References

• 1976Option pricing when underlying stock returns are discontinuous5,965 cited
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
• 1998The Variance Gamma Process and Option Pricing1,786 cited
• 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
• 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
• 1995Hyperbolic Distributions in Finance959 cited
• 2005The Relative Contribution of Jumps to Total Price Variance890 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
• 2003The Finite Moment Log Stable Process and Option Pricing517 cited
• 2008Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility318 cited
• 2003What Type of Process Underlies Options? A Simple Robust Test296 cited
• 2009Estimating the degree of activity of jumps in high frequency data288 cited
• 2008Testing for jumps when asset prices are observed with noise–a “swap variance” approach