Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise

Limit Theorems for Stochastic Processes.

Ditlev Monrad, Jean Jacod, Albert N. Shiryaev · Journal of the American Statistical Association · 1988 · 4.2K citations

Limit Theorems, Density Processes, Engineering +12

Stochastic Differential Equations and Diffusion Processes

Gopinath Kallianpur, Nobuyuki Ikeda, Shinzo Watanabe · Technometrics · 1983 · 3.9K citations

Engineering, Diffusion Processes, Stochastic Processes +10

Martingale Limit Theory and its Application.

R. M. Loynes, Peter Hall, C. C. Heyde · Journal of the Royal Statistical Society Series A (General) · 1984 · 2.8K citations · Full text

Engineering, Integrable Probability, Stochastic Processes +5

The Distribution of Realized Exchange Rate Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Journal of the American Statistical Association · 2001 · 2.2K citations

Exchange Rate Volatilities, Volatility Modeling, Engineering +16

The Statistical Analysis of Time Series.

T. W. Anderson · Biometrics · 1995 · 2K citations

Spectral Theory, Engineering, Wiley Classics Library +16