| Publication | Date of Publication | Type |
|---|
Generalized Jump Regressions for Local Moments
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Optimal nonparametric range-based volatility estimation
Journal of Econometrics | 2024-02-13 | Paper |
Reprint of: Generalized autoregressive conditional heteroskedasticity
Journal of Econometrics | 2023-04-14 | Paper |
The story of GARCH: a personal odyssey
Journal of Econometrics | 2023-04-14 | Paper |
From zero to hero: realized partial (co)variances
Journal of Econometrics | 2022-12-14 | Paper |
Equity clusters through the lens of realized semicorrelations
Economics Letters | 2022-04-14 | Paper |
Fixed-\(k\) inference for volatility
Quantitative Economics | 2022-03-24 | Paper |
Occupation density estimation for noisy high-frequency data
Journal of Econometrics | 2022-03-16 | Paper |
Realized semicovariances
Econometrica | 2021-06-07 | Paper |
Multivariate leverage effects and realized semicovariance GARCH models
Journal of Econometrics | 2020-06-18 | Paper |
High-dimensional multivariate realized volatility estimation
Journal of Econometrics | 2019-09-02 | Paper |
Volume, volatility, and public news announcements
Review of Economic Studies | 2019-01-23 | Paper |
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Journal of Econometrics | 2018-10-12 | Paper |
Jump tails, extreme dependencies, and the distribution of stock returns
Journal of Econometrics | 2017-05-12 | Paper |
Jump tails, extreme dependencies, and the distribution of stock returns
Journal of Econometrics | 2017-05-12 | Paper |
Realized volatility forecasting and market microstructure noise
Journal of Econometrics | 2016-08-10 | Paper |
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Journal of Econometrics | 2016-08-10 | Paper |
Jumps and betas: a new framework for disentangling and estimating systematic risks
Journal of Econometrics | 2016-08-04 | Paper |
A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
Journal of Econometrics | 2016-07-04 | Paper |
Volatility puzzles: a simple framework for gauging return-volatility regressions
Journal of Econometrics | 2016-06-10 | Paper |
Risk, jumps, and diversification
Journal of Econometrics | 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
Journal of Econometrics | 2016-05-04 | Paper |
Corrigendum to: ``Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Journal of Econometrics | 2016-04-18 | Paper |
Exploiting the errors: a simple approach for improved volatility forecasting
Journal of Econometrics | 2016-03-01 | Paper |
Stock return and cash flow predictability: the role of volatility risk
Journal of Econometrics | 2015-06-08 | Paper |
Time-varying jump tails
Journal of Econometrics | 2014-11-24 | Paper |
Volatility in equilibrium: asymmetries and dynamic dependencies
Review of Finance | 2012-10-23 | Paper |
Estimation of jump tails
Econometrica | 2012-06-18 | Paper |
| scientific article; zbMATH DE number 5984103 (Why is no real title available?) | 2011-12-01 | Paper |
| scientific article; zbMATH DE number 5866253 (Why is no real title available?) | 2011-03-15 | Paper |
Realized beta: persistence and predictability
Advances in Econometrics | 2010-06-30 | Paper |
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
Econometrica | 2006-10-24 | Paper |
Modeling and Forecasting Realized Volatility
Econometrica | 2006-06-19 | Paper |
| The distribution of realized exchange rate volatility | 2006-03-09 | Paper |
The Distribution of Realized Exchange Rate Volatility
Journal of the American Statistical Association | 2003-08-10 | Paper |
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Journal of Econometrics | 2003-04-02 | Paper |
Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
Journal of Econometrics | 2001-08-17 | Paper |
Financial econometrics: Past developments and future challenges
Journal of Econometrics | 2001-06-05 | Paper |
Modeling and pricing long memory in stock market volatility
Journal of Econometrics | 2001-05-17 | Paper |
Long-term equity anticipation securities and stock market volatility dynamics
Journal of Econometrics | 2000-04-02 | Paper |
Towards a unified framework for high and low frequency return volatility modeling
Statistica Neerlandica | 1999-08-23 | Paper |
Order flow and the bid-ask spread: an empirical probability model of screen-based trading
Journal of Economic Dynamics and Control | 1998-07-22 | Paper |
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Journal of Econometrics | 1997-07-14 | Paper |
Common Persistence in Conditional Variances
Econometrica | 1993-08-22 | Paper |
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Econometric Reviews | 1993-04-01 | Paper |
ARCH modeling in finance. A review of the theory and empirical evidence
Journal of Econometrics | 1992-06-28 | Paper |
Prediction in dynamic models with time-dependent conditional variances
Journal of Econometrics | 1992-06-28 | Paper |
Generalized autoregressive conditional heteroscedasticity
Journal of Econometrics | 1986-01-01 | Paper |
Modelling the persistence of conditional variances
Econometric Reviews | 1986-01-01 | Paper |
