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A key feature is a\n                    <jats:italic>measurement equation<\/jats:italic>\n                    that relates the realized measure to the conditional variance of returns. The measurement equation facilitates a simple modeling of the dependence between returns and future volatility. Realized GARCH models with a linear or log\u2010linear specification have many attractive features. They are parsimonious, simple to estimate, and imply an ARMA structure for the conditional variance and the realized measure. An empirical application with Dow Jones Industrial Average stocks and an exchange traded index fund shows that a simple Realized GARCH structure leads to substantial improvements in the empirical fit over standard GARCH models that only use daily returns. Copyright \u00a9 2011 John Wiley &amp; Sons, Ltd.\n                  <\/jats:p>","DOI":"10.1002\/jae.1234","type":"journal-article","created":{"date-parts":[[2011,3,17]],"date-time":"2011-03-17T03:30:00Z","timestamp":1300332600000},"page":"877-906","source":"Crossref","is-referenced-by-count":582,"title":["Realized GARCH: a joint model for returns and realized measures of volatility"],"prefix":"10.1002","volume":"27","author":[{"given":"Peter Reinhard","family":"Hansen","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Zhuo","family":"Huang","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Howard Howan","family":"Shek","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2011,3,17]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.0020-6598.2004.00298.x"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00572.x"},{"key":"e_1_2_10_7_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest.89.4.701"},{"key":"e_1_2_10_8_1","unstructured":"AndersenT DobrevD SchaumburgE.2008.Duration\u2010based volatility estimation. 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