| November 2009 | Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
with Dobrislav Dobrev, Ernst Schaumburg: w15533
|
| September 2007 | Construction and Interpretation of Model-Free Implied Volatility
with Oleg Bondarenko: w13449
|
| March 2007 | Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models
with Luca Benzoni: w12962
|
| 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
with Tim Bollerslev, Dobrislav Dobrev: w12963
|
| January 2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Tim Bollerslev, Peter Christoffersen, Francis X. Diebold
in The Risks of Financial Institutions, Mark Carey and René M. Stulz, editors
|
| November 2005 | Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
with Tim Bollerslev, Francis X. Diebold: w11775
|
| May 2005 | Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
with Tim Bollerslev, Francis X. Diebold, Clara Vega: w11312
|
| March 2005 | Volatility Forecasting
with Tim Bollerslev, Peter F. Christoffersen, Francis X. Diebold: w11188
|
| February 2005 | A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
with Tim Bollerslev, Francis X. Diebold, Jin (Ginger) Wu: w11134
|
| January 2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management
with Tim Bollerslev, Peter F. Christoffersen, Francis X. Diebold: w11069
|
| August 2002 | Parametric and Nonparametric Volatility Measurement
with Tim Bollerslev, Francis X. Diebold: t0279
|
| May 2002 | Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
with Tim Bollerslev, Francis X. Diebold, Clara Vega: w8959
|
| October 2001 | An Empirical Investigation of Continuous-Time Equity Return Models
with Luca Benzoni, Jesper Lund: w8510
|
| March 2001 | Modeling and Forecasting Realized Volatility
with Tim Bollerslev, Francis X. Diebold, Paul Labys: w8160
|
| October 2000 | The Distribution of Stock Return Volatility
with Tim Bollerslev, Francis X. Diebold, Heiko Ebens: w7933
|
| January 2000 | Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
with Tim Bollerslev, Francis X. Diebold, Paul Labys: w7488
|
| February 1999 | The Distribution of Exchange Rate Volatility
with Tim Bollerslev, Francis X. Diebold, Paul Labys: w6961
|
| July 1998 | Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment
with Tim Bollerslev, Ashish Das: w6666
|
| April 1997 | Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts
with Tim Bollerslev: w6023
|
| October 1996 | DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
with Tim Bollerslev: w5783
|
| September 1996 | Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
with Tim Bollerslev: w5752
|
