40
H index
58
i10 index
13031
Citations
National Bureau of Economic Research (NBER) (50% share) | 40 H index 58 i10 index 13031 Citations RESEARCH PRODUCTION: 62 Articles 99 Papers 4 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Torben G. Andersen. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
2023 | The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984. Full description at Econpapers || Download paper | |
2022 | Long memory self-exciting jump diffusion for asset prices modeling. (2022). Hainaut, Donatien ; Njike, Charles G. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022003. Full description at Econpapers || Download paper | |
2023 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper | |
2022 | A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312. Full description at Econpapers || Download paper | |
2022 | Permutation-based tests for discontinuities in event studies. (2020). Li, Jia ; Bugni, Federico A. In: Papers. RePEc:arx:papers:2007.09837. Full description at Econpapers || Download paper | |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361. Full description at Econpapers || Download paper | |
2022 | 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 | |
2022 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610. Full description at Econpapers || Download paper | |
2022 | High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477. Full description at Econpapers || Download paper | |
2022 | Recurrent Conditional Heteroskedasticity. (2020). M. -N. Tran, ; T. -N. Nguyen, ; Kohn, R. In: Papers. RePEc:arx:papers:2010.13061. Full description at Econpapers || Download paper | |
2022 | Predictive Quantile Regression with Mixed Roots and Increasing Dimensions. (2021). Shin, Youngki ; Lee, Ji Hyung ; Fan, Rui. In: Papers. RePEc:arx:papers:2101.11568. Full description at Econpapers || Download paper | |
2022 | Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467. Full description at Econpapers || Download paper | |
2022 | A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting. (2021). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:2106.00288. Full description at Econpapers || Download paper | |
2022 | Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262. Full description at Econpapers || Download paper | |
2022 | Ask Who, Not What: Bitcoin Volatility Forecasting with Twitter Data. (2021). Kaempf, Killian ; Erkul, Mert ; Akbiyik, Eren M ; Antulov-Fantulin, Nino ; Vasiliauskaite, Vaiva. In: Papers. RePEc:arx:papers:2110.14317. Full description at Econpapers || Download paper | |
2022 | Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2112.14529. Full description at Econpapers || Download paper | |
2022 | Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities. (2022). James, Nick. In: Papers. RePEc:arx:papers:2112.15321. Full description at Econpapers || Download paper | |
2022 | New volatility evolution model after extreme events. (2022). Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling ; Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong. In: Papers. RePEc:arx:papers:2201.03213. Full description at Econpapers || Download paper | |
2022 | Optimal trend following portfolios. (2022). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2201.06635. Full description at Econpapers || Download paper | |
2022 | Modeling bid and ask price dynamics with an extended Hawkes process and its empirical applications for high-frequency stock market data. (2022). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:2201.10173. Full description at Econpapers || Download paper | |
2022 | Long-Horizon Return Predictability from Realized Volatility in Pure-Jump Point Processes. (2022). Soulier, Philippe ; Hurvich, Clifford ; Hsieh, Meng-Chen. In: Papers. RePEc:arx:papers:2202.00793. Full description at Econpapers || Download paper | |
2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2022 | Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323. Full description at Econpapers || Download paper | |
2022 | On financial market correlation structures and diversification benefits across and within equity sectors. (2022). James, Nick ; Gottwald, Georg ; Menzies, Max. In: Papers. RePEc:arx:papers:2202.10623. Full description at Econpapers || Download paper | |
2022 | Reducing overestimating and underestimating volatility via the augmented blending-ARCH model. (2022). Yi, Shao ; Lu, Jun. In: Papers. RePEc:arx:papers:2203.12456. Full description at Econpapers || Download paper | |
2023 | Rough volatility: fact or artefact?. (2022). Das, Purba ; Cont, Rama. In: Papers. RePEc:arx:papers:2203.13820. Full description at Econpapers || Download paper | |
2022 | Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2204.07506. Full description at Econpapers || Download paper | |
2022 | A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate. (2022). Belkacem, Lotfi ; Boubaker, Heni ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2204.08289. Full description at Econpapers || Download paper | |
2022 | The role of investor attention in global asset price variation during the invasion of Ukraine. (2022). Horv, Mat'Uvs ; Stavsek, Daniel ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2205.05985. Full description at Econpapers || Download paper | |
2022 | Russias Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention. (2022). Pl, Tom'Avs ; Ly, Vstefan. In: Papers. RePEc:arx:papers:2205.09179. Full description at Econpapers || Download paper | |
2023 | Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738. Full description at Econpapers || Download paper | |
2022 | Multivariate backtests and copulas for risk evaluation. (2022). Zumbach, Gilles ; David, Boris. In: Papers. RePEc:arx:papers:2206.03896. Full description at Econpapers || Download paper | |
2022 | Modeling Multivariate Positive-Valued Time Series Using R-INLA. (2022). Basu, Sumanta ; Ravishanker, Nalini ; Dutta, Chiranjit. In: Papers. RePEc:arx:papers:2206.05374. Full description at Econpapers || Download paper | |
