18
H index
25
i10 index
3126
Citations
Aarhus Universitet | 18 H index 25 i10 index 3126 Citations RESEARCH PRODUCTION: 27 Articles 60 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Ole E. Barndorff-Nielsen. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Scandinavian Journal of Statistics | 5 |
Journal of the Royal Statistical Society Series B | 3 |
Journal of Financial Econometrics | 2 |
Econometrica | 2 |
Journal of Multivariate Analysis | 2 |
Working Papers Series with more than one paper published | # docs |
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OFRC Working Papers Series / Oxford Financial Research Centre | 15 |
Economics Series Working Papers / University of Oxford, Department of Economics | 4 |
Year | Title of citing document | |
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2017 | Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19. Full description at Econpapers || Download paper | |
2017 | A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices. (2017). Proietti, Tommaso ; Giovannelli, Alessandro. In: CREATES Research Papers. RePEc:aah:create:2017-20. Full description at Econpapers || Download paper | |
2017 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26. Full description at Econpapers || Download paper | |
2017 | Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2017-30. Full description at Econpapers || Download paper | |
2017 | Model-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. Full description at Econpapers || Download paper | |
2017 | Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; BarunÃk, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1602.05489. Full description at Econpapers || Download paper | |
2017 | Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700. Full description at Econpapers || Download paper | |
2017 | Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; BarunÃk, Jozef. In: Papers. RePEc:arx:papers:1603.07020. Full description at Econpapers || Download paper | |
2017 | The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich . In: Papers. RePEc:arx:papers:1605.00868. Full description at Econpapers || Download paper | |
2018 | Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2018). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895. Full description at Econpapers || Download paper | |
2017 | 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 | |
2017 | Predictable Forward Performance Processes: The Binomial Case. (2017). Angoshtari, Bahman ; Yu, Xun ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:1611.04494. Full description at Econpapers || Download paper | |
2017 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185. Full description at Econpapers || Download paper | |
2017 | High-Frequency Jump Analysis of the Bitcoin Market. (2017). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien . In: Papers. RePEc:arx:papers:1704.08175. Full description at Econpapers || Download paper | |
2017 | Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Kruger, Fabian. In: Papers. RePEc:arx:papers:1705.04537. Full description at Econpapers || Download paper | |
2017 | Realized volatility and parametric estimation of Heston SDEs. (2017). Azencott, Robert ; Timofeyev, Ilya ; Ren, Peng . In: Papers. RePEc:arx:papers:1706.04566. Full description at Econpapers || Download paper | |
2017 | Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach. (2017). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe. In: Papers. RePEc:arx:papers:1708.02073. Full description at Econpapers || Download paper | |
2017 | Optimum thresholding using mean and conditional mean square error. (2017). , ; Mancini, Cecilia . In: Papers. RePEc:arx:papers:1708.04339. Full description at Econpapers || Download paper | |
2017 | Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587. Full description at Econpapers || Download paper | |
2017 | Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). BarunÃk, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622. Full description at Econpapers || Download paper | |
2017 | Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520. Full description at Econpapers || Download paper | |
2018 | Testing if the market microstructure noise is a function of the limit order book. (2018). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1709.02502. Full description at Econpapers || Download paper | |
2017 | Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296. Full description at Econpapers || Download paper | |
2017 | Functional central limit theorems for rough volatility. (2017). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078. Full description at Econpapers || Download paper | |
2017 | Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model. (2017). Pablo, Olivares ; Enrique, Villamor. In: Papers. RePEc:arx:papers:1711.10013. Full description at Econpapers || Download paper | |
2017 | Distributions of Historic Market Data - Stock Returns. (2017). Liu, Zhiyuan ; Serota, R A ; Moghaddam, Dashti M. In: Papers. RePEc:arx:papers:1711.11003. Full description at Econpapers || Download paper | |
2018 | A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node. (2018). Sobhani, Amirhossein ; Milev, Mariyan. In: Papers. RePEc:arx:papers:1712.01060. Full description at Econpapers || Download paper | |
2017 | 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 | |
2018 | A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2018). Lejay, Antoine ; Pigato, Paolo. In: Papers. RePEc:arx:papers:1712.08329. Full description at Econpapers || Download paper | |
2018 | Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models. (2018). Arai, Takuji ; Nakashima, Ryo ; Imai, Yuto. In: Papers. RePEc:arx:papers:1801.05597. Full description at Econpapers || Download paper | |
2018 | First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing. (2018). Kim, Youngshin . In: Papers. RePEc:arx:papers:1801.09362. Full description at Econpapers || Download paper | |
2018 | A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894. Full description at Econpapers || Download paper | |
2017 | Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian . In: Working Papers. RePEc:awi:wpaper:0632. Full description at Econpapers || Download paper | |
2017 | Good Volatility, Bad Volatility and Option Pricing. (2017). Feunou, Bruno ; Okou, Cedric . In: Staff Working Papers. RePEc:bca:bocawp:17-52. Full description at Econpapers || Download paper | |
