References

• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
• 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
• 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
• 2005A Tale of Two Time Scales1,312 cited
• 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
• 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
• 2001Modeling and Forecasting Realized Volatility824 cited
• 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
• 2005On covariance estimation of non-synchronously observed diffusion processes407 cited
• 1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
• 2006Estimating Covariation: Epps Effect, Microstructure Noise326 cited
• 2006A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales282 cited
• 2002