Most cited documents in this series:

Year	Title	Cited
1981	Martingales and stochastic integrals in the theory of continuous trading RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260 [Citation Analysis]	146
2000	Weak convergence of multivariate fractional processes RePEc:eee:spapps:v:86:y:2000:i:1:p:103-120 [Citation Analysis]	25
1990	Nonparametric regression with long-range dependence RePEc:eee:spapps:v:36:y:1990:i:2:p:339-351 [Citation Analysis]	18
1998	Selecting the optimal sample fraction in univariate extreme value estimation RePEc:eee:spapps:v:75:y:1998:i:2:p:149-172 [Citation Analysis]	16
1983	A stochastic calculus model of continuous trading: Complete markets RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316 [Citation Analysis]	16
1996	Multivariate regression estimation local polynomial fitting for time series RePEc:eee:spapps:v:65:y:1996:i:1:p:81-101 [Citation Analysis]	14
1994	Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms RePEc:eee:spapps:v:49:y:1994:i:2:p:207-216 [Citation Analysis]	13
1991	Time-dependent coefficients in a Cox-type regression model RePEc:eee:spapps:v:39:y:1991:i:1:p:153-180 [Citation Analysis]	12
1985	Some mixing properties of time series models RePEc:eee:spapps:v:19:y:1985:i:2:p:297-303 [Citation Analysis]	12
2006	Limit theorems for multipower variation in the presence of jumps RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806 [Citation Analysis]	11
1995	A class of micropulses and antipersistent fractional Brownian motion RePEc:eee:spapps:v:60:y:1995:i:1:p:1-18 [Citation Analysis]	11
2008	Asymptotic properties of realized power variations and related functionals of semimartingales RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559 [Citation Analysis]	11
2008	A note on the central limit theorem for bipower variation of general functions RePEc:eee:spapps:v:118:y:2008:i:6:p:1056-1070 [Citation Analysis]	10
1986	Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations RePEc:eee:spapps:v:23:y:1986:i:1:p:77-89 [Citation Analysis]	10
2002	Regular variation of GARCH processes RePEc:eee:spapps:v:99:y:2002:i:1:p:95-115 [Citation Analysis]	10
1999	A new weak dependence condition and applications to moment inequalities RePEc:eee:spapps:v:84:y:1999:i:2:p:313-342 [Citation Analysis]	10
1998	Additional logarithmic utility of an insider RePEc:eee:spapps:v:75:y:1998:i:2:p:263-286 [Citation Analysis]	8
2007	Stability of utility-maximization in incomplete markets RePEc:eee:spapps:v:117:y:2007:i:11:p:1642-1662 [Citation Analysis]	8
2000	Optimal portfolios for logarithmic utility RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48 [Citation Analysis]	8
1991	Option hedging for semimartingales RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363 [Citation Analysis]	7
1998	Optimal trading strategy for an investor: the case of partial information RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97 [Citation Analysis]	7
2004	Dynamic coherent risk measures RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200 [Citation Analysis]	6
1996	On the Kullback-Leibler information divergence of locally stationary processes RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168 [Citation Analysis]	6
1977	Estimation of a time series model from unequally spaced data RePEc:eee:spapps:v:6:y:1977:i:1:p:9-24 [Citation Analysis]	6
1991	The distributions of certain record statistics from a random number of observations RePEc:eee:spapps:v:38:y:1991:i:1:p:167-183 [Citation Analysis]	6
1995	Utility maximization with partial information RePEc:eee:spapps:v:56:y:1995:i:2:p:247-273 [Citation Analysis]	6
2009	Microstructure noise in the continuous case: The pre-averaging approach RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276 [Citation Analysis]	6
2006	Asymptotic behaviour of the empirical process for exchangeable data RePEc:eee:spapps:v:116:y:2006:i:2:p:337-344 [Citation Analysis]	6
1978	Alternative models for stationary stochastic processes RePEc:eee:spapps:v:8:y:1978:i:2:p:141-152 [Citation Analysis]	5
2003	Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences RePEc:eee:spapps:v:108:y:2003:i:2:p:155-202 [Citation Analysis]	5
2007	Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero RePEc:eee:spapps:v:117:y:2007:i:9:p:1265-1284 [Citation Analysis]	5
2003	On the optimal stopping problem for one-dimensional diffusions RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212 [Citation Analysis]	5
1988	Admissible investment strategies in continuous trading RePEc:eee:spapps:v:30:y:1988:i:2:p:291-301 [Citation Analysis]	5
1985	More limit theory for the sample correlation function of moving averages RePEc:eee:spapps:v:20:y:1985:i:2:p:257-279 [Citation Analysis]	5
1986	The mixing property of bilinear and generalised random coefficient autoregressive models RePEc:eee:spapps:v:23:y:1986:i:2:p:291-300 [Citation Analysis]	5
2007	A forward scheme for backward SDEs RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812 [Citation Analysis]	5
1997	On polynomial mixing bounds for stochastic differential equations RePEc:eee:spapps:v:70:y:1997:i:1:p:115-127 [Citation Analysis]	4
1984	Inference for earthquake models: A self-correcting model RePEc:eee:spapps:v:17:y:1984:i:2:p:337-347 [Citation Analysis]	4
1979	The central limit theorem for time series regression RePEc:eee:spapps:v:9:y:1979:i:3:p:281-289 [Citation Analysis]	4
2005	Optimal partially reversible investment with entry decision and general production function RePEc:eee:spapps:v:115:y:2005:i:5:p:705-736 [Citation Analysis]	4
2001	Asymptotics of empirical processes of long memory moving averages with infinite variance RePEc:eee:spapps:v:91:y:2001:i:2:p:309-336 [Citation Analysis]	4
2006	Malliavin Monte Carlo Greeks for jump diffusions RePEc:eee:spapps:v:116:y:2006:i:1:p:101-129 [Citation Analysis]	4
1999	Detection of multiple changes in a sequence of dependent variables RePEc:eee:spapps:v:83:y:1999:i:1:p:79-102 [Citation Analysis]	4
1995	The blockwise bootstrap for general empirical processes of stationary sequences RePEc:eee:spapps:v:58:y:1995:i:2:p:247-265 [Citation Analysis]	4
1993	Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence RePEc:eee:spapps:v:45:y:1993:i:1:p:169-182 [Citation Analysis]	4
2001	Convergence of locally and globally interacting Markov chains RePEc:eee:spapps:v:96:y:2001:i:1:p:99-121 [Citation Analysis]	4
1991	Functional limit theorems for random quadratic forms RePEc:eee:spapps:v:37:y:1991:i:1:p:81-98 [Citation Analysis]	4
1984	Optimum portfolio diversification in a general continuous-time model RePEc:eee:spapps:v:18:y:1984:i:1:p:81-98 [Citation Analysis]	3
1989	Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes RePEc:eee:spapps:v:32:y:1989:i:2:p:213-224 [Citation Analysis]	3
1994	An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series RePEc:eee:spapps:v:54:y:1994:i:2:p:297-307 [Citation Analysis]	3

Citing documents used to compute impact factor 8:

Year	Title	See
2010	New tests for jumps in semimartingale models RePEc:spr:sistpr:v:13:y:2010:i:1:p:15-41	[Citation Analysis]
2010	Realising the future: forecasting with high-frequency-based volatility (HEAVY) models RePEc:jae:japmet:v:25:y:2010:i:2:p:197-231	[Citation Analysis]
2010	Quantitative Breuer-Major Theorems RePEc:aah:create:2010-22	[Citation Analysis]
2010	Nonparametric estimation for a stochastic volatility model RePEc:spr:finsto:v:14:y:2010:i:1:p:49-80	[Citation Analysis]
2010	Time consistency and moving horizons for risk measures RePEc:arx:papers:0912.1396	[Citation Analysis]
2010	Dynamic relations for sparsely sampled Gaussian processes RePEc:spr:testjl:v:19:y:2010:i:1:p:1-29	[Citation Analysis]
2010	Identifying the Brownian Covariation from the Co-Jumps Given Discrete Observations RePEc:flo:wpaper:2010-05	[Citation Analysis]
2010	Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence RePEc:aah:create:2010-29	[Citation Analysis]

Cites in year: CiY