1. Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps. (2014). Sévi, Benoît ; Sevi, Benoit.
   In: Working Papers.
   RePEc:ipg:wpaper:2014-602.

   Full description at Econpapers || Download paper

2. Forecasting the volatility of crude oil futures using intraday data. (2014). Sévi, Benoît ; Sevi, Benoit.
   In: Working Papers.
   RePEc:ipg:wpaper:2014-53.

   Full description at Econpapers || Download paper

1. (2006): Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation, Journal of Financial Econometrics, 4(1), 130.

2. (2007): Empirical Market Microstructure. Oxford University Press.
   Paper not yet in RePEc: Add citation now
   
3. (2008b): Realized Kernels in Practice: Trades and Quotes, Journal of Econometrics, 4, 132.
   Paper not yet in RePEc: Add citation now
   

4. Ait-Sahalia, Y. (2002): Telling from Discrete Data Whether the Underlying ContinuousTime Model is a Diffusion, Journal of Finance, 57(5), 20752112.

5. Ait-Sahalia, Y., and J. Jacod (2009): Testing for Jumps in a Discretely Observed Process, Annals of Statistics, 37(1), 184222.
   Paper not yet in RePEc: Add citation now
   

6. Andersen, T. G., and T. Bollerslev (1998): Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts, International Economic Review, 39(4), 885905.

7. Andersen, T. G., D. Dobrev, and E. Schaumburg (2009): Jump Robust Volatility Estimation, Northwestern University.

8. Andersen, T. G., T. Bollerslev, and D. Dobrev (2007): No-Arbitrage SemiMartingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications, Journal of Econometrics, 138(1), 125180.

9. Andersen, T. G., T. Bollerslev, and F. X. Diebold (2004): Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility, Working Paper, University of Pennsylvania.
   Paper not yet in RePEc: Add citation now
   

10. Bakshi, G., C. Cao, and Z. Chen (1997): Empirical Performance of Alternative Option Pricing Models, Journal of Finance, 52(5), 20032049.

11. Barndorff-Nielsen, O. E., and N. Shephard (2004): Power and Bipower Variation with Stochastic Volatility and Jumps, Journal of Financial Econometrics, 2(1), 148.

12. Barndorff-Nielsen, O. E., P. R. Hansen, A. Lunde, and N. Shephard (2008a): Designing Realized Kernels to Measure the Ex-post Variation of Equity Prices in the Presence of Noise, Econometrica, 76(6), 14811536.
    Paper not yet in RePEc: Add citation now
    

13. Bates, D. (2000): Post-87 Crash Fears in the S&P 500 Futures Option Market, Journal of Econometrics, 94, 181238.

14. Carr, P., and L. Wu (2003): What Type of Process Underlies Options? A Simple Robust Test, Journal of Finance, 58(6), 25812610.

15. Chernov, M., A. R. Gallant, E. Ghysels, and G. Tauchen (2003): Alternative Models for Stock Price Dynamics, Journal of Econometrics, 116, 225257.

16. Corsi, F., D. Pirino, and R. Ren`o (2008): Volatility Forecasting: The Jumps Do Matter, Universit`a di Siena.

17. Das, S. R. (2002): The Surprise Element: Jumps in Interest Rates, Journal of Econometrics, 106(1), 2765.

18. Eberlein, E., and S. Raible (1999): Term Structure Models Driven by General Levy Processes, Mathematical Finance, 9(1), 3153.

19. Engle, R. F., and J. Russell (1998): Autoregressive Conditional Duration: A New Model for Irregularly-spaced Transaction Data, Econometrica, 66, 11271162.

20. Hansen, P. H., and A. Lunde (2006): Realized Variance and Market Microstructure Noise, Journal of Business and Economic Statistics, 24(2), 127161.

21. Hasbrouck, J. (1999): The Dynamics of Discrete Bid and Ask Quotes, Journal of Finance, 54(6), 21092142.

22. Huang, X., and G. Tauchen (2005): The Relative Contribution of Jumps to Total Price Variation, Journal of Financial Econometrics, 3(4), 456499.

23. Jiang, G. J., and R. C. A. Oomen (2008): Testing for Jumps When Asset Prices Are Observed With Noise A Swap Variance Approach, Journal of Econometrics, 144(2), 352370.

24. Johannes, M. (2004): The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models, Journal of Financ, 59(1), 227260.

25. Lee, S. S., and P. A. Mykland (2008): Jumps in Finacial Markets: A New Nonparametric Test and Jump Dynamics, Review of Financial Studies, 21, 25352563.

26. Mancini, C. (2001): Disentangling the jumps of the diffusion in a geometric jumping Brownian motion, Giornale dell'Instituto degli Attuari, (LXIV), 1947.
    Paper not yet in RePEc: Add citation now
    

27. Merton, R. K. (1976): Option Pricing When Underlying Stock Returns are Discontinuous, Journal of Financial Economics, 3, 125144.

28. Neuberger, A. (1994): The Log Contract: A New Instrument to Hedge Volatility, Journal of Portfolio Management, 20, 7480.
    Paper not yet in RePEc: Add citation now
    
29. O'Hara, M. (1995): Market Microstructure Theory. Blackwell Publishing Limited.
    Paper not yet in RePEc: Add citation now
    

30. Pan, J. (2002): The Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time Series Study, Journal of Financial Economics, 63.

31. Piazzesi, M. (2005): Bond Yields and the Federal Reserve, Journal of Political Economy, 113(2), 311344.

32. Podolskij, M., and D. Ziggel (2008): New Tests for Jumps: A Threshold-Based Approach, CREATES Research Papers, 34, School of Economics and Management, University of Aarhus.

33. Rosinski, J. (2001): Series Representations of Levy Processes from the Perspective of Point Processes, in Levy Processes-Theory and Applications, ed. by O. E. BarndorffNielsen, T. Mikosch, and S. Resnick. Boston: Birkhaser.
    Paper not yet in RePEc: Add citation now
    
34. Todorov, V. (2007): Estimation of Continuous-Time Stochastic Volatility Models with Jumps using High-Frequency Data, Duke University.
    Paper not yet in RePEc: Add citation now
    
35. Todorov, V., and G. Tauchen (2008): Volatility Jumps, Northwestern University.
    Paper not yet in RePEc: Add citation now
    

36. Veraart, A. E. D. (2008): Inference for the Jump Part of Quadratic Variation of It Semimartingales, CREATES Research Paper 2008-17. A Tables 0.030 0 0.000 1 0.125 v {-0.137e - 2, -0.100, -1.386}

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.

   Full description at Econpapers || Download paper

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.

   Full description at Econpapers || Download paper

3. Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie.
   In: Papers.
   RePEc:arx:papers:1912.05228.

   Full description at Econpapers || Download paper

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.

   Full description at Econpapers || Download paper

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.

   Full description at Econpapers || Download paper

6. Uncertainty Shocks and Equity Return Jumps and Volatility During the Great Depression. (2014). Mathy, Gabriel.
   In: Working Papers.
   RePEc:amu:wpaper:2014-02.

   Full description at Econpapers || Download paper

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.

   Full description at Econpapers || Download paper

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.

   Full description at Econpapers || Download paper

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.

   Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

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 .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:2:p:233-261.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

15. Nonparametric tests for pathwise properties of semimartingales. (2010). Mancini, Cecilia ; Cont, Rama.
    In: Working Papers - Mathematical Economics.
    RePEc:flo:wpaper:2010-02.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

17. Learning and Asset-Price Jumps. (2009). Bansal, Ravi ; Shaliastovich, Ivan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14814.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

21. Understanding limit theorems for semimartingales: a short survey. (2009). Podolskij, Mark ; Vetter, Mathias .
    In: CREATES Research Papers.
    RePEc:aah:create:2009-47.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

23. Stochastic volatility and stochastic leverage. (2009). Veraart, Almut.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-20.

    Full description at Econpapers || Download paper

24. Jump Testing and the Speed of Market Adjustment. (2009). Rasmussen, Torben B..
    In: CREATES Research Papers.
    RePEc:aah:create:2009-08.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

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.
    RePEc:qed:wpaper:1173.

    Full description at Econpapers || Download paper

28. Measuring downside risk - realised semivariance. (2008). Kinnebrock, Silja .
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:382.

    Full description at Econpapers || Download paper

29. Measuring downside risk-realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja .
    In: Economics Papers.
    RePEc:nuf:econwp:0802.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

31. Measuring downside risk — realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja .
    In: CREATES Research Papers.
    RePEc:aah:create:2008-42.

    Full description at Econpapers || Download paper

32. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070025.

    Full description at Econpapers || Download paper

33. Recovering Probabilistic Information From Options Prices and the Underlying. (2007). Mizrach, Bruce.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200702.

    Full description at Econpapers || Download paper

34. Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment. (2007). Large, Jeremy.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:340.

    Full description at Econpapers || Download paper

35. The Impact of Uncertainty Shocks. (2007). bloom, nicholas.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13385.

    Full description at Econpapers || Download paper

36. Multivariate Realized Stock Market Volatility. (2007). Bauer, Gregory ; Vorkink, Keith.
    In: Staff Working Papers.
    RePEc:bca:bocawp:07-20.

    Full description at Econpapers || Download paper

37. Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps. (2007). Podolskij, Mark ; Vetter, Mathias .
    In: CREATES Research Papers.
    RePEc:aah:create:2007-27.

    Full description at Econpapers || Download paper

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.
    RePEc:aah:create:2007-21.

    Full description at Econpapers || Download paper

39. Risk, Jumps, and Diversification. (2007). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-19.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

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.

    Full description at Econpapers || Download paper

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.
    RePEc:aah:create:2007-09.

    Full description at Econpapers || Download paper

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.
    RePEc:rut:rutres:200620.

    Full description at Econpapers || Download paper

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.
    In: Economics Papers.
    RePEc:nuf:econwp:0603.

    Full description at Econpapers || Download paper

45. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-35.

    Full description at Econpapers || Download paper

46. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:240.

    Full description at Econpapers || Download paper

47. Stochastic Volatility. (2005). Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0517.

    Full description at Econpapers || Download paper

48. Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0516.

    Full description at Econpapers || Download paper

49. Limit theorems for bipower variation in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Sven Erik.
    In: Economics Papers.
    RePEc:nuf:econwp:0506.

    Full description at Econpapers || Download paper

50. Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy.
    In: Economics Papers.
    RePEc:nuf:econwp:0505.

    Full description at Econpapers || Download paper

Report date: 2025-02-23 22:01:15 || Missing content? Let us know