| A Simple Approximate Long-Memory Model of Realized Volatility | 2008/11/07 | English | 1,362 |
| Power and Bipower Variation with Stochastic Volatility and Jumps | 2004/12/01 | English | 1,161 |
| Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns | 2006/08/09 | English | 908 |
| Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation | 2005/08/19 | English | 750 |
| The Relative Contribution of Jumps to Total Price Variance | 2005/08/19 | English | 531 |
| Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* | 2018/01/01 | English | 505 |
| On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation | 2004/12/01 | English | 389 |
| Value-at-Risk Prediction: A Comparison of Alternative Strategies | 2005/08/19 | English | 322 |
| A New Approach to Markov-Switching GARCH Models | 2004/09/01 | English | 281 |
| Leverage and Volatility Feedback Effects in High-Frequency Data | 2006/05/17 | English | 267 |
| Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods | 2011/12/28 | English | 230 |
| Backtesting Value-at-Risk: A Duration-Based Approach | 2004/12/01 | English | 219 |
| The Price Impact of Order Book Events | 2013/06/07 | English | 199 |
| A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data | 2005/08/19 | English | 185 |
| How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes | 2004/12/01 | English | 183 |
| The Generalized Hyperbolic Skew Student's t-Distribution | 2006/03/27 | English | 177 |
| Why Do Absolute Returns Predict Volatility So Well? | 2006/11/18 | English | 173 |
| Risk Measures for Autocorrelated Hedge Fund Returns | 2014/08/14 | English | 173 |
| Estimating Value at Risk and Expected Shortfall Using Expectiles | 2007/12/13 | English | 144 |
| Modeling International Financial Returns with a Multivariate Regime-switching Copula | 2009/09/15 | English | 139 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades | 2007/12/13 | English | 135 |
| Testing for Predictability in Conditionally Heteroskedastic Stock Returns | 2014/02/13 | English | 121 |
| Mixed Normal Conditional Heteroskedasticity | 2004/03/01 | English | 120 |
| Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation | 2009/07/21 | English | 118 |
| Dynamics of Trade-by-Trade Price Movements: Decomposition and Models | 2003/03/01 | English | 115 |
| Comparison of Volatility Measures: a Risk Management Perspective | 2009/07/27 | English | 113 |
| Reexamining the Profitability of Technical Analysis with Data Snooping Checks | 2005/08/19 | English | 110 |
| Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns | 2006/03/27 | English | 108 |
| Estimating Shadow-Rate Term Structure Models with Near-Zero Yields | 2014/04/09 | English | 90 |
| Persistence and Kurtosis in GARCH and Stochastic Volatility Models | 2004/03/01 | English | 87 |