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2. Volatility dynamics of agricultural futures markets under uncertainties. (2024). Uddin, Gazi ; Zhu, Xuening ; Sheng, Lin Wen ; Park, Donghyun ; Dutta, Anupam.
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3. Which factors drive Bitcoin volatility: Macroeconomic, technical, or both?. (2023). Guo, Yangli ; Bouri, Elie ; Ma, Feng ; Wang, Jiqian.
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4. Are categorical EPU indices predictable for carbon futures volatility? Evidence from the machine learning method. (2023). Liang, Chao ; Huang, Dengshi ; Guo, Xiaozhu.
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5. Stock market volatility predictability in a data-rich world: A new insight. (2023). Ma, Yuanhui ; Wahab, M. I. M., ; Wang, Jiqian.
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6. Forecasting crude oil volatility with uncertainty indicators: New evidence. (2022). Umar, Muhammad ; Chen, Zhonglu ; Liang, Chao.
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1. Do co-jumps impact correlations in currency markets?. (2018). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
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2. Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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3. Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework. (2018). Casini, Alessandro.
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4. OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS. (2017). Agliardi, Rossella ; Genay, Ramazan.
   In: International Journal of Theoretical and Applied Finance (IJTAF).
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5. Bootstrapping high-frequency jump tests. (2017). Goncalves, Silvia ; Dovonon, Prosper ; Meddahi, Nour ; Hounyo, Ulrich.
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6. Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations. (2017). Liu, Zhi.
   In: Finance and Stochastics.
   RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0325-7.

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7. Retrieving risk neutral moments and expected quadratic variation from option prices. (2017). Tzavalis, Elias ; Rompolis, Leonidas.
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0575-z.

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8. Bootstrapping high-frequency jump tests. (2017). Goncalves, Silvia ; Dovonon, Prosper ; Meddahi, Nour ; Hounyo, Ulrich.
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9. Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey.
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   RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

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10. Time-varying continuous and jump betas: The role of firm characteristics and periods of stress. (2017). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:40:y:2017:i:c:p:1-19.

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11. Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu.
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    RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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12. A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation. (2017). Hounyo, Ulrich ; Varneskov, Rasmus T.
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13. Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K.
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14. Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
    In: Papers.
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15. Systemic co-jumps. (2016). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Alexey .
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    RePEc:zbw:safewp:149.

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16. Sand in the wheels or wheels in the sand? Tobin taxes and market crashes. (2016). Lichard, Tomas ; Novotn, J ; Lavika, H.
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    RePEc:eee:finana:v:47:y:2016:i:c:p:328-342.

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17. Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price. (2016). Mykland, Per A ; Zhang, Lan.
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18. Inference theory for volatility functional dependencies. (2016). Tauchen, George ; Li, Jia ; Todorov, Viktor.
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19. Is it Brownian or fractional Brownian motion?. (2016). Genay, Ramazan ; Xue, YI ; Li, Meiyu .
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20. Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; Laurent, Sébastien ; Lecourt, Christelle.
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21. Bootstrapping high-frequency jump tests. (2016). Goncalves, Silvia ; Dovonon, Prosper ; Meddahi, Nour ; Hounyo, Ulrich ; Gonalves, Silvia.
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22. Dynamic Global Currency Hedging. (2016). Christensen, Bent Jesper ; Varneskov, Rasmus T.
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23. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). McAleer, Michael ; Asai, Manabu.
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24. The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements. (2015). Yao, Wenying ; Tian, Jing.
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25. High frequency characterization of Indian banking stocks. (2015). Yao, Wenying ; Dungey, Mardi ; Sayaeed, Mohammad Abu .
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26. Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes. (2015). Kostrzewski, Maciej .
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27. Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency. (2015). Kalnina, Ilze ; Xiu, Dacheng.
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28. Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency. (2015). Kalnina, Ilze ; Xiu, Dacheng.
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29. The Impact of Jumps and Leverage in Forecasting Co-Volatility. (2015). McAleer, Michael ; Asai, Manabu.
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30. Quantile estimation for Lévy measures. (2015). Trabs, Mathias .
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31. Martingale optimal transport in the Skorokhod space. (2015). Dolinsky, Yan ; Soner, Mete H.
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32. Which continuous-time model is most appropriate for exchange rates?. (2015). Neely, Christopher ; Laurent, Sébastien ; Erdemlioglu, Deniz.
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33. Option valuation with observable volatility and jump dynamics. (2015). Feunou, Bruno ; Christoffersen, Peter ; Jeon, Yoontae .
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34. Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction. (2015). Swanson, Norman ; Duong, Diep .
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35. Learning, confidence, and option prices. (2015). Shaliastovich, Ivan.
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36. Option Valuation with Observable Volatility and Jump Dynamics. (2015). Feunou, Bruno ; Christoffersen, Peter ; Jeon, Yoontae .
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37. A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation. (2015). Varneskov, Rasmus T. ; Hounyo, Ulrich.
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38. Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data. (2014). Dungey, Mardi ; Treepongkaruna, Sirimon ; Matei, Marius.
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39. Multi-jumps. (2014). Renò, Roberto ; Caporin, Massimiliano ; Kolokolov, Aleksey ; Reno, Roberto.
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40. Multi-jumps. (2014). Renò, Roberto ; Caporin, Massimiliano ; Kolokolov, Aleksey.
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41. Optimally sampled realized range-based volatility estimators. (2014). VORTELINOS, DIMITRIOS.
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42. Bayesian DEJD model and detection of asymmetric jumps. (2014). Kostrzewski, Maciej .
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43. Option Valuation with Observable Volatility and Jump Dynamics. (2014). Feunou, Bruno ; Christoffersen, Peter ; Jeon, Yoontae .
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44. Equity portfolio diversification with high frequency data. (2013). Dungey, Mardi ; Alexeev, Vitali.
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45. Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction. (2013). Swanson, Norman ; Duong, Diep .
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46. Quantitative forward guidance and the predictability of monetary policy - A wavelet based jump detection approach -. (2013). Winkelmann, Lars.
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47. Which continuous-time model is most appropriate for exchange rates?. (2013). Neely, Christopher ; Laurent, Sébastien ; Erdemlioglu, Deniz.
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48. Econometric modeling of exchange rate volatility and jumps. (2013). Neely, Christopher J. ; Laurent, Sbastien ; Erdemlioglu, Deniz.
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49. The leverage effect puzzle: Disentangling sources of bias at high frequency. (2013). Fan, Jianqing ; Ait-Sahalia, Yacine.
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50. Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications. (2012). Zhylyevskyy, Oleksandr.
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