Forecasting multivariate realized stock market volatility

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

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

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Donald W. K. Andrews · Econometrica · 1991 · 4.1K citations

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Modeling and Forecasting Realized Volatility

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Measuring and Testing the Impact of News on Volatility

Robert F. Engle, Victor Ng · The Journal of Finance · 1993 · 3.7K citations

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A Simple Approximate Long-Memory Model of Realized Volatility

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

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