Realized volatility transmission: The role of jumps and leverage effects

A Simple Approximate Long-Memory Model of Realized Volatility

Fulvio Corsi · Journal of Financial Econometrics · 2008 · 2.5K citations

Volatility Modeling, Multivariate Stochastic Volatility, Realized Volatility +13

Power and Bipower Variation with Stochastic Volatility and Jumps

Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2004 · 2.1K citations

Volatility Modeling, Multivariate Stochastic Volatility, Engineering +11

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold · The Review of Economics and Statistics · 2007 · 1.4K citations

Volatility Modeling, Bipower Variation Measures, Financial Economics +15

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2005 · 1.4K citations

Empirical Finance, Economics, Volatility Modeling +15

The Relative Contribution of Jumps to Total Price Variance

Xin Huang · Journal of Financial Econometrics · 2005 · 851 citations

Empirical Finance, Volatility Modeling, Total Price Variance +16