| Publication | Date of Publication | Type |
|---|
| Inference and forecasting for continuous-time integer-valued trawl processes | 2023-09-28 | Paper |
| Simulation‐based likelihood inference for limited dependent processes | 2023-07-07 | Paper |
| Panel experiments and dynamic causal effects: A finite population perspective | 2022-03-24 | Paper |
| A nonparametric Bayesian approach to copula estimation | 2020-04-23 | Paper |
| Panel Experiments and Dynamic Causal Effects: A Finite Population Perspective | 2020-03-22 | Paper |
| Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading | 2020-01-15 | Paper |
| Moment Conditions and Bayesian Non-Parametrics | 2019-03-01 | Paper |
| Some recent developments in stochastic volatility modelling | 2019-01-14 | Paper |
| Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading | 2017-09-28 | Paper |
| Likelihood Inference for Exponential-Trawl Processes | 2017-01-16 | Paper |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading | 2016-08-12 | Paper |
| Subsampling realised kernels | 2016-08-10 | Paper |
| Testing the assumptions behind importance sampling | 2016-07-04 | Paper |
| Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes | 2016-06-10 | Paper |
| Analysis of high dimensional multivariate stochastic volatility models | 2016-05-02 | Paper |
| Continuous time analysis of fleeting discrete price moves | 2014-10-27 | Paper |
| Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes | 2014-10-09 | Paper |
| Multivariate rotated ARCH models | 2014-08-07 | Paper |
| Integer-valued Lévy processes and low latency financial econometrics | 2014-01-17 | Paper |
| Stochastic volatility with leverage: fast and efficient likelihood inference | 2012-09-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3099630 | 2011-12-01 | Paper |
| BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS | 2011-11-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3074773 | 2011-02-10 | Paper |
| Realized kernels in practice: trades and quotes | 2009-12-22 | Paper |
| Stochastic Volatility: Origins and Overview | 2009-11-27 | Paper |
| Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise | 2008-12-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3511640 | 2008-07-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3498090 | 2008-05-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5447122 | 2008-03-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5309198 | 2007-10-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5308608 | 2007-09-28 | Paper |
| LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS | 2006-11-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5493536 | 2006-10-23 | Paper |
| Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form | 2006-08-28 | Paper |
| Limit theorems for multipower variation in the presence of jumps | 2006-06-30 | Paper |
| Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics | 2006-06-16 | Paper |
| Likelihood-Based Estimation of Latent Generalized ARCH Structures | 2006-06-16 | Paper |
| Power Variation and Time Change | 2006-06-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3374316 | 2006-03-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3374324 | 2006-03-09 | Paper |
| Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models | 2005-04-22 | Paper |
| Computationally intensive econometrics using a distributed matrix-programming language | 2005-03-30 | Paper |
| Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models | 2004-11-24 | Paper |
| Power variation and stochastic volatility: a review and some new results | 2004-10-25 | Paper |
| Realized power variation and stochastic volatility model | 2004-06-10 | Paper |
| Realized power variation and stochastic volatility models | 2003-12-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4431597 | 2003-10-22 | Paper |
| Markov chain Monte Carlo methods for stochastic volatility models. | 2003-04-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4791405 | 2003-02-06 | Paper |
| Filtering via Simulation: Auxiliary Particle Filters | 2002-07-30 | Paper |
| Likelihood Inference for Discretely Observed Nonlinear Diffusions | 2002-05-28 | Paper |
| Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics | 2002-04-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2753037 | 2001-10-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2738733 | 2001-09-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4510988 | 2001-02-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2712145 | 2001-01-01 | Paper |
| Statistical algorithms for models in state space using SsfPack 2.2 | 1999-11-25 | Paper |
| Detecting shocks: Outliers and breaks in time series | 1999-10-05 | Paper |
| Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models | 1999-09-14 | Paper |
| Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models | 1998-11-10 | Paper |
| Likelihood analysis of non-Gaussian measurement time series | 1997-11-18 | Paper |
| The simulation smoother for time series models | 1995-08-16 | Paper |
| Partial non-Gaussian state space | 1994-10-11 | Paper |
| Local scale models. State space alternative to integraded GARCH processes | 1994-04-12 | Paper |
| Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components | 1993-09-02 | Paper |
