References

• 1985A Theory of the Term Structure of Interest Rates8,333 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 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
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
• 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
• 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
• 2005A Tale of Two Time Scales1,312 cited
• 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
• 2006Realized Variance and Market Microstructure Noise1,164 cited
• 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
• 1989An Econometric Analysis of Nonsynchronous Trading798 cited
• 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited