| Publication | Date of Publication | Type |
|---|
| Changes in the span of systematic risk exposures | 2024-11-29 | Paper |
| Rank Tests at Jump Events | 2024-11-08 | Paper |
| The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets | 2024-10-28 | Paper |
| Systematic jump risk | 2024-10-16 | Paper |
| Intraday Periodic Volatility Curves | 2024-07-05 | Paper |
| Volatility of volatility and leverage effect from options | 2024-03-21 | Paper |
| Intraday cross-sectional distributions of systematic risk | 2023-06-29 | Paper |
| Asymptotic Expansions for High-Frequency Option Data | 2023-04-24 | Paper |
| Nonparametric jump variation measures from options | 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 | 2022-03-16 | Paper |
| Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk | 2021-11-11 | Paper |
| Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options | 2021-11-03 | Paper |
| SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS | 2021-06-11 | Paper |
| Tail risk and return predictability for the Japanese equity market | 2021-03-24 | Paper |
| Testing and inference for fixed times of discontinuity in semimartingales | 2020-10-07 | Paper |
| Nonparametric spot volatility from options | 2020-02-21 | Paper |
| Time-Varying Periodicity in Intraday Volatility | 2020-01-15 | Paper |
| Jump factor models in large cross‐sections | 2020-01-08 | Paper |
| INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS | 2019-11-18 | Paper |
| Unified inference for nonlinear factor models from panels with fixed and large time span | 2019-09-02 | Paper |
| Nonparametric implied Lévy densities | 2019-03-06 | Paper |
| Jump Regressions | 2019-01-31 | Paper |
| Parametric Inference and Dynamic State Recovery From Option Panels | 2019-01-30 | Paper |
| Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale | 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 | 2018-05-25 | Paper |
| Mixed-scale jump regressions with bootstrap inference | 2017-11-07 | Paper |
| Adaptive estimation of continuous-time regression models using high-frequency data | 2017-08-21 | Paper |
| Testing for time-varying jump activity for pure jump semimartingales | 2017-08-03 | Paper |
| Jump tails, extreme dependencies, and the distribution of stock returns | 2017-05-12 | Paper |
| ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION | 2017-04-28 | Paper |
| Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices | 2017-01-16 | Paper |
| Realized Laplace transforms for estimation of jump diffusive volatility models | 2016-08-12 | Paper |
| Econometric analysis of jump-driven stochastic volatility models | 2016-08-10 | Paper |
| Jumps and betas: a new framework for disentangling and estimating systematic risks | 2016-08-04 | Paper |
| Activity signature functions for high-frequency data analysis | 2016-07-25 | Paper |
| Estimation of continuous-time stochastic volatility models with jumps using high-frequency data | 2016-07-04 | Paper |
| Inference theory for volatility functional dependencies | 2016-05-18 | Paper |
| Jump activity estimation for pure-jump semimartingales via self-normalized statistics | 2015-08-05 | Paper |
| The fine structure of equity-index option dynamics | 2015-06-08 | Paper |
| Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data | 2015-05-27 | Paper |
| Time-varying jump tails | 2014-11-24 | Paper |
| Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies | 2014-09-25 | Paper |
| Volatility activity: specification and estimation | 2014-08-07 | Paper |
| Efficient estimation of integrated volatility in presence of infinite variation jumps | 2014-08-04 | Paper |
| Power variation from second order differences for pure jump semimartingales | 2014-04-28 | Paper |
| Volatility occupation times | 2013-12-11 | Paper |
| The realized Laplace transform of volatility | 2013-11-06 | Paper |
| Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions | 2013-04-22 | Paper |
| Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales | 2013-03-06 | Paper |
| Realized Laplace transforms for pure-jump semimartingales | 2012-08-29 | Paper |
| Estimation of jump tails | 2012-06-18 | Paper |
| Volatility Jumps | 2011-08-24 | Paper |
| Limit theorems for power variations of pure-jump processes with application to activity estima\-tion | 2011-05-11 | Paper |
| Do price and volatility jump together? | 2010-09-01 | Paper |
| Testing for common arrivals of jumps for discretely observed multidimensional processes | 2009-07-22 | Paper |
