| Publication | Date of Publication | Type |
|---|
| High frequency market making: the role of speed | 2024-03-06 | Paper |
| The Journal of Econometrics 2012--2018 | 2023-04-14 | Paper |
| From tick data to semimartingales | 2021-11-04 | Paper |
| Closed-form implied volatility surfaces for stochastic volatility models with jumps | 2021-03-24 | Paper |
| The term structure of equity and variance risk premia | 2021-02-04 | Paper |
| High frequency traders and the price process | 2020-06-18 | Paper |
| High-frequency factor models and regressions | 2020-03-20 | Paper |
| Principal Component Analysis of High-Frequency Data | 2019-08-19 | Paper |
| A Hausman test for the presence of market microstructure noise in high frequency data | 2019-07-01 | Paper |
| Robust consumption and portfolio policies when asset prices can jump | 2019-01-15 | Paper |
| Semimartingale: Itô or not ? | 2017-12-01 | Paper |
| Using principal component analysis to estimate a high dimensional factor model with high-frequency data | 2017-11-07 | Paper |
| Testing for jumps in noisy high frequency data | 2017-05-12 | Paper |
| Stationarity-based specification tests for diffusions when the process is nonstationary | 2017-05-12 | Paper |
| Increased correlation among asset classes: are volatility or jumps to blame, or both? | 2016-09-06 | 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 |
| Out of sample forecasts of quadratic variation | 2016-06-22 | Paper |
| An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions | 2016-06-10 | Paper |
| Saddlepoint approximations for continuous-time Markov processes | 2016-05-02 | Paper |
| Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models | 2016-03-01 | Paper |
| High-frequency covariance estimates with noisy and asynchronous financial data | 2015-06-17 | Paper |
| Nonparametric transition-based tests for jump diffusions | 2015-06-10 | Paper |
| Market-based estimation of stochastic volatility models | 2015-06-08 | Paper |
| Mutual excitation in Eurozone sovereign CDS | 2014-11-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5495335 | 2014-08-01 | Paper |
| Identifying the successive Blumenthal-Getoor indices of a discretely observed process | 2012-12-10 | Paper |
| Testing whether jumps have finite or infinite activity | 2011-09-14 | Paper |
| Is Brownian motion necessary to model high-frequency data? | 2010-11-15 | Paper |
| Nonparametric tests of the Markov hypothesis in continuous-time models | 2010-11-15 | Paper |
| Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations | 2009-11-27 | Paper |
| Estimating the degree of activity of jumps in high frequency data | 2009-08-19 | Paper |
| Portfolio choice with jumps: a closed-form solution | 2009-06-17 | Paper |
| High frequency market microstructure noise estimates and liquidity measures | 2009-05-20 | Paper |
| Testing for jumps in a discretely observed process | 2009-02-25 | Paper |
| Fisher's Information for Discretely Sampled Lvy Processes | 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 | 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 | 2007-08-20 | Paper |
| Volatility estimators for discretely sampled Lévy processes | 2007-07-23 | Paper |
| The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions | 2006-06-19 | Paper |
| Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach | 2006-06-16 | Paper |
| Estimators of diffusions with randomly spaced discrete observations: a general theory | 2005-02-28 | Paper |
| Nonparametric option pricing under shape restrictions | 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 | 2002-03-14 | Paper |
| Do option markets correctly price the probabilities of movement of the underlying asset? | 2002-01-08 | Paper |
| Non-parametric pricing of interest rate-derivative securities. | 2002-01-03 | Paper |
| Nonparametric risk management and implied risk aversion | 2001-01-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4495100 | 2000-08-10 | Paper |
| Dynamic equilibrium and volatility in financial asset markets | 1999-03-03 | Paper |
| Nonparametric Pricing of Interest Rate Derivative Securities | 1996-07-01 | Paper |
