| Publication | Date of Publication | Type |
|---|
High frequency market making: the role of speed
Journal of Econometrics | 2024-03-06 | Paper |
The Journal of Econometrics 2012--2018
Journal of Econometrics | 2023-04-14 | Paper |
From tick data to semimartingales
The Annals of Applied Probability | 2021-11-04 | Paper |
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Journal of Econometrics | 2021-03-24 | Paper |
The term structure of equity and variance risk premia
Journal of Econometrics | 2021-02-04 | Paper |
High frequency traders and the price process
Journal of Econometrics | 2020-06-18 | Paper |
High-frequency factor models and regressions
Journal of Econometrics | 2020-03-20 | Paper |
Principal Component Analysis of High-Frequency Data
Journal of the American Statistical Association | 2019-08-19 | Paper |
A Hausman test for the presence of market microstructure noise in high frequency data
Journal of Econometrics | 2019-07-01 | Paper |
Robust consumption and portfolio policies when asset prices can jump
Journal of Economic Theory | 2019-01-15 | Paper |
Semimartingale: Itô or not ?
Stochastic Processes and their Applications | 2017-12-01 | Paper |
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Journal of Econometrics | 2017-11-07 | Paper |
Testing for jumps in noisy high frequency data
Journal of Econometrics | 2017-05-12 | Paper |
Testing for jumps in noisy high frequency data
Journal of Econometrics | 2017-05-12 | Paper |
Stationarity-based specification tests for diffusions when the process is nonstationary
Journal of Econometrics | 2017-05-12 | Paper |
Increased correlation among asset classes: are volatility or jumps to blame, or both?
Journal of Econometrics | 2016-09-06 | Paper |
Ultra high frequency volatility estimation with dependent microstructure noise
Journal of Econometrics | 2016-08-10 | Paper |
Edgeworth expansions for realized volatility and related estimators
Journal of Econometrics | 2016-08-10 | Paper |
Out of sample forecasts of quadratic variation
Journal of Econometrics | 2016-06-22 | Paper |
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
Journal of Econometrics | 2016-06-10 | Paper |
Saddlepoint approximations for continuous-time Markov processes
Journal of Econometrics | 2016-05-02 | Paper |
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
Journal of Econometrics | 2016-03-01 | Paper |
High-frequency covariance estimates with noisy and asynchronous financial data
Journal of the American Statistical Association | 2015-06-17 | Paper |
Nonparametric transition-based tests for jump diffusions
Journal of the American Statistical Association | 2015-06-10 | Paper |
Market-based estimation of stochastic volatility models
Journal of Econometrics | 2015-06-08 | Paper |
Mutual excitation in Eurozone sovereign CDS
Journal of Econometrics | 2014-11-24 | Paper |
| scientific article; zbMATH DE number 6324332 (Why is no real title available?) | 2014-08-01 | Paper |
Identifying the successive Blumenthal-Getoor indices of a discretely observed process
The Annals of Statistics | 2012-12-10 | Paper |
Identifying the successive Blumenthal-Getoor indices of a discretely observed process
The Annals of Statistics | 2012-12-10 | Paper |
Testing whether jumps have finite or infinite activity
The Annals of Statistics | 2011-09-14 | Paper |
Is Brownian motion necessary to model high-frequency data?
The Annals of Statistics | 2010-11-15 | Paper |
Nonparametric tests of the Markov hypothesis in continuous-time models
The Annals of Statistics | 2010-11-15 | Paper |
Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
Handbook of Financial Time Series | 2009-11-27 | Paper |
Estimating the degree of activity of jumps in high frequency data
The Annals of Statistics | 2009-08-19 | Paper |
Portfolio choice with jumps: a closed-form solution
The Annals of Applied Probability | 2009-06-17 | Paper |
High frequency market microstructure noise estimates and liquidity measures
The Annals of Applied Statistics | 2009-05-20 | Paper |
Testing for jumps in a discretely observed process
The Annals of Statistics | 2009-02-25 | Paper |
Testing for jumps in a discretely observed process
The Annals of Statistics | 2009-02-25 | Paper |
Fisher's Information for Discretely Sampled Lvy Processes
Econometrica | 2008-08-21 | Paper |
| How often to sample a continuous-time process in the presence of market microstructure noise | 2008-07-11 | Paper |
Closed-form likelihood expansions for multivariate diffusions
The Annals of Statistics | 2008-04-23 | Paper |
| Estimating continuous-time models with discretely sampled data | 2008-03-06 | Paper |
| Likelihood inference for diffusions: a survey | 2007-10-11 | Paper |
A Tale of Two Time Scales
Journal of the American Statistical Association | 2007-08-20 | Paper |
Volatility estimators for discretely sampled Lévy processes
The Annals of Statistics | 2007-07-23 | Paper |
The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
Econometrica | 2006-06-19 | Paper |
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
Econometrica | 2006-06-16 | Paper |
Estimators of diffusions with randomly spaced discrete observations: a general theory
The Annals of Statistics | 2005-02-28 | Paper |
Nonparametric option pricing under shape restrictions
Journal of Econometrics | 2003-08-07 | Paper |
| Transition densities for interest rate and other nonlinear diffusions | 2003-07-06 | Paper |
Goodness-of-fit tests for kernel regression with an application to option implied volatilities
Journal of Econometrics | 2002-03-14 | Paper |
Do option markets correctly price the probabilities of movement of the underlying asset?
Journal of Econometrics | 2002-01-08 | Paper |
| Non-parametric pricing of interest rate-derivative securities. | 2002-01-03 | Paper |
Nonparametric risk management and implied risk aversion
Journal of Econometrics | 2001-01-11 | Paper |
| scientific article; zbMATH DE number 1487971 (Why is no real title available?) | 2000-08-10 | Paper |
Dynamic equilibrium and volatility in financial asset markets
Journal of Econometrics | 1999-03-03 | Paper |
Nonparametric Pricing of Interest Rate Derivative Securities
Econometrica | 1996-07-01 | Paper |
