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• 2006Chapter 15 Volatility and Correlation Forecasting330 cited
• 2013Copula Methods for Forecasting Multivariate Time Series323 cited
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• 2016Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads272 cited
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• 2006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison181 cited
• 2009NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH175 cited
• 2015Information-theoretic optimality of observation-driven time series models for continuous responses166 cited
• 2007On the Economic Sources of Stock Market Volatility162 cited
• 2009Multivariate Stochastic Volatility150 cited
• 2008Realised Kernels in Practice: Trades and Quotes143 cited
• 2005A Selective Overview of Nonparametric Methods in Financial Econometrics135 cited
• 2010Portfolio Risk Analysis127 cited
• 2007Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations