| Publication | Date of Publication | Type |
|---|
Testing for unspecified periodicities in binary time series
Journal of Time Series Analysis | 2026-08-19 | Paper |
On goodness-of-fit testing for self-exciting point processes
Scandinavian Journal of Statistics | 2026-02-27 | Paper |
Understanding limit theorems for semimartingales: a short survey
Statistica Neerlandica | 2024-07-16 | Paper |
On the estimation of the jump activity index in the case of random observation times
Japanese Journal of Statistics and Data Science | 2023-07-25 | Paper |
A universal approach to estimate the conditional variance in semimartingale limit theorems
Annals of the Institute of Statistical Mathematics | 2021-12-17 | Paper |
Multiscale change point detection for dependent data
Scandinavian Journal of Statistics | 2021-06-22 | Paper |
The null hypothesis of (common) jumps in case of irregular and asynchronous observations
Scandinavian Journal of Statistics | 2020-11-30 | Paper |
A universal approach to estimate the conditional variance in semimartingale limit theorems
(available as arXiv preprint) | 2020-03-24 | Paper |
Laws of large numbers for Hayashi-Yoshida-type functionals
Finance and Stochastics | 2019-06-27 | Paper |
Testing for simultaneous jumps in case of asynchronous observations
Bernoulli | 2018-05-18 | Paper |
Testing for simultaneous jumps in case of asynchronous observations
Bernoulli | 2018-05-18 | Paper |
On \(U\)- and \(V\)-statistics for discontinuous Itô semimartingales
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2017-09-15 | Paper |
Nonparametric change-point analysis of volatility
The Annals of Statistics | 2017-09-08 | Paper |
Nonparametric change-point analysis of volatility
The Annals of Statistics | 2017-09-08 | Paper |
A note on central limit theorems for quadratic variation in case of endogenous observation times
Electronic Journal of Statistics | 2017-04-07 | Paper |
A note on central limit theorems for quadratic variation in case of endogenous observation times
Electronic Journal of Statistics | 2017-04-07 | Paper |
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
Bernoulli | 2015-10-30 | Paper |
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
Bernoulli | 2015-10-30 | Paper |
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Annals of the Institute of Statistical Mathematics | 2015-07-21 | Paper |
Testing non-parametric hypotheses for stationary processes by estimating minimal distances
Journal of Time Series Analysis | 2014-08-06 | Paper |
Inference on the Lévy measure in case of noisy observations
Statistics & Probability Letters | 2014-06-05 | Paper |
A test for stationarity based on empirical processes
Bernoulli | 2014-02-04 | Paper |
On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
Journal of Multivariate Analysis | 2014-01-13 | Paper |
Testing semiparametric hypotheses in locally stationary processes
Scandinavian Journal of Statistics | 2013-10-09 | Paper |
Discriminating between long-range dependence and non-stationarity
Electronic Journal of Statistics | 2013-09-26 | Paper |
Nonparametric inference on Lévy measures and copulas
The Annals of Statistics | 2013-09-25 | Paper |
Nonparametric inference on Lévy measures and copulas
The Annals of Statistics | 2013-09-25 | Paper |
Model checks for the volatility under microstructure noise
Bernoulli | 2013-01-17 | Paper |
Model checks for the volatility under microstructure noise
Bernoulli | 2013-01-17 | Paper |
Estimation of correlation for continuous semimartingales
Scandinavian Journal of Statistics | 2012-12-21 | Paper |
A measure of stationarity in locally stationary processes with applications to testing
Journal of the American Statistical Association | 2012-01-18 | Paper |
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Bernoulli | 2010-11-12 | Paper |
Limit theorems for moving averages of discretized processes plus noise
The Annals of Statistics | 2010-05-26 | Paper |
Bias-correcting the realized range-based variance in the presence of market microstructure noise
Finance and Stochastics | 2010-04-22 | Paper |
Limit theorems for bipower variation of semimartingales
Stochastic Processes and their Applications | 2010-01-15 | Paper |
Bipower-type estimation in a noisy diffusion setting
Stochastic Processes and their Applications | 2009-09-17 | Paper |
Microstructure noise in the continuous case: the pre-averaging approach
Stochastic Processes and their Applications | 2009-07-15 | Paper |
Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
Scandinavian Journal of Statistics | 2006-12-08 | Paper |
