On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

Halbert White · Econometrica · 1980 · 26.1K citations

Social Sciences, Economics, Econometrics +11

A Bayesian Analysis of Some Nonparametric Problems

Thomas S. Ferguson · The Annals of Statistics · 1973 · 4.8K citations · Full text

Natural Sciences, Mathematics, Bayesian Data Analysis +15

Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

John Y. Campbell, Samuel B. Thompson · Review of Financial Studies · 2007 · 3K citations · Full text

Business, Economics, Finance +16

A Simple Approximate Long-Memory Model of Realized Volatility

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

Business, Economics, Finance +17

The Model Confidence Set

Econometrica · 2011 · 2K citations

Computing, Economics, Mathematics +17