References

• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 2006Approximately normal tests for equal predictive accuracy in nested models2,513 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
• 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
• 2007MIDAS Regressions: Further Results and New Directions1,003 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 quotes642 cited
• 2012‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables486 cited
• 2015Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers459 cited
• 2018Risk Everywhere: Modeling and Managing Volatility357 cited
• 2017Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index327 cited