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Drift-independent volatility estimation based on high, low, open, and close prices
Yang, Dennis, (2000)
Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns
Wright, Jonathan H., (2000)
The econometrics of ultra-high-frequency data
Engle, Robert F., (2000)
Geometric indices : a theory of hedging and econometric analysis with application to the UK stock market
Rogers, Leonard C. G., (1993)
Does the behaviour of the asset tell us anything about the option price formula? : A cautionary tale
Rogers, Leonard C. G., (2000)
Numerical methods in finance
Rogers, Leonard C. G., (2008)