| Publication | Date of Publication | Type |
|---|
Changes in the span of systematic risk exposures
Quantitative Economics | 2024-11-29 | Paper |
Rank Tests at Jump Events
Journal of Business and Economic Statistics | 2024-11-08 | Paper |
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Systematic jump risk
The Annals of Applied Probability | 2024-10-16 | Paper |
Intraday Periodic Volatility Curves
Journal of the American Statistical Association | 2024-07-05 | Paper |
Volatility of volatility and leverage effect from options
Journal of Econometrics | 2024-03-21 | Paper |
Intraday cross-sectional distributions of systematic risk
Journal of Econometrics | 2023-06-29 | Paper |
Asymptotic Expansions for High-Frequency Option Data
| 2023-04-24 | Paper |
Nonparametric jump variation measures from options
Journal of Econometrics | 2022-09-14 | Paper |
Short-time expansion of characteristic functions in a rough volatility setting with applications
| 2022-08-01 | Paper |
Variation and efficiency of high-frequency betas
Journal of Econometrics | 2022-03-16 | Paper |
Recalcitrant betas: intraday variation in the cross-sectional dispersion of systematic risk
Quantitative Economics | 2021-11-11 | Paper |
Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
Stochastic Processes and their Applications | 2021-11-03 | Paper |
Spatial dependence in option observation errors
Econometric Theory | 2021-06-11 | Paper |
Tail risk and return predictability for the Japanese equity market
Journal of Econometrics | 2021-03-24 | Paper |
Testing and inference for fixed times of discontinuity in semimartingales
Bernoulli | 2020-10-07 | Paper |
Nonparametric spot volatility from options
The Annals of Applied Probability | 2020-02-21 | Paper |
Time-varying periodicity in intraday volatility
Journal of the American Statistical Association | 2020-01-15 | Paper |
Jump factor models in large cross‐sections
Quantitative Economics | 2020-01-08 | Paper |
Inference for option panels in pure-jump settings
Econometric Theory | 2019-11-18 | Paper |
Unified inference for nonlinear factor models from panels with fixed and large time span
Journal of Econometrics | 2019-09-02 | Paper |
Nonparametric implied Lévy densities
The Annals of Statistics | 2019-03-06 | Paper |
Jump Regressions
Econometrica | 2019-01-31 | Paper |
Parametric Inference and Dynamic State Recovery From Option Panels
Econometrica | 2019-01-30 | Paper |
Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
Stochastic Processes and their Applications | 2019-01-25 | 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 |
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 time-varying jump activity for pure jump semimartingales
The Annals of Statistics | 2017-08-03 | Paper |
Jump tails, extreme dependencies, and the distribution of stock returns
Journal of Econometrics | 2017-05-12 | Paper |
Estimating the volatility occupation time via regularized Laplace inversion
Econometric Theory | 2017-04-28 | 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 |
Realized Laplace transforms for estimation of jump diffusive volatility models
Journal of Econometrics | 2016-08-12 | Paper |
Econometric analysis of jump-driven stochastic volatility models
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 |
Activity signature functions for high-frequency data analysis
Journal of Econometrics | 2016-07-25 | Paper |
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
Journal of Econometrics | 2016-07-04 | Paper |
Inference theory for volatility functional dependencies
Journal of Econometrics | 2016-05-18 | Paper |
Jump activity estimation for pure-jump semimartingales via self-normalized statistics
The Annals of Statistics | 2015-08-05 | Paper |
The fine structure of equity-index option dynamics
Journal of Econometrics | 2015-06-08 | Paper |
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
Stochastic Processes and their Applications | 2015-05-27 | Paper |
Time-varying jump tails
Journal of Econometrics | 2014-11-24 | Paper |
Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
The Annals of Applied Probability | 2014-09-25 | Paper |
Volatility activity: specification and estimation
Journal of Econometrics | 2014-08-07 | Paper |
Efficient estimation of integrated volatility in presence of infinite variation jumps
The Annals of Statistics | 2014-08-04 | Paper |
Power variation from second order differences for pure jump semimartingales
Stochastic Processes and their Applications | 2014-04-28 | Paper |
Volatility occupation times
The Annals of Statistics | 2013-12-11 | Paper |
The realized Laplace transform of volatility
Econometrica | 2013-11-06 | Paper |
Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
Journal of the American Statistical Association | 2013-04-22 | Paper |
Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales
Stochastic Processes and their Applications | 2013-03-06 | Paper |
Realized Laplace transforms for pure-jump semimartingales
The Annals of Statistics | 2012-08-29 | Paper |
Estimation of jump tails
Econometrica | 2012-06-18 | Paper |
Volatility jumps
Journal of Business and Economic Statistics | 2011-08-24 | Paper |
Limit theorems for power variations of pure-jump processes with application to activity estima\-tion
The Annals of Applied Probability | 2011-05-11 | Paper |
Do price and volatility jump together?
The Annals of Applied Probability | 2010-09-01 | Paper |
Testing for common arrivals of jumps for discretely observed multidimensional processes
The Annals of Statistics | 2009-07-22 | Paper |
