References

• 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
• 2003Limit Theorems for Stochastic Processes2,529 cited
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
• 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
• 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
• 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
• 2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise876 cited
• 2001Modeling and Forecasting Realized Volatility824 cited
• n.d.The econometrics of ultra-high frequency data /784 cited
• 2005Separating microstructure noise from volatility635 cited
• 2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation554 cited
• 1993Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement