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The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models. (2004). Johannes, Michael .
In: Journal of Finance.
RePEc:bla:jfinan:v:59:y:2004:i:1:p:227-260.

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  91. Crash Risk in Currency Returns. (2012). Zviadadze, Irina ; Chernov, Mikhail ; Graveline, Jeremy .
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  92. Early Warnings of Regime Shift When the Ecosystem Structure Is Unknown. (2012). Carpenter, Stephen R ; Brock, William A.
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  93. Spot Volatility Estimation Using Delta Sequences. (2012). Renò, Roberto ; Mancini, Cecilia ; Mattiussi, Vanessa ; Reno, Roberto.
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  94. New measures of monetary policy surprises and jumps in interest rates. (2012). Sebestyén, Szabolcs ; Leon, Angel .
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  95. Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models. (2012). Beliaeva, Natalia ; Nawalkha, Sanjay .
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  96. Price jumps in Visegrad-country stock markets: An empirical analysis. (2012). Novotny, Jan ; Hanousek, Jan.
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  97. Time-varying leverage effects. (2012). Renò, Roberto ; Bandi, Federico M..
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  98. Sources of Risk in Currency Returns. (2012). Zviadadze, Irina ; Chernov, Mikhail ; Graveline, Jeremy .
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  99. The identification of price jumps. (2012). Kočenda, Evžen ; Hanousek, Jan ; Even, Koenda .
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  100. Vine Constructions of Levy Copulas. (2012). Grothe, Oliver ; Nicklas, Stephan .
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  101. Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications. (2011). Casella, Bruno ; Roberts, Gareth O.
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  102. Exact Simulation of Jump-Diffusion Processes with Monte Carlo Applications. (2011). Roberts, Gareth O ; Casella, Bruno.
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  103. Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate. (2011). Ortega, Elizabeth ; Nuez, Jose Antonio .
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  104. Macroeconomic news, announcements, and stock market jump intensity dynamics. (2011). Rangel, Jose.
    In: Journal of Banking & Finance.
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  105. Intraday jumps and US macroeconomic news announcements. (2011). Evans, Kevin P..
    In: Journal of Banking & Finance.
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  106. Testing and detecting jumps based on a discretely observed process. (2011). Fan, Jianqing.
    In: Journal of Econometrics.
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  107. Threshold estimation of Markov models with jumps and interest rate modeling. (2011). Renò, Roberto ; Mancini, Cecilia ; Reno, Roberto.
    In: Journal of Econometrics.
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  108. A reduced form framework for modeling volatility of speculative prices based on realized variation measures. (2011). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: Journal of Econometrics.
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  109. The ECB Monetary Policy and the Current Financial Crisis. (2011). Zikes, Filip ; Karamanou, Pany ; Theodosiou, Marina ; Kleanthous, Lena .
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  110. Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications. (2011). Phillips, Peter ; Xu, Ke-Li ; Phillips, Peter C. B., .
    In: Journal of Business & Economic Statistics.
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  111. Multifractal modeling of short-term interest rates. (2011). Rypdal, M. ; Lovsletten, O..
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  112. From Trade-to-Trade in US Treasuries. (2010). Henry, Ólan ; Dungey, Mardi.
    In: Working Papers.
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  113. Real-world jump-diffusion term structure models. (2010). Platen, Eckhard ; Nikitopoulos-Sklibosios, Christina ; Bruti-Liberati, Nicola.
    In: Quantitative Finance.
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  114. Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting. (2010). Renò, Roberto ; Corsi, Fulvio ; Pirino, Davide ; Reno, Roberto.
    In: LEM Papers Series.
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  115. VIX Dynamics with Stochastic Volatility of Volatility. (2010). Alexander, Carol ; Kaeck, Andreas.
    In: ICMA Centre Discussion Papers in Finance.
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  116. Higher-order volatility: time series. (2010). Carey, Alexander.
    In: MPRA Paper.
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  117. Efectos del tipo de cambio sobre el déficit público: modelos de simulación Monte Carlo. (2010). Venegas-Martínez, Francisco ; Rodríguez Nava, Abigail.
    In: Contaduría y Administración.
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  118. Threshold bipower variation and the impact of jumps on volatility forecasting. (2010). Pirino, Davide ; Reno, Roberto ; Corsi, Fulvio.
    In: Post-Print.
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  119. Analytic valuation formulas for range notes and an affine term structure model with jump risks. (2010). Jang, Bong-Gyu ; Yoon, Jihee.
    In: Journal of Banking & Finance.
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  120. Chinas official rates and bond yields. (2010). Johansson, Anders ; Fan, Longzhen .
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  121. Modeling the dynamics of Chinese spot interest rates. (2010). Lin, Hai ; Hong, Yongmiao ; Wang, Shouyang.
    In: Journal of Banking & Finance.
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  122. Markov-modulated jump-diffusions for currency option pricing. (2010). YANG, Xuewei ; Bo, Lijun ; Wang, Yongjin.
    In: Insurance: Mathematics and Economics.
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  123. Threshold bipower variation and the impact of jumps on volatility forecasting. (2010). Renò, Roberto ; Pirino, Davide ; Corsi, Fulvio ; Reno, Roberto.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:2:p:276-288.

