1 이재득, "환율의 연속적 파워변동성 분포와 이산적 점프 및 미시적 시장교란 효과의 비모수 추정" 한국금융학회 25 (25): 57-97, 2011
2 Bollerslev, T, "Volatility Asymmetry in High Frequency Data" Duke University 2005
3 Bandorf-Nielsen Ole E, "Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics" Nuffield College, Oxford University 2005
4 Johannes, M.S, "The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models" 59 : 227-260, 2004
5 Eraker, B, "The Impact of Jumps in Volatility and Returns" 58 : 1269-1300, 2003
6 Andersen, Torben G, "The Distribution of Realized Exchange Rate Volatility" 96 : 42-55, 2001
7 Shephard, Neil, "Stochastic Volatility: Selected Readings" Oxford University Press 2005
8 Andersen, Torben G, "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility" Duke University 2004
9 Andersen, Torben G, "Roughing it up: including Jump Components in the Measurement, Modelling and Forecasting of Return Volatility" 89 (89): 701-720, 2007
10 Bandorf-Nielsen Ole E, "Power and Bipower Variation with Stochastic Volatility and Jumps" 2 : 1-37, 2004
1 이재득, "환율의 연속적 파워변동성 분포와 이산적 점프 및 미시적 시장교란 효과의 비모수 추정" 한국금융학회 25 (25): 57-97, 2011
2 Bollerslev, T, "Volatility Asymmetry in High Frequency Data" Duke University 2005
3 Bandorf-Nielsen Ole E, "Variation, Jumps, Market Frictions and High Frequency Data in Financial Econometrics" Nuffield College, Oxford University 2005
4 Johannes, M.S, "The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models" 59 : 227-260, 2004
5 Eraker, B, "The Impact of Jumps in Volatility and Returns" 58 : 1269-1300, 2003
6 Andersen, Torben G, "The Distribution of Realized Exchange Rate Volatility" 96 : 42-55, 2001
7 Shephard, Neil, "Stochastic Volatility: Selected Readings" Oxford University Press 2005
8 Andersen, Torben G, "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility" Duke University 2004
9 Andersen, Torben G, "Roughing it up: including Jump Components in the Measurement, Modelling and Forecasting of Return Volatility" 89 (89): 701-720, 2007
10 Bandorf-Nielsen Ole E, "Power and Bipower Variation with Stochastic Volatility and Jumps" 2 : 1-37, 2004
11 Andersen, Torben G, "Parametric and Nonparametric Volatility Measurement, in Handbook of Financial Econometrics" North Holland 2002
12 Bandorf-Nielsen Ole E, "Non-Gaussian Ornstein-Uhlenbeck-Based Models and Some of Their Uses in Financial Economics" 63 : 167-241, 2001
13 Andersen, Torben G, "Modeling and Forecasting Realized Volatility" 71 : 579-625, 2003
14 Andersen, Torben G, "Micro Effects of Macro Announcements: Real Time Price Discovery in Foreign Exchange" 93 : 38-62, 2003
15 Bandorf-Nielsen Ole E, "Measuring the Impact of Jumps on Multivariate Price Processed Using Bipower Variation" Nuffield College, Oxford University 2004
16 Andersen, T. G, "Jump-robust volatility Estimation using Nearest Neighbor Truncation" Kellogg School of Management, Northwestern University 2008
17 Bandorf-Nielsen Ole E, "How Accurate is the Asymptotic Approximation to the Distribution of Realized Volatility, in Identification and Inference for Econometric Models. Essays in Honor of Thomas Rothenberg" Cambridge University Press 2005
18 Bandorf-Nielsen Ole E., "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation" 4 : 2006
19 Eraker, B, "Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices" 59 : 1367-1403, 2004
20 Andersen, Torben G, "Deutschemark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies" 53 : 219-265, 1998
21 Andersen, Torben G, "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts" 39 : 885-905, 1998
22 Chernov, Mikhail, "Alternative Models for Stock Price Dynamics" 116 : 225-257, 2003