| Publication | Date of Publication | Type |
|---|
| Rank Tests at Jump Events | 2024-11-08 | Paper |
| Variation and efficiency of high-frequency betas | 2022-03-16 | Paper |
| Jump factor models in large cross‐sections | 2020-01-08 | Paper |
| Jump Regressions | 2019-01-31 | Paper |
| Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale | 2018-05-31 | 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 |
| ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION | 2017-04-28 | Paper |
| Realized Laplace transforms for estimation of jump diffusive volatility models | 2016-08-12 | Paper |
| Realized jumps on financial markets and predicting credit spreads | 2016-08-10 | Paper |
| Activity signature functions for high-frequency data analysis | 2016-07-25 | Paper |
| A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects | 2016-07-04 | Paper |
| Risk, jumps, and diversification | 2016-06-10 | Paper |
| Inference theory for volatility functional dependencies | 2016-05-18 | Paper |
| A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions | 2016-01-01 | 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 |
| 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 |
| 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 |
| Volatility in equilibrium: asymmetries and dynamic dependencies | 2012-10-23 | Paper |
| Realized Laplace transforms for pure-jump semimartingales | 2012-08-29 | Paper |
| Volatility Jumps | 2011-08-24 | Paper |
| Pricing of the time-change risks | 2011-06-17 | Paper |
| Limit theorems for power variations of pure-jump processes with application to activity estima\-tion | 2011-05-11 | Paper |
| Rational Pessimism, Rational Exuberance, and Asset Pricing Models | 2007-11-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3374317 | 2006-03-09 | Paper |
| Alternative models for stock price dynamics. | 2003-08-07 | Paper |
| Notes on financial econometrics | 2001-06-05 | Paper |
| The relative efficiency of method of moments estimators | 2001-03-11 | Paper |
| Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions | 1999-09-05 | Paper |
| ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES | 1999-07-05 | Paper |
| Estimation of stochastic volatility models with diagnostics | 1999-01-25 | Paper |
| Nonparametric estimation of structural models for high-frequency currency market data | 1995-06-06 | Paper |
| Nonlinear Dynamic Structures | 1994-02-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4015733 | 1993-01-16 | Paper |
| Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models | 1992-06-25 | Paper |
| Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution | 1990-01-01 | Paper |
| Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications | 1989-01-01 | Paper |
| Diagnostic testing and evaluation of maximum likelihood models | 1985-10-01 | Paper |
| Diagnostic testing and evaluation of maximum likelihood models | 1985-01-01 | Paper |
| The Price Variability-Volume Relationship on Speculative Markets | 1983-01-01 | Paper |
