|
2024
|
Optimal Inference for Spot Regressions
|
American Economic Review
|
S
|
3
|
|
2024
|
Optimal nonparametric range-based volatility estimation
|
Journal of Econometrics
|
A
|
3
|
|
2023
|
Reprint of: Generalized Autoregressive Conditional Heteroskedasticity
|
Journal of Econometrics
|
A
|
1
|
|
2023
|
The jump leverage risk premium
|
Journal of Financial Economics
|
A
|
2
|
|
2022
|
Equity clusters through the lens of realized semicorrelations
|
Economics Letters
|
C
|
3
|
|
2022
|
Occupation density estimation for noisy high-frequency data
|
Journal of Econometrics
|
A
|
3
|
|
2022
|
From zero to hero: Realized partial (co)variances
|
Journal of Econometrics
|
A
|
4
|
|
2022
|
Realized semibetas: Disentangling “good” and “bad” downside risks
|
Journal of Financial Economics
|
A
|
3
|
|
2021
|
Generalized Jump Regressions for Local Moments
|
Journal of Business & Economic Statistics
|
A
|
3
|
|
2021
|
Fixed‐k inference for volatility
|
Quantitative Economics
|
B
|
3
|
|
2020
|
Good Volatility, Bad Volatility, and the Cross Section of Stock Returns
|
Journal of Financial and Quantitative Analysis
|
B
|
3
|
|
2020
|
Multivariate leverage effects and realized semicovariance GARCH models
|
Journal of Econometrics
|
A
|
3
|
|
2020
|
Realized Semicovariances
|
Econometrica
|
S
|
4
|
|
2019
|
High-dimensional multivariate realized volatility estimation
|
Journal of Econometrics
|
A
|
3
|
|
2018
|
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
|
Journal of Econometrics
|
A
|
3
|
|
2018
|
Volume, Volatility, and Public News Announcements
|
Review of Economic Studies
|
S
|
3
|
|
2018
|
Risk Everywhere: Modeling and Managing Volatility
|
The Review of Financial Studies
|
A
|
4
|
|
2016
|
Exploiting the errors: A simple approach for improved volatility forecasting
|
Journal of Econometrics
|
A
|
3
|
|
2016
|
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns
|
Journal of Financial Economics
|
A
|
3
|
|
2016
|
Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions
|
Journal of Applied Econometrics
|
B
|
3
|
|
2015
|
Stock return and cash flow predictability: The role of volatility risk
|
Journal of Econometrics
|
A
|
3
|
|
2015
|
Tail risk premia and return predictability
|
Journal of Financial Economics
|
A
|
3
|
|
2014
|
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
|
Journal of Financial and Quantitative Analysis
|
B
|
4
|
|
2014
|
Time-varying jump tails
|
Journal of Econometrics
|
A
|
2
|
|
2013
|
Jump tails, extreme dependencies, and the distribution of stock returns
|
Journal of Econometrics
|
A
|
3
|
|
2013
|
Risk and return: Long-run relations, fractional cointegration, and return predictability
|
Journal of Financial Economics
|
A
|
4
|
|
2011
|
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
|
Journal of Econometrics
|
A
|
3
|
|
2011
|
Realized volatility forecasting and market microstructure noise
|
Journal of Econometrics
|
A
|
3
|
|
2011
|
Tails, Fears, and Risk Premia
|
Journal of Finance
|
A
|
2
|
|
2011
|
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
|
Journal of Econometrics
|
A
|
3
|
|
2011
|
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
|
Review of Finance
|
B
|
3
|
|
2010
|
Jumps and betas: A new framework for disentangling and estimating systematic risks
|
Journal of Econometrics
|
A
|
2
|
|
2009
|
A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects
|
Journal of Econometrics
|
A
|
4
|
|
2009
|
Expected Stock Returns and Variance Risk Premia
|
The Review of Financial Studies
|
A
|
3
|
|
2008
|
Risk, jumps, and diversification
|
Journal of Econometrics
|
A
|
3
|
|
2007
|
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
|
Journal of Econometrics
|
A
|
3
|
|
2007
|
Real-time price discovery in global stock, bond and foreign exchange markets
|
Journal of International Economics
|
A
|
4
|
|
2007
|
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
|
Review of Economics and Statistics
|
A
|
3
|
|
2006
|
Volatility puzzles: a simple framework for gauging return-volatility regressions
|
Journal of Econometrics
|
A
|
2
|
|
2005
|
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
|
American Economic Review
|
S
|
4
|
|
2004
|
Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65]
|
Journal of Econometrics
|
A
|
2
|
|
2003
|
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
|
American Economic Review
|
S
|
4
|
|
2002
|
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
|
Journal of Econometrics
|
A
|
2
|
|
2001
|
Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns
|
Journal of Finance
|
A
|
3
|
|
2001
|
The distribution of realized stock return volatility
|
Journal of Financial Economics
|
A
|
4
|
|
2001
|
Financial econometrics: Past developments and future challenges
|
Journal of Econometrics
|
A
|
1
|
|
2001
|
High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting
|
Review of Economics and Statistics
|
A
|
2
|
|
2000
|
The forward premium anomaly is not as bad as you think
|
Journal of International Money and Finance
|
B
|
2
|
|
2000
|
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
|
Journal of Econometrics
|
A
|
2
|
|
1999
|
Long-term equity anticipation securities and stock market volatility dynamics
|
Journal of Econometrics
|
A
|
2
|
|
1997
|
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns.
|
Journal of Finance
|
A
|
2
|
|
1997
|
Order flow and the bid-ask spread: An empirical probability model of screen-based trading
|
Journal of Economic Dynamics and Control
|
B
|
3
|
|
1996
|
Fractionally integrated generalized autoregressive conditional heteroskedasticity
|
Journal of Econometrics
|
A
|
3
|
|
1996
|
Modeling and pricing long memory in stock market volatility
|
Journal of Econometrics
|
A
|
2
|
|
1994
|
Cointegration, Fractional Cointegration, and Exchange Rate Dynamics.
|
Journal of Finance
|
A
|
2
|
|
1994
|
The long memory of the forward premium
|
Journal of International Money and Finance
|
B
|
2
|
|
1994
|
Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis
|
Journal of International Economics
|
A
|
2
|
|
1993
|
Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
|
Journal of International Money and Finance
|
B
|
3
|
|
1993
|
Trading Patterns and Prices in the Interbank Foreign Exchange Market.
|
Journal of Finance
|
A
|
2
|
|
1992
|
Prediction in dynamic models with time-dependent conditional variances
|
Journal of Econometrics
|
A
|
2
|
|
1992
|
ARCH modeling in finance : A review of the theory and empirical evidence
|
Journal of Econometrics
|
A
|
3
|
|
1991
|
Intra-Day and Inter-Market Volatility in Foreign Exchange Rates
|
Review of Economic Studies
|
S
|
2
|
|
1990
|
A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
|
Journal of International Money and Finance
|
B
|
2
|
|
1990
|
Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model.
|
Review of Economics and Statistics
|
A
|
1
|
|
1988
|
A Capital Asset Pricing Model with Time-Varying Covariances.
|
Journal of Political Economy
|
S
|
3
|
|
1987
|
A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return.
|
Review of Economics and Statistics
|
A
|
1
|
|
1986
|
Generalized autoregressive conditional heteroskedasticity
|
Journal of Econometrics
|
A
|
1
|
|
1985
|
A Note on the Relation between Consumers' Expenditure and Income in the United Kingdom.
|
Oxford Bulletin of Economics and Statistics
|
B
|
2
|