References

• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
• 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
• 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
• 2005A Tale of Two Time Scales1,312 cited
• 2003Alternative models for stock price dynamics893 cited
• 2005The Relative Contribution of Jumps to Total Price Variance890 cited
• 2002An Empirical Investigation of Continuous‐Time Equity Return Models868 cited
• 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
• 2009Testing for jumps in a discretely observed process587 cited
• 2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited
• 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
• 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
• 2004Disentangling diffusion from jumps362 cited
• 2006No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications