References

• 1976Option pricing when underlying stock returns are discontinuous5,965 cited
• 1994Comparing Predictive Accuracy5,495 cited
• 1995Comparing Predictive Accuracy5,214 cited
• 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
• 2003The Impact of Jumps in Volatility and Returns1,469 cited
• 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
• 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
• 2003Alternative models for stock price dynamics893 cited
• 2005The Relative Contribution of Jumps to Total Price Variance890 cited
• 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
• 2001The Economic Value of Volatility Timing848 cited
• 2003The economic value of volatility timing using “realized” volatility668 cited
• 2005Separating microstructure noise from volatility635 cited
• 2009Testing for jumps in a discretely observed process587 cited
• 2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns561 cited