References

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• 2003Modeling and Forecasting Realized Volatility3,887 cited
• 2001The distribution of realized stock return volatility2,264 cited
• 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
• 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
• 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
• 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
• 2005A Tale of Two Time Scales1,312 cited
• 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
• 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited
• 2005Predicting volatility: getting the most out of return data sampled at different frequencies813 cited
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• 2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements551 cited
• 2000Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices450 cited
• 2006