Chorro, Christophe; Ielpo, Florian; Sévi, Benoît The contribution of intraday jumps to forecasting the density of returns. (English) Zbl 1517.91211 J. Econ. Dyn. Control 113, Article ID 103853, 24 p. (2020). MSC: 91G15 60J74 62P05 PDFBibTeX XMLCite \textit{C. Chorro} et al., J. Econ. Dyn. Control 113, Article ID 103853, 24 p. (2020; Zbl 1517.91211) Full Text: DOI
Lian, Guanghua; Chiarella, Carl; Kalev, Petko S. Volatility swaps and volatility options on discretely sampled realized variance. (English) Zbl 1402.91800 J. Econ. Dyn. Control 47, 239-262 (2014). MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{G. Lian} et al., J. Econ. Dyn. Control 47, 239--262 (2014; Zbl 1402.91800) Full Text: DOI
Bali, Turan G.; Weinbaum, David A conditional extreme value volatility estimator based on high-frequency returns. (English) Zbl 1162.91521 J. Econ. Dyn. Control 31, No. 2, 361-397 (2007). MSC: 91B84 62M09 62M10 62P05 PDFBibTeX XMLCite \textit{T. G. Bali} and \textit{D. Weinbaum}, J. Econ. Dyn. Control 31, No. 2, 361--397 (2007; Zbl 1162.91521) Full Text: DOI