| Publication | Date of Publication | Type |
|---|
Systematic jump risk
The Annals of Applied Probability | 2024-10-16 | Paper |
Volatility coupling
The Annals of Statistics | 2021-12-03 | Paper |
From tick data to semimartingales
The Annals of Applied Probability | 2021-11-04 | Paper |
Estimation of volatility in a high-frequency setting: a short review
Decisions in Economics and Finance | 2020-01-31 | Paper |
Estimating the integrated volatility with tick observations
Journal of Econometrics | 2019-04-26 | Paper |
Statistical Properties of Microstructure Noise
Econometrica | 2019-01-31 | Paper |
Estimation of volatility functionals: the case of a \(\sqrt{n}\) window
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
On the minimal number of driving Lévy motions in a multivariate price model
Journal of Applied Probability | 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
The Annals of Applied Probability | 2018-05-25 | Paper |
Options prices in incomplete markets
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
Semimartingale: Itô or not ?
Stochastic Processes and their Applications | 2017-12-01 | 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 |
Testing for non-correlation between price and volatility jumps
Journal of Econometrics | 2017-03-10 | Paper |
Efficient estimation of integrated volatility in presence of infinite variation jumps with multiple activity indices
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
The Annals of Applied Probability | 2016-08-23 | Paper |
Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
The Annals of Applied Probability | 2016-08-23 | Paper |
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
Stochastic Processes and their Applications | 2015-05-27 | Paper |
In memoriam Bronius Grigelionis (1935.11.01--2014.05.23)
Lithuanian Mathematical Journal | 2015-02-25 | Paper |
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
The Annals of Statistics | 2014-08-04 | Paper |
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
The Annals of Statistics | 2014-08-04 | Paper |
Efficient estimation of integrated volatility in presence of infinite variation jumps
The Annals of Statistics | 2014-08-04 | Paper |
Efficient estimation of integrated volatility in presence of infinite variation jumps
The Annals of Statistics | 2014-08-04 | Paper |
| scientific article; zbMATH DE number 6324332 (Why is no real title available?) | 2014-08-01 | Paper |
A test for the rank of the volatility process: the random perturbation approach
The Annals of Statistics | 2014-03-06 | Paper |
A test for the rank of the volatility process: the random perturbation approach
The Annals of Statistics | 2014-03-06 | Paper |
Quarticity and other functionals of volatility: efficient estimation
The Annals of Statistics | 2013-09-25 | Paper |
Quarticity and other functionals of volatility: efficient estimation
The Annals of Statistics | 2013-09-25 | Paper |
Statistics and high-frequency data
Statistical Methods for Stochastic Differential Equations | 2013-04-03 | Paper |
Irregular sampling and central limit theorems for power variations: the continuous case
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2013-03-26 | Paper |
Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales
Stochastic Processes and their Applications | 2013-03-06 | Paper |
Functional relationships between price and volatility jumps and their consequences for discretely observed data
Journal of Applied Probability | 2013-01-19 | 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 |
| scientific article; zbMATH DE number 6112605 (Why is no real title available?) | 2012-12-04 | Paper |
| scientific article; zbMATH DE number 5993933 (Why is no real title available?) | 2012-01-02 | Paper |
Discretization of processes.
Stochastic Modelling and Applied Probability | 2011-10-20 | Paper |
Testing whether jumps have finite or infinite activity
The Annals of Statistics | 2011-09-14 | Paper |
Mod-Gaussian convergence: new limit theorems in probability and number theory
Forum Mathematicum | 2011-08-04 | Paper |
Risk-neutral compatibility with option prices
Finance and Stochastics | 2011-04-06 | Paper |
Is Brownian motion necessary to model high-frequency data?
The Annals of Statistics | 2010-11-15 | Paper |
Do price and volatility jump together?
