References

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• 2003Limit Theorems for Stochastic Processes2,529 cited
• 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
• 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
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• 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
• 2008Microstructure noise in the continuous case: The pre-averaging approach692 cited
• 2006Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach538 cited
• 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
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• 2005On covariance estimation of non-synchronously observed diffusion processes407 cited
• 2006Estimating Covariation: Epps Effect, Microstructure Noise326 cited
• 2009Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps