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Bond risk, bond return volatility, and the term structure of interest rates. (2012). Viceira, Luis.
In: International Journal of Forecasting.
RePEc:eee:intfor:v:28:y:2012:i:1:p:97-117.

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Cited: 47

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  1. Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. (2024). Xu, Yongdeng ; Lu, Wenna ; Heravi, Saeed ; Guan, BO.
    In: Energy Economics.
    RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004584.

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  2. Green bond and green stock in China: The role of economic and climate policy uncertainty. (2024). Cheung, Adrian (Wai-Kong) ; Wang, YU ; Yan, Wanlin.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001530.

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  3. Spillover dynamics effects between risk-neutral equity and Treasury volatilities. (2022). Rubio, Gonzalo ; Nieto, Belen ; Gonzalez-Urteaga, Ana.
    In: SERIEs: Journal of the Spanish Economic Association.
    RePEc:spr:series:v:13:y:2022:i:4:d:10.1007_s13209-022-00264-w.

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  4. Time-varying risk of nominal bonds: How important are macroeconomic shocks?. (2022). Ermolov, Andrey.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:145:y:2022:i:1:p:1-28.

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  5. Time-varying pricing of risk in sovereign bond futures returns. (2022). Malinska, Barbora.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004955.

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  6. Optimal time-consistent reinsurance and investment strategies for a jump–diffusion financial market without cash. (2022). Liang, Zhibin ; Zhang, Caibin.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001820.

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  7. Who’s behind the wheel? The role of social and media news in driving the stock–bond correlation. (2021). Alkhataybeh, Ahmad ; El-Nader, Ghaith ; al Rababaa, Abdel Razzaq ; Alomari, Mohammad.
    In: Review of Quantitative Finance and Accounting.
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  8. The US financial crisis, market volatility, credit risk and stock returns in the Americas. (2021). Mollick, Andre V ; Rodriguez-Nieto, Juan Andres.
    In: Financial Markets and Portfolio Management.
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  9. Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic. (2021). Zaremba, Adam ; Aharon, David Y ; Kizys, Renatas.
    In: Finance Research Letters.
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    In: The North American Journal of Economics and Finance.
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  11. The South African–United States sovereign bond spread and its association with macroeconomic fundamentals. (2021). Fedderke, Johannes.
    In: South African Journal of Economics.
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  12. The South African – United States Sovereign Bond Spread and its Association with Macroeconomic Fundamentals. (2020). Fedderke, Johannes W.
    In: Working Papers.
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  13. Flight-to-safety and the risk-return trade-off: European evidence. (2020). Savva, Christos ; Christiansen, Charlotte ; Aslanidis, Nektarios.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319305276.

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  14. Impact of US unconventional monetary policy on dynamic stock-bond correlations: Portfolio rebalancing and signalling channel effects. (2020). Gokmenoglu, Korhan ; al Al, Abobaker.
    In: Finance Research Letters.
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  15. Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach. (2020). Iania, Leonardo ; Allard, Anne-Florence ; Smedts, Kristien.
    In: International Review of Financial Analysis.
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  16. Term structure determinants of time‐varying risk of 1‐year bond returns. (2020). Khanapure, Revansiddha Basavaraj.
    In: The Financial Review.
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  17. Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav ; Barunik, Jozef.
    In: International Journal of Forecasting.
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  18. Cross-asset relations, correlations and economic implications. (2019). McMillan, David G.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:41:y:2019:i:c:p:60-78.

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  19. Predicting bond betas using macro-finance variables. (2019). Christiansen, Charlotte ; Cipollini, Andrea ; Aslanidis, Nektarios.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:29:y:2019:i:c:p:193-199.

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  20. Determinants of stock-bond market comovement in the Eurozone under model uncertainty. (2019). Skintzi, Vasiliki D.
    In: International Review of Financial Analysis.
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  21. Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav.
    In: Papers.
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  22. Flight to Safety from European Stock Markets. (2018). Christiansen, Charlotte ; Aslanidis, Nektarios.
    In: Working Papers.
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  23. Predicting Bond Betas using Macro-Finance Variables. (2018). cipollini, andrea ; Christiansen, Charlotte ; Aslanidis, Nektarios.
    In: Working Papers.
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  24. Global Portfolio Diversification for Long-Horizon Investors. (2018). Viceira, Luis ; Wang, Zixuan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:24646.

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  25. Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis. (2018). Lin, Fu-Lai ; Chen, Yu-Fen ; Marsh, Terry ; Yang, Sheng-Yung.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:55:y:2018:i:c:p:285-294.

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  26. Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy. (2018). Nitschka, Thomas.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:83:y:2018:i:c:p:44-54.

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  27. Time-consistent mean-variance portfolio selection with only risky assets. (2018). Pun, Chi Seng.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:75:y:2018:i:c:p:281-292.

