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Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus, (2013)
Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility
Dong, Yingjie, (2017)
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree, (2020)
Is the short rate drift actually nonlinear?
Chapman, David A., (2000)
Nonparametric risk management and implied risk aversion
Aït-Sahalia, Yacine, (2000)
Transition densities for interest rate and other nonlinear diffusions
Aït-Sahalia, Yacine, (1999)