1. Forecasting Vix. (2008). Degiannakis, Stavros.
   In: MPRA Paper.
   RePEc:pra:mprapa:96307.

   Full description at Econpapers || Download paper

2. Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise. (2007). Oya, Kosuke ; Ubukata, Masato.
   In: Discussion Papers in Economics and Business.
   RePEc:osk:wpaper:0703.

   Full description at Econpapers || Download paper

3. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
   In: Cowles Foundation Discussion Papers.
   RePEc:cwl:cwldpp:1598.

   Full description at Econpapers || Download paper

4. Information Loss in Volatility Measurement with Flat Price Trading. (2007). Yu, Jun ; Phillips, Peter.
   In: Levine's Bibliography.
   RePEc:cla:levrem:321307000000000805.

   Full description at Econpapers || Download paper

5. 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

6. 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

7. Subsampling realised kernels. (2006). Shephard, Neil ; Lunde, Asger ; Barndorff-Nielsen, Ole.
   In: Economics Series Working Papers.
   RePEc:oxf:wpaper:278.

   Full description at Econpapers || Download paper

8. Subsampling realised kernels. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole.
   In: Economics Papers.
   RePEc:nuf:econwp:0610.

   Full description at Econpapers || Download paper

9. 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

10. Bias in the estimation of non-linear transformations of the integrated variance of returns. (2006). Harris, Richard ; Guermat, Cherif ; Richard D. F. Harris, .
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:25:y:2006:i:7:p:481-494.

    Full description at Econpapers || Download paper

11. Predicting volatility: getting the most out of return data sampled at different frequencies. (2006). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:131:y:2006:i:1-2:p:59-95.

    Full description at Econpapers || Download paper

12. Finite Sample Accuracy of Integrated Volatility Estimators. (2005). Nielsen, Morten ; Frederiksen, Per Houmann.
    In: Working Papers.
    RePEc:qed:wpaper:1225.

    Full description at Econpapers || Download paper

13. Stochastic Volatility. (2005). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0517.

    Full description at Econpapers || Download paper

14. Limit theorems for multipower variation in the presence of jumps. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole ; Winkel, Matthias .
    In: Economics Papers.
    RePEc:nuf:econwp:0507.

    Full description at Econpapers || Download paper

15. Limit theorems for bipower variation in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Sven Erik.
    In: Economics Papers.
    RePEc:nuf:econwp:0506.

    Full description at Econpapers || Download paper

16. 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

17. 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

18. Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity. (2004). van Dijk, Dick ; De Pooter, Michiel ; Martens, Martin .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20040067.

    Full description at Econpapers || Download paper

19. Multipower Variation and Stochastic Volatility. (2004). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0430.

    Full description at Econpapers || Download paper

20. Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise. (2004). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0428.

    Full description at Econpapers || Download paper

21. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10914.

    Full description at Econpapers || Download paper

22. Realized Variance and IID Market Microstructure Noise. (2004). Lunde, Asger ; Hansen, Peter.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:526.

    Full description at Econpapers || Download paper

23. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-19.

    Full description at Econpapers || Download paper

24. Econometrics of testing for jumps in financial economics using bipower variation. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0321.

    Full description at Econpapers || Download paper

1. A Tale of Two Time Scales: Determining Integrated Volatility 29 Chernov, M. and Ghysels, E. (2000), A Study Towards a Uni...ed Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation, Journal of Financial Economics, 57, 407458.

2. Aït-Sahalia, Y., Mykland, P. A., and Zhang, L. (2003), How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise,Tech. rep., Princeton University.

3. Aldous, D. J. and Eagleson, G. K. (1978), On Mixing and Stability of Limit Theorems,Annals of Probability, 6, 325331.
   Paper not yet in RePEc: Add citation now
   

4. Andersen, T. G., Bollerslev, T., Diebold, F. X., and Labys, P. (2001), The Distribution of Exchange Rate Realized Volatility,Journal of the American Statistical Association, 96, 4255.

5. Bai, X., Russell, J. R., and Tiao, G. C. (2000), Beyond Mertons Utopia I: Eects of Non-Normality and Dependence on the Precision of Variance Estimates Using High Frequency Financial Data, Tech. rep., University of Chicago.
   Paper not yet in RePEc: Add citation now
   

6. Barndor-Nielsen, O. E. and Shephard, N. (2001), Non-Gaussian Ornstein-Uhlenbeck-Based Models And Some Of Their Uses In Financial Economics, Journal of Royal Statistical Society, B, 63, 167241.

