Concepedia
Finance research letters · 2018 · 191 citations · 11 references
AgricultureEconomicsFinanceEnergy EconomicsEnergy PolicyForecastingCommodity Basis AnalysisCommodity HedgingCommodity Price DynamicsFutures MarketsNatural Gas Market EconomicsOil EconomicsCrude Oil MarketsFutures Price VolatilityOil Futures Markets
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Power and Bipower Variation with Stochastic Volatility and Jumps
Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2004 · 2.1K citations
Business, Finance, Probability Theory +15
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold · The Review of Economics and Statistics · 2007 · 1.5K citations
Business, Economics, Finance +17
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2005 · 1.4K citations
Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
Torben G. Andersen, Tim Bollerslev · The Journal of Finance · 1998 · 1.2K citations
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Thomas Busch, Bent Jesper Christensen, Morten Ørregaard Nielsen · Journal of Econometrics · 2010 · 318 citations