References

• 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
• 2003Modeling and Forecasting Realized Volatility3,887 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
• 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
• 1999State-Space Models with Regime Switching1,304 cited
• 2001Long memory and regime switching1,162 cited
• 2000State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications1,153 cited
• 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
• 1994Evidence on Structural Instability in Macroeconomic Time Series Relations600 cited
• 2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests519 cited
• 2006Leverage and Volatility Feedback Effects in High-Frequency Data439 cited
• 2008The Volatility of Realized Volatility421 cited
• 2002Market timing and return prediction under model instability307 cited
• 2001Asset storability and price discovery in commodity futures markets: A new look