“Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise” (with U. Hounyo and S. Gonçalves), Econometric Theory, 2017, 33, 791-838.
“The Long and the Short of the Risk-Return Trade-Off” (with Marco Bonomo, René Garcia, and Roméo Tédongap), Journal of Econometrics, 2015, 187, 580-592. Online Appendix.
“Bootstrap Inference for Pre-Averaged Realized Volatility based on Non-Overlapping Returns” (with S. Gonçalves and U. Hounyo), Journal of Financial Econometrics, 2014, 12, 679-707.
``The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation’’ (with P. Christoffersen, B. Feunou, and K. Jacobs), Journal of Financial and Quantitative Analysis, 2014, 49, 663-697.
``Bootsrapping Realized Multivariate Volatility Measures” (with P. Dovonon and S. Goncalves), Journal of Econometrics, 2013, 172, 49-65.
``Testing Distributional Assumptions: A GMM Approach'' (with C. Bontemps), Journal of Applied Econometrics, 2012, 978-1012.
``Generalized Disappointment Aversion, Long-Run Volatility Risk and Asset Prices’’ (with M. Bonomo, R. Garcia, and R. Tedongap), Review of Financial Studies, 2011, 24, 82-122. Technical Appendix.
``Market Microstructure Noise and Realized Volatility Forecasting’’ (with T. Andersen and T. Bollerslev), Journal of Econometrics, 2011, 160, 220-234.
``Box-Cox Transforms for Realized Volatility'' (with S. Goncalves), Journal of Econometrics, 2011, 160, 129-144.
``Bootstrapping Realized Volatility'' (with S. Goncalves), Econometrica, 2009, 77, 283-306.
``Edgeworth Corrections for Realized Volatility'' (with S. Goncalves), Econometric Reviews, 2008, 27, 139-162.
``GARCH and Irregularly Spaced Data'' (with E. Renault and B. Werker), Economics Letters, 2006, 90, 200-2004. 1998 version.
"Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities" (with T. G. Andersen and T. Bollerslev), Econometrica, 2005, 73, 279-296. 2003-version.
"Testing Normality: A GMM Approach" (with C. Bontemps), Journal of Econometrics, 2005, 124, 149-186.
"Analytic Evaluation of Volatility Forecasts" (with T. G. Andersen and T. Bollerslev), International Economic Review, 2004, 45, 1079-1110. 2002_version.
"Temporal Aggregation of Volatility Models" (with E. Renault), Journal of Econometrics, 2004, 119, 355-379.
"ARMA Representation of Integrated and Realized Variances", The Econometrics Journal, 2003, 6, 334-355.
"A Theoretical Comparison Between Integrated and Realized Volatility", Journal of Applied Econometrics, 2002, 17, 475-508.
“Revisiting Continuous Time Limits of Volatility Processes” (with J. Kim), August 2017.
“Volatility Regressions with Fat Tails” (with J. Kim), April 2017.
``Generalized Affine Models” (with B. Feunou), November 2007.
"ARMA Representation of Two-Factor Models", October 2002.
"Moments of Continuous Time Stochastic Volatility Models", May 2002.
"An Eigenfunction Approach for Volatility Modeling", October 2001.
"Quadratic M-estimators for ARCH-Type Processes" (with E. Renault), 1997.
``GARCH and Irregularly Spaced Data'' (with E. Renault and B. Werker), Economics Letters, 2006, 90, 200-2004. pdf, 1998 version.
"Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities" (with T. G. Andersen and T. Bollerslev), Econometrica, 2005, 73, 279-296. pdf. 2003-version.
"Analytic Evaluation of Volatility Forecasts" (with T. G. Andersen and T. Bollerslev), International Economic Review, 2004, 45, 1079-1110.
“Bootstrapping High-Frequency Jump Tests” (with P. Dovonon, S. Gonçalves and Ulrich Hounyo), June 2015.
``An Analytical Framework for Assessing Asset Pricing Models and Predictability'' (with R. Garcia and R. Tedongap), July 2008.
"ARMA Representation of Two-Factor Models", October 2002. pdf, ps.
"Moments of Continuous Time Stochastic Volatility Models", May 2002. pdf, ps.
"Aggregation and Marginalization of GARCH and Stochastic Volatility Models" (with E. Renault), 1996.