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Cited by

• 1995Option pricing by Esscher transforms.651 cited
• 2002Estimating quadratic variation using realized variance618 cited
• 2007Common Failings: How Corporate Defaults Are Correlated583 cited
• 1991Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations546 cited
• 2010Parametric and Nonparametric Volatility Measurement520 cited
• 2000The Distribution of Stock Return Volatility497 cited
• 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model449 cited
• 2003First passage times of a jump diffusion process435 cited
• 2001The Distribution of Realized Exchange Rate Volatility414 cited
• 1993Backward-Forward Stochastic Differential Equations345 cited
• 1992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes341 cited
• 2007Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation328 cited
• 2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility318 cited
• 2004Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities316 cited