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  124. Nonparametric estimation for a class of Lévy processes. (2010). Chen, Song ; Delaigle, Aurore ; Hall, Peter.
    In: Journal of Econometrics.
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  125. Tilted Nonparametric Estimation of Volatility Functions. (2010). Xu, Ke-Li ; Phillips, Peter.
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  127. Bandwidth selection for continuous-time Markov processes. (2009). Moloche, Guillermo ; Bandi, Federico ; Corradi, Valentina.
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  128. Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices. (2009). Stroud, Jonathan R. ; Polson, Nicholas G. ; Johannes, Michael S..
    In: Review of Financial Studies.
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  129. Volatility Spreads and Expected Stock Returns. (2009). Hovakimian, Armen ; Bali, Turan G..
    In: Management Science.
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  130. Nonparametric Stochastic Volatility. (2009). Renò, Roberto ; Bandi, Federico M..
    In: Global COE Hi-Stat Discussion Paper Series.
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  131. CHINAS OFFICIAL RATES AND BOND YIELDS. (2009). Johansson, Anders ; Fan, Longzhen .
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  132. Linear-quadratic term structure models - Toward the understanding of jumps in interest rates. (2009). Yan, Shu ; Jiang, George .
    In: Journal of Banking & Finance.
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  133. 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.
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  134. Empirical likelihood-based inference for nonparametric recurrent diffusions. (2009). Xu, Ke-Li.
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  135. Non-parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps. (2009). Mancini, Cecilia .
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  136. Jump Testing and the Speed of Market Adjustment. (2009). Rasmussen, Torben B..
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  137. Volatility forecasting: the jumps do matter. (2008). Renò, Roberto ; Corsi, Fulvio ; Pirino, Davide ; Reno, Roberto.
    In: Department of Economics University of Siena.
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  138. On the Generalized Brownian Motion and its Applications in Finance. (2008). Schiemert, Daniel ; Frederiksen, Per ; Hog, Esben .
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  139. Inflation-indexed swaps and swaptions. (2008). Hinnerich, Mia.
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  140. Testing for jumps when asset prices are observed with noise-a swap variance approach. (2008). Oomen, Roel ; Jiang, George J..
    In: Journal of Econometrics.
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  141. Consistent estimation in regression models for the drift function in some continuous time models. (2008). Kim, Myung Suk ; Wang, Suojin.
    In: Computational Statistics & Data Analysis.
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  142. Volatility, Jumps and Predictability of Returns: a Sequential Analysis. (2008). Raggi, Davide ; Bordignon, S..
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  143. Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market. (2008). Verdelhan, Adrien ; Lo, Ingrid ; Jiang, George J..
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  144. Extended-Gaussian Term Structure Models and Credit Risk Applications. (2007). Realdon, Marco.
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  145. Numerical Solution of Stochastic Differential Equations with Jumps in Finance. (2007). , Nicolabruti-Liberati ; Bruti-Liberati, Nicola .
    In: PhD Thesis.
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  146. Numerical Solution of Stochastic Differential Equations with Jumps in Finance. (2007). Bruti-Liberati, Nicola .
    In: PhD Thesis.
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  147. Correlated jumps in crude oil and gasoline during the Gulf War. (2007). Lee, Ming-Chih ; Cheng, Wan-Hsiu .
    In: Applied Economics.
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  148. A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps. (2007). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Chiarella, Carl.
    In: Applied Mathematical Finance.
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  149. No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications. (2007). Bollerslev, Tim ; Andersen, Torben ; Dobrev, Dobrislav.
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  150. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
    In: NBER Working Papers.
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  151. EMPIRICAL EVIDENCE ON JUMPS IN THE TERM STRUCTURE OF THE US TREASURY MARKET. (2007). Smith, L. Vanessa ; Dungey, Mardi ; McKenzie, Michael .
    In: CAMA Working Papers.
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  152. Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration. (2007). Pandher, Gurupdesh .
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:137:y:2007:i:1:p:432-459.