2022 | A Data Science Pipeline for Algorithmic Trading: A Comparative Study of Applications for Finance and Cryptoeconomics. (2022). Li, Jiayi ; Salas-Flores, Carlos-Gustavo ; Lahrichi, Saad ; Wu, Tianyu ; Zhang, Luyao. In: Papers. RePEc:arx:papers:2206.14932. Full description at Econpapers || Download paper | |
2022 | Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939. Full description at Econpapers || Download paper | |
2022 | Pricing Stocks with Trading Volumes. (2022). Zhang, Ran ; Lu, Yang ; Li, Yutian ; Duan, Ben. In: Papers. RePEc:arx:papers:2208.12067. Full description at Econpapers || Download paper | |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2022 | Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira. In: Papers. RePEc:arx:papers:2209.08967. Full description at Econpapers || Download paper | |
2022 | Option pricing in Volterra sandwiched volatility model. (2022). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2209.10688. Full description at Econpapers || Download paper | |
2022 | DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions. (2022). Zohren, Stefan ; Moreno-Pino, Fernando. In: Papers. RePEc:arx:papers:2210.04797. Full description at Econpapers || Download paper | |
2022 | Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217. Full description at Econpapers || Download paper | |
2022 | Change of measure in a Heston-Hawkes stochastic volatility model. (2022). Font, Oriol Zamora ; Ortiz-Latorre, Salvador ; Banos, David R. In: Papers. RePEc:arx:papers:2210.15343. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235. Full description at Econpapers || Download paper | |
2022 | Understanding stock market instability via graph auto-encoders. (2022). Zohren, Stefan ; Dong, Xiaowen ; Gorduza, Dragos. In: Papers. RePEc:arx:papers:2212.04974. Full description at Econpapers || Download paper | |
2022 | Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288. Full description at Econpapers || Download paper | |
2022 | Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833. Full description at Econpapers || Download paper | |
2023 | Bitcoin Does Not Hedge Inflation. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.10117. Full description at Econpapers || Download paper | |
2023 | Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592. Full description at Econpapers || Download paper | |
2023 | Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193. Full description at Econpapers || Download paper | |
2023 | Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002. Full description at Econpapers || Download paper | |
2023 | Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382. Full description at Econpapers || Download paper | |
2023 | Detecting Rough Volatility: A Filtering Approach. (2023). Frey, Rudiger ; Damian, Camilla. In: Papers. RePEc:arx:papers:2302.12612. Full description at Econpapers || Download paper | |
2023 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper | |
2023 | Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406. Full description at Econpapers || Download paper | |
2023 | Dark Matter in (Volatility and) Equity Option Risk Premiums. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip. In: Papers. RePEc:arx:papers:2303.16371. Full description at Econpapers || Download paper | |
2023 | Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow. (2023). Lenskiy, Artem ; Hao, Mingyu. In: Papers. RePEc:arx:papers:2304.02472. Full description at Econpapers || Download paper | |
2023 | Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902. Full description at Econpapers || Download paper | |
2023 | Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2304.11883. Full description at Econpapers || Download paper | |
2023 | Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192. Full description at Econpapers || Download paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067. Full description at Econpapers || Download paper | |
2023 | Comparing Deep Learning Models for the Task of Volatility Prediction Using Multivariate Data. (2023). Suominen, Hanna ; Lensky, Artem ; Isai, Leigh ; Lalbakhsh, Pooia ; Ge, Wenbo. In: Papers. RePEc:arx:papers:2306.12446. Full description at Econpapers || Download paper | |
2023 | Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004. Full description at Econpapers || Download paper | |
2023 | A Classical Model of Speculative Asset Price Dynamics. (2023). Smith, Vernon ; Inoua, Sabiou. In: Papers. RePEc:arx:papers:2307.00410. Full description at Econpapers || Download paper | |
2023 | Systemic risk indicator based on implied and realized volatility. (2023). Ślepaczuk, Robert ; Sieradzki, Rafal ; Sakowski, Pawel. In: Papers. RePEc:arx:papers:2307.05719. Full description at Econpapers || Download paper | |
2023 | Fast and Furious: A High-Frequency Analysis of Robinhood Users Trading Behavior. (2023). Cenesizoglu, Tolga ; Aymard, Cl'Ement ; Ardia, David. In: Papers. RePEc:arx:papers:2307.11012. Full description at Econpapers || Download paper | |
2023 | VolTS: A Volatility-based Trading System to forecast Stock Markets Trend using Statistics and Machine Learning. (2023). Letteri, Ivan. In: Papers. RePEc:arx:papers:2307.13422. Full description at Econpapers || Download paper | |
2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper | |
2023 | Closed-form approximations of moments and densities of continuous-time Markov models. (2023). Kristensen, Dennis ; Mele, Antonio ; Lee, Young Jun. In: Papers. RePEc:arx:papers:2308.09009. Full description at Econpapers || Download paper | |
2023 | Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061. Full description at Econpapers || Download paper | |
2023 | Break-Point Date Estimation for Nonstationary Autoregressive and Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.13915. Full description at Econpapers || Download paper | |
2023 | An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics. (2023). Ventre, Carmine ; Polukarov, Maria ; Cao, YI ; Li, Haochen. In: Papers. RePEc:arx:papers:2308.14235. Full description at Econpapers || Download paper | |
2023 | iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943. Full description at Econpapers || Download paper | |
2023 | From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033. Full description at Econpapers || Download paper | |
