References

• 2003Modeling and Forecasting Realized Volatility3,920 cited
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
• 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,586 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
• 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,078 cited
• 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics907 cited
• 2005The Relative Contribution of Jumps to Total Price Variance890 cited
• 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
• 2009Testing for jumps in a discretely observed process587 cited
• 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
• 2012Jump-robust volatility estimation using nearest neighbor truncation468 cited
• 1979Comovements in Stock Prices in the Very Short Run