References

• 2003Financial Modelling with Jump Processes3,217 cited
• 1990The Asymptotic Theory of Extreme Order Statistics1,830 cited
• 1998The Variance Gamma Process and Option Pricing1,786 cited
• 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
• 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
• 2003Stochastic Volatility for Lévy Processes871 cited
• 2003Time-changed Lévy processes and option pricing674 cited
• 1999The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures369 cited
• 2001Series Representations of Lévy Processes from the Perspective of Point Processes240 cited
• 2004Fitting the variance-gamma model to financial data137 cited
• 2003Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models73 cited
• 2010Econometric analysis of jump-driven stochastic volatility models66 cited
• 2009Small-time expansions for the transition distributions of Lévy processes60 cited
• 2002Expansion of transition distributions of Lévy processes in small time53 cited
• 2008Small-time moment asymptotics for Lévy processes46 cited