Long memory behavior of returns after intraday financial jumps

Modeling and Forecasting Realized Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Econometrica · 2003 · 3.9K citations

Forecasting Methodology, Volatility Modeling, Engineering +16

Why Does Stock Market Volatility Change Over Time?

G. William Schwert · The Journal of Finance · 1989 · 3.5K citations

Volatility Modeling, Multivariate Stochastic Volatility, Financial Economics +13

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

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.4K citations

The distribution of realized stock return volatility

Torben G. Andersen · Journal of Financial Economics · 2001 · 2.3K citations

Volatility Modeling, Financial Economics, Asset Pricing +2

Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2002 · 2.3K citations · Full text

Volatility Modeling, Engineering, Actual Volatility +22