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Realized volatility in the futures markets

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References

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2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited

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2003Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility90 cited
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2013Overnight stock returns and realized volatility68 cited
2009On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting59 cited
2004Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review52 cited
2002Parametric and Nonparametric Volatility Measurement48 cited
2008An examination of the complementary volume–volatility information theories44 cited
2004Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity44 cited
2006Persistence of volatility in futures markets42 cited