| Publication | Date of Publication | Type |
|---|
| Local Parametric Estimation in High Frequency Data | 2024-10-28 | Paper |
| Realized regression with asynchronous and noisy high frequency and high dimensional data | 2024-03-06 | Paper |
| IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS | 2023-03-06 | Paper |
| A CLT for second difference estimators with an application to volatility and intensity | 2022-11-02 | Paper |
| The observed asymptotic variance: hard edges, and a regression approach | 2021-03-24 | Paper |
| The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data | 2021-01-22 | Paper |
| Combining statistical intervals and market prices: the worst case state price distribution | 2019-09-02 | Paper |
| The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times | 2019-04-26 | Paper |
| Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance | 2019-01-31 | Paper |
| Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data | 2017-08-21 | Paper |
| The Estimation of Leverage Effect With High-Frequency Data | 2017-08-04 | Paper |
| Jumps in equilibrium prices and market microstructure noise | 2017-05-12 | Paper |
| Estimation of integrated quadratic covariation with endogenous sampling times | 2017-01-30 | Paper |
| Cumulants and Bartlett Identities in Cox Regression | 2017-01-16 | Paper |
| Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing | 2016-12-02 | Paper |
| Between data cleaning and inference: pre-averaging and robust estimators of the efficient price | 2016-09-06 | Paper |
| On the jump activity index for semimartingales | 2016-08-15 | Paper |
| Ultra high frequency volatility estimation with dependent microstructure noise | 2016-08-10 | Paper |
| Edgeworth expansions for realized volatility and related estimators | 2016-08-10 | Paper |
| An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions | 2016-06-10 | Paper |
| On Generating Monte Carlo Samples of Continuous Diffusion Bridges | 2015-06-15 | Paper |
| Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method | 2015-05-27 | Paper |
| A Gaussian calculus for inference from high frequency data | 2014-11-12 | Paper |
| REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS | 2014-09-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4913195 | 2013-04-03 | Paper |
| ANOVA for diffusions and Itō processes | 2012-09-03 | Paper |
| The Double Gaussian Approximation for High Frequency Data | 2012-09-01 | Paper |
| Inference for volatility-type objects and implications for hedging | 2012-01-25 | Paper |
| Inference for Continuous Semimartingales Observed at High Frequency | 2009-12-21 | Paper |
| Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations | 2009-11-27 | Paper |
| Microstructure noise in the continuous case: the pre-averaging approach | 2009-07-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3511639 | 2008-07-11 | Paper |
| Are volatility estimators robust with respect to modeling assumptions? | 2008-02-06 | Paper |
| A Tale of Two Time Scales | 2007-08-20 | Paper |
| An asymptotic decomposition of hedging errors | 2007-07-31 | Paper |
| The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions | 2006-06-19 | Paper |
| EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH | 2006-02-08 | Paper |
| Estimators of diffusions with randomly spaced discrete observations: a general theory | 2005-02-28 | Paper |
| Conservative delta hedging. | 2004-10-27 | Paper |
| Financial options and statistical prediction intervals | 2004-06-09 | Paper |
| The interpolation of options | 2004-03-16 | Paper |
| Likelihood computations without Bartlett identities | 2002-06-30 | Paper |
| Bartlett identities and large deviations in likelihood theory | 2000-12-27 | Paper |
| Empirical likelihood in the presence of nuisance parameters | 1999-07-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4215564 | 1999-02-09 | Paper |
| An evaluation of the power and conditionality properties of empirical likelihood | 1998-11-03 | Paper |
| Dual likelihood | 1997-12-14 | Paper |
| Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data | 1997-08-03 | Paper |
| Embedding and asymptotic expansions for martingales | 1996-08-13 | Paper |
| Martingale expansions and second order inference | 1996-06-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4844367 | 1996-01-09 | Paper |
| Regeneration in Markov Chain Samplers | 1995-08-30 | Paper |
| Bartlett type identities for martingales | 1994-06-29 | Paper |
| Nonlinear Experiments: Optimal Design and Inference Based on Likelihood | 1993-11-14 | Paper |
| Asymptotic expansions for martingales | 1993-10-11 | Paper |
| Asymptotic expansions and bootstrapping distributions for dependent variables: A martingale approach | 1992-09-27 | Paper |
