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Cited by

• 2005Market risk models for intraday data126 cited
• 2003Asymmetric ACD models: Introducing price information in ACD models125 cited
• 2003Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models88 cited
• 2005Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects74 cited
• 2009Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange73 cited
• 2009Automated trading with boosting and expert weighting68 cited
• 2007Algorithmic Trading Patterns in Xetra Orders58 cited
• 2014Long Memory and Periodicity in Intraday Volatility57 cited
• 2008Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model52 cited
• 2005How large is liquidity risk in an automated auction market?42 cited
• 2005Liquidity supply and adverse selection in a pure limit order book market41 cited
• 2009Nonparametric density estimation for positive time series36 cited
• 2004Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market33 cited
• 2008