References

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• 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
• 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
• 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
• 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
• 1996Modeling and pricing long memory in stock market volatility1,208 cited
• 2008Microstructure Noise, Realized Variance, and Optimal Sampling598 cited
• 2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited
• 2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements551 cited
• 2008Realized Volatility: A Review517 cited
• 2008The Volatility of Realized Volatility421 cited
• 2010Forecasting crude oil market volatility: Further evidence using GARCH-class models374 cited