64
H index
93
i10 index
34551
Citations
National Bureau of Economic Research (NBER) (1% share) | 64 H index 93 i10 index 34551 Citations RESEARCH PRODUCTION: 97 Articles 100 Papers 5 Chapters EDITOR: Books edited 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 Tim Bollerslev. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2024 | Modelling the relationship between inflation and uncertainty with existence of structural break: evidence from Azerbaijan. (2024). Rahimov, Vugar. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:85-96. Full description at Econpapers || Download paper | |
2024 | Economic sanctions and barley price regime change in Iran. (2024). Farsi, Mohammad Mehdi ; Sardehaie, Behzad Fakari. In: Bio-based and Applied Economics Journal. RePEc:ags:aieabj:347578. Full description at Econpapers || Download paper | |
2025 | Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Shamsudin, Luqman ; Li, Xiao. In: FEEM Working Papers. RePEc:ags:feemwp:349169. Full description at Econpapers || Download paper | |
2024 | Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022. Full description at Econpapers || Download paper | |
2024 | Volatility Depends on Market Trades and Macro Theory. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2008.07907. Full description at Econpapers || Download paper | |
2025 | A Multivariate Realized GARCH Model. (2025). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708. Full description at Econpapers || Download paper | |
2024 | To VaR, or Not to VaR, That is the Question. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559. Full description at Econpapers || Download paper | |
2024 | Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264. Full description at Econpapers || Download paper | |
2024 | Nonparametric Test for Volatility in Clustered Multiple Time Series. (2024). Barrios, Erniel ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412. Full description at Econpapers || Download paper | |
2024 | Three Remarks On Asset Pricing. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2105.13903. Full description at Econpapers || Download paper | |
2024 | Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2024). Zohren, Stefan ; Poon, Ser-Huang ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480. Full description at Econpapers || Download paper | |
2024 | Data-Driven Risk Measurement by SV-GARCH-EVT Model. (2024). , Shibo. In: Papers. RePEc:arx:papers:2201.09434. Full description at Econpapers || Download paper | |
2025 | From Semi-Infinite Constraints to Structured Robust Policies: Optimal Gain Selection for Financial Systems. (2025). Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:2202.02300. Full description at Econpapers || Download paper | |
2024 | Market-Based Price Autocorrelation. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323. Full description at Econpapers || Download paper | |
2024 | Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests. (2024). Schienle, Melanie ; Gorgen, Konstantin ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224. Full description at Econpapers || Download paper | |
2025 | Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper | |
2024 | Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2204.07506. Full description at Econpapers || Download paper | |
2025 | Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2024 | Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2024). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939. Full description at Econpapers || Download paper | |
2024 | Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2024 | Option pricing in Sandwiched Volterra Volatility model. (2024). Mishura, Yuliya ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2209.10688. Full description at Econpapers || Download paper | |
2024 | DeepVol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions. (2024). Zohren, Stefan ; Moreno-Pino, Fernando. In: Papers. RePEc:arx:papers:2210.04797. Full description at Econpapers || Download paper | |
2024 | Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2024). van Huellen, Sophie ; Dellaportas, Petros ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363. Full description at Econpapers || Download paper | |
2024 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2024). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper | |
2024 | Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2024). Rossini, Luca ; Iacopini, Matteo ; Ravazzolo, Francesco. In: Papers. RePEc:arx:papers:2211.16121. Full description at Econpapers || Download paper | |
2024 | Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2024). Wilms, Ines ; Hecq, Alain ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592. Full description at Econpapers || Download paper | |
2024 | Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2024). Lu, Yutong ; Cucuringu, Mihai ; Reinert, Gesine. In: Papers. RePEc:arx:papers:2302.09382. Full description at Econpapers || Download paper | |
2024 | An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition. (2024). Werge, Nicklas ; de Vilmarest, Joseph. In: Papers. RePEc:arx:papers:2303.01855. Full description at Econpapers || Download paper | |
2024 | Learning to Predict Short-Term Volatility with Order Flow Image Representation. (2024). Hao, Mingyu ; Lenskiy, Artem. In: Papers. RePEc:arx:papers:2304.02472. Full description at Econpapers || Download paper | |
2025 | Adaptive Students t-distribution with method of moments moving estimator for nonstationary time series. (2025). Duda, Jarek. In: Papers. RePEc:arx:papers:2304.03069. Full description at Econpapers || Download paper | |
2024 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
2024 | Latent Factor Analysis in Short Panels. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004. Full description at Econpapers || Download paper | |
2024 | Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns. (2024). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564. Full description at Econpapers || Download paper | |
2024 | GARCHX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables. (2024). GUPTA, RANGAN ; Karmakar, Sayar ; Wu, Kejin. In: Papers. RePEc:arx:papers:2308.13346. Full description at Econpapers || Download paper | |
2025 | Global Neural Networks and The Data Scaling Effect in Financial Time Series Forecasting. (2025). Kohn, Robert ; Gerlach, Richard ; Tran, Minh-Ngoc ; Liu, Chen ; Wang, Chao. In: Papers. RePEc:arx:papers:2309.02072. Full description at Econpapers || Download paper | |
2025 | Regressions under Adverse Conditions. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327. Full description at Econpapers || Download paper | |
2024 | From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2024). Goulet Coulombe, Philippe ; Frenette, Mikael ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333. Full description at Econpapers || Download paper | |
2025 | Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences. (2025). Xia, Weixuan. In: Papers. RePEc:arx:papers:2312.00266. Full description at Econpapers || Download paper | |
2024 | Rough volatility: evidence from range volatility estimators. (2024). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426. Full description at Econpapers || Download paper | |
2024 | Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049. Full description at Econpapers || Download paper | |
2024 | Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models. (2024). Younas, Zahid I ; Jeleskovic, Vahidin ; Koch, Dennis. In: Papers. RePEc:arx:papers:2401.03393. Full description at Econpapers || Download paper | |
2024 | Quantum Probability Theoretic Asset Return Modeling: A Novel Schr\odinger-Like Trading Equation and Multimodal Distribution. (2024). Lin, LI. In: Papers. RePEc:arx:papers:2401.05823. Full description at Econpapers || Download paper | |
2025 | SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249. Full description at Econpapers || Download paper | |
2024 | Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review. (2024). Han, Xusi ; Zhu, Xuejun ; Guo, Steve ; Li, Shuang ; Fu, Rao ; Ericson, Lars. In: Papers. RePEc:arx:papers:2401.10370. Full description at Econpapers || Download paper | |
2024 | Reference-dependent asset pricing with a stochastic consumption-dividend ratio. (2024). Yang, Yuting ; He, Xuedong ; Strub, Moris Simon ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:2401.12856. Full description at Econpapers || Download paper | |
2024 | Structural Periodic Vector Autoregressions. (2024). Dzikowski, Daniel ; Jentsch, Carsten. In: Papers. RePEc:arx:papers:2401.14545. Full description at Econpapers || Download paper | |
2024 | Predicting the volatility of major energy commodity prices: the dynamic persistence model. (2024). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2402.01354. Full description at Econpapers || Download paper | |
2024 | Signature volatility models: pricing and hedging with Fourier. (2024). , Louis-Amand ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2402.01820. Full description at Econpapers || Download paper | |
2024 | From GARCH to Neural Network for Volatility Forecast. (2024). Hung, Wilfred Siu ; Zhao, Pengfei ; Zhu, Haoren ; Lee, Dik Lun. In: Papers. RePEc:arx:papers:2402.06642. Full description at Econpapers || Download paper | |
2024 | Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134. Full description at Econpapers || Download paper | |
2024 | Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs. (2024). Tondapu, Narayan. In: Papers. RePEc:arx:papers:2402.07435. Full description at Econpapers || Download paper | |
2024 | Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985. Full description at Econpapers || Download paper | |
2024 | Quantifying neural network uncertainty under volatility clustering. (2024). , Steven ; Azizi, Lamiae. In: Papers. RePEc:arx:papers:2402.14476. Full description at Econpapers || Download paper | |
2025 | On short-time behavior of implied volatility in a market model with indexes. (2025). Nguyen, Thai ; Chau, Huy N. In: Papers. RePEc:arx:papers:2402.16509. Full description at Econpapers || Download paper | |
2024 | Impact of COVID-19 on Exchange rate volatility of Bangladesh: Evidence through GARCH model. (2024). Karim, Rizwanul. In: Papers. RePEc:arx:papers:2403.02560. Full description at Econpapers || Download paper | |
2024 | Convolution-t Distributions. (2024). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2404.00864. Full description at Econpapers || Download paper | |
2024 | The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Yun-Shi. In: Papers. RePEc:arx:papers:2404.01641. Full description at Econpapers || Download paper | |
2024 | Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335. Full description at Econpapers || Download paper | |
2024 | A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962. Full description at Econpapers || Download paper | |
2024 | Maximally Forward-Looking Core Inflation. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian ; Klieber, Karin ; Barrette, Christophe. In: Papers. RePEc:arx:papers:2404.05209. Full description at Econpapers || Download paper | |
2025 | RiskLabs: Predicting Financial Risk Using Large Language Model Based on Multi-Sources Data. (2024). Chen, Zhi ; Cao, Yupeng ; Pei, Qingyun ; Kumar, Prashant ; Ndiaye, Papa Momar ; Ausiello, Lorenzo ; Subbalakshmi, K P ; Dimino, Fabrizio. In: Papers. RePEc:arx:papers:2404.07452. Full description at Econpapers || Download paper | |
2024 | Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon. (2024). He, Yifan ; Rachev, Svetlozar ; Fabozzi, Frank ; Shao, Barret ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2404.11722. Full description at Econpapers || Download paper | |
2024 | Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087. Full description at Econpapers || Download paper | |
2024 | Modelling and Forecasting Energy Market Volatility Using GARCH and Machine Learning Approach. (2024). Chung, Seulki. In: Papers. RePEc:arx:papers:2405.19849. Full description at Econpapers || Download paper | |
2024 | Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235. Full description at Econpapers || Download paper | |
2024 | Probabilistic models and statistics for electronic financial markets in the digital age. (2024). Bibinger, Markus. In: Papers. RePEc:arx:papers:2406.07388. Full description at Econpapers || Download paper | |
2024 | HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041. Full description at Econpapers || Download paper | |
2024 | Financial Assets Dependency Prediction Utilizing Spatiotemporal Patterns. (2024). Hung, Wilfred Siu ; Zhao, Pengfei ; Zhu, Haoren ; Lee, Dik Lun. In: Papers. RePEc:arx:papers:2406.11886. Full description at Econpapers || Download paper | |
2024 | Regularizing stock return covariance matrices via multiple testing of correlations. (2024). Luger, Richard. In: Papers. RePEc:arx:papers:2407.09696. Full description at Econpapers || Download paper | |
2024 | A nonparametric test for rough volatility. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2407.10659. Full description at Econpapers || Download paper | |
2024 | Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches. (2024). Desheng, Wu Dash ; Ahmad, Touqeer ; Ur, Shafique ; Karamoozian, Amirhossein. In: Papers. RePEc:arx:papers:2407.15766. Full description at Econpapers || Download paper | |
2024 | The Hybrid Forecast of S&P 500 Volatility ensembled from VIX, GARCH and LSTM models. (2024). Ślepaczuk, Robert ; Roszyk, Natalia. In: Papers. RePEc:arx:papers:2407.16780. Full description at Econpapers || Download paper | |
2024 | Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Papers. RePEc:arx:papers:2408.02391. Full description at Econpapers || Download paper | |
2024 | An unbounded intensity model for point processes. (2024). Christensen, Kim ; Kolokolov, Alexei. In: Papers. RePEc:arx:papers:2408.06519. Full description at Econpapers || Download paper | |
2024 | Predicting the distributions of stock returns around the globe in the era of big data and learning. (2024). Baruník, Jozef ; Tobek, Ondrej ; Hronec, Martin. In: Papers. RePEc:arx:papers:2408.07497. Full description at Econpapers || Download paper | |
2024 | Method of Moments Estimation for Affine Stochastic Volatility Models. (2024). Wu, Yan-Feng ; Yang, Xiangyu ; Hu, Jian-Qiang. In: Papers. RePEc:arx:papers:2408.09185. Full description at Econpapers || Download paper | |
2025 | Cross-sectional Dependence in Idiosyncratic Volatility. (2024). Tewou, Kokouvi ; Kalnina, Ilze. In: Papers. RePEc:arx:papers:2408.13437. Full description at Econpapers || Download paper | |
2024 | Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588. Full description at Econpapers || Download paper | |
2024 | Model-based and empirical analyses of stochastic fluctuations in economy and finance. (2024). Zadourian, Rubina. In: Papers. RePEc:arx:papers:2408.16010. Full description at Econpapers || Download paper | |
2024 | A Multi-agent Market Model Can Explain the Impact of AI Traders in Financial Markets -- A New Microfoundations of GARCH model. (2024). Mizuta, Takanobu ; Minami, Kentaro ; Hirano, Masanori ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2409.12516. Full description at Econpapers || Download paper | |
2024 | Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516. Full description at Econpapers || Download paper | |
2024 | The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734. Full description at Econpapers || Download paper | |
