20
H index
28
i10 index
4250
Citations
Aarhus Universitet | 20 H index 28 i10 index 4250 Citations RESEARCH PRODUCTION: 27 Articles 60 Papers 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 Ole E. Barndorff-Nielsen. | Is cited by: | Cites to: |
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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2020 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12. Full description at Econpapers || Download paper | |
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 | Realized volatility and parametric estimation of Heston SDEs. (2017). Timofeyev, Ilya ; Ren, Peng ; Azencott, Robert . In: Papers. RePEc:arx:papers:1706.04566. 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 | |
2020 | Tail Risks, Asset prices, and Investment Horizons. (2018). BarunÃÂk, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148. Full description at Econpapers || Download paper | |
2020 | Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595. Full description at Econpapers || Download paper | |
2020 | Double Deep Q-Learning for Optimal Execution. (2018). Jaimungal, Sebastian ; Ho, Franco ; Ning, Brian. In: Papers. RePEc:arx:papers:1812.06600. Full description at Econpapers || Download paper | |
2020 | Approximate State Space Modelling of Unobserved Fractional Components. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09142. Full description at Econpapers || Download paper | |
2020 | Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991. 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 | Fast Pricing of Energy Derivatives with Mean-reverting Jump Processes. (2019). Sabino, Piergiacomo ; Petroni, Nicola Cufaro . In: Papers. RePEc:arx:papers:1908.03137. Full description at Econpapers || Download paper | |
2020 | Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660. Full description at Econpapers || Download paper | |
2020 | A Socioeconomic Well-Being Index. (2020). Ma, Xiaohan ; Shirvani, Abootaleb ; Trindade, Alexandre A. In: Papers. RePEc:arx:papers:2001.01036. Full description at Econpapers || Download paper | |
2020 | Pricing Exchange Options under Stochastic Correlation. (2020). Olivares, Pablo ; Villamor, Enrique. In: Papers. RePEc:arx:papers:2001.03967. 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 | |
2020 | Asymptotic expansion for the transition densities of stochastic differential equations driven by the gamma processes. (2020). Yang, Jingping ; Zang, Xin ; Jiang, Fan. In: Papers. RePEc:arx:papers:2003.06218. Full description at Econpapers || Download paper | |
2020 | Gamma Related Ornstein-Uhlenbeck Processes and their Simulation. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2003.08810. 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 | |
2020 | Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. (2020). Wu, Bei ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2004.01865. 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 | Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives. (2020). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2004.06786. Full description at Econpapers || Download paper | |
2020 | Sequential hypothesis testing in machine learning driven crude oil jump detection. (2020). Sengupta, Indranil ; Roberts, Michael. In: Papers. RePEc:arx:papers:2004.08889. Full description at Econpapers || Download paper | |
2020 | A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400. Full description at Econpapers || Download paper | |
2020 | Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160. Full description at Econpapers || Download paper | |
2020 | Al\`os type decomposition formula for Barndorff-Nielsen and Shephard model. (2020). Arai, Takuji. In: Papers. RePEc:arx:papers:2005.07393. 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 | First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process. (2020). Sengupta, Indranil ; Awasthi, Shantanu. In: Papers. RePEc:arx:papers:2006.07167. Full description at Econpapers || Download paper | |
2020 | Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Roh, Kum-Hwan ; Kim, Young Shin. In: Papers. RePEc:arx:papers:2006.07669. 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 | Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models. (2020). Posp, J ; Danvek, Josef. In: Papers. RePEc:arx:papers:2006.13181. Full description at Econpapers || Download paper | |
2020 | An unsupervised deep learning approach in solving partial-integro differential equations. (2020). Fu, Weilong ; Hirsa, Ali. In: Papers. RePEc:arx:papers:2006.15012. Full description at Econpapers || Download paper | |
2020 | Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen . In: Papers. RePEc:arx:papers:2006.15054. Full description at Econpapers || Download paper | |
2020 | Fourier instantaneous estimators and the Epps effect. (2020). Chang, Patrick. In: Papers. RePEc:arx:papers:2007.03453. 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 | An estimator for predictive regression: reliable inference for financial economics. (2020). Shephard, Neil. In: Papers. RePEc:arx:papers:2008.06130. 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 | Jump Models with delay -- option pricing and logarithmic Euler-Maruyama scheme. (2020). Hu, Yaozhong ; Agrawal, Nishant. In: Papers. RePEc:arx:papers:2010.04287. 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 | Measuring the Effect of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, Demetrio ; Otranto, Edoardo. In: Papers. RePEc:arx:papers:2010.08259. 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 | A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets. (2020). Sabino, Piergiacomo ; Gardini, Matteo ; Sasso, Emanuela. In: Papers. RePEc:arx:papers:2011.04256. 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 | Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2011.09147. Full description at Econpapers || Download paper | |
