Markus Bibinger

Available identifiers

zbMath Open bibinger.markusMaRDI QIDQ350688

List of research outcomes

Publication	Date of Publication	Type
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence	2024-11-08	Paper
Probabilistic models and statistics for electronic financial markets in the digital age	2024-10-14	Paper
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise	2024-10-11	Paper
Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities	2023-07-25	Paper
Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent	2023-05-02	Paper
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise	2023-01-05	Paper
Gumbel convergence of the maximum of convoluted half-normally distributed random variables	2021-03-26	Paper
On central limit theorems for power variations of the solution to the stochastic heat equation	2020-05-13	Paper
Volatility estimation for stochastic PDEs using high-frequency observations	2020-04-01	Paper
Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion	2020-03-27	Paper
Change-point inference on volatility in noisy Itô semimartingales	2019-12-17	Paper
Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book	2019-04-30	Paper
Common price and volatility jumps in noisy high-frequency data	2018-08-14	Paper
Nonparametric change-point analysis of volatility	2017-09-08	Paper
Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence	2017-07-08	Paper
Volatility estimation under one-sided errors with applications to limit order books	2016-12-09	Paper
Inference for multi-dimensional high-frequency data with an application to conditional independence testing	2016-12-02	Paper
Functional stable limit theorems for quasi-efficient spectral covolatility estimators	2015-10-12	Paper
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps	2015-07-21	Paper
Econometrics of co-jumps in high-frequency data with noise	2015-05-06	Paper
Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency	2014-10-17	Paper
Spectral Estimation of Covolatility from Noisy Observations Using Local Weights	2014-05-02	Paper
Notes on the sum and maximum of independent exponentially distributed random variables with different scale parameters	2013-07-15	Paper
Efficient covariance estimation for asynchronous noisy high-frequency data	2012-09-01	Paper
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory	2012-06-19	Paper
Asymptotics of Asynchronicity	2011-06-21	Paper

Research outcomes over time

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