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  28. Determinants of stock-bond market comovement in the Eurozone under model uncertainty. (2017). Skintzi, Vasiliki.
    In: MPRA Paper.
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  29. Confidence, bond risks, and equity returns. (2017). Zhao, Guihai.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:126:y:2017:i:3:p:668-688.

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  30. Market Timing under Limited Information: An Empirical Investigation in US Treasury Market. (2017). Tong, Guoshi.
    In: Annals of Economics and Finance.
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  31. Market Timing under Limited Information: An Empirical Investigation in US Treasury Market. (2017). Tong, Guoshi.
    In: Annals of Economics and Finance.
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  32. Flight to Safety from European Stock Markets. (2017). Christiansen, Charlotte ; Aslanidis, Nektarios.
    In: CREATES Research Papers.
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  33. Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks. (2016). Palomino, Francisco J ; Rica, E ; Hsu, Alex.
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  34. Do economic variables improve bond return volatility forecasts?. (2016). Chao, Shih-Wei .
    In: International Review of Economics & Finance.
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  35. Implications of Return Predictability across Horizons for Asset Pricing Models. (2016). Ortu, Fulvio ; Favero, Carlo ; Yang, Haoxi ; Tamoni, Andrea .
    In: CEPR Discussion Papers.
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  36. Trends in Stock-Bond Correlations. (2015). Okimoto, Tatsuyoshi ; Harumi, Ohmi ; Tatsuyoshi, Okimoto .
    In: Discussion papers.
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  37. Effects of macroeconomic uncertainty on the stock and bond markets. (2015). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:13:y:2015:i:c:p:10-16.

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  38. Consumption risk and the cross-section of government bond returns. (2015). Abhyankar, Abhay ; Lee, Soyeon ; Klinkowska, Olga .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:32:y:2015:i:c:p:180-200.

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  39. Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets. (2015). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun .
    In: CREATES Research Papers.
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  40. Macroeconomic Drivers of Bond and Equity Risks. (2014). Viceira, Luis ; Pflueger, Carolin ; Campbell, John.
    In: NBER Working Papers.
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  41. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Aijun .
    In: Working Papers.
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  42. Quantiles of the realized stock–bond correlation and links to the macroeconomy. (2014). Christiansen, Charlotte ; Aslanidis, Nektarios.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:28:y:2014:i:c:p:321-331.

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  43. Continuous-time mean–variance portfolio selection with only risky assets. (2014). Yao, Haixiang ; Li, Zhongfei ; Chen, Shumin.
    In: Economic Modelling.
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  44. Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun .
    In: CREATES Research Papers.
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  45. Bootstrapping realized multivariate volatility measures. (2013). Meddahi, Nour ; Goncalves, Silvia ; Dovonon, Prosper ; Gonalves, Silvia.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:172:y:2013:i:1:p:49-65.

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  46. Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects. (2012). Fricke, Christoph.
    In: Hannover Economic Papers (HEP).
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  47. Smooth transition patterns in the realized stock–bond correlation. (2012). Christiansen, Charlotte ; Aslanidis, Nektarios.
    In: Journal of Empirical Finance.
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    RePEc:pra:mprapa:64940.

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  6. Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments. (2015). Sasaki, Hiroshi.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:22:y:2015:i:2:p:151-184.

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  7. Private information flow and price discovery in the U.S. treasury market. (2014). Lo, Ingrid ; Jiang, George J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:47:y:2014:i:c:p:118-133.

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  8. Volatility forecasting using high frequency data: Evidence from stock markets. (2014). Ergin, Huseyin ; elik, Sibel .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:36:y:2014:i:c:p:176-190.

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  9. Analysis of Spin Financial Market by GARCH Model. (2014). Takaishi, Tetsuya.
    In: Papers.
    RePEc:arx:papers:1409.0118.

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  10. Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas. (2013). Supper, Hendrik ; Weiß, Gregor N. F., .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:9:p:3334-3350.

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  11. Nonparametric realized volatility estimation in the international equity markets. (2013). VORTELINOS, DIMITRIOS ; Thomakos, Dimitrios.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:28:y:2013:i:c:p:34-45.

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  12. Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility. (2013). Das, Kuntal ; Cheng, Ai-Ru ; Shimatani, Takeshi .
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:28:y:2013:i:c:p:87-98.

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

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  14. Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility. (2013). Feunou, Bruno ; Chang, Bo Young.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-37.

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  15. Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility. (2013). Baruník, Jozef ; Zikes, Filip.
    In: Papers.
    RePEc:arx:papers:1308.4276.

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  16. WHY IT IS OK TO USE THE HAR-RV(1,5,21) MODEL. (2012). Hillebrand, Eric ; Craioveanu, Mihaela .
    In: Working Papers.
    RePEc:umn:wpaper:1201.

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  17. Los rendimientos cambiarios latinoamericanos y la (a)simetría de los shocks informacionales: un análisis econométrico.. (2012). Ruiz-Porras, Antonio ; Lorenzo-Valdes, Arturo .
    In: Ensayos Revista de Economia.
    RePEc:ere:journl:v:xxxi:y:2012:i:2:p:87-113.

