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2. Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro .
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3. Cholesky Realized Stochastic Volatility Model. (2016). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro .
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4. Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting. (2016). MacIel, Leandro ; Ballini, Rosangela ; GOMIDE, FERNANDO .
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5. The Split-SV model. (2016). Stojanovi, Vladica S ; Milovanovi, Gradimir V ; Popovi, Biljana.
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1. Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan.
   In: Applied Energy.
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2. Bayesian Dynamic Modeling of High-Frequency Integer Price Changes. (2018). Koopman, Siem Jan ; Barra, Istvan.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20160028.

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3. Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y.
   In: Papers.
   RePEc:arx:papers:1512.06159.

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5. High-Frequency Jump Analysis of the Bitcoin Market. (2017). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien .
   In: Papers.
   RePEc:arx:papers:1704.08175.

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6. Bayesian Nonparametric Estimation of Ex-post Variance. (2016). Maheu, John ; Liu, Jia ; Griffin, Jim.
   In: MPRA Paper.
   RePEc:pra:mprapa:71220.

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7. Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect. (2016). Sebastião, Helder ; Godinho, Pedro ; Sebastio, Helder ; Brito, Rui Pedro .
   In: GEMF Working Papers.
   RePEc:gmf:wpaper:2016-13..

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8. A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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9. Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (2016). LINTON, OLIVER ; Park, Sujin ; Hong, Seok Young .
   In: Journal of Econometrics.
   RePEc:eee:econom:v:191:y:2016:i:2:p:325-347.

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10. Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. (2015). Lucas, Andre ; Koopman, Siem Jan ; Lit, Rutger.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150076.

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11. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). McAleer, Michael ; Asai, Manabu.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150018.

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12. Difference based estimators and infill statistics. (2015). Leon, Jose ; Ludea, Carenne .
    In: Statistical Inference for Stochastic Processes.
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13. Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas. (2015). Kalnina, Ilze.
    In: Cahiers de recherche.
    RePEc:mtl:montec:13-2015.

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14. Inference for nonparametric high-frequency estimators with an application to time variation in betas. (2015). Kalnina, Ilze.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2015-08.

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15. Relative liquidity and future volatility. (2015). Rheinlander, Thorsten ; Valenzuela, Marcela ; Zer, Ilknur ; Fryzlewicz, Piotr.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:24:y:2015:i:c:p:25-48.

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16. Validity of Edgeworth expansions for realized volatility estimators. (2015). Veliyev, Bezirgen ; Hounyo, Ulrich.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-21.

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17. Relative Liquidity and Future Volatility. (2014). Zer, Ilknur ; Rheinlander, Thorsten ; Fryzlewicz, Piotr ; Valenzuela, Marcela.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2014-45.

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18. CAPM with fuzzy returns and hypothesis testing. (2014). SADEFO, Jules ; Shapiro, A. F. ; Moussa, Mbairadjim A. ; Terraza, M..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:55:y:2014:i:c:p:40-57.

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19. A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data. (2014). Liu, Cheng ; Tang, Cheng Yong.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:180:y:2014:i:2:p:217-232.

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20. Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns. (2014). SADEFO, Jules ; Terraza, M. ; Kamdem, Sadefo J. ; Moussa, Mbairadjim A..
    In: Economic Modelling.
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21. Extended stochastic volatility models incorporating realised measures. (2014). Venter, J. H. ; de Jongh, P. J..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:687-707.

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22. Modeling CAC40 Volatility Using Ultra-high Frequency Data. (2013). Floros, Christos ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80445.

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23. Econometrics of co-jumps in high-frequency data with noise. (2013). Winkelmann, Lars ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-021.

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24. Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing. (2013). Bibinger, Markus ; Mykland, Per A..
    In: SFB 649 Discussion Papers.
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25. Adaptive Realized Kernels. (2013). Kotchoni, Rachidi ; Carrasco, Marine.
    In: Working Papers.
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26. Some limit theorems for Hawkes processes and application to financial statistics. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F..
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:7:p:2475-2499.

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27. 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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28. Macroeconomic determinants of stock volatility and volatility premiums. (2013). Mele, Antonio ; Corradi, Valentina ; Distaso, Walter .
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:2:p:203-220.

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29. The leverage effect puzzle: Disentangling sources of bias at high frequency. (2013). Fan, Jianqing ; Ait-Sahalia, Yacine.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:109:y:2013:i:1:p:224-249.

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30. Volatility and Liquidity Costs. (2013). Chaker, Selma .
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-29.

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31. Financial Risk Measurement for Financial Risk Management. (2012). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18084.

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32. Capital asset pricing model with fuzzy returns and hypothesis testing. (2012). SADEFO, Jules ; Moussa, Alfred Mbairadjim ; Terraza, Michel ; Kamdem, Jules Sadefo ; Shapiro, Arnold F..
    In: Working Papers.
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33. An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory. (2012). Bibinger, Markus.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:122:y:2012:i:6:p:2411-2453.

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34. International market links and volatility transmission. (2012). Fernandes, Marcelo ; Corradi, Valentina ; Distaso, Walter .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:1:p:117-141.

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35. Jump-robust volatility estimation using nearest neighbor truncation. (2012). Andersen, Torben ; Dobrev, Dobrislav ; Schaumburg, Ernst.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:169:y:2012:i:1:p:75-93.

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36. Jumps in equilibrium prices and market microstructure noise. (2012). Mykland, Per A. ; Lee, Suzanne S..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:168:y:2012:i:2:p:396-406.

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37. On the estimation of integrated covariance matrices of high dimensional diffusion processes. (2012). Zheng, Xinghua ; Li, Yingying.
    In: Papers.
    RePEc:arx:papers:1005.1862.

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38. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data. (2012). Ait-Sahalia, Yacine ; Yacine Aït-Sahalia, ; Jacod, Jean.
    In: Journal of Economic Literature.
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39. Predictive Inference for Integrated Volatility. (2011). Swanson, Norman ; Distaso, Walter ; Corradi, Valentina.
    In: Departmental Working Papers.
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40. On the Approximate Maximum Likelihood Estimation for Diffusion Processes. (2011). Chang, Jinyuan ; Chen, Song Xi ; Song Xi Chen, .
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41. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:11-037.

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42. The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency. (2011). Fan, Jianqing ; Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17592.

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43. Subsampling high frequency data. (2011). Kalnina, Ilze.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:262-283.

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44. Estimating covariation: Epps effect, microstructure noise. (2011). Zhang, Lan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:33-47.

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45. Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: CREATES Research Papers.
    RePEc:aah:create:2011-37.

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46. Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices. (2011). Varneskov, Rasmus Tangsgaard .
    In: CREATES Research Papers.
    RePEc:aah:create:2011-35.

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47. Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise. (2011). Varneskov, Rasmus Tangsgaard .
    In: CREATES Research Papers.
    RePEc:aah:create:2011-31.

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48. Detecting jumps from Lévy jump diffusion processes. (2010). Hannig, Jan ; Lee, Suzanne S..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:96:y:2010:i:2:p:271-290.

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49. Bayesian analysis of structural credit risk models with microstructure noises. (2010). Yu, Jun ; Huang, Shirley J..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:11:p:2259-2272.

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50. Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises. (2009). Yu, Jun ; JunYu, ; Huang, Shirley J..
    In: Finance Working Papers.
    RePEc:eab:financ:23054.

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