7. Billingsley, P. (1995), Probability and Measure, New York: Wiley, 3rd ed.
   Paper not yet in RePEc: Add citation now
   
8. Brown, S. J. (1990), Estimating Volatility,in Financial Options: From Theory to Practice, eds. Figlewski, S., Silber, W., and Subrahmanyam, M., Homewood, IL: Business One-Irwin, pp. 516 537.
   Paper not yet in RePEc: Add citation now
   
9. Campbell, J. Y., Lo, A. W., and MacKinlay, A. C. (1997), The Econometrics of Financial Markets, Princeton, NJ: Princeton University Press.
   Paper not yet in RePEc: Add citation now
   

10. Gallant, A. R., Hsu, C.-T., and Tauchen, G. T. (1999), Using Daily Range Data to Calibrate Volatility Diusions and Extract the Forward Integrated Variance, The Review of Economics and Statistics, 81, 617631.

11. Gloter, A. (2000), Estimation des Paramètres dune Diusion Cachée, Ph.D. thesis, Université de Marne-la-Vallée.
    Paper not yet in RePEc: Add citation now
    
12. Hall, P. and Heyde, C. C. (1980), Martingale Limit Theory and Its Application, Boston: Academic Press.
    Paper not yet in RePEc: Add citation now
    

13. Hull, J. and White, A. (1987), The Pricing of Options on Assets with Stochastic Volatilities, Journal of Finance, 42, 281300.

14. Jacod, J. and Protter, P. (1998), Asymptotic Error Distributions for the Euler Method for Stochastic Dierential Equations,Annals of Probability, 26, 267307.
    Paper not yet in RePEc: Add citation now
    
15. Karatzas, I. and Shreve, S. E. (1991), Brownian Motion and Stochastic Calculus, New York: Springer-Verlag.
    Paper not yet in RePEc: Add citation now
    
16. Mykland, P. A. and Zhang, L. (2002), ANOVA for Diusions, Tech. rep., The University of Chicago, Department of Statistics.
    Paper not yet in RePEc: Add citation now
    
17. Rényi, A. (1963), On Stable Sequences of Events,Sanky¯a Series A, 25, 293302.
    Paper not yet in RePEc: Add citation now
    
18. Rootzen, H. (1980), Limit Distributions for the Error in Approximations of Stochastic Integrals, Annals of Probability, 8, 241251.
    Paper not yet in RePEc: Add citation now
    
19. Zhang, L. and Mykland, P. A. (2003), Interval Estimation for the Variability of a Contaminated Ito Process,Tech. rep., Carnegie-Mellon University, Department of Statistics.
    Paper not yet in RePEc: Add citation now
    

1. What do asset prices have to say about risk appetite and uncertainty?. (2009). Hoerova, Marie ; Bekaert, Geert ; Scheicher, Martin.
   In: Working Paper Series.
   RePEc:ecb:ecbwps:20091037.

   Full description at Econpapers || Download paper

2. The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Heston, Steven ; Jacobs, Kris.
   In: CREATES Research Papers.
   RePEc:aah:create:2009-34.

   Full description at Econpapers || Download paper

3. Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben.
   In: Economics Papers.
   RePEc:nuf:econwp:0804.

   Full description at Econpapers || Download paper

4. Assessing the compensation for volatility risk implicit in interest rate derivatives. (2008). Fornari, Fabio .
   In: Working Paper Series.
   RePEc:ecb:ecbwps:2008859.

   Full description at Econpapers || Download paper

5. Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Wang, Yintian ; Jacobs, Kris ; ORNTHANALAI, CHAYAWAT .
   In: CREATES Research Papers.
   RePEc:aah:create:2008-11.

   Full description at Econpapers || Download paper

6. Volatility Components, Affine Restrictions and Non-Normal Innovations. (2008). Christoffersen, Peter ; Wang, Yintian ; Dorion, Kris.
   In: CREATES Research Papers.
   RePEc:aah:create:2008-10.

   Full description at Econpapers || Download paper

7. Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis. (2007). Zerilli, Paola.
   In: Discussion Papers.
   RePEc:yor:yorken:07/08.

   Full description at Econpapers || Download paper

8. Correlation and the pricing of risks. (2007). .
   In: Annals of Finance.
   RePEc:kap:annfin:v:3:y:2007:i:4:p:411-453.

   Full description at Econpapers || Download paper

9. 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

10. 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

11. 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

12. Volatility forecasts: a continuous time model versus discrete time models. (2006). Veiga, Helena.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws062509.

    Full description at Econpapers || Download paper

13. A two factor long memory stochastic volatility model. (2006). Veiga, Helena.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws061303.

    Full description at Econpapers || Download paper

14. Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme. (2005). Zhylyevskyy, Oleksandr.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:187.

    Full description at Econpapers || Download paper

15. Stochastic Volatility. (2005). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0517.

    Full description at Econpapers || Download paper

16. Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options. (2005). Benzoni, Luca ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11861.

    Full description at Econpapers || Download paper

17. Option pricing and spikes in volatility: theoretical and empirical analysis. (2005). Zerilli, Paola.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:76.

