References

• 1973The Pricing of Options and Corporate Liabilities29,064 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
• 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
• 2001Empirical properties of asset returns: stylized facts and statistical issues3,658 cited
• 1993A long memory property of stock market returns and a new model3,282 cited
• 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
• 1987Applied Probability and Queues2,704 cited
• 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,398 cited
• 2006A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
• 1999Scaling and criticality in a stochastic multi-agent model of a financial market1,527 cited
• 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 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 Noise1,202 cited
• 2003Theory of Financial Risk and Derivative Pricing1,182 cited