2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper | |
2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper | |
2023 | Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203. Full description at Econpapers || Download paper | |
2022 | Flash crashes on sovereign bond markets – EU evidence. (2022). Panzarino, Onofrio ; Marseglia, Gaetano ; Haferkorn, Martin ; Bouveret, Antoine. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_020_22. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2022 | The Currency Channel of the Global Bank Leverage Cycle. (2022). Pedrono, Justine. In: Working papers. RePEc:bfr:banfra:870. Full description at Econpapers || Download paper | |
2022 | Information Acquisition ahead of Monetary Policy Announcements. (2022). Ehrmann, Michael ; Hubert, Paul. In: Working papers. RePEc:bfr:banfra:897. Full description at Econpapers || Download paper | |
2023 | Blowing against the Wind? A Narrative Approach to Central Bank Foreign Exchange Intervention. (2023). Naef, Alain. In: Working papers. RePEc:bfr:banfra:911. Full description at Econpapers || Download paper | |
2022 | Impacts of relatively rational and irrational investor sentiment on realized volatility. (2022). Chen, Jihkuang ; Lai, Hungcheng ; Tseng, Tsengchan. In: Asian Economic Journal. RePEc:bla:asiaec:v:36:y:2022:i:4:p:458-478. Full description at Econpapers || Download paper | |
2022 | A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683. Full description at Econpapers || Download paper | |
2022 | Does the Federal Open Market Committee cycle affect credit risk?. (2022). Zhong, Zhaodong ; Wang, Xinjie ; Li, Yubin ; Huang, Difang. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:143-167. Full description at Econpapers || Download paper | |
2022 | Economic forecasts, anchoring bias, and stock returns. (2022). Yu, Han ; Dutta, Sandip ; Birz, Gene. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:169-191. Full description at Econpapers || Download paper | |
2022 | Doubly heterogeneous monetary spillovers. (2022). Shah, Nihar. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:126-150. Full description at Econpapers || Download paper | |
2022 | Global financial crisis versus COVID?19: Evidence from sentiment analysis. (2022). Abdoh, Hussein ; Maghyereh, Aktham. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:2:p:218-248. Full description at Econpapers || Download paper | |
2022 | Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets. (2022). Kiohos, Apostolos ; Stoupos, Nikolaos. In: Journal of Common Market Studies. RePEc:bla:jcmkts:v:60:y:2022:i:4:p:1019-1046. Full description at Econpapers || Download paper | |
2022 | Choice of Policy Instruments with Endogenous Quality: Per?Passenger and Per?Flight Airport Charges in Japan. (2022). Doi, Naoshi. In: Journal of Industrial Economics. RePEc:bla:jindec:v:70:y:2022:i:1:p:44-88. Full description at Econpapers || Download paper | |
2022 | How is Earnings News Transmitted to Stock Prices?. (2022). Martineau, Charles ; Gregoire, Vincent. In: Journal of Accounting Research. RePEc:bla:joares:v:60:y:2022:i:1:p:261-297. Full description at Econpapers || Download paper | |
2022 | Unconventional policies effects on stock market volatility: The MAP approach. (2022). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, Demetrio. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:5:p:1245-1265. Full description at Econpapers || Download paper | |
2022 | State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124. Full description at Econpapers || Download paper | |
2022 | Periodic autoregressive conditional duration. (2022). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:5-29. Full description at Econpapers || Download paper | |
2022 | Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | A nonparametric predictive regression model using partitioning estimators based on Taylor expansions. (2023). Olmo, Jose. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:3:p:294-318. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|---|---|---|
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 | 114 |
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: 114 | 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 | 863 |
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: 863 | 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: 863 | article | |
2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 546 |
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: 546 | 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: 546 | paper | |
2007 | Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 113 |
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: 113 | 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: 113 | paper | |
2007 | Construction and Interpretation of Model-Free Implied Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 60 |
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: 60 | 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 | 64 |
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: 64 | 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: 64 | 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: 64 | paper | |
2009 | Realized Volatility and Multipower Variation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
2009 | Jump-Robust Volatility Estimation using Nearest Neighbor Truncation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 277 |
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: 277 | 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: 277 | 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: 277 | paper | |
2010 | Stochastic Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 68 |
2009 | Stochastic volatility.(2009) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 68 | paper | |
2011 | A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
2011 | A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2011 | Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 54 |
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: 54 | 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: 54 | 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: 54 | paper | |