2020 | A Multivariate Realized GARCH Model. (2020). Lunde, Asger ; Hansen, Peter Reinhard ; Archakov, Ilya . In: Papers. RePEc:arx:papers:2012.02708. 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 | Understanding Systematic Risk: A Highâ€Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220. 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 | Contrast function estimation for the drift parameter of ergodic jump diffusion process. (2020). Gloter, Arnaud ; Amorino, Chiara. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:2:p:279-346. 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 | Asymptotic F test in Regressions with Observations Collected at High Frequency over Long Span. (2020). Sun, Yixiao ; Pellatt, Daniel . In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt19f0d9wz. Full description at Econpapers || Download paper | |
2020 | Measuring the Effects of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, D ; Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:202006. Full description at Econpapers || Download paper | |
2020 | Uncovered Interest Rate Parity Redux: Non- Uniform Effects. (2020). Cheung, Yin-Wong ; Wang, Wenhao. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2020_004. 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 | 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 | |
2021 | A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network. (2021). Sun, Ying ; Chen, Tianbo ; Li, Ta-Hsin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:154:y:2021:i:c:s0167947320301602. 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 | 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 | 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 | |
2020 | The distribution of index futures realised volatility under seasonality and microstructure noise. (2020). Salvador, Enrique ; Arago, Vicent ; Alemany, Nuria. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:398-414. Full description at Econpapers || Download paper | |
2020 | Forecasting volatility with component conditional autoregressive range model. (2020). Hou, Xinmeng ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081930083x. Full description at Econpapers || Download paper | |
2020 | Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market. (2020). Yin, Libo ; Wang, Ziwei ; He, Feng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303055. Full description at Econpapers || Download paper | |
2020 | Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Wei, YU ; Lei, Likun ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293. Full description at Econpapers || Download paper | |
2020 | Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators. (2020). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300620. Full description at Econpapers || Download paper | |
2020 | Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates. (2020). Yi, Chae-Deug. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300814. Full description at Econpapers || Download paper | |
2020 | VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective. (2020). Li, Weiping ; Yang, Jiyu ; Qiao, Gaoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300838. Full description at Econpapers || Download paper | |
2020 | Forecast on silver futures linked with structural breaks and day-of-the-week effect. (2020). Fang, Qiang ; Cheng, Yuxiang ; Li, Wenlan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300899. Full description at Econpapers || Download paper | |
2020 | Volatility forecasting accuracy for Bitcoin. (2020). Posch, Peter ; Schmidtke, Philipp ; Kochling, Gerrit. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304239. Full description at Econpapers || Download paper | |
2020 | High-dimensional minimum variance portfolio estimation based on high-frequency data. (2020). Zheng, Xinghua ; Li, Yingying ; Hu, Jianchang ; Cai, Tony T. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:482-494. Full description at Econpapers || Download paper | |
2020 | Inference for local distributions at high sampling frequencies: A bootstrap approach. (2020). Varneskov, Rasmus T ; Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:1-34. Full description at Econpapers || Download paper | |
2020 | Testing for Stationarity at High Frequency. (2020). Park, Joon Y ; Lu, YE ; Jiang, Bibo. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:341-374. Full description at Econpapers || Download paper | |
2020 | Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535. Full description at Econpapers || Download paper | |
2020 | Dependent microstructure noise and integrated volatility estimation from high-frequency data. (2020). Laeven, Roger ; Vellekoop, Michel H ; Li, Merrick Z. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:536-558. Full description at Econpapers || Download paper | |
2020 | High-frequency factor models and regressions. (2020). Kalnina, Ilze ; Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:86-105. Full description at Econpapers || Download paper | |
2020 | Volatility estimation and jump detection for drift–diffusion processes. (2020). Shi, Shuping ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:259-290. Full description at Econpapers || Download paper | |
2020 | Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334. Full description at Econpapers || Download paper | |
2020 | Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430. Full description at Econpapers || Download paper | |