The Annals of Applied Probability | 2010-09-01 | Paper |
Limit theorems for moving averages of discretized processes plus noise
The Annals of Statistics | 2010-05-26 | Paper |
Estimating the degree of activity of jumps in high frequency data
The Annals of Statistics | 2009-08-19 | Paper |
Testing for common arrivals of jumps for discretely observed multidimensional processes
The Annals of Statistics | 2009-07-22 | Paper |
Microstructure noise in the continuous case: the pre-averaging approach
Stochastic Processes and their Applications | 2009-07-15 | Paper |
Estimation of the Brownian dimension of a continuous Itô process
Bernoulli | 2009-03-02 | 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 |
Asymptotic properties of realized power variations and related functionals of semimartingales
Stochastic Processes and their Applications | 2008-03-18 | Paper |
Asymptotic properties of power variations of Lévy processes
ESAIM: Probability and Statistics | 2007-11-30 | Paper |
Asymptotic properties of power variations of Lévy processes
ESAIM: Probability and Statistics | 2007-11-30 | Paper |
Asymptotic properties of power variations of Lévy processes
ESAIM: Probability and Statistics | 2007-11-30 | Paper |
Volatility estimators for discretely sampled Lévy processes
The Annals of Statistics | 2007-07-23 | Paper |
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
Econometric Theory | 2006-11-14 | Paper |
Parametric inference for discretely observed non-ergodic diffusions
Bernoulli | 2006-11-06 | Paper |
| A central limit theorem for realised power and bipower variation of continuous semimartingales | 2006-10-23 | Paper |
| scientific article; zbMATH DE number 2243108 (Why is no real title available?) | 2006-01-04 | Paper |
The approximate Euler method for Lévy driven stochastic differential equations
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
The approximate Euler method for Lévy driven stochastic differential equations
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
The approximate Euler method for Lévy driven stochastic differential equations
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2005-08-04 | Paper |
Lévy term structure models: no-arbitrage and completeness
Finance and Stochastics | 2005-05-20 | Paper |
The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
The Annals of Probability | 2004-09-15 | Paper |
| scientific article; zbMATH DE number 2046391 (Why is no real title available?) | 2004-02-23 | Paper |
| scientific article; zbMATH DE number 2046391 (Why is no real title available?) | 2004-02-23 | Paper |
Explicit form and robustness of martingale representations.
The Annals of Probability | 2003-05-06 | Paper |
Probability essentials.
Universitext | 2003-02-13 | Paper |
On asymptotic errors in discretization of processes
The Annals of Probability | 2003-01-01 | Paper |
| scientific article; zbMATH DE number 1834045 (Why is no real title available?) | 2002-11-21 | Paper |
Diffusions with measurement errors. I. Local Asymptotic Normality
ESAIM: Probability and Statistics | 2002-06-11 | Paper |
Diffusions with measurement errors. I. Local Asymptotic Normality
ESAIM: Probability and Statistics | 2002-06-11 | Paper |
Diffusions with measurement errors. II. Optimal estimators
ESAIM: Probability and Statistics | 2002-06-11 | Paper |
Diffusions with measurement errors. II. Optimal estimators
ESAIM: Probability and Statistics | 2002-06-11 | Paper |
| scientific article; zbMATH DE number 1583959 (Why is no real title available?) | 2002-04-08 | Paper |
The Monte-Carlo method for filtering with discrete-time observations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-02-18 | Paper |
| scientific article; zbMATH DE number 1971699 (Why is no real title available?) | 2002-01-01 | Paper |
| scientific article; zbMATH DE number 1666086 (Why is no real title available?) | 2001-10-23 | Paper |
Asymptotic error distributions for the Euler method for stochastic differential equations
The Annals of Probability | 2000-05-25 | Paper |
Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
Scandinavian Journal of Statistics | 2000-05-24 | Paper |
Probability essentials
Universitext | 2000-01-20 | Paper |
Rates of convergence to the local time of a diffusion
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1999-04-26 | Paper |
Rates of convergence to the local time of a diffusion
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1999-04-26 | Paper |
Local martingales and the fundamental asset pricing theorems in the discrete-time case
Finance and Stochastics | 1999-01-05 | Paper |
On the range of options prices
Finance and Stochastics | 1998-06-04 | Paper |
| scientific article; zbMATH DE number 1047469 (Why is no real title available?) | 1998-03-23 | Paper |
| scientific article; zbMATH DE number 1047469 (Why is no real title available?) | 1998-03-23 | Paper |
| scientific article; zbMATH DE number 1047453 (Why is no real title available?) | 1998-03-02 | Paper |
| scientific article; zbMATH DE number 1047453 (Why is no real title available?) | 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
Bernoulli | 1998-03-02 | Paper |
| scientific article; zbMATH DE number 1083609 (Why is no real title available?) | 1998-01-14 | Paper |