2011 | Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
2011 | VPIN and the Flash Crash In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 37 |
2014 | VPIN and the flash crash.(2014) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | article | |
2011 | Parametric Inference and Dynamic State Recovery from Option Panels In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 31 |
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: 31 | 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: 31 | 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: 31 | article | |
2013 | Reflecting on the VPIN Dispute In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
2014 | Reflecting on the VPIN dispute.(2014) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2013 | Assessing Measures of Order Flow Toxicity via Perfect Trade Classification In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | The Fine Structure of Equity-Index Option Dynamics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 11 |
2015 | The fine structure of equity-index option dynamics.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2014 | The Risk Premia Embedded in Index Options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 77 |
2018 | The Risk Premia Embedded in Index Options.(2018) In: CREATES Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 77 | 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: 77 | 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 | 18 |
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: 18 | 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 | 1 |
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: 1 | article | |
2018 | Option Panels in Pure-Jump Settings In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Time-Varying Periodicity in Intraday Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 15 |
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: 15 | article | |
2018 | Short-Term Market Risks Implied by Weekly Options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 26 |
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: 26 | article | |
2018 | Consistent Inference for Predictive Regressions in Persistent VAR Economies In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Intraday Trading Invariance in the E-mini S&P 500 Futures Market In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
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: 13 | 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: 13 | paper | |
2003 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange In: American Economic Review. [Full Text][Citation analysis] | article | 841 |
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: 841 | 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: 841 | 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: 841 | paper | |
2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk In: American Economic Review. [Full Text][Citation analysis] | article | 82 |
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: 82 | 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: 82 | 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: 82 | paper | |
2023 | Real-Time Detection of Local No-Arbitrage Violations In: Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | The Distribution of Realized Exchange Rate Volatility In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 1051 |
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 | 279 |
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: 279 | 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: 279 | paper | ||
2000 | Some Reflections on Analysis of High-Frequency Data. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 22 |
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 | 411 |
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 | 361 |
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: 361 | paper | |
2001 | Variance?ratio Statistics and High?frequency Data: Testing for Changes in Intraday Volatility Patterns In: Journal of Finance. [Full Text][Citation analysis] | article | 33 |
2002 | An Empirical Investigation of Continuous?Time Equity Return Models In: Journal of Finance. [Full Text][Citation analysis] | article | 295 |
2001 | An Empirical Investigation of Continuous-Time Equity Return Models.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 295 | paper | |
2023 | Announcement: Call for Papers for Special Issue in Honour of Stephen J. Taylor In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
1998 | Towards a unified framework for high and low frequency return volatility modeling In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 5 |
2002 | Analytic Evaluation of Volatility Forecasts In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 113 |
2004 | ANALYTICAL EVALUATION OF VOLATILITY FORECASTS.(2004) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 113 | article | |
2002 | Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 13 |
2002 | Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2002 | CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES.(2002) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
1998 | THE ECONOMETRICS OF FINANCIAL MARKETS In: Econometric Theory. [Full Text][Citation analysis] | article | 3 |
2000 | SIMULATION-BASED ECONOMETRIC METHODS In: Econometric Theory. [Full Text][Citation analysis] | article | 10 |
2014 | A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY In: Econometric Theory. [Full Text][Citation analysis] | article | 16 |
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: 16 | paper | |
2019 | INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS In: Econometric Theory. [Full Text][Citation analysis] | article | 1 |
2022 | CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
2003 | Modeling and Forecasting Realized Volatility In: Econometrica. [Citation analysis] | article | 1838 |
2001 | Modeling and Forecasting Realized Volatility.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1838 | 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: 1838 | paper | |
