References

• 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 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
• 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
• 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
• 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
• 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
• 2002Estimating quadratic variation using realized variance618 cited
• 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
• 2010Parametric and Nonparametric Volatility Measurement520 cited
• 2004Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities316 cited
• 1996Continuous Record Asymptotics for Rolling Sample Variance Estimators287 cited
• 2004Duration Dependence in Stock Prices