| Publication | Date of Publication | Type |
|---|
Local Parametric Estimation in High Frequency Data
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Realized regression with asynchronous and noisy high frequency and high dimensional data
Journal of Econometrics | 2024-03-06 | Paper |
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
Econometric Theory | 2023-03-06 | Paper |
A CLT for second difference estimators with an application to volatility and intensity
The Annals of Statistics | 2022-11-02 | Paper |
The observed asymptotic variance: hard edges, and a regression approach
Journal of Econometrics | 2021-03-24 | Paper |
The five trolls under the bridge: principal component analysis with asynchronous and noisy high frequency data
Journal of the American Statistical Association | 2021-01-22 | Paper |
Combining statistical intervals and market prices: the worst case state price distribution
Journal of Econometrics | 2019-09-02 | Paper |
The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
Journal of Econometrics | 2019-04-26 | Paper |
Assessment of uncertainty in high frequency data: the observed asymptotic variance
Econometrica | 2019-01-31 | Paper |
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Journal of Econometrics | 2017-08-21 | Paper |
The estimation of leverage effect with high-frequency data
Journal of the American Statistical Association | 2017-08-04 | Paper |
Jumps in equilibrium prices and market microstructure noise
Journal of Econometrics | 2017-05-12 | Paper |
Estimation of integrated quadratic covariation with endogenous sampling times
Journal of Econometrics | 2017-01-30 | Paper |
Cumulants and Bartlett Identities in Cox Regression
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Inference for multi-dimensional high-frequency data with an application to conditional independence testing
Scandinavian Journal of Statistics | 2016-12-02 | Paper |
Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
Journal of Econometrics | 2016-09-06 | Paper |
On the jump activity index for semimartingales
Journal of Econometrics | 2016-08-15 | Paper |
Ultra high frequency volatility estimation with dependent microstructure noise
Journal of Econometrics | 2016-08-10 | Paper |
Edgeworth expansions for realized volatility and related estimators
Journal of Econometrics | 2016-08-10 | Paper |
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
Journal of Econometrics | 2016-06-10 | Paper |
On generating Monte Carlo samples of continuous diffusion bridges
Journal of the American Statistical Association | 2015-06-15 | Paper |
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
Stochastic Processes and their Applications | 2015-05-27 | Paper |
A Gaussian calculus for inference from high frequency data
Annals of Finance | 2014-11-12 | Paper |
Realized volatility when sampling times are possibly endogenous
Econometric Theory | 2014-09-25 | Paper |
The econometrics of high-frequency data
| 2013-04-03 | Paper |
ANOVA for diffusions and Itō processes
The Annals of Statistics | 2012-09-03 | Paper |
The double Gaussian approximation for high frequency data
Scandinavian Journal of Statistics | 2012-09-01 | Paper |
Inference for volatility-type objects and implications for hedging
Statistics and Its Interface | 2012-01-25 | Paper |
Inference for Continuous Semimartingales Observed at High Frequency
Econometrica | 2009-12-21 | Paper |
Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
Handbook of Financial Time Series | 2009-11-27 | Paper |
Microstructure noise in the continuous case: the pre-averaging approach
Stochastic Processes and their Applications | 2009-07-15 | Paper |
How often to sample a continuous-time process in the presence of market microstructure noise
| 2008-07-11 | Paper |
Are volatility estimators robust with respect to modeling assumptions?
Bernoulli | 2008-02-06 | Paper |
A Tale of Two Time Scales
Journal of the American Statistical Association | 2007-08-20 | Paper |
An asymptotic decomposition of hedging errors
Journal of the Korean Statistical Society | 2007-07-31 | Paper |
The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
Econometrica | 2006-06-19 | Paper |
EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
Mathematical Finance | 2006-02-08 | Paper |
Estimators of diffusions with randomly spaced discrete observations: a general theory
The Annals of Statistics | 2005-02-28 | Paper |
Conservative delta hedging.
The Annals of Applied Probability | 2004-10-27 | Paper |
Financial options and statistical prediction intervals
The Annals of Statistics | 2004-06-09 | Paper |
The interpolation of options
Finance and Stochastics | 2004-03-16 | Paper |
Likelihood computations without Bartlett identities
Bernoulli | 2002-06-30 | Paper |
Bartlett identities and large deviations in likelihood theory
The Annals of Statistics | 2000-12-27 | Paper |
Empirical likelihood in the presence of nuisance parameters
Biometrika | 1999-07-05 | Paper |
scientific article; zbMATH DE number 1215434 (Why is no real title available?)
| 1999-02-09 | Paper |
An evaluation of the power and conditionality properties of empirical likelihood
Biometrika | 1998-11-03 | Paper |
Dual likelihood
The Annals of Statistics | 1997-12-14 | Paper |
Algorithms for computing self-consistent and maximum likelihood estimators with doubly censored data
The Annals of Statistics | 1997-08-03 | Paper |
Embedding and asymptotic expansions for martingales
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1996-08-13 | Paper |
Martingale expansions and second order inference
The Annals of Statistics | 1996-06-23 | Paper |
scientific article; zbMATH DE number 788256 (Why is no real title available?)
| 1996-01-09 | Paper |
Regeneration in Markov Chain Samplers
| 1995-08-30 | Paper |
Bartlett type identities for martingales
The Annals of Statistics | 1994-06-29 | Paper |
Nonlinear Experiments: Optimal Design and Inference Based on Likelihood
| 1993-11-14 | Paper |
Asymptotic expansions for martingales
The Annals of Probability | 1993-10-11 | Paper |
Asymptotic expansions and bootstrapping distributions for dependent variables: A martingale approach
The Annals of Statistics | 1992-09-27 | Paper |
