| Title | Authors | Year | JEL Codes |
|---|
| Text-Based Linkages and Local Risk Spillovers in the Equity Market | Ge, S. | [2020] | C33 C58 G10 G12 |
| A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model | Ge, S. | [2020] | C10 C58 F36 G12 G15 |
| Weak Diffusion Limit of Real-Time GARCH Models: The Role of Current Return Information | Ding, Y. | [2020] | C22 C32 C58 |
| Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data | Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H. | [2019] | C13 C14 C55 C58 |
| Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case | Hafner, C., Linton, O., Tang, H. | [2018] | C55 C58 G11 |
| Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff | Hong, S-Y., Linton, O. | [2018] | C10 C58 G10 |
| Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure | Lloyd, S. P. | [2017] | C32 C58 E43 E47 G12 |
| A Semiparametric Intraday GARCH Model | Malec, P. | [2016] | C14 C22 C53 C58 |
| Asymptotic Theory for Beta-t-GARCH | Ito, R. | [2016] | C22 C58 |
| Spline-DCS for Forecasting Trade Volume in High-Frequency Finance | Ito, R. | [2016] | C22 C51 C53 C58 G12 |
| Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence | Bibinger, M., Hautsch, N., Malec , P. and Reiss, M. | [2014] | C58 C14 C32 |
| A multiple testing approach to the regularisation of large sample correlation matrices | Bailey , N., Smith, V. and Pesaran, H. | [2014] | C13,C58 |
| Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data | Ito, R. | [2013] | C22 C51 C53 C58 G01 G12 |
