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\newblock Arbitrage and valuation in the market for {S}tandard \& {P}oor's
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\newblock {\em Financial Management\/}~{\em 29\/}(3), 71--87.

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\newblock {\em The Review of Economics and Statistics\/}~{\em 89\/}(4),
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\newblock {\em Journal of Financial Economics\/}~{\em 61\/}(1), 43--76.

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\newblock Computation and analysis of multiple structural change models.
\newblock {\em Journal of Applied Econometrics\/}~{\em 18\/}(1), 1--22.

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\newblock {\em The Econometrics Journal\/}~{\em 12\/}(3), C1--C32.

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\newblock Econometric analysis of realized volatility and its use in estimating
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\newblock Power and bipower variation with stochastic volatility and jumps.
\newblock {\em Journal of Financial Econometrics\/}~{\em 2\/}(1), 1--37.

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\newblock A model of financialization of commodities.
\newblock {\em The Journal of Finance\/}~{\em 71\/}(4), 1511--1556.

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\newblock Do {ETFs} increase volatility?
\newblock {\em The Journal of Finance\/}~{\em 73\/}(6), 2471--2535.

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\newblock Financial econometric analysis at ultra-high frequency: Data handling
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\newblock {\em Computational Statistics \& Data Analysis\/}~{\em 51\/}(4),
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\newblock Speculation, commodities and cross-market linkages.
\newblock {\em Journal of International Money and Finance\/}~{\em 42}, 38--70.

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\newblock Forecasting exchange rates with a large {B}ayesian {VAR}.
\newblock {\em International Journal of Forecasting\/}~{\em 25\/}(2), 400--417.

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\newblock A simple approximate long-memory model of realized volatility.
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\newblock Exchange traded funds and asset return correlations.
\newblock {\em European Financial Management\/}~{\em 24\/}(1), 136--168.

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\newblock The impact of innovation: Evidence from corporate bond
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\newblock {\em Journal of Financial Economics\/}~{\em 125\/}(3), 537--560.

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\newblock Facts and fantasies about commodity futures.
\newblock {\em Financial Analysts Journal\/}~{\em 62\/}(2), 47--68.

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\newblock Limits of arbitrage: The state of the theory.
\newblock {\em Annual Review of Financial Economics\/}~{\em 2}, 251--275.

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\newblock A realized variance for the whole day based on intermittent
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\newblock {\em Journal of Financial Econometrics\/}~{\em 3\/}(4), 525--554.

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\newblock Intraday price formation in {US} equity index markets.
\newblock {\em The Journal of Finance\/}~{\em 58\/}(6), 2375--2400.

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\newblock Algorithmic trading and the market for liquidity.
\newblock {\em Journal of Financial and Quantitative Analysis\/}~{\em 48\/}(4),
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\newblock The relative contribution of jumps to total price variance.
\newblock {\em Journal of Financial Econometrics\/}~{\em 3\/}(4), 456--499.

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\newblock Is there a dark side to exchange traded funds? {An} information
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\newblock {\em Review of Accounting Studies\/}~{\em 22\/}(3), 1048--1083.

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\newblock Forecasting with medium and large {B}ayesian {VARs}.
\newblock {\em Journal of Applied Econometrics\/}~{\em 28\/}(2), 177--203.

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\newblock Forecasting with {B}ayesian vector autoregressions—five years of
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\newblock {\em Journal of Business \& Economic Statistics\/}~{\em 4\/}(1),
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\newblock Does anything beat 5-minute {RV}? {A} comparison of realized measures
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\newblock {\em Journal of Econometrics\/}~{\em 187\/}(1), 293--311.

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\newblock Exchange-traded funds, market structure, and the flash crash.
\newblock {\em Financial Analysts Journal\/}~{\em 68\/}(4), 20--35.

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\newblock Volatilities of different time resolutions—analyzing the dynamics
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\newblock {\em Journal of Empirical Finance\/}~{\em 4\/}(2-3), 213--239.

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\newblock Anatomy of a liquidity crisis: Corporate bonds in the {COVID}-19
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\newblock {\em Journal of Financial Economics\/}~{\em 142\/}(1), 46--68.

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\newblock {ETF} arbitrage under liquidity mismatch.
\newblock {\em Journal of Financial Economics\/}~{\em 120\/}(3), 617--635.

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\newblock Inefficiencies in the pricing of exchange-traded funds.
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\newblock Costly arbitrage: Evidence from closed-end funds.
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\newblock {\em Journal of Futures Markets\/}~{\em 28\/}(12), 1182--1205.

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\newblock Asset management via {ETFs}.
\newblock {\em The Review of Financial Studies\/}~{\em 30\/}(9), 3225--3264.

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\newblock When passive funds affect prices: Evidence from volatility and
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