1. Distance to Default Estimates for Romanian Listed Companies. (2011). Sima, Alina .
   In: The Review of Finance and Banking.
   RePEc:rfb:journl:v:03:y:2011:i:2:p:091-106.

   Full description at Econpapers || Download paper

1. Ait-Sahalia, Y., Mykland, P. and Zhang, L. (2005a), âHow often to sample a continuous-time process in the presence of market microstructure noiseâ, Review of Financial Studies .

2. Ait-Sahalia, Y., Mykland, P. and Zhang, L. (2005b), âA tale of two time scales: Determining integrated volatility with noisy high-frequency dataâ , Journal of the American Statistical Association 100, 1394â1411.

3. Bandi, F. and Russell, J. (2006), âSeparating microstucture noise from volatilityâ, Journal of Financial Economics 79, 655-692.

4. Black, F. and Scholes, M. (1973), âThe pricing of options and corporate liabilitiesâ, Journal of Politcal Economy 81, 637â659.

5. Doucet, A., de Freitas, N. and Gordon, N., eds (2001), Sequential Monte Carlo Methods in Practice, Springer-Verlag.
   Paper not yet in RePEc: Add citation now
   

6. Duan, J.-C. (1994), âMaximum likelihood estimation using price data of the derivative contract â, Mathematical Finance 4, 155â167.

7. Duan, J.-C. (2000), âCorrection: Maximum likelihood estimation using price data of the derivative contractâ, Mathematical Finance 10, 461â462.
   Paper not yet in RePEc: Add citation now
   

8. Duan, J.-C. and Simonato, J.-G. (2002), âMaximum likelihood estimation of deposit insurance value with interest rate riskâ, Journal of Empirical Finance 9, 109â132.

9. Duan, J.-C. and Yu, M.-T. (1994), âAssessing the cost of taiwans deposit insuranceâ, Paciïce Basin Finance Journal 2, 73â90.

10. Duan, J.-C., Gauthier, G. and Simonato, J.-G. (2004), âOn the equivalence of the kmv and maximum likelihood methods for structural credit risk modelsâ, Working Paper, University of Toronto.
    Paper not yet in RePEc: Add citation now
    
11. Duan, J.-C., Gauthier, G., Simonato, J.-G. and Zaanoun, S. (2003), âEstimating Mertons model by maximum likelihood with survivorship considerationâ, Working Paper, University of Toronto.
    Paper not yet in RePEc: Add citation now
    

12. Ericsson, J. and Reneby, J. (2004a), âEstimating structural bond pricing modelsâ, Journal of Business .

13. Ericsson, J. and Reneby, J. (2004c), âValuing corporate liabilitiesâ, Working Paper, McGill University.

14. Gordon, N., Salmond, D. and Smith, A. (1993), âA novel approach to non-linear and nongaussian bayesian state estimationâ, IEEE Proceedings F 140, 107â113.
    Paper not yet in RePEc: Add citation now
    

15. Gourieroux, C. and Monfort, A. (1995), Statistics and Econometric Models, Cambridge University Press.

16. Harris, L. (1990), âEstimation of stock price variances and serial covariances from discrete observationsâ, Journal of Financial and Quantitative Analysis 25, 291â306.

17. Hasbrouck, J. (1993), âAssessing the quality of a security market: A new approach to transaction-cost measurementâ, Review of Financial Studies 6, 191â212.

18. Ionides, E. (2004), âInference and ïltering for partially observed diïusion processes via sequential monte carloâ, Working Paper, University of Michigan.
    Paper not yet in RePEc: Add citation now
    

19. Jarrow, R. and Turnbull, S. (2000), âThe intersection of market and credit riskâ, Journal of Banking and Finance 24, 271â299.

20. Laeven, L. (2002), âBank risk and deposit insuranceâ, World Bank Economic Review 16, 109â 137.

21. Lehar, A. (2004), âMeasuring systemic risk: A risk management approachâ, Journal of Banking and Finance .

22. Madhavan, A., Richardson, M. and Roomans, M. (1997), âWhy do security prices change? a transaction-level analysis of nyse stocksâ, Review of Financial Studies 10, 1035â1064.

23. Merton, R. C. (1974), âOn the pricing of corporate debt: The risk structure of interest ratesâ, Journal of Finance 29, 449â70.

