# Publications

Stochastic volatility with leverage: fast and efficient likelihood inference.” Journal of Econometrics 140: 425-449.

. 2007. “ Upload paperRealised variance and market microstructure noise.” Journal of Business and Economic Statistics. , 179-181.

. 2006. “A central limit theorem for realised power and bipower variations of continious semimartingales.” From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev, (edited by Kabanov, Y and R Lipster), 33-68. Springer.

. 2006. “ Upload paperParallel computation in econometrics: a simplified approach.” Handbook of Parallel Computing and Statistics, (edited by E.J. Kontoghiorghes), 449-476. Chapman and Hall.

. 2006. “ Upload paperImpact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes".” Journal of Econometrics 131: 217-252.

. 2006. “ Upload paperEconometrics of testing for jumps in financial economics using bipower variation.” Journal of Financial Econometrics 4: 1-30.

. 2006. “ Upload paperLimit theorems for multipower variation in the presence of jumps.” Stochastic Processes and Their Applications 116: 796-806.

. 2006. “ Upload paperLimit theorems for bipower variation in financial econometrics.” Econometric Theory 22: 677-719.

. 2006. “ Upload paperAnalysis of high dimensional multivariate stochastic volatility models.” Journal of Econometrics 132: 341-371.

. 2006. “ Upload paperInference for adaptive series models: stochastic volatility and conditionally Gaussian state space form.” Econometrics Reviews 25: 219-244.

. 2006. “ Upload paperHow accurate is the asymptotic approximation to the distribution of realised volatility?” Identification and Inference for Econometric Models. A Festschrift for Tom Rotheberg, (edited by Donald W.K. Andrews and James H. Stock), 306-331. Cambridge University Press.

. 2005. “Are there discontinuities in financial prices?” Celebrating Statistics: Papers in Honour of Sir David Cox on his 80th Birthday, (edited by Anthony Davison, Yadolah Dodge and Nanny Wermuth), 213-231. Oxford University Press.

. 2005. “Introduction.” Stochastic Volatility, , 1-33. Oxford University Press.

2005. “Multipower variation and stochastic volatility.” Stochastic Finance , (edited by A.N. Shiryaev, M.R. Grossinho, P.E. Oliveira, M.L. Esquivel), 73-82. Springer.

. 2005. “ Upload paperPower variation and time change.” Teoriya Veroyatnostei i ee Primeneniya 50: 115-130.

. 2005. “ Upload paperReprinted in Theory of Probability and Its Applications, 2005, 50, 1-15.

Stochastic Volatility: Selected Readings. Oxford University Press, 536.

. 2005. Measuring and forecasting financial variability using realised variance with and without a model.” State Space and Unobserved Component Models: Theory and Applications. Proceedings of a Conference in Honour of James Durbin, (edited by Andrew C. Harvey, Siem Jan Koopman and Neil Shephard), 205-235. Cambridge University Press.

. 2004. “ Upload paperPower and bipower variation with stochastic volatility and jumps.” (with discussion) Journal of Financial Econometrics 2: 1-48.

. 2004. “ Upload paperReprinted in "Financial Risk Measurement and Management" (editor Frank X. Diebold), in Edward Elgar Publishers, 2012.

Power variation and stochastic volatility: a review and some new results.” Journal of Applied Probability 41A: 133-143.

. 2004. “ Upload paperThis volume was in honour of Christopher C. Hyde

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics.” Econometrica 72: 885-9225.

. 2004. “ Upload paper