| Publication | Date of Publication | Type |
|---|
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
Journal of Business and Economic Statistics | 2024-11-08 | Paper |
Probabilistic models and statistics for electronic financial markets in the digital age
Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) | 2024-10-14 | Paper |
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
Journal of Applied Probability | 2024-10-11 | Paper |
Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities
Japanese Journal of Statistics and Data Science | 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
(available as arXiv preprint) | 2020-05-13 | Paper |
Volatility estimation for stochastic PDEs using high-frequency observations
Stochastic Processes and their Applications | 2020-04-01 | Paper |
Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
Statistics & Probability Letters | 2020-03-27 | Paper |
Change-point inference on volatility in noisy Itô semimartingales
Stochastic Processes and their Applications | 2019-12-17 | Paper |
Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
Journal of Econometrics | 2019-04-30 | Paper |
Common price and volatility jumps in noisy high-frequency data
Electronic Journal of Statistics | 2018-08-14 | Paper |
Nonparametric change-point analysis of volatility
The Annals of Statistics | 2017-09-08 | Paper |
Nonparametric change-point analysis of volatility
The Annals of Statistics | 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
The Annals of Applied Probability | 2016-12-09 | Paper |
Inference for multi-dimensional high-frequency data with an application to conditional independence testing
Scandinavian Journal of Statistics | 2016-12-02 | Paper |
Functional stable limit theorems for quasi-efficient spectral covolatility estimators
Stochastic Processes and their Applications | 2015-10-12 | Paper |
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Annals of the Institute of Statistical Mathematics | 2015-07-21 | Paper |
Econometrics of co-jumps in high-frequency data with noise
Journal of Econometrics | 2015-05-06 | Paper |
Econometrics of co-jumps in high-frequency data with noise
Journal of Econometrics | 2015-05-06 | Paper |
Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
The Annals of Statistics | 2014-10-17 | Paper |
Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
The Annals of Statistics | 2014-10-17 | Paper |
Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
Scandinavian Journal of Statistics | 2014-05-02 | Paper |
Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
Scandinavian Journal of Statistics | 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
Scandinavian Journal of Statistics | 2012-09-01 | Paper |
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
Stochastic Processes and their Applications | 2012-06-19 | Paper |
| Asymptotics of Asynchronicity | 2011-06-21 | Paper |
