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
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
• 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
• 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
• 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
• 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
• 2007MIDAS Regressions: Further Results and New Directions1,003 cited
• 2005The Relative Contribution of Jumps to Total Price Variance890 cited
• 2005Predicting volatility: getting the most out of return data sampled at different frequencies813 cited
• 2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility772 cited
• 2009Realized kernels in practice: trades and quotes