| scientific article; zbMATH DE number 936411 (Why is no real title available?) | 1997-05-12 | Paper |
Jumping Markov processes
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1996-03-20 | Paper |
Jumping Markov processes
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1996-03-20 | Paper |
| scientific article; zbMATH DE number 822726 (Why is no real title available?) | 1995-12-03 | Paper |
| scientific article; zbMATH DE number 679780 (Why is no real title available?) | 1995-06-18 | Paper |
| scientific article; zbMATH DE number 679780 (Why is no real title available?) | 1995-06-18 | Paper |
| scientific article; zbMATH DE number 736265 (Why is no real title available?) | 1995-03-22 | Paper |
| scientific article; zbMATH DE number 679591 (Why is no real title available?) | 1995-01-19 | Paper |
A remark on the weak convergence of processes in the Skorohod topology
Journal of Theoretical Probability | 1993-10-03 | Paper |
On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1993-05-16 | Paper |
On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1993-05-16 | Paper |
Random sampling in estimation problems for continuous Gaussian processes with independent increments
Stochastic Processes and their Applications | 1993-05-16 | Paper |
| scientific article; zbMATH DE number 46016 (Why is no real title available?) | 1992-09-17 | Paper |
| scientific article; zbMATH DE number 19572 (Why is no real title available?) | 1992-06-26 | Paper |
| scientific article; zbMATH DE number 19572 (Why is no real title available?) | 1992-06-26 | Paper |
| scientific article; zbMATH DE number 18234 (Why is no real title available?) | 1992-06-26 | Paper |
| scientific article; zbMATH DE number 18234 (Why is no real title available?) | 1992-06-26 | Paper |
| scientific article; zbMATH DE number 19573 (Why is no real title available?) | 1992-06-26 | Paper |
| scientific article; zbMATH DE number 19573 (Why is no real title available?) | 1992-06-26 | Paper |
| scientific article; zbMATH DE number 4153583 (Why is no real title available?) | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4153583 (Why is no real title available?) | 1990-01-01 | Paper |
Sur le processus de vraisemblance partielle. (On the partial likelihood process)
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1990-01-01 | Paper |
Sur le processus de vraisemblance partielle. (On the partial likelihood process)
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1990-01-01 | Paper |
Local asymptotic normality and mixed normality for Markov statistical models
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1990-01-01 | Paper |
Regularity, partial regularity, partial information process, for a filtered statistical model
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1990-01-01 | Paper |
Convergence of filtered statistical models and Hellinger processes
Stochastic Processes and their Applications | 1989-01-01 | Paper |
Filtered statistical models and Hellinger processes
Stochastic Processes and their Applications | 1989-01-01 | Paper |
Time reversal on Lévy processes
The Annals of Probability | 1988-01-01 | Paper |
Une evaluation de la distance entre les lois d'une semimartingale et d'un processus a accroisseivients independants
Stochastics | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4034749 (Why is no real title available?) | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4007354 (Why is no real title available?) | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4007354 (Why is no real title available?) | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4064178 (Why is no real title available?) | 1987-01-01 | Paper |
Partial likelihood process and asymptotic normality
Stochastic Processes and their Applications | 1987-01-01 | Paper |
On the convergence of point processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3907486 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3901738 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3919478 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3919479 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3881607 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3858079 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3858079 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3833030 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3833030 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3796893 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3796893 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3812639 (Why is no real title available?) | 1983-01-01 | Paper |
On tightness and stopping times
Stochastic Processes and their Applications | 1983-01-01 | Paper |
Processus à accroissements indépendants: Une condition nécessaire et suffisante de convergence en loi
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3757436 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3757436 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3776572 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3776572 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3753797 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3753797 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3738653 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3842916 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3718270 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3718270 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3718249 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3718249 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3736753 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3770711 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3770711 (Why is no real title available?) | 1981-01-01 | Paper |
