| Publication | Date of Publication | Type |
|---|
A comparison of sample survey measures of earnings of English graduates with administrative data
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2025-01-22 | Paper |
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Fitting Vast Dimensional Time-Varying Covariance Models
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Inference and forecasting for continuous-time integer-valued trawl processes
Journal of Econometrics | 2023-09-28 | Paper |
Simulation‐based likelihood inference for limited dependent processes
Econometrics Journal | 2023-07-07 | Paper |
Panel experiments and dynamic causal effects: A finite population perspective
Quantitative Economics | 2022-03-24 | Paper |
A nonparametric Bayesian approach to copula estimation
Journal of Statistical Computation and Simulation | 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
Journal of the American Statistical Association | 2020-01-15 | Paper |
Moment conditions and Bayesian non-parametrics
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-03-01 | Paper |
Some recent developments in stochastic volatility modelling
Quantitative Finance | 2019-01-14 | Paper |
A nonparametric Bayesian approach to copula estimation
Journal of Statistical Computation and Simulation | 2018-01-09 | Paper |
Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
Journal of Econometrics | 2017-09-28 | Paper |
Likelihood Inference for Exponential-Trawl Processes
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Journal of Econometrics | 2016-08-12 | Paper |
Subsampling realised kernels
Journal of Econometrics | 2016-08-10 | Paper |
Testing the assumptions behind importance sampling
Journal of Econometrics | 2016-07-04 | Paper |
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Journal of Econometrics | 2016-06-10 | Paper |
Analysis of high dimensional multivariate stochastic volatility models
Journal of Econometrics | 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
Scandinavian Journal of Statistics | 2014-10-09 | Paper |
Multivariate rotated ARCH models
Journal of Econometrics | 2014-08-07 | Paper |
Integer-valued Lévy processes and low latency financial econometrics
Quantitative Finance | 2014-01-17 | Paper |
Stochastic volatility with leverage: fast and efficient likelihood inference
Journal of Econometrics | 2012-09-23 | Paper |
Measuring downside risk -- realized semivariance
| 2011-12-01 | Paper |
Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
Econometric Theory | 2011-11-22 | Paper |
Nuisance parameters, composite likelihoods and a panel of GARCH models
| 2011-02-10 | Paper |
Realized kernels in practise : trades and quotes
Econometrics Journal | 2009-12-22 | Paper |
Stochastic Volatility: Origins and Overview
Handbook of Financial Time Series | 2009-11-27 | Paper |
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Econometrica | 2008-12-15 | Paper |
scientific article; zbMATH DE number 5299701 (Why is no real title available?)
| 2008-07-11 | Paper |
scientific article; zbMATH DE number 5280147 (Why is no real title available?)
| 2008-05-28 | Paper |
Variation, jumps and high-frequency data in financial econometrics
| 2008-03-06 | Paper |
scientific article; zbMATH DE number 5198657 (Why is no real title available?)
| 2007-10-09 | Paper |
scientific article; zbMATH DE number 5196642 (Why is no real title available?)
| 2007-09-28 | Paper |
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
Econometric Theory | 2006-11-14 | Paper |
A central limit theorem for realised power and bipower variation of continuous semimartingales
| 2006-10-23 | Paper |
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
Econometric Reviews | 2006-08-28 | Paper |
Limit theorems for multipower variation in the presence of jumps
Stochastic Processes and their Applications | 2006-06-30 | Paper |
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Econometrica | 2006-06-16 | Paper |
Likelihood-Based Estimation of Latent Generalized ARCH Structures
Econometrica | 2006-06-16 | Paper |
Power Variation and Time Change
Theory of Probability & Its Applications | 2006-06-09 | Paper |
Econometric analysis of realized volatility and its use in estimating stochastic volatility models
| 2006-03-09 | Paper |
Stochastic volatility: likelihood inference and comparison with ARCH models
| 2006-03-09 | Paper |
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2005-04-22 | Paper |
Computationally intensive econometrics using a distributed matrix-programming language
Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences | 2005-03-30 | Paper |
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
Scandinavian Journal of Statistics | 2004-11-24 | Paper |
Power variation and stochastic volatility: a review and some new results
Journal of Applied Probability | 2004-10-25 | Paper |
Realized power variation and stochastic volatility model
Bernoulli | 2004-06-10 | Paper |
Realized power variation and stochastic volatility models
Bernoulli | 2003-12-02 | Paper |
scientific article; zbMATH DE number 1995731 (Why is no real title available?)
| 2003-10-22 | Paper |
Markov chain Monte Carlo methods for stochastic volatility models.
Journal of Econometrics | 2003-04-02 | Paper |
scientific article; zbMATH DE number 1865388 (Why is no real title available?)
| 2003-02-06 | Paper |
Filtering via Simulation: Auxiliary Particle Filters
| 2002-07-30 | Paper |
Likelihood Inference for Discretely Observed Nonlinear Diffusions
Econometrica | 2002-05-28 | Paper |
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2002-04-21 | Paper |
scientific article; zbMATH DE number 1666096 (Why is no real title available?)
| 2001-10-23 | Paper |
scientific article; zbMATH DE number 1639858 (Why is no real title available?)
| 2001-09-12 | Paper |
scientific article; zbMATH DE number 1522717 (Why is no real title available?)
| 2001-02-28 | Paper |
A modelling framework for the prices and times of trades made of the New York stock exchange
| 2001-01-01 | Paper |
Statistical algorithms for models in state space using SsfPack 2.2
Econometrics Journal | 1999-11-25 | Paper |
Detecting shocks: Outliers and breaks in time series
Journal of Econometrics | 1999-10-05 | Paper |
Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models
Journal of Time Series Analysis | 1999-09-14 | Paper |
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
Review of Economic Studies | 1998-11-10 | Paper |
Likelihood analysis of non-Gaussian measurement time series
Biometrika | 1997-11-18 | Paper |
The simulation smoother for time series models
Biometrika | 1995-08-16 | Paper |
Partial non-Gaussian state space
Biometrika | 1994-10-11 | Paper |
Local scale models. State space alternative to integraded GARCH processes
Journal of Econometrics | 1994-04-12 | Paper |
Maximum Likelihood Estimation of Regression Models With Stochastic Trend Components
| 1993-09-02 | Paper |
