References

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• 2007Brownian Motion and Stochastic Calculus7,421 cited
• 1999Continuous Martingales and Brownian Motion6,200 cited
• 2003Financial Modelling with Jump Processes3,217 cited
• 1998Brownian Motion and Stochastic Calculus2,043 cited
• 1998The Variance Gamma Process and Option Pricing1,786 cited
• 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 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
• 2005The Relative Contribution of Jumps to Total Price Variance890 cited
• 2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited
• 2012Jump-robust volatility estimation using nearest neighbor truncation449 cited
• 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
• 2003Dynamic Asset Allocation with Event Risk