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Cited by

• 2006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison181 cited
• 2009NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH175 cited
• 2008AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE173 cited
• 2015Information-theoretic optimality of observation-driven time series models for continuous responses166 cited
• 2008Realised Kernels in Practice: Trades and Quotes143 cited
• 2015A tale of two option markets: Pricing kernels and volatility risk123 cited
• 2010Testing for co-integration in vector autoregressions with non-stationary volatility115 cited
• 2009Stochastic Volatility: Origins and Overview113 cited
• 2011Stochastic Volatility in General Equilibrium113 cited
• 2004Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise112 cited
• 2008A General Framework for Observation Driven Time-Varying Parameter Models104 cited
• 2013Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads100 cited
• 2009Structural Breaks in Financial Time Series92 cited
• 2009Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance