| Publication | Date of Publication | Type |
|---|
Inference for fractional Ornstein-Uhlenbeck type processes with periodic mean in the non-ergodic case
Stochastic Analysis and Applications | 2022-06-27 | Paper |
Martingale estimation functions for Bessel processes
Statistical Inference for Stochastic Processes | 2022-06-01 | Paper |
The differential equations associated with Calogero-Moser-Sutherland particle models in the freezing regime
Hokkaido Mathematical Journal | 2022-05-06 | Paper |
| Wigner- and Marchenko-Pastur-type limits for Jacobi processes | 2022-03-15 | Paper |
Limit theorems for Bessel and Dunkl processes of large dimensions and free convolutions
Stochastic Processes and their Applications | 2021-12-14 | Paper |
Ordinal patterns in long‐range dependent time series
Scandinavian Journal of Statistics | 2021-09-17 | Paper |
Functional central limit theorems for multivariate Bessel processes in the freezing regime
Stochastic Analysis and Applications | 2021-03-02 | Paper |
The differential equations associated with Calogero-Moser-Sutherland particle models in the freezing regime
(available as arXiv preprint) | 2019-10-17 | Paper |
Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean
Statistical Inference for Stochastic Processes | 2017-04-21 | Paper |
A mathematical analysis of the Gumbel test for jumps in stochastic volatility models
Stochastic Analysis and Applications | 2016-09-26 | Paper |
The Gumbel test and jumps in the volatility process
Statistical Inference for Stochastic Processes | 2016-06-29 | Paper |
Statistical convergence of Markov experiments to diffusion limits
Bernoulli | 2014-05-05 | Paper |
Statistical convergence of Markov experiments to diffusion limits
Bernoulli | 2014-05-05 | Paper |
A unifying approach to fractional Lévy processes
Stochastics and Dynamics | 2013-05-28 | Paper |
Analyzing the fine structure of continuous time stochastic processes
Seminar on Stochastic Analysis, Random Fields and Applications VI | 2012-08-24 | Paper |
Well-balanced Lévy driven Ornstein–Uhlenbeck processes
Statistics & Risk Modeling | 2011-12-23 | Paper |
Convergence of certain functionals of integral fractional processes
Journal of Theoretical Probability | 2010-01-04 | Paper |
Bipower Variation for Gaussian Processes with Stationary Increments
Journal of Applied Probability | 2009-04-14 | Paper |
| Power and multipower variation: inference for high frequency data | 2008-07-11 | Paper |
Inference in Lévy-type stochastic volatility models
Advances in Applied Probability | 2007-09-03 | Paper |
A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes
Stochastic Analysis and Applications | 2007-02-15 | Paper |
Power variation of some integral fractional processes
Bernoulli | 2006-11-06 | Paper |
Estimation of integrated volatility in stochastic volatility models
Applied Stochastic Models in Business and Industry | 2006-05-24 | Paper |
Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
Statistics & Decisions | 2004-03-08 | Paper |
Local asymptotic normality for the scale parameter of stable processes.
Statistics & Probability Letters | 2004-02-14 | Paper |
Expansion of transition distributions of Lévy processes in small time
Bernoulli | 2003-03-20 | Paper |
| Statistical analysis for discretely observed Lévy processes | 2002-01-30 | Paper |
