| Publication | Date of Publication | Type |
|---|
| Generalized Jump Regressions for Local Moments | 2024-10-11 | Paper |
| Optimal nonparametric range-based volatility estimation | 2024-02-13 | Paper |
| Reprint of: Generalized autoregressive conditional heteroskedasticity | 2023-04-14 | Paper |
| The story of GARCH: a personal odyssey | 2023-04-14 | Paper |
| From zero to hero: realized partial (co)variances | 2022-12-14 | Paper |
| Equity clusters through the lens of realized semicorrelations | 2022-04-14 | Paper |
| Fixed‐ k inference for volatility | 2022-03-24 | Paper |
| Occupation density estimation for noisy high-frequency data | 2022-03-16 | Paper |
| Realized Semicovariances | 2021-06-07 | Paper |
| Multivariate leverage effects and realized semicovariance GARCH models | 2020-06-18 | Paper |
| High-dimensional multivariate realized volatility estimation | 2019-09-02 | Paper |
| Volume, Volatility, and Public News Announcements | 2019-01-23 | Paper |
| Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions | 2018-10-12 | Paper |
| Jump tails, extreme dependencies, and the distribution of stock returns | 2017-05-12 | Paper |
| Realized volatility forecasting and market microstructure noise | 2016-08-10 | Paper |
| A reduced form framework for modeling volatility of speculative prices based on realized variation measures | 2016-08-10 | Paper |
| Jumps and betas: a new framework for disentangling and estimating systematic risks | 2016-08-04 | Paper |
| A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects | 2016-07-04 | Paper |
| Volatility puzzles: a simple framework for gauging return-volatility regressions | 2016-06-10 | Paper |
| Risk, jumps, and diversification | 2016-06-10 | Paper |
| No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications | 2016-05-04 | Paper |
| Corrigendum to: ``Estimating stochastic volatility diffusion using conditional moments of integrated volatility | 2016-04-18 | Paper |
| Exploiting the errors: a simple approach for improved volatility forecasting | 2016-03-01 | Paper |
| Stock return and cash flow predictability: the role of volatility risk | 2015-06-08 | Paper |
| Time-varying jump tails | 2014-11-24 | Paper |
| Volatility in equilibrium: asymmetries and dynamic dependencies | 2012-10-23 | Paper |
| Estimation of jump tails | 2012-06-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3099631 | 2011-12-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3084271 | 2011-03-15 | Paper |
| Realized beta: persistence and predictability | 2010-06-30 | Paper |
| Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities | 2006-10-24 | Paper |
| Modeling and Forecasting Realized Volatility | 2006-06-19 | Paper |
| The distribution of realized exchange rate volatility | 2006-03-09 | Paper |
| The Distribution of Realized Exchange Rate Volatility | 2003-08-10 | Paper |
| Estimating stochastic volatility diffusion using conditional moments of integrated volatility | 2003-04-02 | Paper |
| Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data | 2001-08-17 | Paper |
| Financial econometrics: Past developments and future challenges | 2001-06-05 | Paper |
| Modeling and pricing long memory in stock market volatility | 2001-05-17 | Paper |
| Long-term equity anticipation securities and stock market volatility dynamics | 2000-04-02 | Paper |
| Towards a unified framework for high and low frequency return volatility modeling | 1999-08-23 | Paper |
| Order flow and the bid-ask spread: an empirical probability model of screen-based trading | 1998-07-22 | Paper |
| Fractionally integrated generalized autoregressive conditional heteroskedasticity | 1997-07-14 | Paper |
| Common Persistence in Conditional Variances | 1993-08-22 | Paper |
| Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances | 1993-04-01 | Paper |
| ARCH modeling in finance. A review of the theory and empirical evidence | 1992-06-28 | Paper |
| Prediction in dynamic models with time-dependent conditional variances | 1992-06-28 | Paper |
| Generalized autoregressive conditional heteroscedasticity | 1986-01-01 | Paper |
| Modelling the persistence of conditional variances | 1986-01-01 | Paper |
