References

• 2003Modeling and Forecasting Realized Volatility3,887 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
• 1998Evaluating Interval Forecasts2,689 cited
• 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
• 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
• 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
• 2001The distribution of realized stock return volatility2,264 cited
• 2009Expected Stock Returns and Variance Risk Premia1,776 cited
• 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
• 2003The Impact of Jumps in Volatility and Returns1,469 cited
• 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
• 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
• 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
• 2005A Tale of Two Time Scales