and volatility. (2016). Zhou, Jian. In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:102-108.

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2016Volatility risk premium implications of GARCH option pricing models. (2016). Papantonis, Ioannis . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:104-115.

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2016Detecting nonlinear dependencies in eurozone peripheral equity markets: A multistep filtering approach. (2016). Bekiros, Stelios ; Boubaker, Sabri ; Avdoulas, Christos . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:580-587.

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2016On oil-US exchange rate volatility relationships: An intraday analysis. (2016). JAWADI, Fredj ; Louhichi, Wael ; ben Ameur, Hachmi ; Cheffou, Abdoulkarim Idi . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:329-334.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises. (2017). Leung, Henry ; Schroeder, Florian ; Schiereck, Dirk . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:169-180.

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2016Walking on thin ice: Market quality around FOMC announcements. (2016). Rosa, Carlo . In: Economics Letters. RePEc:eee:ecolet:v:138:y:2016:i:c:p:5-8.

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2017The asymmetric volatility in the gold market revisited. (2017). Todorova, Neda . In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:138-141.

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2017On estimating market microstructure noise variance. (2017). Dong, Yingjie ; Tse, Yiu-Kuen. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:59-62.

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2016Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (2016). LINTON, OLIVER ; Hong, Seok Young ; Park, Sujin . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:325-347.

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2016Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:1-18.

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2007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers.
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2007Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models In: CREATES Research Papers.
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1996Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns.(1996) In: NBER Working Papers.
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1998Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: Journal of Finance.
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2002CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES.(2002) In: Cahiers de recherche.
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2001Modeling and Forecasting Realized Volatility.(2001) In: Center for Financial Institutions Working Papers.
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2007No-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.
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1997Estimating continuous-time stochastic volatility models of the short-term interest rate In: Journal of Econometrics.
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