1. Ait-Sahalia, Y., Jacod, J., 2008a. Estimating the degree of activity of jumps in high frequency financial data. Annals of Statistics (forthcoming)
2. Ait-Sahalia, Y., Jacod, J., 2008b. Testing for jumps in a discretely observed process. Annals of Statistics (forthcoming)
3. Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility;Andersen;Review of Economics and Statistcis,2007
4. A central limit theorem for realised power and bipower variations of continuous semimartingales;Barndorff-Nielsen,2005
5. Barndorff-Nielsen, O.E., Hansen, P., Lunde, A., Shephard, N., 2006a. Designing realized kernels to measure the ex-post variation of equity prices in the presence of noise. Working Paper. Nuffield College, Oxford