24. Merton, R. C. (1977), âAn analytic derivation of the cost of deposit insurance and loan guaranteesâ, Journal of Banking and Finance 1, 311.
    Paper not yet in RePEc: Add citation now
    
25. Pitt, M. (2002), âSmooth particle ïlters likelihood evaluation and maximisationâ, Working Paper, University of Warwick.
    Paper not yet in RePEc: Add citation now
    
26. Pitt, M. and Shephard, N. (1999), âFiltering via simulation: auxiliary particle ïlterâ, Journal of the American Statistical Association 94, 590â599.
    Paper not yet in RePEc: Add citation now
    
27. Roll, R. (1984), âSimple implicit measure of the eïective bid-ask spread in an eïcient marketâ, Journal of Finance 39, 1127â1139.
    Paper not yet in RePEc: Add citation now
    
28. Wong, H. and Choi, T. (2004), âThe impact of default barrier on the market value of ïrmâs assetâ, Working Paper, Chinese University of Hong Kong.
    Paper not yet in RePEc: Add citation now
    

1. Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie.
   In: Papers.
   RePEc:arx:papers:1912.05228.

   Full description at Econpapers || Download paper

2. Measuring the relevance of the microstructure noise in financial data. (2012). Mancini, Cecilia .
   In: Working Papers - Mathematical Economics.
   RePEc:flo:wpaper:2012-09.

   Full description at Econpapers || Download paper

3. Predictive Inference for Integrated Volatility. (2011). Swanson, Norman ; Distaso, Walter ; Corradi, Valentina.
   In: Departmental Working Papers.
   RePEc:rut:rutres:201109.

   Full description at Econpapers || Download paper

4. Predictive Inference for Integrated Volatility. (2011). Swanson, Norman ; Distaso, Walter ; Corradi, Valentina.
   In: Departmental Working Papers.
   RePEc:rut:rutres:201108.

   Full description at Econpapers || Download paper

5. Probability of Informed Trading and Volatility for an ETF. (2011). Paiardini, Paola ; Karyampas, Dimitrios .
   In: Birkbeck Working Papers in Economics and Finance.
   RePEc:bbk:bbkefp:1101.

   Full description at Econpapers || Download paper

6. Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence. (2010). Hautsch, Nikolaus ; Podolskij, Mark.
   In: CFS Working Paper Series.
   RePEc:zbw:cfswop:201017.

   Full description at Econpapers || Download paper

7. The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility. (2010). Veredas, David ; Hautsch, Nikolaus ; Hess, Dieter .
   In: SFB 649 Discussion Papers.
   RePEc:hum:wpaper:sfb649dp2010-005.

   Full description at Econpapers || Download paper

8. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David ; Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo.
   In: Econometrics Working Papers Archive.
   RePEc:fir:econom:wp2010_06.

   Full description at Econpapers || Download paper

9. Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology. (2009). Mancino, Maria Elvira ; Elvira, Mancino Maria .
   In: Working Papers - Mathematical Economics.
   RePEc:flo:wpaper:2009-09.

   Full description at Econpapers || Download paper

10. Homogeneous Volatility Bridge Estimators. (2009). Corsi, Fulvio ; Saichev, Alexander ; Filimonov, Vladimir ; Sornette, Didier.
    In: Papers.
    RePEc:arx:papers:0912.1617.

    Full description at Econpapers || Download paper

11. Do high-frequency measures of volatility improve forecasts of return distributions?. (2008). McCurdy, Tom ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-324.

    Full description at Econpapers || Download paper

12. Risk, jumps, and diversification. (2008). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:144:y:2008:i:1:p:234-256.

    Full description at Econpapers || Download paper

13. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2008). Loretan, Mico ; Hjalmarsson, Erik ; Chaboud, Alain ; Chiquoine, Benjamin .
    In: BIS Working Papers.
    RePEc:bis:biswps:249.

    Full description at Econpapers || Download paper

14. Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios. (2008). Fan, Jianqing ; Yu, Ke ; Zhang, Jingjin .
    In: Papers.
    RePEc:arx:papers:0812.2604.

    Full description at Econpapers || Download paper

15. Estimating High-Frequency Based (Co-) Variances: A Unified Approach. (2008). Voev, Valeri ; Nolte, Ingmar.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-31.

    Full description at Econpapers || Download paper

16. Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment. (2007). Large, Jeremy.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:340.

    Full description at Econpapers || Download paper

17. Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2007_04.

