References

• 1994Comparing Predictive Accuracy5,495 cited
• 1995Comparing Predictive Accuracy5,214 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
• 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
• 2005A Test for Superior Predictive Ability1,227 cited
• 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
• 2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility772 cited
• 1999Volatility in Emerging Stock Markets735 cited
• 2008Microstructure Noise, Realized Variance, and Optimal Sampling598 cited
• 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance399 cited
• 2012Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling337 cited
• 2006Measuring volatility with the realized range326 cited
• 2010News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons