References

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• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1995Comparing Predictive Accuracy5,214 cited
• 1987Expected stock returns and volatility4,147 cited
• 2003Modeling and Forecasting Realized Volatility3,887 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 1980On estimating the expected return on the market2,818 cited
• 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
• 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
• 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
• 1996Asymptotic Inference about Predictive Ability1,415 cited
• 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
• 2005There is a risk-return trade-off after all1,019 cited
• 2007MIDAS Regressions: Further Results and New Directions1,003 cited
• 2005Predicting volatility: getting the most out of return data sampled at different frequencies813 cited