| Publication | Date of Publication | Type |
|---|
Ole Eiler Barndorff-Nielsen
Bernoulli | 2026-02-10 | Paper |
Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes
Electronic Journal of Statistics | 2026-02-06 | Paper |
Polynomial rates via deconvolution for nonparametric estimation in McKean-Vlasov SDEs
Probability Theory and Related Fields | 2025-10-23 | Paper |
On Lasso estimator for the drift function in diffusion models
Bernoulli | 2025-05-27 | Paper |
On Lasso estimator for the drift function in diffusion models
Bernoulli | 2025-05-27 | Paper |
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Limit theorems for general functionals of Brownian local times
Electronic Journal of Probability | 2024-10-16 | Paper |
Understanding limit theorems for semimartingales: a short survey
Statistica Neerlandica | 2024-07-16 | Paper |
Optimal estimation of the local time and the occupation time measure for an \(\alpha\)-stable Lévy process
Modern Stochastics. Theory and Applications | 2024-06-05 | Paper |
Book review <b>How to Cheat with Statistics – and Get Away with It</b> , by Gunter Meissner, World Scientific (2022), Hardback. ISBN 978-9811252488
Quantitative Finance | 2024-04-12 | Paper |
Estimation of mixed fractional stable processes using high-frequency data
The Annals of Statistics | 2024-01-04 | Paper |
Estimation of mixed fractional stable processes using high-frequency data
The Annals of Statistics | 2024-01-04 | Paper |
| Limit theorems for general functionals of Brownian local times | 2023-11-02 | Paper |
Parameter estimation of discretely observed interacting particle systems
Stochastic Processes and their Applications | 2023-08-14 | Paper |
High-dimensional estimation of quadratic variation based on penalized realized variance
Statistical Inference for Stochastic Processes | 2023-07-06 | Paper |
Semiparametric estimation of McKean-Vlasov SDEs
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2023-02-28 | Paper |
| Asymptotic theory for quadratic variation of harmonizable fractional stable processes | 2023-02-27 | Paper |
| Quantitative and stable limits of high-frequency statistics of L\'evy processes: a Stein's method approach | 2023-02-12 | Paper |
Multidimensional parameter estimation of heavy-tailed moving averages
Scandinavian Journal of Statistics | 2022-10-06 | Paper |
Ambit fields: survey and new challenges
XI Symposium on Probability and Stochastic Processes | 2022-09-30 | Paper |
| On Lasso estimator for the drift function in diffusion models | 2022-09-13 | Paper |
Optimal estimation of the supremum and occupation times of a self-similar Lévy process
Electronic Journal of Statistics | 2022-05-11 | Paper |
Power variations for fractional type infinitely divisible random fields
Electronic Journal of Probability | 2021-07-21 | Paper |
Local asymptotic self-similarity for heavy-tailed harmonizable fractional Lévy motions
ESAIM: Probability and Statistics | 2021-07-13 | Paper |
Semiparametric estimation of McKean-Vlasov SDEs
(available as arXiv preprint) | 2021-07-01 | Paper |
On estimation of quadratic variation for multivariate pure jump semimartingales
Stochastic Processes and their Applications | 2021-06-04 | Paper |
Edgeworth expansion for Euler approximation of continuous diffusion processes
The Annals of Applied Probability | 2021-03-18 | Paper |
Edgeworth expansion for Euler approximation of continuous diffusion processes
The Annals of Applied Probability | 2021-03-18 | Paper |
On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
Electronic Journal of Statistics | 2021-01-19 | Paper |
On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
Electronic Journal of Statistics | 2021-01-19 | Paper |
A minimal contrast estimator for the linear fractional stable motion
Statistical Inference for Stochastic Processes | 2020-08-25 | Paper |
A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
Electronic Journal of Probability | 2020-05-29 | Paper |
A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
Electronic Journal of Probability | 2020-05-29 | Paper |
| A note on parametric estimation of Lévy moving average processes | 2020-05-13 | Paper |
| Optimal estimation of some random quantities of a L\'evy process | 2020-01-08 | Paper |
Estimation of the linear fractional stable motion
Bernoulli | 2019-12-05 | Paper |
Estimation of the linear fractional stable motion
Bernoulli | 2019-12-05 | Paper |
The asymptotic error of chaos expansion approximations for stochastic differential equations
Modern Stochastics. Theory and Applications | 2019-10-08 | Paper |
On limit theory for functionals of stationary increments Lévy driven moving averages
Electronic Journal of Probability | 2019-09-19 | Paper |
On limit theory for functionals of stationary increments Lévy driven moving averages
Electronic Journal of Probability | 2019-09-19 | Paper |
A limit theorem for a class of stationary increments Lévy moving average process with multiple singularities
Modern Stochastics. Theory and Applications | 2019-05-17 | Paper |
On the minimal number of driving Lévy motions in a multivariate price model
Journal of Applied Probability | 2018-11-19 | Paper |
Book review of: V. Féray et al., Mod- convergence. Normality zones and precise deviations
European Mathematical Society Newsletter | 2018-06-28 | Paper |
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
Journal of Econometrics | 2018-06-21 | Paper |
On limit theory for Lévy semi-stationary processes
Bernoulli | 2018-03-27 | Paper |
On limit theory for Lévy semi-stationary processes
Bernoulli | 2018-03-27 | Paper |
Estimation of the linear fractional stable motion
Bernoulli | 2018-02-18 | Paper |
Estimation of the linear fractional stable motion
Bernoulli | 2018-02-18 | Paper |
Power variation for a class of stationary increments Lévy driven moving averages
The Annals of Probability | 2018-02-14 | Paper |
Power variation for a class of stationary increments Lévy driven moving averages
The Annals of Probability | 2018-02-14 | Paper |
| Asymptotic behavior of local times related statistics for fractional Brownian motion | 2017-10-23 | Paper |
Edgeworth expansion for the pre-averaging estimator
Stochastic Processes and their Applications | 2017-10-10 | Paper |
Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Bernoulli | 2017-09-21 | Paper |
Testing the maximal rank of the volatility process for continuous diffusions observed with noise
Bernoulli | 2017-09-21 | Paper |
On \(U\)- and \(V\)-statistics for discontinuous Itô semimartingales
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2017-09-15 | Paper |
On critical cases in limit theory for stationary increments Lévy driven moving averages
Stochastics | 2017-04-11 | Paper |
Inference from high-frequency data: a subsampling approach
Journal of Econometrics | 2017-03-10 | Paper |
Edgeworth expansion for functionals of continuous diffusion processes
The Annals of Applied Probability | 2017-02-21 | Paper |
Edgeworth expansion for functionals of continuous diffusion processes
The Annals of Applied Probability | 2017-02-21 | Paper |
Estimation of the global regularity of a multifractional Brownian motion
Electronic Journal of Statistics | 2017-01-26 | Paper |
Estimation of the global regularity of a multifractional Brownian motion
Electronic Journal of Statistics | 2017-01-26 | Paper |
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Journal of Econometrics | 2016-08-04 | Paper |
Realised quantile-based estimation of the integrated variance
Journal of Econometrics | 2016-08-04 | Paper |
Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
Journal of Econometrics | 2016-06-06 | Paper |
Realized range-based estimation of integrated variance
Journal of Econometrics | 2016-05-27 | Paper |
A weak limit theorem for numerical approximation of Brownian semi-stationary processes
Stochastics of Environmental and Financial Economics | 2016-04-22 | Paper |
Asymptotics of weighted random sums
(available as arXiv preprint) | 2015-12-16 | Paper |
| Limit theorems for stationary increments L\'evy driven moving averages | 2015-06-22 | Paper |
High-frequency asymptotics for path-dependent functionals of Itô semimartingales
Stochastic Processes and their Applications | 2015-02-27 | Paper |
On non-standard limits of Brownian semi-stationary processes
Stochastic Processes and their Applications | 2015-01-30 | Paper |
Limit theorems for nondegenerate \(U\)-statistics of continuous semimartingales
The Annals of Applied Probability | 2014-11-21 | Paper |
Limit theorems for nondegenerate \(U\)-statistics of continuous semimartingales
The Annals of Applied Probability | 2014-11-21 | Paper |
Testing the local volatility assumption: a statistical approach
Annals of Finance | 2014-11-12 | Paper |
| On spectral distribution of high dimensional covariation matrices | 2014-10-24 | Paper |
Asymptotic theory for Brownian semi-stationary processes with application to turbulence
Stochastic Processes and their Applications | 2014-04-28 | Paper |
A test for the rank of the volatility process: the random perturbation approach
The Annals of Statistics | 2014-03-06 | Paper |
A test for the rank of the volatility process: the random perturbation approach
The Annals of Statistics | 2014-03-06 | Paper |
On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes
Journal of Multivariate Analysis | 2014-01-13 | Paper |
Goodness-of-fit testing for fractional diffusions
Statistical Inference for Stochastic Processes | 2013-08-02 | Paper |
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
Springer Proceedings in Mathematics & Statistics | 2013-07-08 | Paper |
Multipower variation for Brownian semistationary processes
Bernoulli | 2011-12-28 | Paper |
Quantitative Breuer-Major theorems
Stochastic Processes and their Applications | 2011-06-15 | Paper |
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Bernoulli | 2010-11-12 | Paper |
Limit theorems for moving averages of discretized processes plus noise
The Annals of Statistics | 2010-05-26 | Paper |
Bias-correcting the realized range-based variance in the presence of market microstructure noise
Finance and Stochastics | 2010-04-22 | Paper |
Bipower-type estimation in a noisy diffusion setting
Stochastic Processes and their Applications | 2009-09-17 | Paper |
Microstructure noise in the continuous case: the pre-averaging approach
Stochastic Processes and their Applications | 2009-07-15 | Paper |
Power variation for Gaussian processes with stationary increments
Stochastic Processes and their Applications | 2009-06-04 | Paper |
Bipower Variation for Gaussian Processes with Stationary Increments
Journal of Applied Probability | 2009-04-14 | Paper |
| New theory of estimation of integrated volatility with applications. | 2008-12-29 | Paper |
A note on the central limit theorem for bipower variation of general functions
Stochastic Processes and their Applications | 2008-06-10 | Paper |
Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
Scandinavian Journal of Statistics | 2006-12-08 | Paper |
| A central limit theorem for realised power and bipower variation of continuous semimartingales | 2006-10-23 | Paper |
Optimal estimation of local time and occupation time measure for an {\alpha}-stable Levy process
(available as arXiv preprint) | N/A | Paper |
Polynomial rates via deconvolution for nonparametric estimation in McKean-Vlasov SDEs
(available as arXiv preprint) | N/A | Paper |
On nonparametric estimation of the interaction function in particle system models
(available as arXiv preprint) | N/A | Paper |