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  153. Risk management of a bond portfolio using options. (2007). Heyman, Dries ; Vanmaele, Michele ; Annaert, Jan ; Deelstra, Griselda.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:41:y:2007:i:3:p:299-316.

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  154. Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan. (2007). Yu, Jialin .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:1245-1280.

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  155. Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture the Smile?. (2007). LI, HAITAO ; Jarrow, Robert ; Zhao, Feng.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:62:y:2007:i:1:p:345-382.

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  156. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
    In: CREATES Research Papers.
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  157. Structural estimation of jump-diffusion processes in macroeconomics. (2007). Posch, Olaf.
    In: CREATES Research Papers.
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  158. 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.
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  159. Range-Based Estimation of Quadratic Variation. (2006). Podolskij, Mark ; Christensen, Kim.
    In: Technical Reports.
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  160. The Target Rate and Term Structure of Interest Rates. (2006). Realdon, Marco.
    In: Discussion Papers.
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  161. On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance. (2006). Platen, Eckhard ; Bruti-Liberati, Nicola.
    In: Research Paper Series.
    RePEc:uts:rpaper:179.

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  162. The Fractional OU Process: Term Structure Theory and Application. (2006). Hoeg, Esben.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:194.

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  163. Pricing Rare Event Risk in Emerging Markets. (2006). Gallmeyer, Michael ; Dieckmann, Stephan .
    In: 2006 Meeting Papers.
    RePEc:red:sed006:305.

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  164. The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application. (2006). Hog, Espen P. ; Frederiksen, Per H..
    In: Finance Research Group Working Papers.
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  165. A comprehensive analysis of the short-term interest-rate dynamics. (2006). Wu, Liuren ; Bali, Turan G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:4:p:1269-1290.

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  166. Quadratic term structure models in discrete time. (2006). Realdon, Marco.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:3:y:2006:i:4:p:277-289.

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  167. Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes. (2006). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:131:y:2006:i:1-2:p:217-252.

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  168. On the applicability of stochastic volatility models. (2006). Kim, Myung Suk ; Wang, Suojin.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2006:i:4:p:2210-2217.

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  169. A Comparison of Alternative Non‐parametric Estimators of the Short Rate Diffusion Coefficient. (2006). Roberto Renò, ; Roma, Antonio ; Schaefer, Stephen ; Roberto Renò, .
    In: Economic Notes.
    RePEc:bla:ecnote:v:35:y:2006:i:3:p:227-252.

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  170. Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating. (2006). Telfah, Ahmad.
    In: API-Working Paper Series.
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  171. Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate. (2005). Los, Cornelis ; JAMDEE, SUTTHISIT.
    In: Finance.
    RePEc:wpa:wuwpfi:0502021.

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  172. Bond Yields and the Federal Reserve. (2005). Piazzesi, Monika.
    In: Journal of Political Economy.
    RePEc:ucp:jpolec:v:113:y:2005:i:2:p:311-344.

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  173. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
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  174. Jump-diffusion processes and affine term structure models: additional closed-form approximate solutions, distributional assumptions for jumps, and parameter estimates. (2005). Durham, J. Benson.
    In: Finance and Economics Discussion Series.
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  175. Modelling conditional heteroscedasticity and jumps in Australian short-term interest rates. (2005). Chan, Kam Fong.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:45:y:2005:i:4:p:537-551.

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  176. Détection non paramétrique de sauts dans la volatilité des marchés financiers. (2004). Perron, Benoit.
    In: L'Actualité Economique.
    RePEc:ris:actuec:v:80:y:2004:i:2:p:229-251.

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  177. ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications. (2004). Detemple, Jerome B. ; Broadie, Mark.
    In: Management Science.
    RePEc:inm:ormnsc:v:50:y:2004:i:9:p:1145-1177.

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