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2. Interregional correlations in the US housing market at three price tiers. (2019). Tsai, I-Chun ; I-Chun Tsai, .
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3. Cultural similarities and housing market linkage: evidence from OECD countries. (2018). Wang, Qilin ; Kuang, Weida ; Dakuang, Wei .
   In: Frontiers of Business Research in China.
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4. Financing as a supply chain: The capital structure of banks and borrowers. (2018). Gornall, Will ; Strebulaev, Ilya A.
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   RePEc:eee:jfinec:v:129:y:2018:i:3:p:510-530.

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5. Banking integration and house price comovement. (2017). David, David Sraerauthor-Name ; Landier, Augustin.
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6. Detecting spatial and temporal house price diffusion in the Netherlands: A Bayesian network approach. (2017). Teye, Alfred Larm ; Ahelegbey, Daniel Felix .
   In: Regional Science and Urban Economics.
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7. Banking integration and house price co-movement. (2017). thesmar, david ; Sraer, David ; Landier, Augustin.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:125:y:2017:i:1:p:1-25.

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8. Spatial and Temporal House Price Diffusion in the Netherlands: A Bayesian Network Approach. (2017). Ahelegbey, Daniel Felix ; Teye, Alfred Larm.
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   RePEc:arz:wpaper:eres2017_337.

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9. House price fluctuations and the business cycle dynamics. (2016). Abate, Girum ; Anselin, Luc.
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10. Banking Integration and House Price Comovement. (2014). thesmar, david ; Sraer, David ; Landier, Augustin.
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11. Banking Integration and House Price Comovement. (2013). thesmar, david ; Sraer, David ; Landier, Augustin.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9754.

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12. House Price Moments in Boom-Bust Cycles. (2012). Sinai, Todd.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18059.

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16. The time trend t-statistics are estimated by regressing the R-squares for each MSA on a simple linear time trend for all available quarters of data. The final R-Squares pertain to 2010:Q1 for all 384 US MSAs. The change in R-Squares refers to the difference between estimates for 2010:Q1 and 1983:Q4 for each MSA. Each characteristic is ranked from lowest to highest in comparison to all 384 US MSAs. Each characteristic is also binned by quintile in comparison to all 384 US MSAs.
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1. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
   In: Papers.
   RePEc:arx:papers:1912.07165.

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2. Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure. (2019). Ziegler, Philipp ; Sobotka, Tom'Avs ; Posp, Jan.
   In: Papers.
   RePEc:arx:papers:1912.06709.

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3. 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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4. Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility. (2015). Kim, Hwagyun ; Jeong, Daehee ; Park, Joon Y..
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:115:y:2015:i:2:p:361-382.

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5. Two-step estimation of the volatility functions in diffusion models with empirical applications. (2015). Ye, Xu-Guo ; Hao, Hong-Xia ; Zhao, Yan-Yong ; Lin, Jin-Guan.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:33:y:2015:i:c:p:135-159.

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6. Uncertainty Shocks and Equity Return Jumps and Volatility During the Great Depression. (2014). Mathy, Gabriel.
   In: Working Papers.
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7. Modeling CAC40 volatility using ultra-high frequency data. (2013). Floros, Christos ; Degiannakis, Stavros.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:28:y:2013:i:c:p:68-81.

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8. Jumps in Oil Prices: The Role of Economic News. (2013). Elder, John ; Ramchander, Sanjay ; John Elder, Hong Miao,, .
   In: The Energy Journal.
   RePEc:aen:journl:ej34-3-09.

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9. Price jumps in Visegrad-country stock markets: An empirical analysis. (2012). Novotny, Jan ; Hanousek, Jan.
   In: Emerging Markets Review.
   RePEc:eee:ememar:v:13:y:2012:i:2:p:184-201.

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10. Bayesian Pricing of the Optimal-Replication Strategy for European Option in the JD(M)J Model. (2012). Kostrzewski, Maciej.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:12:y:2012:p:53-72.

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11. New tests for jumps in semimartingale models. (2010). Podolskij, Mark ; Ziggel, D..
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:13:y:2010:i:1:p:15-41.

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12. Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps. (2010). Vahid, Farshid ; Liao, Yin ; Anderson, Heather.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2010-11.

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13. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns. (2010). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Morten Ørregaard Nielsen, ; Frederiksen, Per .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:2:p:233-261.

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14. Realising the future: forecasting with high-frequency-based volatility (HEAVY) models. (2010). Sheppard, Kevin ; Shephard, Neil.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:2:p:197-231.

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15. Nonparametric tests for pathwise properties of semimartingales. (2010). Mancini, Cecilia ; Cont, Rama.
    In: Working Papers - Mathematical Economics.
    RePEc:flo:wpaper:2010-02.

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16. Do Jumps Matter? Forecasting Multivariate Realized Volatility Allowing for Common Jumps. (2010). Vahid, Farshid ; Liao, Yin ; Anderson, Heather.
    In: ANU Working Papers in Economics and Econometrics.
    RePEc:acb:cbeeco:2010-520.

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17. Learning and Asset-Price Jumps. (2009). Bansal, Ravi ; Shaliastovich, Ivan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14814.

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18. 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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19. 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.
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20. Limit theorems for functionals of higher order differences of Brownian semi-stationary processes. (2009). Podolskij, Mark ; Barndorff-Nielsen, Ole ; Corcuera, Jose Manuel .
    In: CREATES Research Papers.
    RePEc:aah:create:2009-60.

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21. Understanding limit theorems for semimartingales: a short survey. (2009). Podolskij, Mark ; Vetter, Mathias .
    In: CREATES Research Papers.
    RePEc:aah:create:2009-47.

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22. Stochastic volatility of volatility in continuous time. (2009). Veraart, Almut ; Barndorff-Nielsen, Ole ; Almut E. D. Veraart, .
    In: CREATES Research Papers.
    RePEc:aah:create:2009-25.

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23. Stochastic volatility and stochastic leverage. (2009). Veraart, Almut.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-20.

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24. Jump Testing and the Speed of Market Adjustment. (2009). Rasmussen, Torben B..
    In: CREATES Research Papers.
    RePEc:aah:create:2009-08.

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25. 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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26. 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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27. 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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28. Measuring downside risk - realised semivariance. (2008). Kinnebrock, Silja .
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:382.

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

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30. Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market. (2008). Verdelhan, Adrien ; Lo, Ingrid ; Jiang, George J..
    In: Staff Working Papers.
    RePEc:bca:bocawp:08-22.

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31. 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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32. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070025.

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33. Recovering Probabilistic Information From Options Prices and the Underlying. (2007). Mizrach, Bruce.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200702.

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34. 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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35. The Impact of Uncertainty Shocks. (2007). bloom, nicholas.
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    RePEc:nbr:nberwo:13385.

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36. Multivariate Realized Stock Market Volatility. (2007). Bauer, Gregory ; Vorkink, Keith.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-20.

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37. Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps. (2007). Podolskij, Mark ; Vetter, Mathias .
    In: CREATES Research Papers.
    RePEc:aah:create:2007-27.

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38. Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2007). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per Houmann.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-21.

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39. 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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40. 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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41. 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.

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42. 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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43. 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.

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44. 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.

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45. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-35.

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46. 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.

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

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

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49. 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.

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

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