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Power and bipower variation with stochastic volatility and jumps. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
In: Economics Papers.
RePEc:nuf:econwp:0318.

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  1. The effect of investors’ information search behaviors on rebar market return dynamics using high frequency data. (2020). Zhang, Hongwei ; Tang, Jing ; Huang, Jianbai.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719306038.

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  2. Effective network inference through multivariate information transfer estimation. (2018). Gnabo, Jean-Yves ; Dahlqvist, Carl-Henrik.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:499:y:2018:i:c:p:376-394.

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  3. Jumping VaR: Order Statistics Volatility Estimator for Jumps Classification and Market Risk Modeling. (2018). Picchiotti, Nicola ; Sivero, Francesca ; Spadafora, Luca.
    In: Papers.
    RePEc:arx:papers:1803.07021.

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  4. Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality. (2011). Taamouti, Abderrahim ; Bouezmarni, Taoufik ; Jeroen V. K. Rombouts, .
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:30:y:2011:i:2:p:275-287.

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  5. Forecasting with mixed-frequency data. (2010). Kourtellos, Andros ; Andreou, Elena ; Ghysels, Eric.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:10-2010.

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  6. Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market. (2010). Idier, Julien ; Avouyi-Dovi, Sanvi.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/11156.

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  7. Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market.. (2010). Idier, Julien ; Avouyi-Dovi, Sanvi.
    In: Working papers.
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  8. A volatility-varying and jump-diffusion Merton type model of interest rate risk. (2006). Espinosa, Fernando ; Vives, Josep.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:38:y:2006:i:1:p:157-166.

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  9. Forecasting the Volatility of Australian Stock Returns: Do Common Factors Help?. (2005). Vahid, Farshid ; Anderson, Heather.
    In: ANU Working Papers in Economics and Econometrics.
    RePEc:acb:cbeeco:2005-451.

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  10. 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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  11. Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility. (2003). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
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  12. Econometrics of testing for jumps in financial economics using bipower variation. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0321.

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  13. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole ; Graversen, Svend Erik .
    In: Economics Papers.
    RePEc:nuf:econwp:0319.

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References

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