Existence of weak solutions for stochastic differential equations with driving semimartingales
Stochastics | 1981-01-01 | Paper |
Sur la construction des classes de processus de Markov invariantes par changement de temps
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3669557 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3669557 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3675050 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3675050 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3669581 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3669581 (Why is no real title available?) | 1980-01-01 | Paper |
Weak and strong solutions of stochastic differential equations
Stochastics | 1980-01-01 | Paper |
Semimartingales and Markov processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1980-01-01 | Paper |
Une condition ctexistence et d'unicitépour les solutions fortes d'équations différentielles stochastiques
Stochastics | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3653256 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3637058 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3644273 (Why is no real title available?) | 1979-01-01 | Paper |
Calcul stochastique et problèmes de martingales
Lecture Notes in Mathematics | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3584683 (Why is no real title available?) | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3584683 (Why is no real title available?) | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3613943 (Why is no real title available?) | 1978-01-01 | Paper |
Sous-espaces stables de martingales
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3564029 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3572982 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3572982 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3576462 (Why is no real title available?) | 1977-01-01 | Paper |
�tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1977-01-01 | Paper |
Processus ponctuels et martingales: résultats récents sur la modélisation et le filtrage
Advances in Applied Probability | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3574682 (Why is no real title available?) | 1976-01-01 | Paper |
| scientific article; zbMATH DE number 3574682 (Why is no real title available?) | 1976-01-01 | Paper |
| scientific article; zbMATH DE number 3530721 (Why is no real title available?) | 1976-01-01 | Paper |
Un th�or�me de repr�sentation pour les martingales discontinues
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1976-01-01 | Paper |
Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1976-01-01 | Paper |
| scientific article; zbMATH DE number 3491277 (Why is no real title available?) | 1975-01-01 | Paper |
| scientific article; zbMATH DE number 3491277 (Why is no real title available?) | 1975-01-01 | Paper |
Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1975-01-01 | Paper |
Two dependent Poisson processes whose sum is still a Poisson process
Journal of Applied Probability | 1975-01-01 | Paper |
| scientific article; zbMATH DE number 3479946 (Why is no real title available?) | 1974-01-01 | Paper |
| scientific article; zbMATH DE number 3479946 (Why is no real title available?) | 1974-01-01 | Paper |
Syst�mes r�g�n�ratifs et processus semi-markoviens
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1974-01-01 | Paper |
| scientific article; zbMATH DE number 3401932 (Why is no real title available?) | 1973-01-01 | Paper |
| scientific article; zbMATH DE number 3401932 (Why is no real title available?) | 1973-01-01 | Paper |
| scientific article; zbMATH DE number 3408664 (Why is no real title available?) | 1973-01-01 | Paper |
| scientific article; zbMATH DE number 3434861 (Why is no real title available?) | 1973-01-01 | Paper |
| scientific article; zbMATH DE number 3434861 (Why is no real title available?) | 1973-01-01 | Paper |
| scientific article; zbMATH DE number 3434862 (Why is no real title available?) | 1973-01-01 | Paper |
| scientific article; zbMATH DE number 3434862 (Why is no real title available?) | 1973-01-01 | Paper |
Systemes de Levy des processus de Markov
Inventiones Mathematicae | 1973-01-01 | Paper |
| scientific article; zbMATH DE number 3345979 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3345979 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3356076 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3356076 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3371387 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3371387 (Why is no real title available?) | 1971-01-01 | Paper |
| scientific article; zbMATH DE number 3304514 (Why is no real title available?) | 1970-01-01 | Paper |
| scientific article; zbMATH DE number 3304521 (Why is no real title available?) | 1970-01-01 | Paper |
