1. Volatility estimators for discretely sampled L�vy processes;Y A�?ta�?t-Sahalia;Annals of Statistics, forthcoming,2004
2. How often to sample a continuous-time process in the presence of market microstructure noise;Y A�?ta�?t-Sahalia;Review of Financial Studies,2005
3. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies;T G Andersen;Journal of Empirical Finance,1997
4. Roughing it up: Including jump components in the measurement, modeling and forecasting of return volatility, Review of Economics and Statistics (forthcoming). , and P. Labys, 2003, Modeling and forecasting realized volatility;T G Andersen;Econometrica,2002