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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.
   RePEc:amu:wpaper:2014-02.

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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 .
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    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.
    RePEc:bbk:bbkefp:0914.

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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.
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28. Measuring downside risk - realised semivariance. (2008). Kinnebrock, Silja .
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    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.
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32. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
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33. Recovering Probabilistic Information From Options Prices and the Underlying. (2007). Mizrach, Bruce.
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34. Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment. (2007). Large, Jeremy.
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    RePEc:oxf:wpaper:340.

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35. The Impact of Uncertainty Shocks. (2007). bloom, nicholas.
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36. Multivariate Realized Stock Market Volatility. (2007). Bauer, Gregory ; Vorkink, Keith.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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47. Stochastic Volatility. (2005). Shephard, Neil.
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48. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
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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.
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50. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
    In: Economics Papers.
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