1. US macroeconomic news effects around the US and European financial crises: Evidence from Brazilian and Mexican equity indices. (2020). Al-Yahyaee, Khamis ; ben Omrane, Walid ; Hussain, Syed Mujahid.
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2. Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates. (2020). Yi, Chae-Deug.
   In: The North American Journal of Economics and Finance.
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3. Jumps in Euribor and the effect of ECB monetary policy announcements. (2016). Obrien, Fergal G ; Murphy, Finbarr ; Shaw, Frances.
   In: Environment Systems and Decisions.
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4. Short-horizon event study estimation with a STAR model and real contaminated events. (2016). Savva, Christos ; Louca, Christodoulos ; Andreou, Panayiotis C.
   In: Review of Quantitative Finance and Accounting.
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5. Foreign news and the structure of co-movement in European equity markets: An intraday analysis. (2016). ben Omrane, Walid ; Hussain, Syed Mujahid.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:37:y:2016:i:c:p:572-582.

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6. Skewed Generalized Error Distribution of Financial Assets and Option Pricing. (2015). Theodossiou, Panayiotis.
   In: Multinational Finance Journal.
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1. Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan.
   In: Applied Energy.
   RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2. 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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3. Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility. (2015). Patton, Andrew ; Sheppard, Kevin.
   In: The Review of Economics and Statistics.
   RePEc:tpr:restat:v:97:y:2015:i:2:p:683-697.

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4. Intraday jumps in Chinas Treasury bond market and macro news announcements. (2015). Cui, Jing ; Zhao, Hua.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:39:y:2015:i:c:p:211-223.

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5. Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting. (2015). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim.
   In: CREATES Research Papers.
   RePEc:aah:create:2015-14.

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6. Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange. (2014). Olesen, Kasper V. ; Lunde, Asger.
   In: CREATES Research Papers.
   RePEc:aah:create:2013-19.

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7. Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility. (2013). Das, Kuntal ; Cheng, Ai-Ru ; Shimatani, Takeshi .
   In: Journal of Asian Economics.
   RePEc:eee:asieco:v:28:y:2013:i:c:p:87-98.

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8. Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships. (2013). Okou, Cedric ; Jacquier, Eric .
   In: CIRANO Working Papers.
   RePEc:cir:cirwor:2013s-14.

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9. Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility. (2013). Das, Kuntal ; Cheng, Ai-Ru ; Shimatani, Takeshi .
   In: Working Papers in Economics.
   RePEc:cbt:econwp:13/19.

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10. A reassessment of the risk-return tradeoff at the daily horizon. (2012). Sévi, Benoît ; Svi, Benot ; Baena, Csar .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00845.

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11. Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes. (2012). Nagata, Shuichi.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00589.

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12. Can Internet search queries help to predict stock market volatility?. (2011). Jank, Stephan ; Dimpfl, Thomas.
    In: University of Tuebingen Working Papers in Economics and Finance.
    RePEc:zbw:tuewef:18.

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13. Can internet search queries help to predict stock market volatility?. (2011). Jank, Stephan ; Dimpfl, Thomas.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1115.

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14. Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps. (2011). Swanson, Norman ; Duong, Diep .
    In: Departmental Working Papers.
    RePEc:rut:rutres:201117.

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15. Brownian motion vs. pure-jump processes for individual stocks. (2011). Sévi, Benoît ; Svi, Benot ; Baena, Csar .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00669.

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16. Non-Gaussianity of the Intraday Returns Distribution: its evolution in time. (2011). Virasoro, M. A..
    In: Papers.
    RePEc:arx:papers:1112.0770.

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17. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market. (2010). Maheu, John ; Liu, Chun.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-401.

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18. Marginal likelihood calculation for gelfand-dey and Chib Method. (2010). Liu, Chun.
    In: MPRA Paper.
    RePEc:pra:mprapa:34928.

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19. Modelling the convenience yield in carbon prices using daily and realized measures. (2010). Chevallier, Julien.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00463921.

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20. 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.

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21. Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Huang, Zhuo ; Hansen, Peter ; Shek, Howard Howan .
    In: CREATES Research Papers.
    RePEc:aah:create:2010-13.

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22. Realising the future: forecasting with high frequency based volatility (HEAVY) models. (2009). Sheppard, Kevin ; Shephard, Neil.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:438.

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23. Realising the future: forecasting with high frequency based volatility (HEAVY) models. (2009). Sheppard, Kevin ; Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0903.

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24. Localized Realized Volatility Modelling. (2009). Härdle, Wolfgang ; Pigorsch, Uta ; Chen, Ying ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2009-003.

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25. On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00387286.

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26. On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: Working Papers.
    RePEc:fem:femwpa:2009.113.

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27. Announcements, financial operations or both? Generalizing central banks FX reaction functions. (2009). Gnabo, Jean-Yves ; Bernal, Oscar.
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:23:y:2009:i:4:p:367-394.

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28. Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility. (2009). ulu, yasemin ; Schnabl, Gunther ; Hillebrand, Eric.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:3:p:490-505.

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29. Real-time effects of central bank intervention in the euro market. (2009). Fatum, Rasmus ; Pedersen, Jesper .
    In: Journal of International Economics.
    RePEc:eee:inecon:v:78:y:2009:i:1:p:11-20.

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30. Empirical evidence on jumps in the term structure of the US Treasury Market. (2009). Smith, L. Vanessa ; Dungey, Mardi ; McKenzie, Michael .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:430-445.

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31. The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets. (2009). Cartea, Álvaro ; Karyampas, Dimitrios .
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0914.

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32. Long Memory and Tail dependence in Trading Volume and Volatility. (2009). Santucci de Magistris, Paolo ; Rossi, Eduardo.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-30.

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33. Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-27.

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34. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies. (2009). Tauchen, George ; Bollerslev, Tim ; Sizova, Natalia .
    In: CREATES Research Papers.
    RePEc:aah:create:2009-05.

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35. Volatility forecasting: the jumps do matter. (2008). Renò, Roberto ; Corsi, Fulvio ; Pirino, Davide ; Reno, Roberto.
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:534.

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

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37. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080011.

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38. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2008). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Papers.
    RePEc:qed:wpaper:1181.

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39. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2008). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per .
    In: Working Papers.
    RePEc:qed:wpaper:1173.

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40. Measuring downside risk-realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja .
    In: Economics Papers.
    RePEc:nuf:econwp:0802.

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41. Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-48.

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42. Measuring downside risk — realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja .
    In: CREATES Research Papers.
    RePEc:aah:create:2008-42.

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43. 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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44. 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.

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45. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-09.

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46. The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-03.

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47. The Fractional OU Process: Term Structure Theory and Application. (2006). Hoeg, Esben.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:194.

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48. The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps. (2006). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Papers.
    RePEc:qed:wpaper:1188.

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49. The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application. (2006). Hog, Espen P. ; Frederiksen, Per H..
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2006-01.

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50. Forecasting Exchange Rate Volatility in the Presence of Jumps. (2005). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Papers.
    RePEc:qed:wpaper:1187.

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