"Granular Betas and Risk Premium Functions"
(with Andrew J. Patton and Rogier Quaedvlieg), "Supplemental Appendix."
"News and Asset Pricing: A High-Frequency Anatomy of the SDF"
(with Saketh Aleti), "Supplemental Appendix."
"Intraday Market Return Predictability Culled from the Factor Zoo"
(with Saketh Aleti and Mathias Siggaard), "Supplemental Appendix."
"Forecasting and Managing Correlation Risks"
(with Sophia Zhengzi Li and Yushan Tang).
"Optimal Inference for Spot Regressions"
(with Jia Li and Yuexuan Ren), "Supplemental Appendix,"
American Economic Review, forthcoming.
"Optimal Nonparametric Range-Based Volatility Estimation"
(with Jia Li and Qiyuan Li), "Supplemental Appendix,"
Journal of Econometrics, forthcoming.
"The Jump Leverage Risk Premium"
(with Viktor Todorov), Journal of Financial Economics, Vol.150, No.3, Article No.103723,
pp.1-20. "Realized Semi(Co)Variation: Signs that All Volatilities are Not Created Equal"
(2021 SoFiE Presidential Address), Journal of Financial Econometrics, Vol.20, No.2, pp.219-252. "Realized Semibetas: Disentangling 'Good' and 'Bad' Downside Risks"
(with Andrew J. Patton and Rogier Quaedvlieg), "Supplemental Appendix,"
Journal of Financial Economics, Vol.144, No.1, pp.227-246. "From Zero to Hero: Realized Partial (Co)Variances"
(with Marcelo C. Medeiros, Andrew J. Patton and Rogier Quaedvlieg), "Supplemental Appendix,"
Journal of Econometrics, Vol.231, No.2, pp.348-360. "Equity Clusters through the Lens of Realized Semicorrelations"
(with Andrew J. Patton and Haozhe Zhang), Economics Letters, Vol.211, Article No.110245,
pp.1-5. "Occupation Density Estimation for Noisy
High-Frequency Data" (with Jia Li and Congshan Zhang), Journal
of Econometrics, Vol.227, No.1, pp.189-211. "Fixed-k Inference for Volatility"
(with Jia Li and Zhipeng Liao), "Supplemental Appendix," Quantitative Economics, Vol.12, No.4,
pp.1053-1084. "Generalized Jump Regressions for Local
Moments" (with Jia Li and and Leonardo Salim Saker Chaves), "Supplemental Appendix," Journal of Business and Economic Statistics, Vol.39, No.4,
pp.1015-1025. "Realized Semicovariances" (with Jia Li, Andrew J. Patton and Rogier Quaedvlieg), "Supplemental Appendix," Econometrica, Vol.88, No.4,
pp.1515-1551. "High-Dimensional Multivariate Realized
Volatility Estimation" (with Nour Meddahi and Serge Nyawa), "Supplemental Appendix," Journal of Econometrics, Vol.210, No.1,
pp.116-136. "Volume, Volatility and Public News
Announcements" (with Jia Li and Yuan Xue), "Supplemental Appendix," Review of Economic Studies, Vol.85, No.4,
pp.2005-2041. "Roughing up Beta: Continuous vs.
Discontinuous Betas and the Cross-Section of Expected Stock Returns"
(with Sophia Zhengzi Li and Viktor Todorov), Journal
of Financial Economics, Vol.120, pp.464-490. "Tail Risk Premia and Return Predictability"
(with Viktor Todorov and Lai Xu), "Supplemental Appendix," Journal of Financial Economics, Vol.118,
pp.113-134. "Time-Varying Jump Tails" (with
Viktor Todorov), Journal of Econometrics,
Vol.183, No.2, pp.168-180. "Jump Tails, Extreme Dependencies, and the
Distribution of Stock Returns" (with Viktor Todorov and Sophia Zhengzi
Li), Journal of Econometrics, Vol.172,
No.2, pp.307-324. "Estimation of Jump Tails" (with
Viktor Todorov), Econometrica, Vol.79,
No.6, pp.1727-1783. "Jumps and Betas: A New Framework for
Disentangling and Estimating Systematic Risks" (with Viktor Todorov), Journal of Econometrics, Vol.157, No.2,
pp.220-235. "Expected Stock Returns and Variance Risk
Premia" (with George Tauchen and Hao Zhou), Review of Financial Studies, Vol.22, No.11, pp.4463-4492,
2009. "Real-Time Price Discovery in Stock, Bond
and Foreign Exchange Markets" (with Torben G. Andersen, Francis X.
Diebold, and Clara Vega), Journal of International
Economics, Vol.73, pp.251-277. "Leverage and Volatility Feedback Effects in
High-Frequency Data" (with Julia Litvinova and George Tauchen), Journal of Financial Econometrics, Vol.4, No.3,
pp.353-384. "A Framework for Exploring the Macroeconomic
Determinants of Systematic Risk" (with Torben G. Andersen, Francis X.
Diebold and Ginger Wu), American Economic Review,
Vol.95, No.2, pp.398-404. "Modeling and Forecasting Realized
Volatility" (with Torben G. Andersen, Francis X. Diebold, and Paul
Labys), Econometrica, Vol.71, No.2,
pp.579-625. "Estimating Stochastic Volatility Diffusions
Using Conditional Moments of Integrated Volatility" (with Hao Zhou), Journal of Econometrics, Vol.109, pp.33-65, and
"Corrigendum," Vol.119, pp.221. "The Distribution of Realized Exchange Rate
Volatility" (with Torben G. Andersen, Francis X. Diebold, and Paul
Labys), Journal of the American Statistical
Association, Vol.96, pp.42-55. "Semiparametric Estimation of Long-Memory
Volatility Dependencies: The Role of High-Frequency Data" (with
Jonathan H. Wright), Journal of Econometrics,
Vol.98, No.1, pp.81-106. "Long-Term Equity AnticiPation Securities
and Stock Market Volatility Dynamics" (with Hans O. Mikkelsen), Journal of Econometrics, Vol.92, No.1, pp.75-99.
"Answering the Skeptics: Yes, Standard
Volatility Models do Provide Accurate Forecasts" (with Torben G.
Andersen), International Economic Review,
Vol.39, No.4, pp.885-905. "Heterogeneous Information Arrivals and Return
Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns"
(with Torben G. Andersen), Journal of Finance,
Vol.52, No.3, pp.975-1005. "Fractionally Integrated Generalized
Autoregressive Conditional Heteroskedasticity" (with Richard T.
Baillie and Hans O. Mikkelsen), Journal of
Econometrics, Vol.74, pp.3-30. "Financial Market Efficiency Tests"
(with Robert J. Hodrick), in Handbook of Applied
Econometrics, Vol.I (eds. M. Hashem Pesaran and Michael Wickens),
Chapter 9, pp.415-458. London: Basil Blackwell. "Cointegration, Fractional Cointegration,
and Exchange Rate Dynamics" (with Richard T. Baillie), Journal of Finance, Vol.49, No.2, pp.737-745.
"Common Persistence in Conditional Variances"
(with Robert F. Engle), Econometrica, Vol.61,
No.1, pp.167-186. "ARCH Modeling in Finance: A Review of the
Theory and Empirical Evidence" (with Ray Y. Chou and Kenneth F.
Kroner), Journal of Econometrics,
Vol.52, No.1, pp.5-59. "Intra Day and Inter Market Volatility in
Foreign Exchange Rates" (with Richard T. Baillie), Review of Economic Studies, Vol.58, pp.565-585.
"Modelling the Coherence in Short Run
Nominal Exchange Rates: A Multivariate Generalized ARCH Model," Review of Economics and Statistics, Vol.72,
No.3, pp.498-505. "Common Stochastic Trends in a System of
Exchange Rates" (with Richard T. Baillie), Journal
of Finance, Vol.44, No.1, pp.167-181. "A Capital Asset Pricing Model with Time
Varying Covariances" (with Robert F. Engle and Jeffrey M. Wooldridge),
Journal of Political Economy, Vol.96, No.1,
pp.116-131. "Generalized Autoregressive Conditional
Heteroskedasticity," Journal of
Econometrics, Vol.31, pp.307-327.
2022
2021
2020
2019
2018
"Risk Everywhere: Modeling and Managing
Volatility" (with Benjamin Hood, John Huss and Lasse Heje Pedersen), "Supplemental Appendix," Review of Financial Studies, Vol.31, No.7,
pp.2730-2773.
"Modeling and Forecasting (Un)Reliable
Realized Covariances for More Reliable Financial Decisions" (with
Andrew J. Patton and Rogier Quaedvlieg), Journal
of Econometrics, Vol.207, No.1, pp.71-91.
Volatility: The International Library of
Critcal Writings in Economics (ed. with Torben G. Andersen), Edward Elgar
Publishing Ltd., Cheltenham, U.K., "Table of Contents" and "Introduction." 2016
"Daily House Price Indices: Construction,
Modeling, and Longer-Run Predictions" (with Andrew J. Patton and
Wenjing Wang), Journal of Applied Econometrics,
Vol.31, pp.1005-1025.
