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1. Comparative Study of Two Extensions of Heston Stochastic Volatility Model. (2019). Taneja, H C ; Srivastava, R ; Malhotra, Gifty.
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   RePEc:arx:papers:1912.10237.

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2. Day trading and stock price volatility. (2008). Kyrolainen, Petri .
   In: Journal of Economics and Finance.
   RePEc:spr:jecfin:v:32:y:2008:i:1:p:75-89.

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3. Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets. (2008). Yilmaz, Kamil ; Diebold, Francis.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:13811.

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

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5. Modeling foreign exchange rates with jumps. (2007). McCurdy, Tom ; Maheu, John.
   In: Working Papers.
   RePEc:tor:tecipa:tecipa-279.

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6. A Hausman test for Brownian motion. (2007). Sanddorf-Kohle, Walter ; Kloner, Stefan ; Friedmann, Ralph ; Becker, Martin.
   In: AStA Advances in Statistical Analysis.
   RePEc:spr:alstar:v:91:y:2007:i:1:p:3-21.

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7. Volatility Proxies for Discrete Time Models. (2007). Visser, Marcel ; de Vilder, Robin G..
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8. An empirical model of daily highs and lows. (2007). Cheung, Yin-Wong.
   In: International Journal of Finance & Economics.
   RePEc:ijf:ijfiec:v:12:y:2007:i:1:p:1-20.

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9. Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew.
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10. Stock returns and volatility: pricing the short-run and long-run components of market risk. (2006). Rosenberg, Joshua ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:254.

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11. An Empirical Model of Daily Highs and Lows. (2006). Cheung, Yin-Wong.
    In: CESifo Working Paper Series.
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12. Stochastic volatility forecasting and risk management. (2005). Sadorsky, Perry.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:2:p:121-135.

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13. Volatility and Irish Exports. (2005). cotter, john ; Bredin, Don.
    In: MPRA Paper.
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14. Option pricing and spikes in volatility: theoretical and empirical analysis. (2005). Zerilli, Paola.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
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15. Volatility Transmission in Financial Markets: A New Approach. (2005). Otranto, Edoardo ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2005_10.

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16. Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range. (2004). Corrado, Charles ; Truong, Cameron.
    In: Research Paper Series.
    RePEc:uts:rpaper:127.

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17. 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.
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18. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10913.

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19. 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.
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20. The Cross-Section of Volatility and Expected Returns. (2004). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
    In: NBER Working Papers.
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21. Stock Market Trading and Market Conditions. (2004). Stulz, René ; Nardari, Federico ; Griffin, John M..
    In: NBER Working Papers.
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22. How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations. (2004). Valls Pereira, Pedro.
    In: Finance Lab Working Papers.
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23. Alternative estimates of the presidential premium. (2004). Li, Canlin ; Campbell, Sean D..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-69.

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24. How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations. (2004). Valls Pereira, Pedro ; Hwang, Soosung.
    In: Econometric Society 2004 Latin American Meetings.
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25. The informational content of over-the-counter currency options. (2004). Christoffersen, Peter ; Mazzotta, Stefano .
    In: Working Paper Series.
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26. Option Valuation with Long-run and Short-run Volatility Components. (2004). Christoffersen, Peter ; Jacobs, Kris ; Wang, Yintian.
    In: CIRANO Working Papers.
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27. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
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28. There is a Risk-Return Tradeoff After All. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-24.

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29. The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
    In: CIRANO Working Papers.
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30. 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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31. The Informational Content of Over-the-Counter Currency Options. (2004). Mazzotta, Stefano ; Christoffersen, Peter.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-16.

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

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33. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
    In: Econometrics.
    RePEc:wpa:wuwpem:0305004.

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34. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: PIER Working Paper Archive.
    RePEc:pen:papers:03-013.

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35. Maximum Likelihood Estimation of Latent Affine Processes. (2003). Bates, David S..
    In: NBER Working Papers.
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36. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (2003). Diebold, Francis ; Brandt, Michael W..
    In: NBER Working Papers.
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37. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis ; Christoffersen, Peter.
    In: NBER Working Papers.
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38. A Multiple Indicators Model For Volatility Using Intra-Daily Data.. (2003). Gallo, Giampiero ; Engle, Robert.
    In: Econometrics Working Papers Archive.
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39. Transmission of information across international equity markets. (2003). Wongswan, Jon.
    In: International Finance Discussion Papers.
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40. There is a Risk-Return Tradeoff After All. (2003). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
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    RePEc:cir:cirwor:2003s-26.

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41. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
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42. On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach. (2002). Brandt, Michael W. ; Kang, Qiang .
    In: NBER Working Papers.
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43. Estimation methods for stochastic volatility models: a survey. (2002). Ruiz, Esther ; Broto, Carmen.
    In: DES - Working Papers. Statistics and Econometrics. WS.
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44. The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse. (2002). Hau, Harald.
    In: CEPR Discussion Papers.
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45. ARMA Representation of Integrated and Realized Variances. (2002). Meddahi, Nour.
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    RePEc:cir:cirwor:2002s-93.

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46. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
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47. Analytic Evaluation of Volatility Forecasts. (2002). Meddahi, Nour ; Bollerslev, Tim ; Andersen, Torben.
    In: CIRANO Working Papers.
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48. Alternative Models for Stock Price Dynamics. (2002). Tauchen, George ; Ghysels, Eric ; Gallant, A. ; Chernov, Mikhail.
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49. Financial Asset Returns, Market Timing, and Volatility Dynamics. (2002). Diebold, Francis ; Christoffersen, Peter.
    In: CIRANO Working Papers.
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50. A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations. (). Diebold, Francis ; April, ; Brandt, Michael W..
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-15.

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