The DOI matches its Crossref record; 37 of the 37 references it cites were found in a registry or an index.
Threshold bipower variation and the impact of jumps on volatility forecasting
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Citations
Cites
Transform Analysis and Asset Pricing for Affine Jump-diffusions
Duffie, D., Pan, J., & Singleton, K. J. (2000) · Econometrica · doi:10.1111/1468-0262.00164 · Cited by 2,712
A Simple Approximate Long-Memory Model of Realized Volatility
Corsi, F. (2008) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbp001 · Cited by 2,495
Self-citationDiebold, F. X., & Mariano, R. S. (1995) · Journal of Business and Economic Statistics · doi:10.2307/1392185 · Cited by 2,340
The distribution of realized stock return volatility
Andersen, T. (2001) · Journal of Financial Economics · doi:10.1016/s0304-405x(01)00055-1 · Cited by 2,259
The Distribution of Realized Exchange Rate Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001) · Journal of the American Statistical Association · doi:10.1198/016214501750332965 · Cited by 2,104
Power and Bipower Variation with Stochastic Volatility and Jumps
Barndorff-Nielsen, O. E. (2004) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbh001 · Cited by 2,023
The jump-risk premia implicit in options: evidence from an integrated time-series study
Pan, J. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(01)00088-5 · Cited by 1,656
The Impact of Jumps in Volatility and Returns
Eraker, B., Johannes, M., & Polson, N. (2003) · The Journal of Finance · doi:10.1111/1540-6261.00566 · Cited by 1,462
Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007) · Review of Economics and Statistics · doi:10.1162/rest.89.4.701 · Cited by 1,445
Post-'87 crash fears in the S&P 500 futures option market
Bates, D. S. (2000) · Journal of Econometrics · doi:10.1016/s0304-4076(99)00021-4 · Cited by 1,416
Cited by
Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?
Feng, Y., Zhang, Y., & Wang, Y. (2024) · Journal of Forecasting · doi:10.1002/for.3046 · Cited by 22
Metadata
- Authors
- Corsi, F., Pirino, D., & Renò, R.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2010-12
- Volume
- 159
- Issue
- 2
- Pages
- 276-288
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W3122553341
- Cited by
- 561
- References
- 37
- FWCI
- 32.63
- Type
- journal article
- Language
- en
- Open access
- green
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- Corsi, F., Pirino, D., & Renò, R. (2010). Threshold bipower variation and the impact of jumps on volatility forecasting. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2010.07.008
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
