| Publication | Date of Publication | Type |
|---|
A general test for functional inequalities
Journal of Econometrics | 2025-09-12 | Paper |
Rank Tests at Jump Events
Journal of Business and Economic Statistics | 2024-11-08 | Paper |
Uniform Nonparametric Inference for Spatially Dependent Panel Data
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
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 |
Permutation‐based tests for discontinuities in event studies
Quantitative Economics | 2023-11-16 | Paper |
A consistent specification test for dynamic quantile models
Quantitative Economics | 2022-07-11 | Paper |
Fixed-k inference for volatility
Quantitative Economics | 2022-03-24 | Paper |
Conditional Superior Predictive Ability
Review of Economic Studies | 2022-03-16 | Paper |
Occupation density estimation for noisy high-frequency data
Journal of Econometrics | 2022-03-16 | Paper |
Variation and efficiency of high-frequency betas
Journal of Econometrics | 2022-03-16 | Paper |
Volatility coupling
The Annals of Statistics | 2021-12-03 | Paper |
Glivenko-Cantelli theorems for integrated functionals of stochastic processes
The Annals of Applied Probability | 2021-11-04 | Paper |
Efficient estimation of integrated volatility functionals under general volatility dynamics
Econometric Theory | 2021-09-10 | Paper |
Realized semicovariances
Econometrica | 2021-06-07 | Paper |
Uniform nonparametric inference for time series
Journal of Econometrics | 2021-02-09 | Paper |
Jump factor models in large cross‐sections
Quantitative Economics | 2020-01-08 | Paper |
Efficient estimation of integrated volatility functionals via multiscale jackknife
The Annals of Statistics | 2019-03-14 | Paper |
Generalized method of integrated moments for high-frequency data
Econometrica | 2019-01-31 | Paper |
Jump Regressions
Econometrica | 2019-01-31 | Paper |
Volume, volatility, and public news announcements
Review of Economic Studies | 2019-01-23 | Paper |
Asymptotic inference about predictive accuracy using high frequency data
Journal of Econometrics | 2018-03-22 | Paper |
Mixed-scale jump regressions with bootstrap inference
Journal of Econometrics | 2017-11-07 | Paper |
Adaptive estimation of continuous-time regression models using high-frequency data
Journal of Econometrics | 2017-08-21 | 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 |
Estimating the volatility occupation time via regularized Laplace inversion
Econometric Theory | 2017-04-28 | Paper |
Inference theory for volatility functional dependencies
Journal of Econometrics | 2016-05-18 | Paper |
Volatility occupation times
The Annals of Statistics | 2013-12-11 | Paper |
Volatility occupation times
The Annals of Statistics | 2013-12-11 | Paper |
Robust estimation and inference for jumps in noisy high frequency data: a local-to-continuity theory for the pre-averaging method
Econometrica | 2013-11-26 | Paper |