"Exploiting the Errors: A Simple Approach
for Improved Volatility Forecasting" (with Andrew J. Patton and Rogier
Quaedvlieg), "Supplemental Appendix," Journal of Econometrics, Vol.192, No.1, pp.1-18.
Zipfile with Matlab code and data for replicating results and computing
corrected tables. 2015
"Stock Return and Cash Flow Predictability:
The Role of Volatility Risk" (with Lai Xu and Hao Zhou), "Supplemental Appendix," Journal of Econometrics, Vol.187, No.2,
pp.458-471. 2014
"Stock Return Predictability and Variance
Risk Premia: Statistical Inference and International Evidence" (with
James Marrone, Lai Xu and Hao Zhou), Journal of Financial and Quantitative Analysis,
Vol.49, No.3, pp.633-661. 2013
"Risk and Return: Long-Run Relationships,
Fractional Cointegration, and Return Predictability" (with Daniela
Osterrieder, Natalia Sizova and George Tauchen), Journal
of Financial Economics, Vol.108, No.2, pp.409-424.
"Financial Risk Measurement for Financial
Risk Management" (with Torben G. Andersen, Peter F. Christoffersen and
Francis X. Diebold), in Handbook of the Economics
of Finance, Vol.II (eds. George Constanides, Milton Harris and Rene
Stulz), Chapter 17, pp.1127-1220. Amsterdam: Elsevier Science B.V. 2012
2011
"Tails, Fears, and Risk Premia"
(with Viktor Todorov), Journal of Finance,
Vol.66, No.6, pp.2165-2221. Supplementary
Appendix.
"A Reduced Form Framework for Modeling
Volatility of Speculative Prices based on Realized Variation Measures"
(with Torben G. Andersen and Xin Huang), Journal
of Econometrics, Vol.160, No.1, pp.176-189.
"Realized Volatility Forecasting and Market
Microstructure Noise" (with Torben G. Andersen and Nour Meddahi), Journal of Econometrics, Vol.160, No.1,
pp.220-234.
"Dynamic Estimation of Volatility Risk
Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities"
(with Michael Gibson and Hao Zhou), Journal of
Econometrics, Vol.160, No.1, pp.235-245.
"Periodicity, Non-Stationarity, and
Forecasting of Economic and Financial Time Series: Editors Introduction"
(with Bent Jesper Christensen, Niels Haldrup and Asger Lunde), Journal of Time Series Econometrics, Vol.3,
No.1, pp.1-7. 2010
"Continuous-Time Models, Realized
Volatilities, and Testable Distributional Implications for Daily Stock Returns"
(with Torben G. Andersen, Per H. Frederiksen and Morten X. Nielsen), Journal of Applied Econometrics, Vol.25, No.2,
pp.233-261.
"Parametric and Nonparametric Volatility
Measurement" (with Torben G. Andersen and Francis X. Diebold), in Handbook of Financial Econometrics (eds. Yacine
Aot-Sahalia and Lars P. Hansen). Chapter 2, pp.67-128. Amsterdam: Elsevier
Science B.V.
Volatility and Time Series Econometrics: Essays in Honor of
Robert F. Engle (ed. with Jeffrey R. Russell and Mark W. Watson).
Oxford, UK: Oxford University Press.
"Glossary to ARCH (GARCH)" in Volatility and Time Series Econometrics: Essays in Honor of
Robert F. Engle (eds. Tim Bollerslev, Jeffrey R. Russell and Mark W.
Watson), Chapter 8, pp.137-163. Oxford: Oxford University Press. 2009
"A Discrete-Time Model for Daily S&P 500
Returns and Realized Variations: Jumps and Leverage Effects" (with Uta
Kretschmer, Christian Pigorsch and George Tauchen), Journal
of Econometrics, Vol.150, pp.151-166. 2008
2007
"Roughing it Up: Disentangling Continuous
and Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility"
(with Torben G. Andersen and Francis X. Diebold), Review
of Economics and Statistics, Vol.89, No.4, pp.701-720.
"Investor Attention and Time-Varying
Comovements" (with Lin Peng and Wei Xiong), European Financial Management, Vol.13, No.3, pp.394-422.
"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" (with
Torben G. Andersen and Dobrislav Dobrev), Journal
of Econometrics, Vol.138, No.1, pp.125-180. 2006
"Volatility Puzzles: A Simple Framework for
Gauging Return-Volatility Regressions" (with Hao Zhou), Journal of Econometrics, Vol.131, No.1,
pp.123-150.
"Comment on Realized Variance and Market
Microstructure Noise" (with Torben G. Andersen, Per H. Frederiksen and
Morten X. Nielsen), Journal of Business and
Economic Statistics, Vol.24, pp.173-179.
