References

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• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 1979Risk measurement when shares are subject to infrequent trading2,767 cited
• 1977Estimating betas from nonsynchronous data2,751 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 2001The distribution of realized stock return volatility2,264 cited
• 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
• 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
• 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
• 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited
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• 1989An Econometric Analysis of Nonsynchronous Trading798 cited
• 2003The economic value of volatility timing using “realized” volatility668 cited
• 2000The Distribution of Stock Return Volatility497 cited
• 2001