| Publication | Date of Publication | Type |
|---|
| Periodic trawl processes: simulation, statistical inference and applications in energy markets | 2024-09-25 | Paper |
A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
The Annals of Applied Probability | 2024-08-21 | Paper |
Simulation methods and error analysis for trawl processes and ambit fields
Mathematics and Computers in Simulation | 2023-11-13 | Paper |
Inference and forecasting for continuous-time integer-valued trawl processes
Journal of Econometrics | 2023-09-28 | Paper |
Asymptotic theory for the inference of the latent trawl model for extreme values
Scandinavian Journal of Statistics | 2023-04-13 | Paper |
| Periodic trawl processes: Simulation, statistical inference and applications in energy markets | 2023-03-07 | Paper |
Scoring predictions at extreme quantiles
AStA. Advances in Statistical Analysis | 2022-12-19 | Paper |
High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process
Electronic Journal of Statistics | 2022-10-18 | Paper |
High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process
Electronic Journal of Statistics | 2022-10-18 | Paper |
Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein–Uhlenbeck processes
Stochastics | 2022-07-05 | Paper |
Likelihood theory for the graph Ornstein-Uhlenbeck process
Statistical Inference for Stochastic Processes | 2022-06-01 | Paper |
A weak law of large numbers for realised covariation in a Hilbert space setting
Stochastic Processes and their Applications | 2022-02-11 | Paper |
Limit theorems for trawl processes
Electronic Journal of Probability | 2021-11-11 | Paper |
Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
(available as arXiv preprint) | 2021-11-03 | Paper |
Hybrid simulation scheme for volatility modulated moving average fields
Mathematics and Computers in Simulation | 2021-03-02 | Paper |
High-frequency Estimation of the L\'evy-driven Graph Ornstein-Uhlenbeck process
(available as arXiv preprint) | 2020-08-25 | Paper |
Likelihood theory for the Graph Ornstein-Uhlenbeck process
(available as arXiv preprint) | 2020-05-26 | Paper |
Limit theorems for multivariate Brownian semistationary processes and feasible results
Advances in Applied Probability | 2019-12-09 | Paper |
Mixing properties of multivariate infinitely divisible random fields
Journal of Theoretical Probability | 2019-10-22 | Paper |
A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
Bernoulli | 2019-06-14 | Paper |
A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
Bernoulli | 2019-06-14 | Paper |
Modeling, simulation and inference for multivariate time series of counts using trawl processes
Journal of Multivariate Analysis | 2019-01-04 | Paper |
Modeling, simulation and inference for multivariate time series of counts using trawl processes
Journal of Multivariate Analysis | 2019-01-04 | Paper |
Modeling, simulation and inference for multivariate time series of counts using trawl processes
Journal of Multivariate Analysis | 2019-01-01 | Paper |
Modeling, simulation and inference for multivariate time series of counts using trawl processes
Journal of Multivariate Analysis | 2019-01-01 | Paper |
A Lévy-driven rainfall model with applications to futures pricing
AStA. Advances in Statistical Analysis | 2018-11-12 | Paper |
Ambit stochastics
Probability Theory and Stochastic Modelling | 2018-10-02 | Paper |
Hybrid simulation scheme for volatility modulated moving average fields
(available as arXiv preprint) | 2017-09-05 | Paper |
| A weak law of large numbers for estimating the correlation in bivariate Brownian semistationary processes | 2017-07-26 | Paper |
Spatio‐temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference
Scandinavian Journal of Statistics | 2017-03-03 | Paper |
On the class of distributions of subordinated Lévy processes and bases
Stochastic Processes and their Applications | 2016-12-27 | Paper |
Modeling the variance risk premium of equity indices: the role of dependence and contagion
SIAM Journal on Financial Mathematics | 2016-06-15 | Paper |
Stationary and multi-self-similar random fields with stochastic volatility
Stochastics | 2016-04-27 | Paper |
Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes
Stochastics of Environmental and Financial Economics | 2016-04-22 | Paper |
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
Banach Center Publications | 2015-04-08 | Paper |
Approximating Lévy semistationary processes via Fourier methods in the context of power markets
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Stochastic volatility and stochastic leverage
Annals of Finance | 2014-11-12 | Paper |
Integer-valued trawl processes: a class of stationary infinitely divisible processes
Scandinavian Journal of Statistics | 2014-10-09 | Paper |
Modelling electricity futures by ambit fields
Advances in Applied Probability | 2014-09-25 | Paper |
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
Bernoulli | 2013-08-16 | Paper |
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
Bernoulli | 2013-08-16 | Paper |
How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
AStA. Advances in Statistical Analysis | 2011-08-25 | Paper |
Ambit processes and stochastic partial differential equations
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
Econometrics Journal | 2011-07-27 | Paper |
Inference for the jump part of quadratic variation of Itô semimartingales
Econometric Theory | 2010-04-23 | Paper |