2020 | Statistical inferences for price staleness. (2020). Pirino, Davide ; Livieri, Giulia ; Kolokolov, Aleksey. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:32-81. Full description at Econpapers || Download paper | |
2020 | Volatility regressions with fat tails. (2020). Kim, Jihyun ; Meddahi, Nour. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:690-713. Full description at Econpapers || Download paper | |
2020 | Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity. (2020). Omori, Yasuhiro ; Kurose, Yuta. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:46-68. Full description at Econpapers || Download paper | |
2020 | Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62. Full description at Econpapers || Download paper | |
2020 | Realized stochastic volatility models with generalized Gegenbauer long memory. (2020). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:42-54. Full description at Econpapers || Download paper | |
2020 | Fractional Brownian markets with time-varying volatility and high-frequency data. (2020). Sen, Rituparna ; Lahiri, Ananya . In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:91-107. Full description at Econpapers || Download paper | |
2020 | Economic indicators and stock market volatility in an emerging economy. (2020). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594. Full description at Econpapers || Download paper | |
2020 | An analysis of dollar cost averaging and market timing investment strategies. (2020). Nguyen, Duy ; Mitra, Sovan ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1168-1186. Full description at Econpapers || Download paper | |
2020 | What is the best proxy for liquidity in the presence of extreme illiquidity?. (2020). Będowska-Sójka, Barbara ; Echaust, Krzysztof ; Bdowska-Sojka, Barbara. In: Emerging Markets Review. RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119302080. Full description at Econpapers || Download paper | |
2020 | The economic value of VIX ETPs. (2020). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:121-138. Full description at Econpapers || Download paper | |
2020 | Factor models in the German electricity market: Stylized facts, seasonality, and calibration. (2020). Wagner, A ; Hinderks, W J. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319301033. Full description at Econpapers || Download paper | |
2020 | Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500. Full description at Econpapers || Download paper | |
2020 | Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Ma, Feng ; Mei, Dexiang ; Wang, LU ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304219. Full description at Econpapers || Download paper | |
2020 | Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. (2020). Smyth, Russell ; Bissoondoyal-Bheenick, Emawtee ; Brooks, Robert. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300281. Full description at Econpapers || Download paper | |
2020 | Gold-oil dependence dynamics and the role of geopolitical risks: Evidence from a Markov-switching time-varying copula model. (2020). Tiwari, Aviral ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Aye, Goodness C. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300876. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2008 | Measuring downside risk - realised semivariance.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 214 |
2009 | Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading.(2009) In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 214 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 214 | paper | |
2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.(2008) In: Economics Series Working Papers. [Citation analysis] This paper has another version. Agregated cites: 214 | paper | |
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2003 | Power variation & stochastic volatility: a review and some new results In: Economics Papers. [Full Text][Citation analysis] | paper | 3 |
2003 | Econometrics of testing for jumps in financial economics using bipower variation In: Economics Papers. [Full Text][Citation analysis] | paper | 434 |
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: 434 | article | |
2004 | Econometrics of testing for jumps in financial economics using bipower variationÂ.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 434 | paper | |
2004 | Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise In: Economics Papers. [Full Text][Citation analysis] | paper | 20 |
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2004 | A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales In: Economics Papers. [Full Text][Citation analysis] | paper | 54 |
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2004 | A Feasible Central Limit Theory for Realised Volatility Under Leverage In: Economics Papers. [Full Text][Citation analysis] | paper | 6 |
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2004 | Multipower Variation and Stochastic Volatility In: Economics Papers. [Full Text][Citation analysis] | paper | 5 |
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2005 | Limit theorems for multipower variation in the presence of jumps In: Economics Papers. [Full Text][Citation analysis] | paper | 57 |
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2010 | Discrete-valued Levy processes and low latency financial econometrics.(2010) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2000 | Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics. In: Economics Papers. [Citation analysis] | paper | 0 |
2000 | Non-Gaussian OU based models and some of their uses in financial economics In: OFRC Working Papers Series. [Full Text][Citation analysis] | paper | 9 |
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team