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Cited by

• 2000Scaling and correlation in financial time series143 cited
• 2005Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes92 cited
• 2007Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets79 cited
• 2000Heteroscedasticity in stock returns data revisited: volume versus GARCH effects76 cited
• 2000Volatility and information flows in emerging equity market71 cited
• 2008Stock return distributions: Tests of scaling and universality from three distinct stock markets69 cited
• 1993Intra‐day futures price volatility: Information effects and variance persistence52 cited
• 1993The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks51 cited
• 1994Conditional Heteroskedasticity and Global Stock Return Distributions39 cited
• 1991NONLINEAR TIME SERIES MODELS IN ECONOMICS27 cited