References

• 1994Comparing Predictive Accuracy5,495 cited
• 2003Modeling and Forecasting Realized Volatility3,887 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
• 1981Fractional Differencing2,720 cited
• 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
• 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 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
• 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
• 1997Testing the equality of prediction mean squared errors2,103 cited
• 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
• 2006Tests of Conditional Predictive Ability1,667 cited
• 1980Long memory relationships and the aggregation of dynamic models1,448 cited
• 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility