Modelling Financial High Frequency Data Using Point Processes
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- A quasi-locally most powerful test for correlation in the conditional variance of positive data
- Concentration inequalities for Poisson point processes with application to adaptive intensity estimation
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- Estimation for the prediction of point processes with many covariates
- Locally stationary Hawkes processes
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- Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
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- Hazard rate model and statistical analysis of a compound point process.
- Econometrics of financial high-frequency data
- Universality in the number variance and counting statistics of the real and symplectic Ginibre ensemble
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