| Publication | Date of Publication | Type |
|---|
| Systematic jump risk | 2024-10-16 | Paper |
| Volatility coupling | 2021-12-03 | Paper |
| From tick data to semimartingales | 2021-11-04 | Paper |
| Estimation of volatility in a high-frequency setting: a short review | 2020-01-31 | Paper |
| Estimating the integrated volatility with tick observations | 2019-04-26 | Paper |
| Statistical Properties of Microstructure Noise | 2019-01-31 | Paper |
| Estimation of Volatility Functionals: The Case of a $$\sqrt{n}$$ Window | 2018-12-11 | Paper |
| On the minimal number of driving Lévy motions in a multivariate price model | 2018-11-19 | Paper |
| Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation | 2018-05-25 | Paper |
| Options Prices in Incomplete Markets | 2018-03-07 | Paper |
| Semimartingale: Itô or not ? | 2017-12-01 | Paper |
| Testing for jumps in noisy high frequency data | 2017-05-12 | Paper |
| Testing for non-correlation between price and volatility jumps | 2017-03-10 | Paper |
| Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices | 2017-01-16 | Paper |
| Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control | 2016-08-23 | Paper |
| Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method | 2015-05-27 | Paper |
| In memoriam Bronius Grigelionis (1935.11.01--2014.05.23) | 2015-02-25 | Paper |
| A remark on the rates of convergence for integrated volatility estimation in the presence of jumps | 2014-08-04 | Paper |
| Efficient estimation of integrated volatility in presence of infinite variation jumps | 2014-08-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5495335 | 2014-08-01 | Paper |
| A test for the rank of the volatility process: the random perturbation approach | 2014-03-06 | Paper |
| Quarticity and other functionals of volatility: efficient estimation | 2013-09-25 | Paper |
| Estimating functions for diffusion-type processes | 2013-04-03 | Paper |
| Irregular sampling and central limit theorems for power variations: the continuous case | 2013-03-26 | Paper |
| Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales | 2013-03-06 | Paper |
| Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data | 2013-01-19 | Paper |
| Identifying the successive Blumenthal-Getoor indices of a discretely observed process | 2012-12-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3143841 | 2012-12-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3108272 | 2012-01-02 | Paper |
| Discretization of processes. | 2011-10-20 | Paper |
| Testing whether jumps have finite or infinite activity | 2011-09-14 | Paper |
| Mod-Gaussian convergence: new limit theorems in probability and number theory | 2011-08-04 | Paper |
| Risk-neutral compatibility with option prices | 2011-04-06 | Paper |
| Is Brownian motion necessary to model high-frequency data? | 2010-11-15 | Paper |
| Do price and volatility jump together? | 2010-09-01 | Paper |
| Limit theorems for moving averages of discretized processes plus noise | 2010-05-26 | Paper |
| Estimating the degree of activity of jumps in high frequency data | 2009-08-19 | Paper |
| Testing for common arrivals of jumps for discretely observed multidimensional processes | 2009-07-22 | Paper |
| Microstructure noise in the continuous case: the pre-averaging approach | 2009-07-15 | Paper |
| Estimation of the Brownian dimension of a continuous Itô process | 2009-03-02 | 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 |
| Asymptotic properties of realized power variations and related functionals of semimartingales | 2008-03-18 | Paper |
| Asymptotic properties of power variations of Lévy processes | 2007-11-30 | Paper |
| Volatility estimators for discretely sampled Lévy processes | 2007-07-23 | Paper |
| LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS | 2006-11-14 | Paper |
| Parametric inference for discretely observed non-ergodic diffusions | 2006-11-06 | Paper |
| A central limit theorem for realised power and bipower variation of continuous semimartingales | 2006-10-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5715575 | 2006-01-04 | Paper |
| The approximate Euler method for Lévy driven stochastic differential equations | 2005-08-04 | Paper |
| Lévy term structure models: no-arbitrage and completeness | 2005-05-20 | Paper |
| The Euler scheme for Lévy driven stochastic differential equations: limit theorems. | 2004-09-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4451257 | 2004-02-23 | Paper |
| Explicit form and robustness of martingale representations. | 2003-05-06 | Paper |
| Probability essentials. | 2003-02-13 | Paper |
| On asymptotic errors in discretization of processes | 2003-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4778955 | 2002-11-21 | Paper |
| Diffusions with measurement errors. I. Local Asymptotic Normality | 2002-06-11 | Paper |
| Diffusions with measurement errors. II. Optimal estimators | 2002-06-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2707624 | 2002-04-08 | Paper |
| The Monte-Carlo method for filtering with discrete-time observations | 2002-02-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4421346 | 2002-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2753024 | 2001-10-23 | Paper |
| Asymptotic error distributions for the Euler method for stochastic differential equations | 2000-05-25 | Paper |
| Non‐parametric Kernel Estimation of the Coefficient of a Diffusion | 2000-05-24 | Paper |
| Probability essentials | 2000-01-20 | Paper |
| Rates of convergence to the local time of a diffusion | 1999-04-26 | Paper |
| Local martingales and the fundamental asset pricing theorems in the discrete-time case | 1999-01-05 | Paper |
| On the range of options prices | 1998-06-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4349243 | 1998-03-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4349226 | 1998-03-02 | Paper |
| A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors | 1998-03-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4365535 | 1998-01-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4896006 | 1997-05-12 | Paper |
