References

• 2007Brownian Motion and Stochastic Calculus7,541 cited
• 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
• 1988Brownian Motion and Stochastic Calculus1,544 cited
• 1990Alternative models for conditional stock volatility1,272 cited
• 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
• 1993Simulated Moments Estimation of Markov Models of Asset Prices691 cited
• 1990Simulated Moments Estimation of Markov Models of Asset Prices617 cited
• 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
• 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets522 cited
• 1991Intra-Day and Inter-Market Volatility in Foreign Exchange Rates489 cited
• 1988The econometric analysis of models with risk terms343 cited
• 1997Local polynomial estimators of the volatility function in nonparametric autoregression259 cited
• 1995Implementing Option Pricing Models When Asset Returns Are Predictable217 cited
• 1992Qualitative threshold ARCH models162 cited
• 1991Market Microstructure Effects of Government Intervention in the Foreign Exchange Market