"Volatility and Correlation Forecasting"
(with Torben G. Andersen, Peter Christoffersen and Francis X. Diebold), in Handbook of Economic Forecasting (eds. Graham
Elliott, Clive W.J. Granger and Allan Timmermann), Chapter 15, pp.777-878.
Amsterdam: Elsevier Science B.V.
"Practical Volatility and Correlation
Modeling for Financial Market Risk Management" (with Torben G. Andersen,
Peter Christoffersen, and Francis X. Diebold), in Risks
of Financial Institutions and the Financial Sector (eds. Rene Stulz
and Mark Carey), Chapter 11, pp.513-544. Chicago: University of Chicago Press.
"Realized Beta: Persistence and
Predictability" (with Torben G. Andersen, Francis X. Diebold, and
Ginger Wu), in Advances in Econometrics:
Econometric Analysis of Economic and Financial Time Series, Vol.20
(eds. Thomas B. Fomby and Dek Terrell), pp.1-40. Amsterdam: Elsevier Science
B.V. 2005
"Correcting the Errors: Volatility Forecast
Evaluation using High-Frequency Data and Realized Volatilities" (with
Torben G. Andersen and Nour Meddahi), Econometrica,
Vol.73, No.1, pp.279-296. 2004
2003
"Micro Effects of Macro Announcements:
Real-Time Price Discovery in Foreign Exchange" (with Torben G. Andersen,
Francis X. Diebold, and Clara Vega), American
Economic Review, Vol.93, No.1, pp.38-62. 2002
"Bridging the Gap Between the Distribution
of Realized (ECU) Volatility and ARCH Modeling (of the Euro): The GARCH-NIG
Model" (with Lars E. Forsberg), Journal
of Applied Econometrics, Vol.17, pp.535-548. 2001
"The Distribution of Realized Stock Return
Volatility" (with Torben G. Andersen, Francis X. Diebold, and Heiko
Ebens), Journal of Financial Economics,
Vol.61, pp.43-76.
"Variance-Ratio Statistics and
High-Frequency Data: Testing for Changes in Intraday Volatility Patterns"
(with Torben G. Andersen and Ashish Das), Journal
of Finance, Vol. 56, No.1, pp.305-327.
"Volatility Forecasting, High-Frequency
Data, and Frequency Domain Inference" (with Jonathan H. Wright), Review of Economics and Statistics, Vol.83,
pp.596-602.
"Financial Econometrics: Past Developments
and Future Challenges," Journal of
Econometrics, Vol.100, No.1, pp.41-51. 2000
"The Forward Premium Anomaly is Not as Bad
as You Think" (with Richard T. Baillie), Journal
of International Money and Finance, Vol.19, No.4, pp.471-488.
"Intraday and Interday Volatility in the
Japanese Stock Market" (with Torben G. Andersen and Jun Cai), Journal of International Financial Markets, Institutions
& Money, Vol.10, No.2, pp.107-130.
"Intraday Periodicity, Long-Memory
Volatility, and Macroeconomic Announcement Effects in the U.S. Treasury Bond
Market" (with Jun Cai and Frank M. Song), Journal
of Empirical Finance, Vol.7, No.1, pp.37-55.
"Exchange Rate Returns Standardized by
Realized Volatility are (Nearly) Gaussian" (with Torben G. Andersen,
Francis X. Diebold, and Paul Labys), Multinational
Finance Journal, Vol.4, No.3&4, pp.159-179.
"Great Realizations" (with Torben
G. Andersen, Francis X. Diebold, and Paul Labys), Risk,
Vol.13, pp.105-108. 1999
"Forecasting Financial Market Volatility:
Sample Frequency vis-a-vis Forecast Horizon" (with Torben G. Andersen
and Steve Lange), Journal of Empirical Finance,
Vol.6, No.5, pp.457-477.
"Equity Trading Volume and Volatility:
Latent Information Arrivals and Common Long-Run Dependencies" (with
Peter D. Jubinski), Journal of Business and
Economic Statistics, Vol.17, No.1, pp.9-21. 1998
"DM-Dollar Volatility: Intraday Activity
Patterns, Macroeconomic Announcements, and Longer-Run Dependencies"
(with Torben G. Andersen), Journal of Finance,
Vol.53, No.1, pp.219-265.
"Towards a Unified Framework for High- and
Low-Frequency Return Volatility Modeling" (with Torben G. Andersen), Statistica Neerlandica, Vol.52, No.3,
pp.273-302.
"ARCH and GARCH Models" (with
Torben G. Andersen), in Encyclopedia of
Statistical Sciences Vol.II (eds. Samuel Kotz, Campbell B. Read and
David L. Banks), pp.6-16. New York: John Wiley and Sons Inc. 1997
"Order Flow and the Bid-Ask Spread: An
Empirical Probability Model of Screen-Based Trading" (with Ian
Domowitz and Jianxin Wang), Journal of Economic
Dynamics and Control, Vol.21, pp.1471-1491.
"Intraday Periodicity and Volatility
Persistence in Financial Markets" (with Torben G. Andersen), Journal of Empirical Finance, Vol.4, No.2-3,
pp.115-158. 1996
"Modeling and Pricing Long-Memory in Stock
Market Volatility " (with Hans O. Mikkelsen), Journal of Econometrics, Vol.73, No.1,
pp.151-184.
"Periodic Autoregressive Conditional
Heteroskedasticity" (with Eric Ghysels), Journal
of Business and Economic Statistics, Vol.14, No.2, pp.139-151. 1995
"On the Interdependence of International
Asset Markets " (with Richard T. Baillie), in Global Portfolio Diversification: Risk Management, Market
Microstructure, and Implementation Issues (eds. Raj Aggarwal and
David C. Schirm), Chapter 2, pp.19-29. Orlando, Florida: Academic Press.
"Dan Nelson Remembered" (with Peter
E. Rossi), Journal of Business and Economic
Statistics, Vol.13, No.4, pp.361-364. 1994
"Bid-Ask Spreads and Volatility in the
Foreign Exchange Market: An Empirical Analysis" (with Michael Melvin),
Journal of International Economics,
Vol.36, No.3/4, pp.355-372.
"The Long-Memory of the Forward Premium"
(with Richard T. Baillie), Journal of International
Money and Finance, Vol.13, No.5, pp.565-571.
"ARCH Models" (with Robert F. Engle
and Daniel B. Nelson), in Handbook of Econometrics,
Vol.IV (eds. Robert F. Engle and Daniel McFadden), Chapter 49, pp.2959-3038.
Amsterdam: Elsevier Science B.V. 1993
"Trading Patterns and Prices in the
Interbank Foreign Exchange Market" (with Ian Domowitz), Journal of Finance, Vol.48, No.4, pp.1421-1443.
"Bear Squeezes, Volatility Spillovers, and
Speculative Attacks in the Hyperinflation 1920's Foreign Exchange"
(with Richard T. Baillie and Michael Redfearn), Journal
of International Money and Finance, Vol.12, No.5, pp.511-521.
"Some Effects of Restricting the Electronic
Order Book in an Automated Trade Execution System" (with Ian
Domowitz), in The Double Auction Market: Institutions,
Theories, and Evidence (eds. Daniel Friedman and John Rust), Chapter
8, pp.221-252. Reading, Massachusetts: Addison-Wesley Publishing Company. 1992
"Quasi-Maximum Likelihood Estimation and
Inference in Dynamic Models with Time Varying Covariances" (with
Jeffrey M. Wooldridge), Econometric Reviews,
Vol.11, No.2, pp.143-172.
"Prediction in Dynamic Models with Time
Dependent Conditional Variances" (with Richard T. Baillie), Journal of Econometrics, Vol.52, No.1,
pp.91-113.
"Nominal Exchange Rates" (with
Richard T. Baillie), in The New Palgrave
Dictionary of Money and Finance (ed. Peter Newman), pp.37-39.
London: MacMillan Press Limited. 1991
"Price Volatility, Spread Variability and
the Role of Alternative Market Mechanisms" (with Ian Domowitz), Review of Futures Markets, Vol.10, No.1,
pp.78-102.
"Les Modhles ARCH en Finance: Un Point sur
la Thiorie et les Risultats Empiriques" (with Ray Y. Chou, Narayanan
Jayaraman and Kenneth F. Kroner), Annales
D'Iconomie et de Statistique, No.24, pp.1-59. 1990
"A Multivariate Generalized ARCH Approach to
Modeling Risk Premia in Forward Foreign Exchange Markets" (with
Richard T. Baillie), Journal of International
Money and Finance, Vol.9, pp.309-324. 1989
"The Message in Daily Exchange Rates: A
Conditional Variance Tale" (with Richard T. Baillie), Journal of Business and Economic Statistics, Vol.7,
No.3, pp.297-305. 1988
"On the Correlation Structure for the
Generalized Autoregressive Conditional Heteroskedastic Process," Journal of Time Series Analysis, Vol.9, No.2,
pp.121-131. 1987
1986
"Modelling the Persistence of Conditional
Variances" (with Robert F. Engle), Econometric
Reviews, Vol.5, No.1, pp.1-50 and pp.81-87. 1985