this work references cited by second hopReferences
- 1965The Behavior of Stock-Market Prices8,707 cited
- 1963The Variation of Certain Speculative Prices4,851 cited
- 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
- 1994A general version of the fundamental theorem of asset pricing1,447 cited
- 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
- 2005A Tale of Two Time Scales1,312 cited
- 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
- 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
- 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
- 2006Realized Variance and Market Microstructure Noise1,164 cited
- 2003Alternative models for stock price dynamics893 cited
- 2005The Relative Contribution of Jumps to Total Price Variance890 cited
- 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
- 1986A transaction data study of weekly and intradaily patterns in stock returns813 cited
- 2008Microstructure noise in the continuous case: The pre-averaging approach
Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work