2024 | Consistent Estimation of the High-Dimensional Efficient Frontier. (2024). Parolya, Nestor ; Hautsch, Nikolaus ; Okhrin, Yarema ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2409.15103. Full description at Econpapers || Download paper | |
2024 | Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days. (2024). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2409.15320. Full description at Econpapers || Download paper | |
2024 | Tail Risk Analysis for Financial Time Series. (2024). Zhou, Chen ; Kiriliouk, Anna. In: Papers. RePEc:arx:papers:2409.18643. Full description at Econpapers || Download paper | |
2024 | A new GARCH model with a deterministic time-varying intercept. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Back, Alexander ; Ahlgren, Niklas. In: Papers. RePEc:arx:papers:2410.03239. Full description at Econpapers || Download paper | |
2024 | How to Compare Copula Forecasts?. (2024). Hoga, Yannick ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2410.04165. Full description at Econpapers || Download paper | |
2024 | Evaluating Financial Relational Graphs: Interpretation Before Prediction. (2024). Potì, Valerio ; Dong, Ruihai ; Poti, Valerio ; Dolphin, Rian ; Lu, Lanxin ; Niu, Yingjie. In: Papers. RePEc:arx:papers:2410.07216. Full description at Econpapers || Download paper | |
2024 | A GARCH model with two volatility components and two driving factors. (2024). Ballestra, Luca Vincenzo ; Tezza, Christian ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2410.14585. Full description at Econpapers || Download paper | |
2024 | A Dynamic Spatiotemporal and Network ARCH Model with Common Factors. (2024). Otto, Philipp ; Mattera, Raffaele ; Dougan, Osman ; Tacspinar, Suleyman. In: Papers. RePEc:arx:papers:2410.16526. Full description at Econpapers || Download paper | |
2024 | Generation of synthetic financial time series by diffusion models. (2024). Mizuno, Takayuki ; Takahashi, Tomonori. In: Papers. RePEc:arx:papers:2410.18897. Full description at Econpapers || Download paper | |
2024 | Log Heston Model for Monthly Average VIX. (2024). Sarantsev, Andrey ; Park, Ji Hyun. In: Papers. RePEc:arx:papers:2410.22471. Full description at Econpapers || Download paper | |
2025 | The VIX as Stochastic Volatility for Corporate Bonds. (2025). Park, Ji Hyun ; Sarantsev, Andrey. In: Papers. RePEc:arx:papers:2410.22498. Full description at Econpapers || Download paper | |
2025 | Graph Signal Processing for Global Stock Market Realized Volatility Forecasting. (2025). Wang, Chao ; Gao, Junbin ; Chi, Zhengyang. In: Papers. RePEc:arx:papers:2410.22706. Full description at Econpapers || Download paper | |
2025 | Moments by Integrating the Moment-Generating Function. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2410.23587. Full description at Econpapers || Download paper | |
2024 | Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets. (2024). Jha, Ayush ; Shirvani, Abootaleb ; Fabozzi, Frank J ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:2411.02804. Full description at Econpapers || Download paper | |
2024 | Bounded Rationality in Central Bank Communication. (2024). Lee, Choong Lyol ; Kim, Wonseong. In: Papers. RePEc:arx:papers:2411.04286. Full description at Econpapers || Download paper | |
2025 | Liquidity Jump, Liquidity Diffusion, and Crypto Wash Trading. (2025). Zhou, Zhong-Guo ; Deng, QI. In: Papers. RePEc:arx:papers:2411.05803. Full description at Econpapers || Download paper | |
2024 | What events matter for exchange rate volatility ?. (2024). FREITAS LOPES, HEDIBERT ; Ferreira Batista Martins, Igor. In: Papers. RePEc:arx:papers:2411.16244. Full description at Econpapers || Download paper | |
2024 | Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli. In: Papers. RePEc:arx:papers:2411.17136. Full description at Econpapers || Download paper | |
2024 | Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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Year | Title | Type | Cited |
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2007 | A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 124 |
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 nother version. Agregated cites: 124 | article | |
2007 | Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 79 |
2010 | Jumps and betas: A new framework for disentangling and estimating systematic risks.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 79 | article | |
2007 | Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 224 |
2011 | Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 224 | article | |
2004 | Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2004) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 224 | paper | |
2005 | Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2005) In: Proceedings. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 224 | article | |
2007 | Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 820 |
2008 | Expected Stock Returns and Variance Risk Premia.(2008) In: CREATES Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 820 | paper | |
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2009 | Expected Stock Returns and Variance Risk Premia.(2009) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 820 | article | |
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