References

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• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
• 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
• 1994A general version of the fundamental theorem of asset pricing1,447 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
• 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
• 2006Realized Variance and Market Microstructure Noise1,164 cited
• 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
• 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
• 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
• 2009Testing for jumps in a discretely observed process587 cited
• 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited