An Introduc-tion to High-Frequency Finance

By Michel M. Dacorogna, Ramazan Gencay, S. Altunc, O. Pictet, Richard Olsen. 2001

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High volatility, thick tails and extreme value theory in value-at-risk estimation (2003, background): “5, implying that the returns have finite variance (Dacorogna et al., 2001b).”
Stochastic behavioral asset pricing models and the stylized facts (2008, background): “Both the ndings on fat tails and long-term dependence of volatility in daily data are con rmed for intra-daily records (cf. Abhyankar et al., 1995, Dacorogna et al., 2001, Bollerslev and Wright, 2000).”
Measuring the impact of jumps in multivariate price processes using bipower covariation (2004, background): “the parametric models of Eraker, Johannes, and Polson (2003), Andersen, Benzoni, and Lund (2002), Chernov, Gallant, Ghysels, and Tauchen (2003) and the Markovian, non-parametric analysis of Aı̈t-Sahalia (2002), Johannes (2004) and Bandi and Nguyen (2003)) and options data (e.”