1. Aït-Sahalia, Y., and L. Mancini. 2006. Out of sample forecasts of quadratic variation. Manuscript, Princeton University and University of Zürich.
2. Aït-Sahalia, Y., P.A. Mykland, and L. Zhang. 2006. Ultra high frequency volatility estimation with dependent microstructure noise. Manuscript, Princeton University.
3. Andersen, T.G., and L. Benzoni. 2005. Can bonds hedge volatility risk in the U.S. Treasury market? A specification test for affine term structure models. Manuscript, Kellogg School, Northwestern University and University of Minnesota.
4. Andersen, T.G., and T. Bollerslev. 1997. Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns. Journal of Finance 52: 975–1005.
5. Andersen, T.G., and T. Bollerslev. 1998a. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International Economic Review 39: 885–905.