References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
• 2003Modeling and Forecasting Realized Volatility3,887 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 1980On estimating the expected return on the market2,818 cited
• 1979Risk measurement when shares are subject to infrequent trading2,767 cited
• 1977Estimating betas from nonsynchronous data2,751 cited
• 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
• 2001The distribution of realized stock return volatility2,264 cited
• 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
• 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
• 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
• 2005