Andersen, T.G., T. Bollerslev, F.X. Diebold, and P. Labys (2003), Modeling and forecasting realized volatility, Econometrica, 71, 579-625 [OpenAIRE]
Andersen, T.G., T. Bollerslev, and F.X. Diebold (2007), Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility, Review of Economics and Statistics, 89(4), 701-20.
Andersen, T.G., T. Bollerslev, P. Frederiksen, and M. O. Nielsen (2010), Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns, Journal of Applied Econometrics, 25, 233-261
Backus, D.K. and A.W. Gregory (1993), Theoretical relations between risk premiums and conditional variances, Journal of Business and Economic Statistics, 11(2), 177-185 [OpenAIRE]
Barndorff-Nielsen, O.E., P.R. Hansen, A. Lunde and N. Shephard (2008), Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise, Econometrica, 76(6), 1481-1536 [OpenAIRE]
Barndorff-Nielsen, O.E. (1997), Normal inverse Gaussian distributions and stochastic volatility modelling, Scandinavian Journal of Statistics, 24(1), 1-12
Bollerslev, T., R.F. Engle, and D.B. Nelson (1994), ARCH Models, Handbook of Econometrics, Edited by R.R Engle and D.L. McFadden, Volume 4, Chapter 49
Bollerslev, T., D. Osterrieder, N. Sizova and G. Tauchen (2013), Risk and return: long-run relations, fractional cointegration and return predictability, Journal of Financial Economics, 108, 409-424 [OpenAIRE]
Corsi, F. (2009), A simple approximate long-memory model of realized volatility, Journal of Financial Econometrics, 7(2), 174-196.
Corsi, F., N. Fusari and D.L. Vecchia (2013), Realizing smiles: options pricing with realized volatility, Journal of Financial Economics, 107, 284-304.
Christensen, B.J. and M.Ø. Nielsen (2007), The effect of long memory in volatility on stock market fluctuations, Review of Economics and Statistics, 89, 684-700.
Christoffersen, P. K. Jacobs and C. Ornthanalai (2012), Dynamic jump intensities and risk premium: evidence from S&P500 returns and options, Journal of Financial Economics, 106, 447-472. [OpenAIRE]