References

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• 1994Comparing Predictive Accuracy5,495 cited
• 1995Comparing Predictive Accuracy5,214 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
• 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
• 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
• 2005A Test for Superior Predictive Ability1,227 cited
• 2005The Relative Contribution of Jumps to Total Price Variance890 cited
• 2005Predicting volatility: getting the most out of return data sampled at different frequencies813 cited
• 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
• 2012Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling337 cited
• 1995Fractals and Intrinsic Time - a Challenge to Econometricians258 cited
• 2010