Journal of Empirical Finance · 2015 · 28 citations · 34 references
BusinessEconomicsFinanceFinancial EconomicsStochastic ProcessesTime Series AnalysisJump ProcessesOption PricingPresent ValueStochastic VolatilityVolatility AnalysisVolatility ModelingJump-diffusion Volatility ModelsRealized VolatilityStochastic Volatility With Jumps
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Option pricing when underlying stock returns are discontinuous
Robert C. Merton · Journal of Financial Economics · 1976 · 6.1K citations · Full text
Business, Finance, Asset Pricing +16
Francis X. Diebold, Roberto S. Mariano · Journal of Business and Economic Statistics · 1995 · 4.8K citations
A Simple Approximate Long-Memory Model of Realized Volatility
Fulvio Corsi · Journal of Financial Econometrics · 2008 · 2.5K citations
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Bjørn Eraker, Michael Johannes, Nicholas Polson · The Journal of Finance · 2003 · 1.6K citations · Full text