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Cited by

• 1978Processes that can be Embedded in Brownian Motion161 cited
• 2006ANOVA for diffusions and Itô processes139 cited
• 1973On an Identity for Stochastic Integrals106 cited
• 2008ANOVA FOR DIFFUSIONS AND ITO PROCESSES1105 cited
• 2012The econometrics of high-frequency data90 cited
• 2011Variance swaps on time-changed Lévy processes87 cited
• 2007No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications82 cited
• 2009Hedging variance options on continuous semimartingales80 cited
• 2014Stochastic differential equations for sticky Brownian motion80 cited
• 2004A short history of stochastic integration and mathematical finance: the early years, 1880–197072 cited
• 2008Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns70 cited
• 2014Stochastic Control Theory67 cited
• 2012Continuous-time trading and the emergence of probability64 cited
• 2014Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility62 cited