2017 | Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging. (2017). Cielinska, Olga ; Vasios, Michalis ; Tanner, John ; Shreyas, Ujwal ; Joseph, Andreas . In: IFC Bulletins chapters. RePEc:bis:bisifc:43-23. Full description at Econpapers || Download paper | |
2018 | Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702. Full description at Econpapers || Download paper | |
2017 | Vector Stochastic Processes with Pólya-Type Correlation Structure. (2017). Ma, Chunsheng . In: International Statistical Review. RePEc:bla:istatr:v:85:y:2017:i:2:p:340-354. Full description at Econpapers || Download paper | |
2017 | Penalised Complexity Priors for Stationary Autoregressive Processes. (2017). Sorbye, Sigrunn Holbek ; Rue, Hvard . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:6:p:923-935. Full description at Econpapers || Download paper | |
2017 | Spatio-temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference. (2017). Nguyen, Michele. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:1:p:46-80. Full description at Econpapers || Download paper | |
2017 | The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets. (2017). Noss, Joseph ; Crowley-Reidy, Liam ; Linton, Oliver ; Tobek, Ondrej ; Pedace, Lucas. In: Bank of England working papers. RePEc:boe:boeewp:0687. Full description at Econpapers || Download paper | |
2017 | Gauging market dynamics using trade repository data: the case of the Swiss franc de-pegging. (2017). Vasios, Michalis ; Cielinska, Olga ; Tanner, John ; Shreyas, Ujwal ; Joseph, Andreas . In: Bank of England Financial Stability Papers. RePEc:boe:finsta:0041. Full description at Econpapers || Download paper | |
2017 | High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099. Full description at Econpapers || Download paper | |
2017 | Nonstationary autoregressive conditional duration models. (2017). Anuj, Mishra ; Variyam, Ramanathan Thekke. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:4:p:22:n:2. Full description at Econpapers || Download paper | |
2017 | Empirical likelihood for high frequency data. (2017). Otsu, Taisuke ; Camponovo, Lorenzo ; Matsushita, Yukitoshi. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:591. Full description at Econpapers || Download paper | |
2017 | FUTURES-BASED MEASURES OF MONETARY POLICY AND JUMP RISK. (2017). Inekwe, John ; Nkwoma, Inekwe John . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:02:p:384-405_00. Full description at Econpapers || Download paper | |
2017 | Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour. (2017). Yu, Jun ; Tao, Yubo. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3014. Full description at Econpapers || Download paper | |
2017 | Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Ciarreta, Aitor ; Muniainy, Peru . In: ISER Discussion Paper. RePEc:dpr:wpaper:0991. Full description at Econpapers || Download paper | |
2017 | On 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. Full description at Econpapers || Download paper | |
2017 | Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20. Full description at Econpapers || Download paper | |
2017 | Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183. Full description at Econpapers || Download paper | |
2018 | Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets. (2018). Nishimura, Yusaku ; Hirayama, Kenjiro ; Tsutsui, Yoshiro. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:237-248. Full description at Econpapers || Download paper | |
2017 | Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes. (2017). Gong, Xiaoli ; Zhuang, Xintian . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:148-159. Full description at Econpapers || Download paper | |
2017 | Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221. Full description at Econpapers || Download paper | |
2017 | On 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. Full description at Econpapers || Download paper | |
2017 | R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247. Full description at Econpapers || Download paper | |
2017 | Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367. Full description at Econpapers || Download paper | |
2017 | Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152. Full description at Econpapers || Download paper | |
2017 | Estimation of integrated quadratic covariation with endogenous sampling times. (2017). Potiron, Yoann ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:20-41. Full description at Econpapers || Download paper | |
2017 | Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272. Full description at Econpapers || Download paper | |
2017 | Testing for non-correlation between price and volatility jumps. (2017). Jacod, Jean ; Muller, Gernot ; Kluppelberg, Claudia . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:284-297. Full description at Econpapers || Download paper | |
2017 | A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation. (2017). Hounyo, Ulrich ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:10-28. Full description at Econpapers || Download paper | |
2017 | Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145. Full description at Econpapers || Download paper | |
2017 | Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212. Full description at Econpapers || Download paper | |
2017 | Adaptive estimation of continuous-time regression models using high-frequency data. (2017). Li, Jia ; Tauchen, George ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:36-47. Full description at Econpapers || Download paper | |
2017 | Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:79-103. Full description at Econpapers || Download paper | |
2017 | On high frequency estimation of the frictionless price: The use of observed liquidity variables. (2017). Chaker, Selma . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:127-143. Full description at Econpapers || Download paper | |
2017 | Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42. Full description at Econpapers || Download paper | |
2017 | Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Xiu, Dacheng ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399. Full description at Econpapers || Download paper | |
2017 | Mixed-scale jump regressions with bootstrap inference. (2017). Chen, Rui ; Li, Jia ; Todorov, Viktor ; Tauchen, George. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:417-432. Full description at Econpapers || Download paper | |
2018 | Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:178-195. Full description at Econpapers || Download paper | |
2017 | A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61. Full description at Econpapers || Download paper | |
2017 | Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59. Full description at Econpapers || Download paper | |
2017 | Time-varying continuous and jump betas: The role of firm characteristics and periods of stress. (2017). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:1-19. Full description at Econpapers || Download paper | |
2017 | Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, Peter H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75. Full description at Econpapers || Download paper | |
2017 | Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154. Full description at Econpapers || Download paper | |
2017 | Determinants of price discovery in the VIX futures market. (2017). Chen, Yu-Lun ; Tsai, Wei-Che. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73. Full description at Econpapers || Download paper | |
2017 | Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; BarunÃk, Jozef ; Barunik, Jozef ; Kehlik, Toma . In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:208-218. Full description at Econpapers || Download paper | |
2017 | Bayesian calibration and number of jump components in electricity spot price models. (2017). Gonzalez, Jhonny ; Palczewski, Jan ; Moriarty, John . In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:375-388. Full description at Econpapers || Download paper | |
2017 | Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?. (2017). BarunÃk, Jozef ; Apergis, Nicholas ; Keung, Marco Chi. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:108-115. Full description at Econpapers || Download paper | |
2017 | Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145. Full description at Econpapers || Download paper | |
2017 | Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition. (2017). da Fonseca, Jose ; Xu, Yahua. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:410-422. Full description at Econpapers || Download paper | |
2017 | Oil volatility risk and stock market volatility predictability: Evidence from G7 countries. (2017). Feng, Jiabao ; Yin, Libo ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:240-254. Full description at Econpapers || Download paper | |
2017 | Identifying events in financial time series – A new approach with bipower variation. (2017). Andor, Gyorgy ; Bohak, Andras . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:42-48. Full description at Econpapers || Download paper | |
2017 | The effect of non-trading days on volatility forecasts in equity markets. (2017). Molnár, Peter ; Lyócsa, Štefan ; Molnar, Peter ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:39-49. Full description at Econpapers || Download paper | |
2017 | The asymmetric relationship between returns and implied volatility: Evidence from global stock markets. (2017). Uddin, Gazi ; naoui, kamel ; Jlassi, Mouna ; Bekiros, Stelios. In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:156-174. Full description at Econpapers || Download paper | |
2017 | Range-based and GARCH volatility estimation: Evidence from the French asset market. (2017). Benlagha, Noureddine ; Chargui, Sana . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:149-165. Full description at Econpapers || Download paper | |
2017 | A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches. (2017). Tunaru, Radu ; Cantia, Catalin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:21-35. Full description at Econpapers || Download paper | |
2017 | Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247. Full description at Econpapers || Download paper | |
2017 | Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152. Full description at Econpapers || Download paper | |
2017 | A vector heterogeneous autoregressive index model for realized volatility measures. (2017). Hecq, Alain ; Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:337-344. Full description at Econpapers || Download paper | |
2017 | Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389. Full description at Econpapers || Download paper | |
2017 | Adaptive models and heavy tails with an application to inflation forecasting. (2017). Petrella, Ivan ; Delle Monache, Davide. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:482-501. Full description at Econpapers || Download paper | |
2017 | Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742. Full description at Econpapers || Download paper | |
2017 | Realised variance forecasting under Box-Cox transformations. (2017). Taylor, Nick . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785. Full description at Econpapers || Download paper | |
2017 | Beta forecasting at long horizons. (2017). Cenesizoglu, Tolga ; Reeves, Jonathan J ; de Oliveira, Fabio. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:936-957. Full description at Econpapers || Download paper | |
2018 | Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index. (2018). Horta, Eduardo ; Ziegelmann, Flavio. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:75-88. Full description at Econpapers || Download paper | |
2017 | Equity index variance: Evidence from flexible parametric jump–diffusion models. (2017). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:85-103. Full description at Econpapers || Download paper | |
2018 | Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67. Full description at Econpapers || Download paper | |
2017 | Information Shocks and Short-Term Market Underreaction. (2017). Jiang, George J ; Zhu, Kevin X. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:43-64. Full description at Econpapers || Download paper | |
2017 | Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey . In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591. Full description at Econpapers || Download paper | |
2017 | Option-implied expectations in commodity markets and monetary policy. (2017). Triantafyllou, Athanasios ; Dotsis, George . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:1-17. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2006 | Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.(2006) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 310 | article | |
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 1 2018. Contact: CitEc Team