Predictive Inference for Integrated Volatility
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- Realized volatility forecasting and option pricing
- Predictive density estimators for daily volatility based on the use of realized measures
- Fixed-k inference for volatility
- Realized Volatility: A Review
- The Volatility of Realized Volatility
- Conditional quantile analysis for realized GARCH models
- Robust bootstrap forecast densities for GARCH returns and volatilities
- Testing for jump spillovers without testing for jumps
- International market links and volatility transmission
- Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation
- Realized volatility forecasting and market microstructure noise
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