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1. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
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2. Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie.
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3. March Madness in Wall Street; (What) Does the Market Learn from Stress Tests?. (2015). Igan, Deniz ; Pinheiro, Marcelo ; Fernandes, Marcelo.
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4. Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk. (2015). Ruiz, Esther ; Hotta, Luiz ; Trucos, Carlos .
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5. Unpredictability in Economic Analysis, Econometric Modeling and Forecasting. (2013). Hendry, David ; Mizon, Grayham E..
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6. Price jumps in Visegrad-country stock markets: An empirical analysis. (2012). Novotny, Jan ; Hanousek, Jan.
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7. Bias-correcting the realized range-based variance in the presence of market microstructure noise. (2009). Podolskij, Mark ; Christensen, Kim ; Vetter, Mathias.
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8. Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience. (2009). Miller, Stephen ; Canarella, Giorgio ; Pollard, Stephen K..
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9. Does the option market produce superior forecasts of noise-corrected volatility measures?. (2009). Martin, Gael ; Reidy, Andrew ; Wright, Jill .
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10. Jump Testing and the Speed of Market Adjustment. (2009). Rasmussen, Torben B..
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11. Volatility forecasting: the jumps do matter. (2008). Renò, Roberto ; Corsi, Fulvio ; Pirino, Davide ; Reno, Roberto.
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12. Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience. (2008). Miller, Stephen ; Canarella, Giorgio ; Pollard, Stephen K..
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13. Do high-frequency measures of volatility improve forecasts of return distributions?. (2008). McCurdy, Tom ; Maheu, John.
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14. Forecasting Realized Volatility: A Bayesian Model Averaging Approach. (2008). Maheu, John ; Liu, Chun.
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15. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2008). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per .
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16. Decimalization, Realized Volatility, and Market Microstructure Noise. (2008). Vuorenmaa, Tommi.
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17. Measuring downside risk - realised semivariance. (2008). Kinnebrock, Silja .
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18. Measuring downside risk-realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja .
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19. Comparison of Volatility Measures: a Risk Management Perspective. (2008). Gallo, Giampiero ; Brownlees, Christian.
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20. Specification analysis of structural credit risk models. (2008). Zhou, Hao ; Huang, Jingzhi.
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21. On the Sensitivity of Firms Investment to Cash Flow and Uncertainty. (2008). Talavera, Oleksandr ; Caglayan, Mustafa ; Baum, Christopher.
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22. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2008). Loretan, Mico ; Hjalmarsson, Erik ; Chaboud, Alain ; Chiquoine, Benjamin .
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23. Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market. (2008). Verdelhan, Adrien ; Lo, Ingrid ; Jiang, George J..
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24. Bipower-type estimation in a noisy diffusion setting. (2008). Podolskij, Mark ; Vetter, Mathias .
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25. Are there Structural Breaks in Realized Volatility?. (2007). Maheu, John ; Liu, Chun.
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26. Central bank intervention and exchange rate volatility, its continuous and jump components. (2007). Palm, Franz ; Neely, Christopher ; Laurent, Sébastien ; Beine, Michel ; Jerôme Lahaye, .
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27. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2007). Loretan, Mico ; Hjalmarsson, Erik ; Chaboud, Alain ; Chiquoine, Benjamin .
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28. Multivariate Realized Stock Market Volatility. (2007). Bauer, Gregory ; Vorkink, Keith.
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29. Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps. (2007). Podolskij, Mark ; Vetter, Mathias .
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30. A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects. (2007). Tauchen, George ; Bollerslev, Tim ; Kretschmer, Uta ; Pigorsch, Christian .
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31. Risk, Jumps, and Diversification. (2007). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
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32. Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility. (2006). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz.
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33. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter .
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34. Predictive Inference for Integrated Volatility. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter .
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35. Forecasting and testing a non-constant volatility. (2006). Abramov, Vyacheslav ; Klebaner, Fima.
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36. Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility. (2006). Martin, Gael ; Reidy, Andrew ; Wright, Jill .
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37. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
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38. Volatility forecasts: a continuous time model versus discrete time models. (2006). Veiga, Helena.
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39. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
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40. Stochastic Volatility. (2005). Shephard, Neil.
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41. Limit theorems for multipower variation in the presence of jumps. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole ; Winkel, Matthias .
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42. Limit theorems for bipower variation in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Sven Erik.
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43. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
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44. Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. (2005). Zhou, Hao.
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45. Multipower Variation and Stochastic Volatility. (2004). Shephard, Neil ; Barndorff-Nielsen, Ole.
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46. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales. (2004). Shephard, Neil ; Podolskij, Mark ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Svend Erik .
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47. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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48. Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Corradi, Valentina.
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49. Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Distaso, Walter ; Corradi, Valentina.
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50. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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