Lew_Essays_market_microstructure.pdf https://arxiv.org/pdf/1706.07021.pdf https://arxiv.org/pdf/0807.1253.pdf http://zke.fas.harvard.edu/papers/SDLCAP.pdf https://tspace.library.utoronto.ca/bitstream/1807/109199/4/Jia_Tianyi_202111_PhD_thesis.pdf https://engineering.nyu.edu/sites/default/files/2020-09/option-profit-carr-jofi-12894.pdf
https://www.repository.cam.ac.uk/bitstream/handle/1810/300987/linton-wu.pdf?sequence=1 https://core.ac.uk/download/pdf/13247554.pdf https://www.city.ac.uk/__data/assets/pdf_file/0011/79157/VolForec_May_08.pdf https://users.ox.ac.uk/~mast0315/IntradayLowVaRES_EJOR.pdf https://papers.ssrn.com/sol3/papers.cfm?abstract_id=945084 https://kar.kent.ac.uk/69649/1/Mode...Distribution of Daily Stock Index Returns.pdf
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2640934 https://www.oekonometrie.uni-saarland.de/papers/Intraday Overreaction of Stock Prices.pdf https://www.hrpub.org/download/20160430/AEB3-11805381.pdf http://public.econ.duke.edu/~boller/Published_Papers/jf_01.pdf
http://www.igidr.ac.in/conf/money/mfc_08/A Markov-Switching VEC Model...Alok Kumar.pdf https://www.ersj.eu/repec/ers/papers/01_34_p7.pdf http://directory.umm.ac.id/Data Elm...nomics And Finance/Vol9.Issue1.Jan2000/40.pdf https://www.federalreserve.gov/pubs/ifdp/1994/487/ifdp487.pdf https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3737985 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3106492 https://www.diva-portal.org/smash/get/diva2:723351/FULLTEXT01.pdf http://public.econ.duke.edu/~ap172/engle_patton_JFM_2004.pdf https://www.researchgate.net/public...ry_On_Informationally_Linked_Security_Markets https://bridges.monash.edu/articles...or_Intraday_Futures_and_Index_Returns/5566966
715891_GRAZIANI_KEVIN.pdf https://nzfc.ac.nz/archives/2017/papers/updated/93.pdf https://www.ma.imperial.ac.uk/~nkantas/mm_gp_nk_gb_Esaim_Paper.pdf https://core.ac.uk/download/pdf/84840401.pdf https://core.ac.uk/download/pdf/80709578.pdf http://etheses.dur.ac.uk/11614/1/Jing_Nie_Thesis.pdf https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2480940 http://eprints.lincoln.ac.uk/id/epr...f-1074085369IdV1641054027046644PDF_HI0001.pdf https://politicalscience.uwo.ca/faculty/lebo/img/journal_pdfs/The GECM in Practice.pdf https://sticerd.lse.ac.uk/dps/em/em517.pdf https://sites.socsci.uci.edu/~jantonio/Papers/predictability.pdf https://dro.dur.ac.uk/32466/1/32466.pdf?DDD2+drcm48+dkrj14 https://cadmus.eui.eu/bitstream/handle/1814/623/ECO97-14.pdf
132797589.pdf https://www.efmaefm.org/0EFMAMEETIN...017-Athens/papers/EFMA2017_0536_fullpaper.pdf http://public.econ.duke.edu/~boller/Published_Papers/abcd_hand_06.pdf https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1675.pdf https://www.ecb.europa.eu/pub/conferences/shared/pdf/20210615_11th_cft/Conrad_slidesP5.pdf https://www.frbsf.org/economic-research/wp-content/uploads/sites/4/vol_dynamics.pdf https://openaccess.city.ac.uk/id/eprint/23329/1/risks-07-00113.pdf https://agecon2.tamu.edu/people/faculty/wu-ximing/agecon2/public/agec676/note5.pdf https://papers.tinbergen.nl/21057.pdf https://warwick.ac.uk/fac/soc/economics/staff/academic/corradi/papers/ijfbasel.pdf http://eprints.lse.ac.uk/6635/1/Eff...functions_in_stochastic_regression(LSERO).pdf
https://pages.stern.nyu.edu/~lpederse/papers/DemystifyingManagedFutures.pdf https://core.ac.uk/reader/40013480 https://ecommons.cornell.edu/bitstream/handle/1813/44365/qm37.pdf https://fairmodel.econ.yale.edu/ec439/hurst.pdf https://finance.business.uconn.edu/...14/08/CanTechnicalTradingBeat_version-III.pdf https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4088309 https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3824032 https://www.scitepress.org/papers/2018/66670/66670.pdf https://www0.gsb.columbia.edu/faculty/pglasserman/Other/BuyRough.pdf https://pure.manchester.ac.uk/ws/po...egies_Across_Equity_and_Commodity_Markets.pdf https://arxiv.org/pdf/2205.11122.pdf