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

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  1. Can climate factors improve the forecasting of electricity price volatility? Evidence from Australia. (2025). Cao, Shanwei ; Zhai, Xiangyang ; Ji, Qiang ; Guo, Kun ; Liu, YU.
    In: Energy.
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  2. Forecasting volatility of China’s crude oil futures based on hybrid ML-HAR-RV models. (2025). Zhu, Tingting ; Ma, Xiaoqing.
    In: The North American Journal of Economics and Finance.
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  3. A comparison of cryptocurrency volatility-benchmarking new and mature asset classes. (2024). Lenz, Jimmie ; Brini, Alessio.
    In: Financial Innovation.
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  4. Connectedness of Carbon Price and Energy Price under Shocks: A Study Based on Positive and Negative Price Volatility. (2024). Chang, Zhijia ; Yu, BO.
    In: Sustainability.
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  5. Volatility forecasting on Chinas oil futures: New evidence from interpretable ensemble boosting trees. (2024). lucey, brian ; Zhu, Yiying ; Feng, Lingbing ; Rao, Haicheng.
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  6. Forecasting stock volatility using pseudo-out-of-sample information. (2024). Gong, Xue ; Li, Xiaodan ; Huang, Jingjing ; Ge, Futing.
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  10. Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap.
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  12. The Asymmetric Effects of Extreme Climate Risk Perception on Coal Futures Return Dynamics: Evidence from Nonparametric Causality-In-Quantiles Tests. (2023). Gao, Wang ; Yang, Shixiong ; Wei, Jiajia.
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  13. Realized semi variance quantile connectedness between oil prices and stock market: Spillover from Russian-Ukraine clash. (2023). Tedeschi, Marco ; Mallek, Sabrine ; Tarczyska-Uniewska, Magorzata ; Si, Kamel ; Zhang, Anqi.
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  14. The role of higher moments in predicting Chinas oil futures volatility: Evidence from machine learning models. (2023). Niu, Zibo ; Zhao, Xinyi ; Gao, Wang ; Zhang, Hongwei.
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  15. Realized higher-order moments spillovers between commodity and stock markets: Evidence from China. (2023). Xu, Yahua ; Gao, Wang ; Zhang, Hongwei ; Bouri, Elie ; Jin, Chen.
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  17. Realized higher-order moments spillovers across cryptocurrencies. (2023). Apergis, Nicholas.
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  18. Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; Bai, LU ; He, Lidan ; Zhu, Haibin.
    In: Journal of Empirical Finance.
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  19. Volatility forecasting with machine learning and intraday commonality. (2023). Qian, Zhongmin ; Zhang, Yihuang ; Cucuringu, Mihai.
    In: Papers.
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  20. The effect of short selling on volatility and jumps. (2022). Treepongkaruna, Sirimon ; Wee, Marvin ; Foong, Glenn Kit ; Padungsaksawasdi, Chaiyuth.
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  21. Arbitrage constraints and behaviour of volatility components: Evidence from a natural experiment. (2022). Srivastava, Pranjal ; Jacob, Joshy.
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  22. A new measure of realized volatility: Inertial and reverse realized semivariance. (2022). Tao, Yunqing ; Luo, Xin ; Zou, Kai.
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  23. Can the Baidu Index predict realized volatility in the Chinese stock market?. (2021). Shen, Dehua ; Zhang, Wei ; Yan, Kai.
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  24. Spillovers and Asset Allocation. (2021). Hoang, Lai T ; Baur, Dirk G.
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  25. Harnessing the decomposed realized measures for volatility forecasting: Evidence from the US stock market. (2021). Wahab, M. I. M., ; Wang, Jiqian ; Ding, Hui ; Ma, Feng ; Lu, Botao.
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  26. Forecasting realised volatility: Does the LASSO approach outperform HAR?. (2021). Ding, YI ; Kambouroudis, Dimos ; McMillan, David G.
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  27. Asymmetric volatility spillover between oil-importing and oil-exporting countries economic policy uncertainty and Chinas energy sector. (2021). Wang, Ziwei ; Ma, Feng ; He, Feng ; Yang, Bohan.
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  28. Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2021). Hu, Junjie ; Hardle, Wolfgang Karl ; Kuo, Weiyu.
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  29. Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices. (2021). Nevrla, Matěj ; Baruník, Jozef.
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  30. Regime-Dependent Good and Bad Volatility of Bitcoin. (2020). Jha, Kislay Kumar ; Baur, Dirk G.
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  31. Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China. (2020). Li, Youwei ; Wang, Ziwei ; He, Feng.
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  32. Downside uncertainty shocks in the oil and gold markets. (2020). Xu, Yahua ; Roh, Tai-Yong ; Byun, Suk Joon.
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  33. Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence. (2020). Chevallier, Julien ; Huang, Yisu ; Wang, Jiqian ; Ma, Feng.
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  34. Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Liao, Yin ; Wang, LU ; Ma, Feng ; Mei, Dexiang.
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  35. Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Hu, Junjie ; Härdle, Wolfgang ; Kuo, Weiyu ; Hardle, Wolfgang Karl.
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  36. Dynamic asymmetric spillovers and volatility interdependence on China’s stock market. (2019). Chen, Yufeng ; Li, Wenqi ; Qu, Fang.
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  37. The volatility-volume relationship in the LME futures market for industrial metals. (2018). Clements, Adam ; Todorova, Neda.
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  38. Forecasting stock market volatility: Do realized skewness and kurtosis help?. (2017). Chen, Wang ; Liu, Jing ; Ma, Feng ; Mei, Dexiang.
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  39. Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition. (2017). Xu, Yahua ; DA FONSECA, José.
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  40. News, volatility and jumps: the case of natural gas futures. (2015). Borovkova, Svetlana ; Mahakena, Diego .
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  41. Measuring economic uncertainty using news-media textual data. (2015). Eckley, Peter.
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  42. The economic value of volatility timing with realized jumps. (2015). Nolte, Ingmar ; Xu, QI.
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  43. Volatility transmission in global financial markets. (2015). Hurn, Stan ; Clements, Adam ; Volkov, V. V..
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  45. Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling. (2012). Corsi, Fulvio.
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  48. News--Good or Bad--and Its Impact on Volatility Predictions over Multiple Horizons. (2011). Chen, Xilong ; Ghysels, Eric.
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  7. Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility. (2013). Das, Kuntal ; Shimatani, Takeshi ; Cheng, Ai-Ru.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:28:y:2013:i:c:p:87-98.

