Citation Impact
Citing Papers
Estimation of Long Memory in Volatility
2000
The Distribution of Exchange Rate Volatility
1999
Functional and Effective Connectivity: A Review
2011 Standout
Nonlinearity and temporal dependence
2009 StandoutNobel
Anomalous diffusion and weak nonergodicity
2011
Effective connectivity: Influence, causality and biophysical modeling
2011
Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models
2019 Standout
THE IMPACT ON OPTION PRICING OF SPECIFICATION ERROR IN THE UNDERLYING STOCK PRICE RETURNS
1976 StandoutNobel
Flexible paleoclimate age-depth models using an autoregressive gamma process
2011 Standout
New frontiers for arch models
2002 StandoutNobel
On the network topology of variance decompositions: Measuring the connectedness of financial firms
2014 Standout
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
2005
Empirical properties of asset returns: stylized facts and statistical issues
2001 Standout
Modeling and Forecasting Realized Volatility
2003 Standout
Local -estimation for jump-diffusion processes
2012
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
2007
Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
2001
Transform Analysis and Asset Pricing for Affine Jump-diffusions
2000 Standout
Long-term equity anticipation securities and stock market volatility dynamics
1999
The Impact of Uncertainty Shocks
2009 Standout
Geopolitical risks and stock market dynamics of the BRICS
2018 Standout
Temporal Aggregation of Univariate and Multivariate Time Series Models: A Survey
2008
ANALYTICAL EVALUATION OF VOLATILITY FORECASTS*
2004
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
2003
What good is a volatility model?
2001 StandoutNobel
Machinery health prognostics: A systematic review from data acquisition to RUL prediction
2017 Standout
A theoretical comparison between integrated and realized volatility
2002
Innovation and Productivity in SMEs - Empirical Evidence for Italy
2009 Standout
Dynamic Valuation Decomposition Within Stochastic Economies
2012 StandoutNobel
Pricing and hedging long-term options
2000
Forecasting Volatility in Financial Markets: A Review
2003 StandoutNobel
Long-Memory versus Option-Implied Volatility Predictions
2002
A Simple Approximate Long-Memory Model of Realized Volatility
2008 Standout
Modelling Time-Varying Exchange Rate Dependence using the Conditional Copula
2001 Standout
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
2002
The Distribution of Realized Exchange Rate Volatility
2001 Standout
A consistent nonparametric test for nonlinear causality—Specification in time series regression
2011
The distribution of realized stock return volatility
2001 Standout
Modeling and Forecasting Realized Volatility
2001
Estimating quadratic variation using realized variance
2002
Stochastic degradation process modeling and remaining useful life estimation with flexible random-effects
2016
Anomalous diffusion models and their properties: non-stationarity, non-ergodicity, and ageing at the centenary of single particle tracking
2014 Standout
Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards
2004 Standout
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
2000
The Cross‐Section of Volatility and Expected Returns
2006 Standout
Works of Fabienne Comte being referenced
Nonparametric estimation of random-effects densities in linear mixed-effects model
2012
Asymptotic theory for multivariate GARCH processes
2003
Second‐Order Noncausality in Multivariate GARCH Processes
2000
Noncausality in Continuous Time Models
1996
Long memory in continuous‐time stochastic volatility models
1998
Long memory continuous time models
1996
Penalized nonparametric mean square estimation of the coefficients of diffusion processes
2007
Nonparametric estimation for stochastic differential equations with random effects
2013