References

• 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
• 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
• 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
• 2005The Relative Contribution of Jumps to Total Price Variance890 cited
• 2005Shock and volatility transmission in the oil, US and Gulf equity markets417 cited
• 2009Volatility transmission between oil prices and equity sector returns352 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
• 2010The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets310 cited
• 2002Intraday trading volume and return volatility of the DJIA stocks: A note209 cited
• 2010Forecasting multivariate realized stock market volatility162 cited
• 2013Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach87 cited
• 2003Econometrics of testing for jumps in financial economics using bipower variationÂ