Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators

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 stock return volatility

Torben G. Andersen · Journal of Financial Economics · 2001 · 2.4K citations

Business, Economics, Finance +12

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

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

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

Peter Reinhard Hansen, Asger Lunde · Journal of Applied Econometrics · 2005 · 1.7K citations · Full text

Business, Economics, Finance +17