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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.
RePEc:nbr:nberwo:11775.

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Cited: 27

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  1. 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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  2. Variance Premium and Implied Volatility in a Low-Liquidity Option Market. (2017). Giovannetti, Bruno ; Chague, Fernando ; da Silva, Marcos Eugenio ; Astorino, Eduardo .
    In: Revista Brasileira de Economia - RBE.
    RePEc:fgv:epgrbe:v:71:y:2017:i:1:a:59368.

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  3. The impact of jumps and thin trading on realized hedge ratios. (2013). Henry, Ólan ; Dungey, Mardi ; Hvodzdyk, Lyudmyla .
    In: Working Papers.
    RePEc:tas:wpaper:16318.

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  4. 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.
    RePEc:oup:rfinst:v:22:y:2009:i:7:p:2559-2599.

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  5. Does the option market produce superior forecasts of noise-corrected volatility measures?. (2009). Martin, Gael ; Reidy, Andrew ; Wright, Jill .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:24:y:2009:i:1:p:77-104.

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  6. Asymmetric effects and long memory in the volatility of Dow Jones stocks. (2009). Scharth, Marcel ; Medeiros, Marcelo.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:25:y:2009:i:2:p:304-327.

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  7. Asymmetric volatility in the foreign exchange markets. (2009). Yang, Minxian ; Wang, Jianxin.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:4:p:597-615.

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  8. Forecasting volatility with noisy jumps: an application to the Dow Jones Industrial Average stocks. (2008). Awartani, Basel ; Basel M. A. Awartani, .
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:27:y:2008:i:3:p:267-278.

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  9. HOW WOULD A POSSIBLE U.N. SANCTION AFFECT THE IRANIAN ECONOMY?. (2008). Anaraki, Nahid Kalbasi ; Shahrestani, Hamid.
    In: Global Journal of Business Research.
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  10. Quantile forecasts of daily exchange rate returns from forecasts of realized volatility. (2008). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:4:p:729-750.

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

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  12. 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.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12963.

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  13. Central bank intervention and exchange rate volatility, its continuous and jump components. (2007). Palm, Franz ; Neely, Christopher ; Laurent, Sébastien ; Beine, Michel ; Jerôme Lahaye, .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:12:y:2007:i:2:p:201-223.

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  14. Talks, financial operations or both? Generalizing central banks FX reaction functions. (2007). Bernal, Oscar ; Gnabo, Jean-Yves.
    In: DULBEA Working Papers.
    RePEc:dul:wpaper:07-03rs.

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  15. 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.

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  16. The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
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  17. The Fractional OU Process: Term Structure Theory and Application. (2006). Hoeg, Esben.
    In: Computing in Economics and Finance 2006.
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  18. Asymmetric effects and long memory in the volatility of Dow Jones stocks. (2006). Scharth, Marcel ; Medeiros, Marcelo.
    In: Textos para discussão.
    RePEc:rio:texdis:532.

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  19. The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps. (2006). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Papers.
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  20. Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility. (2006). Martin, Gael ; Reidy, Andrew ; Wright, Jill .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2006-10.

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  21. 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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  22. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
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  23. Forecasting Realized Volatility by Decomposition. (2006). Lanne, Markku.
    In: Economics Working Papers.
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  24. Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility. (2006). Kim, Jae ; Galvão, Ana ; Clements, Michael ; Galvao, Ana Beatriz.
    In: Economic Research Papers.
    RePEc:ags:uwarer:269747.

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  25. The volatility of realized volatility. (2005). Mittnik, Stefan ; Corsi, Fulvio ; Pigorsch, Christian ; Kretschmer, Uta .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200533.

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  26. Forecasting Exchange Rate Volatility in the Presence of Jumps. (2005). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Papers.
    RePEc:qed:wpaper:1187.

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  3. Some Recent Developments in Nonparametric Finance. (2013). Hong, Yongmiao ; CAI, ZONGWU.
    In: Working Papers.
    RePEc:wyi:wpaper:002011.

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  4. Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach. (2013). SONG, ZHAOGANG ; Chen, Bin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:1:p:83-107.

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  5. On the jump activity index for semimartingales. (2012). Jing, Bing-Yi ; Liu, Zhi ; Kong, Xin-Bing ; Mykland, Per .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:166:y:2012:i:2:p:213-223.

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  6. The ECB Monetary Policy and the Current Financial Crisis. (2011). Zikes, Filip ; Karamanou, Pany ; Theodosiou, Marina ; Kleanthous, Lena .
    In: Working Papers.
    RePEc:cyb:wpaper:2011-1.

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  7. The small-maturity smile for exponential Levy models. (2011). Figueroa-Lopez, Jose E. ; Forde, Martin .
    In: Papers.
    RePEc:arx:papers:1105.3180.

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  8. 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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  9. Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility. (2008). Chen, Gongmeng ; Choi, Yoon K. ; Zhou, Yong.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:143:y:2008:i:2:p:227-262.

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  10. 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.

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  11. Why Does Implied Risk Aversion Smile?. (2007). Ziegler, Alexandre.
    In: Review of Financial Studies.
    RePEc:oup:rfinst:v:20:y:2007:i:3:p:859-904..

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  12. Structural estimation of jump-diffusion processes in macroeconomics. (2007). Posch, Olaf.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-23.

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  13. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence.
    In: Foundations and Trends(R) in Finance.
    RePEc:now:fntfin:0500000005.

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  14. Pricing currency options in the presence of time-varying volatility and non-normalities. (2006). Martin, Vance ; Lim, Guay.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:16:y:2006:i:3:p:291-314.

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  15. Does Employment Protection Create Its Own Political Support?. (2006). Bruegemann, Bjoern ; Brugemann, Bjorn .
    In: Working Papers.
    RePEc:ecl:yaleco:20.

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  16. 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.
    RePEc:nbr:nberwo:11775.

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  17. Disentangling diffusion from jumps. (2004). Ait-Sahalia, Yacine.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:74:y:2004:i:3:p:487-528.

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  18. Risikoadjustierte Performance von Private Equity-Investitionen. (2004). Groh, Alexander.
    In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
    RePEc:dar:wpaper:21382.

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  19. The American put and European options near expiry, under Levy processes. (2004). Levendorskii, Sergei .
    In: Papers.
    RePEc:arx:papers:cond-mat/0404103.

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  20. 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.
    RePEc:pen:papers:03-025.

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  21. Intertemporal asset pricing theory. (2003). Duffie, Darrell.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-11.

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  22. Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models. (2003). Woerner Jeannette H. C., .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:21:y:2003:i:1/2003:p:47-68:n:6.

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  23. Why does Implied Risk Aversion Smile?. (2002). Ziegler, Alexandre.
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp47.

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