2005 | Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities In: Econometrica. [Full Text][Citation analysis] | article | 166 |
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 | 272 |
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 | 152 |
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: 152 | paper | |
2011 | Realized volatility forecasting and market microstructure noise In: Journal of Econometrics. [Full Text][Citation analysis] | article | 105 |
2021 | Tail risk and return predictability for the Japanese equity market In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
2021 | Consistent inference for predictive regressions in persistent economic systems In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
2021 | Consistent Inference for Predictive Regressions in Persistent Economic Systems.(2021) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2022 | Local mispricing and microstructural noise: A parametric perspective In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2022 | Testing for parameter instability and structural change in persistent predictive regressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2023 | Intraday cross-sectional distributions of systematic risk In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
1997 | GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
1997 | Estimating continuous-time stochastic volatility models of the short-term interest rate In: Journal of Econometrics. [Full Text][Citation analysis] | article | 233 |
1999 | Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study In: Journal of Econometrics. [Full Text][Citation analysis] | article | 114 |
1997 | Intraday periodicity and volatility persistence in financial markets In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 599 |
1999 | Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 159 |
2000 | Intraday and interday volatility in the Japanese stock market In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 101 |
2001 | The distribution of realized stock return volatility In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 1000 |
2006 | Realized Beta: Persistence and Predictability In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 2 |
2008 | Realized volatility In: Working Paper Series. [Full Text][Citation analysis] | paper | 49 |
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 | 86 |
1999 | The Distribution of Exchange Rate Volatility.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 86 | 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: 86 | 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 | 107 |
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: 107 | 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: 107 | 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: 107 | 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 | 54 |
2009 | Duration-Based Volatility Estimation In: Global COE Hi-Stat Discussion Paper Series. [Full Text][Citation analysis] | paper | 6 |
1998 | Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts. In: International Economic Review. [Citation analysis] | article | 1531 |
2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 41 |
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: 41 | 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: 41 | 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: 41 | paper | |
2002 | Parametric and Nonparametric Volatility Measurement In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 73 |
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: 73 | paper | |
2005 | Volatility Forecasting In: NBER Working Papers. [Full Text][Citation analysis] | paper | 48 |
2005 | Volatility Forecasting.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | paper | |
2005 | Volatility forecasting.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | paper | |
2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 104 |
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: 104 | 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: 104 | paper | |
2015 | The Pricing of Short-Term market Risk: Evidence from Weekly Options In: NBER Working Papers. [Full Text][Citation analysis] | paper | 2 |
2019 | Cross-Sectional Dispersion of Risk in Trading Time In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
1996 | DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies In: NBER Working Papers. [Full Text][Citation analysis] | paper | 9 |
1997 | Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts In: NBER Working Papers. [Full Text][Citation analysis] | paper | 26 |
2000 | The Distribution of Stock Return Volatility In: NBER Working Papers. [Full Text][Citation analysis] | paper | 40 |
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: 40 | paper | |
2008 | Stochastic Volatility: Origins and Overview In: Economics Papers. [Full Text][Citation analysis] | paper | 10 |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: Economics Series Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2008 | Stochastic Volatility: Origins and Overview.(2008) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2021 | A Descriptive Study of High-Frequency Trade and Quote Option Data* In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
2004 | Discussion In: The 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 | 7 |
2015 | Exploring Return Dynamics via Corridor Implied Volatility In: Review of Financial Studies. [Full Text][Citation analysis] | article | 42 |
2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 41 |
2003 | Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | paper | |
2004 | Realized Beta: Persistence and Predictability In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 13 |
2004 | Realized beta: Persistence and predictability.(2004) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2021 | Recalcitrant betas: Intraday variation in the cross?sectional dispersion of systematic risk In: Quantitative Economics. [Full Text][Citation analysis] | article | 1 |
2017 | Volatility, information feedback and market microstructure noise: A tale of two regimes In: CFS Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
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