| Publication | Date of Publication | Type |
|---|
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
Journal of Business and Economic Statistics | 2024-11-08 | Paper |
Building trust takes time: limits to arbitrage for blockchain-based assets
Review of Finance | 2024-10-30 | Paper |
Corrigendum to ``Local mispricing and microstructural noise: a parametric perspective
Journal of Econometrics | 2023-02-01 | Paper |
Local mispricing and microstructural noise: a parametric perspective
Journal of Econometrics | 2022-09-14 | Paper |
Counterparty credit limits: the impact of a risk-mitigation measure on everyday trading
Applied Mathematical Finance | 2021-06-21 | Paper |
Large-scale portfolio allocation under transaction costs and model uncertainty
Journal of Econometrics | 2019-09-02 | Paper |
Large-scale portfolio allocation under transaction costs and model uncertainty
Journal of Econometrics | 2019-09-02 | Paper |
Financial Network Systemic Risk Contributions
Review of Finance | 2018-11-09 | Paper |
Predicting bid-ask spreads using long-memory autoregressive conditional Poisson models
Journal of Forecasting | 2018-10-11 | Paper |
| Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence | 2017-07-08 | 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 |
Modeling time-varying dependencies between positive-valued high-frequency time series
Copulae in Mathematical and Quantitative Finance | 2013-09-20 | Paper |
Bayesian inference in a stochastic volatility Nelson-Siegel model
Computational Statistics and Data Analysis | 2012-12-30 | Paper |
The market impact of a limit order
Journal of Economic Dynamics and Control | 2012-07-13 | Paper |
| Econometrics of financial high-frequency data | 2011-08-25 | Paper |
Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
Modelling Financial High Frequency Data Using Point Processes
Handbook of Financial Time Series | 2009-11-27 | Paper |
Measuring and Modeling Risk Using High-Frequency Data
Applied Quantitative Finance | 2008-12-01 | Paper |
Stochastic Volatility Estimation Using Markov Chain Simulation
Applied Quantitative Finance | 2008-12-01 | Paper |
High-Frequency Volatility and Liquidity
Applied Quantitative Finance | 2008-12-01 | Paper |
A Dynamic Semiparametric Proportional Hazard Model
Studies in Nonlinear Dynamics & Econometrics | 2008-04-04 | Paper |
Econometric analysis of financial transaction data: pitfalls and opportunities
AStA. Allgemeines Statistisches Archiv | 2005-10-11 | Paper |
Modelling irregulary spaced financial data. Theory and practice of dynamic duration models.
Lecture Notes in Economics and Mathematical Systems | 2004-09-30 | Paper |
The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report
Review of Finance | 2003-05-14 | Paper |
