| Publication | Date of Publication | Type |
|---|
| On the Estimation of Integrated Volatility With Jumps and Microstructure Noise | 2025-01-20 | Paper |
| Online change-point detection for matrix-valued time series with latent two-way factor structure | 2024-10-18 | Paper |
| Large-Dimensional Factor Analysis Without Moment Constraints | 2024-10-17 | Paper |
| Matrix Factor Analysis: From Least Squares to Iterative Projection | 2024-03-06 | Paper |
| Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data | 2023-07-04 | Paper |
| One-way or two-way factor model for matrix sequences? | 2023-06-29 | Paper |
| Inference on common intraday periodicity at high frequencies | 2022-09-30 | Paper |
| Test on stochastic block model: local smoothing and extreme value theory | 2022-09-14 | Paper |
| Inference on volatility curve at high frequencies via functional data analysis | 2022-09-14 | Paper |
| Nonparametric regression with nearly integrated regressors under long-run dependence | 2022-08-02 | Paper |
| Projected estimation for large-dimensional matrix factor models | 2022-07-01 | Paper |
| Projected estimation for large-dimensional matrix factor models | 2022-06-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5062780 | 2022-03-17 | Paper |
| Trading-flow assisted estimation of the jump activity index | 2021-05-05 | Paper |
| Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data | 2021-01-12 | Paper |
| A random-perturbation-based rank estimator of the number of factors | 2020-06-09 | Paper |
| Factor and Idiosyncratic Empirical Processes | 2019-11-12 | Paper |
| A rank test for the number of factors with high-frequency data | 2019-07-01 | Paper |
| On the number of common factors with high-frequency data | 2019-06-24 | Paper |
| Bootstrapping volatility functionals: a local and nonparametric perspective | 2019-06-24 | Paper |
| Lack of Fit Test for Infinite Variation Jumps at High Frequencies | 2019-02-28 | Paper |
| On the systematic and idiosyncratic volatility with large panel high-frequency data | 2018-06-29 | Paper |
| Testing against constant factor loading matrix with large panel high-frequency data | 2018-05-25 | Paper |
| Estimating the integrated volatility using high-frequency data with zero durations | 2018-04-18 | Paper |
| Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data | 2018-03-22 | Paper |
| SURE estimates under dependence and heteroscedasticity | 2017-09-18 | Paper |
| ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS | 2017-05-16 | Paper |
| On the jump activity index for semimartingales | 2016-08-15 | Paper |
| Evaluating the hedging error in price processes with jumps present | 2015-12-10 | Paper |
| Testing of high dimensional mean vectors via approximate factor model | 2015-12-07 | Paper |
| FDR control in multiple testing under non-normality | 2015-10-21 | Paper |
| On False Discovery and Non‐discovery Proportions of the Dynamic Adaptive Procedure | 2015-05-20 | Paper |
| Testing for pure-jump processes for high-frequency data | 2015-05-11 | Paper |
| M-estimation for Moderate Deviations From a Unit Root | 2015-04-29 | Paper |
| Testing for diffusion in a discretely observed semimartingale | 2014-08-06 | Paper |
| The asymptotics of the integrated self-weighted cross volatility estimator | 2014-01-27 | Paper |
| A direct approach to risk approximation for vast portfolios under gross-exposure constraint using high-frequency data | 2013-11-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4900479 | 2013-01-24 | Paper |
| Is a pure jump process fitting the high frequency data better than a jump-diffusion process? | 2012-12-28 | Paper |
| Modeling high-frequency financial data by pure jump processes | 2012-08-29 | Paper |
| Confidence interval of the jump activity index based on empirical likelihood using high frequency data | 2012-07-16 | Paper |
| Estimating the Jump Activity Index Under Noisy Observations Using High-Frequency Data | 2011-10-28 | Paper |
| Stochastic regression and its application to hedging in finance | 2009-12-07 | Paper |
| Life behavior of \(\delta\) -shock model | 2007-08-27 | Paper |