    Full description at Econpapers || Download paper

18. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2007). Loretan, Mico ; Hjalmarsson, Erik ; Chaboud, Alain ; Chiquoine, Benjamin .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:905.

    Full description at Econpapers || Download paper

19. Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts. (2007). Yu, Jun ; JunYu, ; Huang, Shirley J. ; Liu, Qianqiu .
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2007:v:8:i:1:p:33-56.

    Full description at Econpapers || Download paper

20. Are volatility estimators robust with respect to modeling assumptions?. (2007). Mykland, Per A. ; Li, Yingying.
    In: Papers.
    RePEc:arx:papers:0709.0440.

    Full description at Econpapers || Download paper

21. Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9. (2007). Podolskij, Mark ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias ; Jacod, Jean.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-43.

    Full description at Econpapers || Download paper

22. Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices. (2007). Christoffersen, Peter ; Jacobs, Kris ; Mimouni, Karim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-37.

    Full description at Econpapers || Download paper

23. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-25.

    Full description at Econpapers || Download paper

24. 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 .
    In: CREATES Research Papers.
    RePEc:aah:create:2007-22.

    Full description at Econpapers || Download paper

25. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-20.

    Full description at Econpapers || Download paper

26. Risk, Jumps, and Diversification. (2007). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-19.

    Full description at Econpapers || Download paper

27. Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities. (2007). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael .
    In: CREATES Research Papers.
    RePEc:aah:create:2007-16.

    Full description at Econpapers || Download paper

28. Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks. (2007). Bollerslev, Tim ; Todorov, Viktor.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-15.

    Full description at Econpapers || Download paper

29. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures. (2007). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-14.

    Full description at Econpapers || Download paper

30. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter .
    In: Departmental Working Papers.
    RePEc:rut:rutres:200620.

    Full description at Econpapers || Download paper

31. Predictive Inference for Integrated Volatility. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter .
    In: Departmental Working Papers.
    RePEc:rut:rutres:200616.

    Full description at Econpapers || Download paper

32. Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0603.

    Full description at Econpapers || Download paper

33. Is there a risk-return trade-off? Evidence from high-frequency data. (2006). Peng, Lin ; Bali, Turan G..
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:8:p:1169-1198.

    Full description at Econpapers || Download paper

34. Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises. (2006). Fulop, Andras ; Duan, Jin-Chuan.
    In: ESSEC Working Papers.
    RePEc:ebg:essewp:dr-06015.

    Full description at Econpapers || Download paper

35. A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete. (2006). Yu, Jun ; Phillips, Peter ; JunYu, ; Peter C. B. Phillips, .
    In: Macroeconomics Working Papers.
    RePEc:eab:macroe:22472.

    Full description at Econpapers || Download paper

36. Refined Inference on Long Memory in Realized Volatility. (2006). Phillips, Peter ; Lieberman, Offer.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1549.

    Full description at Econpapers || Download paper

37. Ultra high frequency volatility estimation with dependent microstructure noise. (2005). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A..
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4224.

    Full description at Econpapers || Download paper

38. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde. (2005). Yu, Jun ; Phillips, Peter.
    In: Working Papers.
    RePEc:siu:wpaper:13-2005.

    Full description at Econpapers || Download paper

39. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:05-007.

    Full description at Econpapers || Download paper

40. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:240.

    Full description at Econpapers || Download paper

41. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0516.

    Full description at Econpapers || Download paper

42. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:0505.

    Full description at Econpapers || Download paper

43. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11775.

    Full description at Econpapers || Download paper

44. Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise. (2005). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11380.

    Full description at Econpapers || Download paper

45. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11069.

    Full description at Econpapers || Download paper

46. Edgeworth Expansions for Realized Volatility and Related Estimators. (2005). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A..
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0319.

    Full description at Econpapers || Download paper

47. Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises. (2005). Fulop, Andras ; Duan, Jin-Chuan.
    In: IEHAS Discussion Papers.
    RePEc:has:discpr:0517.

    Full description at Econpapers || Download paper

48. Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. (2005). Zhou, Hao.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-63.

    Full description at Econpapers || Download paper

49. Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets. (2005). Zalewska, Ania ; Schotman, Peter C.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5352.

    Full description at Econpapers || Download paper

50. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9915.

    Full description at Econpapers || Download paper

Report date: 2025-02-16 12:14:56 || Missing content? Let us know