References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 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
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 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
• 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
• 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
• 2005A Test for Superior Predictive Ability1,227 cited
• 2005The Relative Contribution of Jumps to Total Price Variance890 cited
• 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
• 2014The VIX, the variance premium and stock market volatility812 cited
• 2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility772 cited
• 1995