VIII- Références
Adrian, T. and J. Rosenberg (2008). Stock returns and
volatility: Pricing the short-run and long-run components of market risk.
Journal of Finance 63 (6), 2997-3030.
Ait-Sahalia, Y, and L. Mancini. 2008. «Out of sample
forecasts of quadratic variation.» Journal of Econometrics 147:
17-33.
Andersen, T.G., and T. Bollerslev. 1997.
«Heterogeneous information arrivals and return volatility dynamics:
Uncovering the long run in high frequency data.» Journal of Finance
52: 975-1005.
Andersen, T. G., T. Bollerslev, F. X. Diebold, and H. Ebens.
2001. «The distribution of stock returns volatilities.»
Journal of Financial Economics 61: 43-76.
Andersen, T, G., Dobrev, D and Schaumburg, E. 2010.
«Jump-Robust Volatility estimation using nearest
truncation». Federal Reserve Bank of New York Staff Reports. 38.
Alexander, C . 2008. «Market Analysis Vol1,
Quantitative Methods in Finance». John Wiley and Sons Inc. 320.
Bandi, F. and B. Perron 2008. «Long-run risk-return
trade-offs». Journal of Econometrics 143, 349-374.
Bandi, F and Russel, J. 2007. «Microstructure Noise,
Realized Variance, and Optimal Sampling».
Bollerslev, T., C. Gallant, U. Pigorsch, C. Pigorsch, and G.
Tauchen. 2006. «Statistical assessment of models for very high
frequency financial price dynamics». Unpublished Manuscript.
Bollerslev, T., G. Tauchen, and H. Zhou. 2008.
«Expected stock returns and variance risk premia». Review of
Financial Studies 22 (11), 4463-4492.
Casas, I. and J. Gao. 2008. «Econometric estimation
in long-range dependent volatility models: Theory and practice».
Journal of econometrics 147 (1), 72-83.
Corsi, F. 2005. «Measuring and Modelling Realized
Volatility: from tick-by-tick to long memory.» Ph. D. thesis, PhD in
Finance, University of Lugano.
Corsi, F. 2009. «A simple approximate long-memory
model of realized volatility». Journal of Financial Econometrics, Vol
7, No. 2,174-196.
Corsi, F, Pirino, D and Reno R. 2010. « Thershold
bipower variation and the impact of jumps on volatility forecasting».
Journal of Econometrics 159: 276-288.
34
Dacorogna, M. M., R. Genay, U. A. M· uller, R. B.
Olsen, and O. V. Pictet. 2001. «An Introduction to High-Frequency
Finance». San Diego, CA: Academic Press.
Corsi, F and Reno R. 2012. « Discrete-Time Volatility
forecasting with persistent leverage effect and the link with continuous-time
modeling». 31.
Granger, C. 1980. «Long memory relationships and the
aggregation of dynamic models.» Journal of Econometrics 14:
227-238.
Hamilton, J, D 1994. « Time series
Analysis». Princeton Universiti. 799.
Liu, L., Patton, A. J and Sheppard, K. 2012.» Does
anything beat 5 Minutes RV? A comparison of Realized Measures Across Milti
Asset Classes». Duke University and University of Oxford. 50.
Lynch, P., and G. Zumbach. 2003. «Market
heterogeneities and the causal structure of volatility.» Quantitative
Finance 3: 320-331.
Rossi, A., and G. Gallo. 2006. «Volatility estimation
via hidden Markov models.» Journal of Empirical Finance 13:
203-230.
Rossi, E. and F. Spazzini (2010). «Finite sample
results of range-based integrated volatility estimation». Working
Paper.
Tsay, R, S.. 2005. «Analysis of Financial Time
Series». John Wiley &Sons Inc. 638.
Visser, M. (2008). «Forecasting S&P 500 Daily
Volatility using a Proxy for Downward Price Pressure». Working
Paper.
Zhang, L., P. A. Mykland, and Y. A·ýt-Sahalia
(2005). «A tale of two time scales: Determining integrated volatility
with noisy high-frequency data». Journal of the American Statistical
Association 100, 1394-1411.
| 
