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The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices. (2005). Nielsen, Morten ; Christensen, Bent Jesper.
In: Working Paper.
RePEc:qed:wpaper:1186.

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Cites: 45

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  1. The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets. (2011). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:48-57.

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  2. THE ECONOMIC VALUE OF USING REALIZED VOLATILITY IN FORECASTING FUTURE IMPLIED VOLATILITY. (2009). Chan, Wing ; Jha, Ranjini ; Kalimipalli, Madhu.
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:32:y:2009:i:3:p:231-259.

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  3. 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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  4. The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market. (2006). Wilkens, Sascha ; Roder, Klaus.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:17:y:2006:i:1:p:50-74.

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  5. 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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  55. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
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  56. Detecting Mutiple Breaks in Financial Market Volatility Dynamics. (2001). Ghysels, Eric ; Andreou, Elena.
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  57. Nonlinear Features of Realized FX Volatility. (2001). McCurdy, Thomas ; Maheu, John.
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  60. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (2000). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7488.

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  61. When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data. (2000). Fang, Yue.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0843.

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  62. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results. (2000). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-19.

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  63. Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-29.

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  64. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think. (1999). Diebold, Francis ; Brandt, Michael ; Alizadeh, Sassan.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-28.

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  65. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-061.

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  66. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-060.

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  67. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

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