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The distribution of realized stock return volatility
Overview
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Citations
Cited by
Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards
Antweiler, W., & Frank, M. Z. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00662.x · Cited by 2,373
The Sum of All FEARS Investor Sentiment and Asset Prices
Da, Z., Engelberg, J., & Gao, P. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu072 · Cited by 1,379
Forecasting Volatility in Financial Markets: A Review
Poon, S., & Granger, C. W. J. (2003) · Journal of Economic Literature · doi:10.1257/002205103765762743 · Cited by 1,315
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Huang, D., Jiang, F., Tu, J., & Zhou, G. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu080 · Cited by 1,123
Estimating quadratic variation using realized variance
Barndorff‐Nielsen, O. E., & Shephard, N. (2002) · Journal of Applied Econometrics · doi:10.1002/jae.691 · Cited by 616
Metadata
- Authors
- Andersen, T.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 2001-07
- Volume
- 61
- Issue
- 1
- Pages
- 43-76
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W1963787328
- Cited by
- 2,259
- References
- 0
- FWCI
- 79.84
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
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How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: The distribution of realized stock return volatility. https://app.cochat.ai/papers/10.1016/s0304-405x(01)00055-1
- The paper
- Andersen, T. (2001). The distribution of realized stock return volatility. Journal of Financial Economics. https://doi.org/10.1016/s0304-405x(01)00055-1
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
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.