    Full description at Econpapers || Download paper

18. An empirical comparison of the performance of alternative option pricing models. (2005). Ferreira, Eva ; Leon, Angel ; Gago, Monica ; Rubio, Gonzalo.
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:29:y:2005:i:3:p:483-523.

    Full description at Econpapers || Download paper

19. Loss Functions in Option Valuation: A Framework for Model Selection. (2005). Wolff, Christian ; Lehnert, Thorsten ; Bams, Dennis.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4960.

    Full description at Econpapers || Download paper

20. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10912.

    Full description at Econpapers || Download paper

21. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2004). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-56.

    Full description at Econpapers || Download paper

22. Market Price of Risk Specifications for Affine Models: Theory and Evidence. (2004). Filipovic, Damir ; Cheridito, Patrick.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:536.

    Full description at Econpapers || Download paper

23. Option Valuation with Long-run and Short-run Volatility Components. (2004). Christoffersen, Peter ; Jacobs, Kris ; Wang, Yintian.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-56.

    Full description at Econpapers || Download paper

24. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-04.

    Full description at Econpapers || Download paper

25. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis ; Christoffersen, Peter.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:04-009.

    Full description at Econpapers || Download paper

26. A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data. (2003). Ait-Sahalia, Yacine ; Zhang, Lan ; Mykland, Per A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10111.

    Full description at Econpapers || Download paper

27. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis ; Christoffersen, Peter.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10009.

    Full description at Econpapers || Download paper

28. Dynamic Derivative Strategies. (2003). pan, jun ; LIU, JUN.
    In: Working papers.
    RePEc:mit:sloanp:3548.

    Full description at Econpapers || Download paper

29. Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility. (2003). Scaillet, Olivier.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2003-29.

    Full description at Econpapers || Download paper

30. The Importance of the Loss Function in Option Valuation. (2003). Christoffersen, Peter ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-52.

    Full description at Econpapers || Download paper

31. Option Valuation with Conditional Skewness. (2003). Christoffersen, Peter ; Jacobs, Kris ; Heston, Steve.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-50.

    Full description at Econpapers || Download paper

32. Iterative and Recursive Estimation in Structural Non-Adaptive Models. (2003). Renault, Eric ; Patilea, Valentin ; Pastorello, Sergio.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-08.

    Full description at Econpapers || Download paper

33. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

    Full description at Econpapers || Download paper

34. Which Model for the Italian Interest Rates?. (2002). Renò, Roberto ; Castaldi, Carolina ; M. Gentile, R. Reno, ; Dosi, Giovanni.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2002/02.

    Full description at Econpapers || Download paper

35. Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns. (2002). Martin, Vance ; Lim, Guay.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-4.

    Full description at Econpapers || Download paper

36. Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices.. (2002). Wright, Jonathan ; Martin, Gael ; Forbes, Catherine.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-2.

    Full description at Econpapers || Download paper

37. Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans. (2002). Sorensen, Carsten ; Richter, Martin .
    In: Working Papers.
    RePEc:hhs:cbsfin:2002_004.

    Full description at Econpapers || Download paper

38. An empirical comparison of the performance of alternative option pricing models. (2002). Rubio, Gonzalo ; Gago, Monica .
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200204.

    Full description at Econpapers || Download paper

39. Estimation methods for stochastic volatility models: a survey. (2002). Ruiz, Esther ; Broto, Carmen.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws025414.

    Full description at Econpapers || Download paper

40. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-58.

    Full description at Econpapers || Download paper

41. Which Volatility Model for Option Valuation?. (2002). Christoffersen, Peter ; Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-33.

    Full description at Econpapers || Download paper

42. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis ; Christoffersen, Peter.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-02.

    Full description at Econpapers || Download paper

43. An Empirical Investigation of Continuous-Time Equity Return Models. (2001). Benzoni, Luca ; Andersen, Torben ; Lund, Jesper .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8510.

    Full description at Econpapers || Download paper

44. Testing and Comparing Value-at-Risk Measures. (2001). Inoue, Atsushi ; Hahn, Jinyong ; Christoffersen, Peter.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-03.

    Full description at Econpapers || Download paper

45. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002). (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-02.

    Full description at Econpapers || Download paper

46. Asymmetric Smiles, Leverage Effects and Structural Parameters. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-01.

    Full description at Econpapers || Download paper

47. Fundamental Properties of Bond Prices in Models of the Short-Term Rate. (2000). Mele, Antonio.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2000-39.

    Full description at Econpapers || Download paper

48. Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations. (2000). Mele, Antonio ; Fornari, Fabio.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2000-12.

    Full description at Econpapers || Download paper

49. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think. (1999). Diebold, Francis ; Brandt, Michael ; Alizadeh, Sassan.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-28.

    Full description at Econpapers || Download paper

50. A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation. (1999). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-48.

    Full description at Econpapers || Download paper

Report date: 2025-02-20 21:52:39 || Missing content? Let us know