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Cited by

• 2001Multifractal returns and hierarchical portfolio theory119 cited
• 2003Market heterogeneities and the causal structure of volatility114 cited
• 2007Continuous cascade models for asset returns100 cited
• 2013Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach87 cited
• 2002Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos75 cited
• 2010Edgeworth expansions for realized volatility and related estimators67 cited
• 2011Will the US economy recover in 2010? A minimal spanning tree study63 cited
• 2004Power variation and stochastic volatility: a review and some new results53 cited
• 2010Volatility conditional on price trends51 cited
• 2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading41 cited
• 2010Discrete sine transform for multi-scale realized volatility measures34 cited
• 2013Infinite-order, long-memory heterogeneous autoregressive models31 cited
• 2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price30 cited
• 2015Functional stable limit theorems for quasi-efficient spectral covolatility estimators