Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks

Comparing Predictive Accuracy

Francis X. Diebold, Roberto S. Mariano · Journal of Business and Economic Statistics · 1995 · 4.8K citations

Public Health, Economics, Causal Inference +15

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

Spectra of some self-exciting and mutually exciting point processes

Alan G. Hawkes · Biometrika · 1971 · 2.2K citations

Engineering, Data Science, Stochastic Modeling +10