https://www.sciedupress.com/journal/index.php/ijfr/article/download/20073/12342 https://www.efmaefm.org/0EFMAMEETINGS/EFMA ANNUAL MEETINGS/2020-Dublin/papers/EFMA 2020_stage-1301_question-Full Paper_id-270.pdf https://acfr.aut.ac.nz/__data/asset...3/Jose-Full-VolatilityOfVolatilityIsRough.pdf https://arxiv.org/pdf/2207.04930.pdf https://arxiv.org/pdf/2203.13820.pdf https://www.sas.upenn.edu/~fdiebold/papers/paper41/abde.pdf https://www.federalreserve.gov/econresdata/feds/2016/files/2016022pap.pdf https://www.imf.org/external/pubs/ft/wp/2003/wp03125.pdf https://assets.pubpub.org/sul405qp/51623935886090.pdf https://c.mql5.com/forextsd/forum/170/hurst_exponent_and_financial_market_predictability.pdf https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4290787 https://kclpure.kcl.ac.uk/portal/files/137229369/2010.08890v2.pdf https://www.iaeng.org/publication/WCECS2008/WCECS2008_pp1113-1117.pdf http://www.kampouridis.net/papers/thesis_SUBMITTED.pdf https://www.brunel.ac.uk/economics-...f/2215-Oct-GMC-High-Frequency-persistence.pdf https://ojs.ual.es/ojs/index.php/eea/article/view/3145 https://www.wne.uw.edu.pl/application/files/6316/3609/7639/WNE_WP345.pdf https://arxiv.org/pdf/2102.04160.pdf https://fenix.tecnico.ulisboa.pt/downloadFile/281870113705602/Thesis_81311.pdf https://mdpi-res.com/d_attachment/m...00348/article_deploy/mathematics-08-00348.pdf https://digitalcommons.sacredheart.edu/cgi/viewcontent.cgi?article=1025&context=wcob_theses https://www.politesi.polimi.it/bitstream/10589/189963/4/2022_07_Coliva_02.pdf https://www.bayes.city.ac.uk/__data/assets/pdf_file/0005/354677/trend-is-our-friend.pdf http://thierry-roncalli.com/download/Momentum_Risk_Premium.pdf https://www.york.ac.uk/media/economics/documents/discussionpapers/2012/1228.pdf
https://citeseerx.ist.psu.edu/docum...&doi=eb2c831a275c3de49553ea5f1c14ecb125c58711 http://reversal-patterns.technicalanalysis.org.uk/DaSt03.pdf https://theses.gla.ac.uk/30934/1/2018HassanniakalagerPhD.pdf https://www.intlpress.com/site/pub/...ii/2018/0011/0003/SII-2018-0011-0003-a007.pdf https://www.diva-portal.org/smash/get/diva2:1565483/FULLTEXT01.pdf https://ora.ox.ac.uk/objects/uuid:6...+in+Financial+Markets.pdf&type_of_work=Thesis https://arxiv.org/pdf/2301.10178.pdf https://www.efmaefm.org/0efmameetin...-Amsterdam/papers/EFMA2015_0245_fullpaper.pdf https://www.sas.upenn.edu/~fdiebold/papers/paper24/dht.pdf https://www.econ.cam.ac.uk/people-files/faculty/ach34/pubs10/TVDahvo9.pdf https://www.bundesbank.de/resource/...02e1eeac202ae29/mL/2002-03-25-dkp-08-data.pdf
https://anson.ucdavis.edu/~mueller/encycl5-1.pdf http://faculty.washington.edu/yenchic/17Sp_403/Lec7-density.pdf https://www.stat.cmu.edu/~cshalizi/350/lectures/28/lecture-28.pdf https://www.stat.cmu.edu/~cshalizi/uADA/12/lectures/ch15.pdf https://assets.press.princeton.edu/chapters/s8355.pdf http://eprints.lse.ac.uk/2312/1/The_Estimation_of_Conditional_Densities.pdf https://eprints.lse.ac.uk/6845/1/Forecasting_the_density_of_asset_returns.pdf https://core.ac.uk/download/pdf/212849256.pdf https://www.econ.cam.ac.uk/people-files/faculty/ach34/pubs10/TVDahvo9.pdf https://vita.had.co.nz/papers/density-estimation.pdf https://www.econstor.eu/bitstream/10419/238805/1/ier-v05-i1-p020-042.pdf http://stats-www.open.ac.uk/TechnicalReports/joneshenderson.pdf https://www.bankofengland.co.uk/-/m...re-asset-prices-emperical-transformations.pdf https://www.bis.org/ifc/events/7ifcconf_ang.pdf https://www.bristol.ac.uk/efm/media/workingpapers/working_papers/pdffiles/dp09616.pdf https://www.ecb.europa.eu/pub/finan...s/2011/pdf/ecb~b295bee5be.fsrbox201106_02.pdf https://www.bundesbank.de/resource/...02e1eeac202ae29/mL/2002-03-25-dkp-08-data.pdf https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3401683 https://www.efmaefm.org/0efmameetin...-Amsterdam/papers/EFMA2015_0245_fullpaper.pdf https://www.sas.upenn.edu/~fdiebold/papers/paper16/paper16.pdf