Efficient Estimation of Volatility using High Frequency Data

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

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

Business, Economics, Finance +17

An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

Donald W. K. Andrews, J. Christopher Monahan · Econometrica · 1992 · 1.1K citations

Natural Sciences, Biostatistics, Econometrics +16

High-Frequency Data and Volatility in Foreign-Exchange Rates

Bin Zhou · Journal of Business and Economic Statistics · 1996 · 522 citations · Full text

Business, Economics, Finance +16

Comovements in Stock Prices in the Very Short Run

T. W. Epps · Journal of the American Statistical Association · 1979 · 409 citations

Business, Economics, Finance +12

High-Frequency Data and Volatility in Foreign-Exchange Rates

Bin Zhou · Journal of Business and Economic Statistics · 1996 · 247 citations

Business, Economics, Finance +16