Volatility Forecast Comparison Using Imperfect Volatility Proxies

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

Social Sciences, Economics, Econometrics +10

Modeling and Forecasting Realized Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Econometrica · 2003 · 4K citations

Business, Economics, Finance +10

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.5K citations

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Comparing Predictive Accuracy

Francis X. Diebold, Roberto S. Mariano · Journal of Business and Economic Statistics · 1995 · 2.4K citations

Public Health, Economics, Causal Inference +15

The distribution of realized stock return volatility

Torben G. Andersen · Journal of Financial Economics · 2001 · 2.4K citations

Business, Economics, Finance +12