Journal of Econometrics · 2011 · 27 citations · 39 references
Forecasting MethodologyEconomic ForecastingEngineeringPredictive AnalyticsBusinessVariance ForecastingForecastingBusiness ForecastingStatisticsFinanceQuantitative Management
39
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
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Darrell Duffie, Jun Pan, Kenneth J. Singleton · Econometrica · 2000 · 2.9K citations