| Jumping Markov processes | 1996-03-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4856610 | 1995-12-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4311824 | 1995-06-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4326609 | 1995-03-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4311643 | 1995-01-19 | Paper |
| A remark on the weak convergence of processes in the Skorohod topology | 1993-10-03 | Paper |
| Random sampling in estimation problems for continuous Gaussian processes with independent increments | 1993-05-16 | Paper |
| On the estimation of the diffusion coefficient for multi-dimensional diffusion processes | 1993-05-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3996311 | 1992-09-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3975597 | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3979062 | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3979061 | 1992-06-26 | Paper |
| Regularity, partial regularity, partial information process, for a filtered statistical model | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3482630 | 1990-01-01 | Paper |
| Sur le processus de vraisemblance partielle. (On the partial likelihood process) | 1990-01-01 | Paper |
| Local asymptotic normality and mixed normality for Markov statistical models | 1990-01-01 | Paper |
| Convergence of filtered statistical models and Hellinger processes | 1989-01-01 | Paper |
| Filtered statistical models and Hellinger processes | 1989-01-01 | Paper |
| Time reversal on Lévy processes | 1988-01-01 | Paper |
| Une evaluation de la distance entre les lois d'une semimartingale et d'un processus a accroisseivients independants | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3757070 | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3797975 | 1987-01-01 | Paper |
| Partial likelihood process and asymptotic normality | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3774629 | 1987-01-01 | Paper |
| On the convergence of point processes | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3694395 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3684922 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3679996 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3694394 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3347049 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3326520 | 1984-01-01 | Paper |
| Processus à accroissements indépendants: Une condition nécessaire et suffisante de convergence en loi | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3038325 | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4742046 | 1983-01-01 | Paper |
| On tightness and stopping times | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3660614 | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3938298 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3940583 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3956157 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3923358 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3951348 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3924937 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3313058 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3908247 | 1981-01-01 | Paper |
| Existence of weak solutions for stochastic differential equations with driving semimartingales | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3908230 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3871644 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3866899 | 1980-01-01 | Paper |
| Sur la construction des classes de processus de Markov invariantes par changement de temps | 1980-01-01 | Paper |
| Weak and strong solutions of stochastic differential equations | 1980-01-01 | Paper |
| Semimartingales and Markov processes | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3866874 | 1980-01-01 | Paper |
| Une condition ctexistence et d'unicitépour les solutions fortes d'équations différentielles stochastiques | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3852894 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4197145 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3049619 | 1979-01-01 | Paper |
| Calcul stochastique et problèmes de martingales | 1979-01-01 | Paper |
| Sous-espaces stables de martingales | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4155568 | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4178277 | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4143965 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4148589 | 1977-01-01 | Paper |
| �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales | 1977-01-01 | Paper |
| Processus ponctuels et martingales: résultats récents sur la modélisation et le filtrage | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4136293 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4144527 | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4107690 | 1976-01-01 | Paper |
| Un th�or�me de repr�sentation pour les martingales discontinues | 1976-01-01 | Paper |
| Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4073610 | 1975-01-01 | Paper |
| Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales | 1975-01-01 | Paper |
| Two dependent Poisson processes whose sum is still a Poisson process | 1975-01-01 | Paper |
| Syst�mes r�g�n�ratifs et processus semi-markoviens | 1974-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4062473 | 1974-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5674198 | 1973-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4403107 | 1973-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4403108 | 1973-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5667853 | 1973-01-01 | Paper |
| Systemes de Levy des processus de Markov | 1973-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5630458 | 1971-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5643391 | 1971-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5621834 | 1971-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5585834 | 1970-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5585841 | 1970-01-01 | Paper |
