References

• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
• 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
• 2009Expected Stock Returns and Variance Risk Premia1,776 cited
• 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
• 2006Realized Variance and Market Microstructure Noise1,164 cited
• 2012Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes629 cited
• 2008Realized Volatility: A Review517 cited
• 2012Jump-robust volatility estimation using nearest neighbor truncation449 cited
• 2008The Volatility of Realized Volatility421 cited
• 2007Metal volatility in presence of oil and interest rate shocks350 cited
• 2012Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling337 cited
• 2011Volatility transmission in emerging European foreign exchange markets337 cited
• 2006