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  18. Varying the VaR for Unconditional and Conditional Environments. (2011). cotter, john.
    In: Working Papers.
    RePEc:ucd:wpaper:200419.

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  19. Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data. (2011). Matei, Marius.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2011:i:2:p:116-141.

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  20. Forecasting exchange rate volatility using high-frequency data: Is the euro different?. (2011). Chortareas, Georgios ; Jiang, Ying ; Nankervis, John. C., .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y:2011:i:4:p:1089-1107.

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  21. Correlations and spillovers among three euro rates: evidence using realised variance. (2010). Ruiz, Isabel ; Speight, Alan ; McMillan, David.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:16:y:2010:i:8:p:753-767.

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  22. 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.

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  23. Volatility Transmission in Emerging European Foreign Exchange Markets. (2010). Kočenda, Evžen ; Bubak, Vit ; Kocenda, Even ; Zikes, Filip.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3063.

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  24. Distribution and Dynamics of Central-European Exchange Rates: Evidence from Intraday Data. (2009). Bubak, Vit ; Ike, Filip.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:59:y:2009:i:4:p:334-359.

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  25. Granger causality in risk and detection of extreme risk spillover between financial markets. (2009). Hong, Yongmiao ; Wang, Shouyang ; Liu, Yanhui.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:2:p:271-287.

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  26. Quarterly beta forecasting: An evaluation. (2008). Reeves, Jonathan J. ; Hooper, Vincent J. ; Ng, Kevin.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:24:y:2008:i:3:p:480-489.

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  27. Along but beyond mean-variance : Utility maximization in a semimartingale model. (2008). Huhtala, Heli.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2008_005.

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  28. Forecasting Exchange Rate Volatility with High Frequency Data: Is the Euro Different?. (2007). Chortareas, Georgios ; Nankervis, John ; Jiang, Ying.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:79.

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  29. Dynamics of realized volatilities and correlations: An empirical study. (2006). Ferland, Rene ; Lalancette, Simon .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:7:p:2109-2130.

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  30. A new proxy of the average volatility of a basket of returns: A Monte Carlo study. (2006). Focker, Fulvia .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2006:i:15:p:1-14.

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  31. A new proxy of the average volatility of a basket of returns: A Monte Carlo study. (2006). Triacca, Umberto ; Focker, Fulvia .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-06c00005.

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  32. Practical volatility and correlation modeling for financial market risk management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200502.

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  33. Tail behaviour of the euro. (2005). cotter, john.
    In: Applied Economics.
    RePEc:taf:applec:v:37:y:2005:i:7:p:827-840.

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  34. Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange. (2005). Duchesne, Pierre ; Dionne, Georges ; Pacurar, Maria .
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:0533.

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  35. Realized Volatility in the Agricultural Futures Market. (2005). Wang, Yuanfang ; Roberts, Matthew .
    In: 2005 Annual meeting, July 24-27, Providence, RI.
    RePEc:ags:aaea05:19211.

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  36. A Framework for Exploring the Macroeconomic Determinants of Systematic Risk. (2005). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Wu, Jin.
    In: American Economic Review.
    RePEc:aea:aecrev:v:95:y:2005:i:2:p:398-404.

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  37. Varying the VaR for Unconditional and Conditional Environments,. (2004). cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3483.

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  38. Modelling daily Value-at-Risk using realized volatility and ARCH type models. (2004). Laurent, Sébastien ; Giot, Pierre.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398.

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  39. Test for Breaks in the Conditional Co-Movements of Asset Returns. (2003). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:3-2003.

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  40. Is volatility lognormal? Evidence from Italian futures. (2003). Renò, Roberto ; Reno, Roberto ; Rizza, Rosario .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:322:y:2003:i:c:p:620-628.

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  41. News announcements, market activity and volatility in the Euro/Dollar foreign exchange market. (2003). Bauwens, Luc ; ben Omrane, Walid.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2003029.

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  42. Parametric and Nonparametric Volatility Measurement. (2002). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:02-27.

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  43. Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. (2002). Bollerslev, Tim ; Forsberg, Lars.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:535-548.

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  44. Intra-Day Features of Realized Volatility: Evidence from an Emerging Market. (2002). Stengos, Thanasis ; SaltoÄŸlu, Burak ; Kayahan, Burc ; Saltoglu, Burak .
    In: International Journal of Business and Economics.
    RePEc:ijb:journl:v:1:y:2002:i:1:p:17-24.

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  45. A benchmark for measuring bias in estimated daily value at risk. (2002). Bollen, Bernard ; Moosa, Imad A..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:11:y:2002:i:1:p:85-100.

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  46. Estimating daily volatility in financial markets utilizing intraday data. (2002). Inder, Brett ; Bollen, Bernard.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:5:p:551-562.

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  47. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

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  48. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0104.

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  49. Integrated OU Processes. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0101.

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  50. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

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