Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect

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

Business, Economics, Finance +17

A Simple Approximate Long-Memory Model of Realized Volatility

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

Business, Economics, Finance +17

The Distribution of Realized Exchange Rate Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Journal of the American Statistical Association · 2001 · 2.2K citations

Business, Economics, Finance +17

Power and Bipower Variation with Stochastic Volatility and Jumps

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

Business, Finance, Probability Theory +15