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1. Is volatility clustering of asset returns asymmetric?. (2015). Xu, Dinghai ; Ning, Cathy ; Wirjanto, Tony S..
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:52:y:2015:i:c:p:62-76.

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2. Calibrating the Italian smile with time-varying volatility and heavy-tailed models. (2014). Fabozzi, Frank ; Rachev, Svetlozar T. ; Bianchi, Michele Leonardo.
   In: Temi di discussione (Economic working papers).
   RePEc:bdi:wptemi:td_944_14.

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3. 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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4. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models. (2008). Racicot, François-Éric ; Coen, Alain ; Theoret, Raymond.
   In: International Advances in Economic Research.
   RePEc:kap:iaecre:v:14:y:2008:i:1:p:112-124:10.1007/s11294-008-9134-2.

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5. 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.

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6. Modelling Electricity Prices with Forward Looking Capacity Constraints. (2008). Figueroa, Marcelo ; Cartea, Álvaro ; Geman, Helyette.
   In: Birkbeck Working Papers in Economics and Finance.
   RePEc:bbk:bbkefp:0802.

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7. 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.

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8. Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility. (2006). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz.
   In: The Warwick Economics Research Paper Series (TWERPS).
   RePEc:wrk:warwec:777.

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9. Realized Volatility and Asymmetries in the A.S.E. Returns. (2006). Thomakos, Dimitrios ; Koubouros, Michail.
   In: Finance.
   RePEc:wpa:wuwpfi:0507012.

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10. Realized Volatility and Asymmetries in the A.S.E. Returns. (2006). Thomakos, Dimitrios ; Koubouros, Michail.
    In: Finance.
    RePEc:wpa:wuwpfi:0504009.

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11. Nonparametric Density Estimation for Positive Time Series. (2006). Rombouts, Jeroen ; Bouezmarni, Taoufik.
    In: Cahiers de recherche.
    RePEc:iea:carech:0609.

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12. A forecast comparison of volatility models: does anything beat a GARCH(1,1)?. (2005). Lunde, Asger ; Hansen, Peter.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:20:y:2005:i:7:p:873-889.

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13. Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes. (2004). Wu, Liuren ; Huang, Jingzhi.
    In: Finance.
    RePEc:wpa:wuwpfi:0401002.

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14. Testing for Mean Reversion in Processes of Ornstein-Uhlenbeck Type. (2004). Maller, R. ; Szimayer, A..
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:7:y:2004:i:2:p:95-113.

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

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16. 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.

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17. Microstructure noise, realized volatility, and optimal sampling. (2004). Bandi, Federico M. ; Russell, Jeffrey R..
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:220.

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18. ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS. (2004). Mencia, Francisco Javier.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2004_0411.

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19. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-25.

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20. 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.

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21. Consistency Problems For Jump-Diffusion Models. (2003). Chen, Li ; Bayraktar, Erhan.
    In: Finance.
    RePEc:wpa:wuwpfi:0304003.

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

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23. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole ; Graversen, Svend Erik .
    In: Economics Papers.
    RePEc:nuf:econwp:0319.

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24. Power and bipower variation with stochastic volatility and jumps. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0318.

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25. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0312.

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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.

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

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28. Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?. (2002). Wu, Liuren ; Heidari, Massoud .
    In: Finance.
    RePEc:wpa:wuwpfi:0207013.

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29. Time-Changed Levy Processes and Option Pricing. (2002). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0207011.

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

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31. Power Variation and Time Change. (2002). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0224.

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32. Measuring and forecasting financial variability using realised variance with and without a model. (2002). Shephard, Neil ; Nielsen, Bent ; Barndorff-Nielsen, Ole ; Ysusi, Carla .
    In: Economics Papers.
    RePEc:nuf:econwp:0221.

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33. Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics. (2002). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0213.

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34. Affine Processes and Application in Finance. (2002). Duffie, Darrell ; SCHACHERMAYER, W. ; Filipovic, D..
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0281.

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35. Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-21.

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36. A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options. (2002). Zhang, Xibin ; Yu, Jun ; Yang, Zhenlin.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-17.

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37. Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. (2002). Bollerslev, Tim ; Forsberg, Lars.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:535-548.

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38. Estimating quadratic variation using realized variance. (2002). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:457-477.

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39. Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-91.

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40. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

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41. Comment on Garland B. Durham and A. Ronald Gallants Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes. (2001). Shephard, Neil ; Chib, Siddhartha .
    In: Economics Papers.
    RePEc:nuf:econwp:0126.

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42. Some recent developments in stochastic volatility modelling. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole ; Nicolato, Elisa .
    In: Economics Papers.
    RePEc:nuf:econwp:0125.

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43. Estimating quadratic variation using realised volatility. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0120.

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44. Realised power variation and stochastic volatility models. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0118.

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45. How accurate is the asymptotic approximation to the distribution of realised volatility?. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0116.

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46. Normal modified stable processes. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0106.

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47. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0104.

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48. High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models. (2001). Diebold, Francis ; Brandt, Michael W. ; Alizadeh, Sassan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8162.

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49. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

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50. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

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