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

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

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

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

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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.

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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.
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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.

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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.
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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.

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10. Homogeneous Volatility Bridge Estimators. (2009). Corsi, Fulvio ; Saichev, Alexander ; Filimonov, Vladimir ; Sornette, Didier.
    In: Papers.
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11. Do high-frequency measures of volatility improve forecasts of return distributions?. (2008). McCurdy, Tom ; Maheu, John.
    In: Working Papers.
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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.

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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.
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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.

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15. Estimating High-Frequency Based (Co-) Variances: A Unified Approach. (2008). Voev, Valeri ; Nolte, Ingmar.
    In: CREATES Research Papers.
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16. Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment. (2007). Large, Jeremy.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:340.

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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.

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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.
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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.
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20. Are volatility estimators robust with respect to modeling assumptions?. (2007). Mykland, Per A. ; Li, Yingying.
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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.
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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.

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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.

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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.
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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.

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

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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.
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28. Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks. (2007). Bollerslev, Tim ; Todorov, Viktor.
    In: CREATES Research Papers.
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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.
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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.
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31. Predictive Inference for Integrated Volatility. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter .
    In: Departmental Working Papers.
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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.
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33. Is there a risk-return trade-off? Evidence from high-frequency data. (2006). Peng, Lin ; Bali, Turan G..
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34. Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises. (2006). Fulop, Andras ; Duan, Jin-Chuan.
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35. A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete. (2006). Yu, Jun ; Phillips, Peter ; JunYu, ; Peter C. B. Phillips, .
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36. Refined Inference on Long Memory in Realized Volatility. (2006). Phillips, Peter ; Lieberman, Offer.
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37. Ultra high frequency volatility estimation with dependent microstructure noise. (2005). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A..
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38. Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde. (2005). Yu, Jun ; Phillips, Peter.
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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. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
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41. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
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42. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
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43. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
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44. Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise. (2005). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A..
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45. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
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46. Edgeworth Expansions for Realized Volatility and Related Estimators. (2005). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A..
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47. Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises. (2005). Fulop, Andras ; Duan, Jin-Chuan.
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48. Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. (2005). Zhou, Hao.
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49. Non-synchronous Trading and Testing for Market Integration in Central European Emerging Markets. (2005). Zalewska, Ania ; Schotman, Peter C.
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50. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
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