References

• 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 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
• 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
• 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
• 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
• 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
• 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
• 1998The relation between implied and realized volatility1,114 cited
• 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
• 1993The Informational Content of Implied Volatility761 cited
• 1991Estimating Variance From High, Low and Closing Prices617 cited
• 1999