This folder holds the following references to publications, sorted by year and author.

There are 53 references in this bibliography folder.

Sucarrat, G (2010).
Econometric reduction theory and philosophy
Journal of Economic Methodology, 17(1):53-75.

Bauwens, L and Sucarrat, G (2008).
General to specific modelling of exchange rate volatility : a forecast evaluation
Universidad Carlos III, Departamento de Economía, Economics Working Papers(we081810).

Moberg, J (2008).
Essays on Empirical Market Microstructure
PhD thesis, Department of Finance and Management Science, Norwegian School of Economics and Business Administration, Bergen, Norway.

Patton, AJ (2008).
Volatility Forecast Evaluation and Comparison Using Imperfect Volatility Proxies. Forthcoming in The Journal of Econometrics.

Romano, J, Shaikh, A, and Wolf, M (2008).
Formalized Data Snooping Based on Generalized Error Rates
Econometric Theory, 24:404-447.

Ait-Sahalia, Y (2007).
Estimating Continuous-Time Models with Discretely Sampled Data
In: Advances in Economics and Econometrics, Theory and Applications, 9th. World Congress, ed. by Blundell, Richard and Persson, Torsten and Newey, Whitney K., Cambridge University Press, Cambridge.

Hansen, P and Lunde, A (2007).
MULCOM 1.00. Econometric Toolkit for Multiple Comparisons.

Andersen, T, Bollerslev, T, Christoffersen, PF, and Diebold, F (2006).
Volatility and Correlation Forecasting
In: Handbook of Economic Forecasting, Volume 1, ed. by Elliott, G. and Granger, C.W.J. and Timmermann, A., North Holland, Amsterdam.

Escribano, A and Pascual, R (2006).
Asymmetries in Bid and Ask Responses to Innovations in the Trading Process
Empirical Economics, 30:913-946.

Hansen, P and Lunde, A (2006).
Consistent Ranking of Volatility Models
Journal of Econometrics, 131:97-121.

Meyer, E and Skjelvik, J (2006).
Statistics on Foreign Exchange Transactions — New Insight into Foreign Exchange Markets
Norges Bank Economic Bulletin(2/06):80-88.

Ait-Sahalia, Y, Mykland, P, and Zhang, L (2005).
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Review of Financial Studies, 18:351-416.

Andersen, T, Bollerslev, T, and Meddahi, N (2005).
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
Econometrica, 73:279-296.

Campos, J, Ericsson, N, and Hendry, D (2005).
General-to-Specific Modeling: An Overview and Selected Bibliography
In: General-to-Specific Modeling, Volume 1, ed. by Campos, Julia and Hendry, David F. and Ericsson, Neil R., Edward Elgar Publishing, Cheltenham.

Hansen, P (2005).
A Test for Superior Predictive Ability
Journal of Business and Economic Statistics, 23:365-380.

Hansen, P and Lunde, A (2005).
A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
Journal of Applied Econometrics, 20:873-889.

Engle, R and Patton, A (2004).
Impacts of Trades in an Error-correction Model of Quote Prices
Journal of Financial Markets, 7:1-25.

Ait-Sahalia, Y and Mykland, P (2003).
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
Econometrica, 71:483-549.

Andersen, T, Bollerslev, T, Diebold, F, and Labys, P (2003).
Modeling and Forecasting Realized Volatility
Econometrica, 72:579-625.

Chordia, T, Roll, R, and Subrahmanyam, A (2002).
Order Imbalance, Liquidity, and Market Returns
Journal of Financial Economics, 65:111-130.

Evans, M and Lyons, RK (2002).
Order Flow and Exchange Rate Dynamics
Journal of Political Economy, 110:170-180.

Meddahi, N (2002).
A Theoretical Comparison Between Integrated and Realized Volatility
Journal of Applied Econometrics, 17:479-508.

Andersen, T, Bollerslev, T, Diebold, F, and Labys, P (2001).
The Distribution of Realized Exchange Rate Volatility
Journal of the American Statistical Association, 96:42-55.

Bertsimas, D, Kogan, L, and Lo, A (2000).
When is Time Continuous?
Journal of Financial Economics, 55:173-204.

Davidson, J (2000).
Econometric Theory
Blackwell Publishers Ltd., Oxford.