The 14 linked references in paper Christopher F Baum, Paola Zerilli, Liyuan Chen (2018) “Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data” / RePEc:boc:bocoec:952

  1. Andersen, Torben G. and Benzoni, Luca, Realized Volatility (2008). FRB of
  2. Artzner, P., Delbaen, F., Eber, J. and Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203-228.
  3. Bekaert, G.,Wu, G., (2000). Asymmetric volatility and risk in equity markets. Review of Financial Studies 13, 1ñ42.
  4. Berkowitz, J. (2001). Testing density forecasts, with applications to risk management. Journal of Business & Economic Statistics, 19(4), 465-474.
  5. Casassus, J., Collin-Dufresne, P., (2005). Stochastic convenience yield implied from commodity futures and interest rates. Journal of Finance, Vol. 60, No. 5, 56 2283-2331.
  6. Brookings Institution, vol. 40(1 (Spring), pages 215-283
  7. Heston, S., (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Finanacial Studies 6, 57 327ñ343.
  8. Kerkhof, J. and Melenberg, B. (2004). Backtesting for risk-based regulatory capital. Journal of Banking & Finance, 28(8), 1845-1865.
  9. Kupiec, P. H. (1995). Techniques for verifying the accuracy of risk measurement models. The Journal of Derivatives, 3(2), 73-84.
  10. Pindyck, R. S. (2004), Volatility and commodity price dynamics. Journal of
  11. Schwartz, E. S., (1997). The stochastic behavior of commodity prices: Implications for valuation and hedging. Journal of Finance, Vol. 52, No. 3, 923-973.
  12. Schwartz, E. S., Smith, J. E.,(2000). Short-term variations and long-term dynamics in commodity prices. Management Science, Vol. 47, No. 2, 893-911.
  13. Tauchen, G. ( 1985). "Diagnostic testing and evaluation of maximum likelihood models." Journal of Econometrics, 30: 415-43
  14. Trolle, A. B., Schwartz, E. S., (2009). Unspanned stochastic volatility and the pricing of commodity derivatives. Review of Financial Studies 22, 4423-4461.