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  8. Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships. (2013). Jacquier, Eric ; Okou, Cedric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2013s-14.

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  9. Central Bank Intervention and Exchange Rate Volatility: Evidence from Japan Using Realized Volatility. (2013). Das, Kuntal ; Shimatani, Takeshi ; Cheng, Ai-Ru.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:13/19.

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  10. A reassessment of the risk-return tradeoff at the daily horizon. (2012). Sévi, Benoît ; Baena, Csar ; Svi, Benot.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00845.

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  11. Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes. (2012). Nagata, Shuichi.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00589.

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  12. Can Internet search queries help to predict stock market volatility?. (2011). Jank, Stephan ; Dimpfl, Thomas.
    In: University of Tübingen Working Papers in Business and Economics.
    RePEc:zbw:tuewef:18.

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  13. Can internet search queries help to predict stock market volatility?. (2011). Jank, Stephan ; Dimpfl, Thomas.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1115.

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  14. Volatility in Discrete and Continuous Time Models: A Survey with New Evidence on Large and Small Jumps. (2011). Swanson, Norman ; Duong, Diep.
    In: Departmental Working Papers.
    RePEc:rut:rutres:201117.

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  15. Brownian motion vs. pure-jump processes for individual stocks. (2011). Sévi, Benoît ; Baena, Csar ; Svi, Benot.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-11-00669.

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  16. Non-Gaussianity of the Intraday Returns Distribution: its evolution in time. (2011). Virasoro, M. A..
    In: Papers.
    RePEc:arx:papers:1112.0770.

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  17. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market. (2010). Maheu, John ; Liu, Chun.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-401.

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  18. Marginal likelihood calculation for gelfand-dey and Chib Method. (2010). Liu, Chun.
    In: MPRA Paper.
    RePEc:pra:mprapa:34928.

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  19. Modelling the convenience yield in carbon prices using daily and realized measures. (2010). Chevallier, Julien.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00463921.

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  20. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David ; Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2010_06.

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  21. Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Huang, Zhuo ; Hansen, Peter ; Shek, Howard Howan .
    In: CREATES Research Papers.
    RePEc:aah:create:2010-13.

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  22. Realising the future: forecasting with high frequency based volatility (HEAVY) models. (2009). Sheppard, Kevin ; Shephard, Neil.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:438.

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  23. Realising the future: forecasting with high frequency based volatility (HEAVY) models. (2009). Sheppard, Kevin ; Shephard, Neil.
    In: Economics Papers.
    RePEc:nuf:econwp:0903.

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  24. Localized Realized Volatility Modelling. (2009). Chen, Ying ; Hardle, Wolfgang ; Pigorsch, Uta.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2009-003.

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  25. On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00387286.

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  26. On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting. (2009). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
    In: Working Papers.
    RePEc:fem:femwpa:2009.113.

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  27. Announcements, financial operations or both? Generalizing central banks FX reaction functions. (2009). Gnabo, Jean-Yves ; Bernal, Oscar.
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:23:y:2009:i:4:p:367-394.

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  28. Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility. (2009). ulu, yasemin ; Schnabl, Gunther ; Hillebrand, Eric.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:19:y:2009:i:3:p:490-505.

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  29. Real-time effects of central bank intervention in the euro market. (2009). Fatum, Rasmus ; Pedersen, Jesper.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:78:y:2009:i:1:p:11-20.

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  30. Empirical evidence on jumps in the term structure of the US Treasury Market. (2009). Smith, L. Vanessa ; McKenzie, Michael ; Dungey, Mardi.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:430-445.

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  31. 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.

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  32. Long Memory and Tail dependence in Trading Volume and Volatility. (2009). Santucci de Magistris, Paolo ; Rossi, Eduardo.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-30.

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  33. Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-27.

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  34. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies. (2009). Tauchen, George ; Bollerslev, Tim ; Sizova, Natalia.
    In: CREATES Research Papers.
    RePEc:aah:create:2009-05.

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  35. Volatility forecasting: the jumps do matter. (2008). Renò, Roberto ; Corsi, Fulvio ; Reno, Roberto ; Pirino, Davide.
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:534.

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  36. Do high-frequency measures of volatility improve forecasts of return distributions?. (2008). McCurdy, Thomas ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-324.

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  37. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080011.

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  38. 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 Paper.
    RePEc:qed:wpaper:1181.

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  39. Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns. (2008). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per.
    In: Working Paper.
    RePEc:qed:wpaper:1173.

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

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  41. Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-48.

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

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

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  44. 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.

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  45. 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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  46. The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-03.

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

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  48. The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps. (2006). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Paper.
    RePEc:qed:wpaper:1188.

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  49. The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application. (2006). Frederiksen, Per H. ; Hog, Espen P..
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2006-01.

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  50. Forecasting Exchange Rate Volatility In The Presence Of Jumps. (2005). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Paper.
    RePEc:qed:wpaper:1187.

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