References

• 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
• 2003Limit Theorems for Stochastic Processes2,529 cited
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
• 2009Testing for jumps in a discretely observed process587 cited
• 2006Maximum likelihood estimation of stochastic volatility models538 cited
• 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
• 2003The dynamics of stochastic volatility: evidence from underlying and options markets504 cited
• 2011Discretization of Processes486 cited
• 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
• 2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility318 cited
• 2007Asymptotic properties of realized power variations and related functionals of semimartingales297 cited
• 2009Estimating the degree of activity of jumps in high frequency data288 cited
• 2006A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales282 cited
• 2010Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading