| Publication | Date of Publication | Type |
|---|
On Quantum Statistical Inference, II
(available as arXiv preprint) | N/A | Paper |
Feller processes of normal inverse Gaussian type
Quantitative Finance | 2019-01-14 | Paper |
Some recent developments in stochastic volatility modelling
Quantitative Finance | 2019-01-14 | Paper |
Ambit stochastics
Probability Theory and Stochastic Modelling | 2018-10-02 | Paper |
Incremental Similarity and Turbulence
Theory of Probability & Its Applications | 2017-10-16 | Paper |
Laser cooling and stochastics
State of the art in probability and statistics | 2017-10-09 | Paper |
Gamma kernels and BSS/LSS processes
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
Selfdecomposable fields
Journal of Theoretical Probability | 2017-04-12 | Paper |
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Journal of Econometrics | 2016-08-12 | Paper |
Subsampling realised kernels
Journal of Econometrics | 2016-08-10 | Paper |
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Journal of Econometrics | 2016-06-10 | Paper |
Some recent developments in ambit stochastics
Stochastics of Environmental and Financial Economics | 2016-04-22 | Paper |
Change of time and change of measure
Advanced Series on Statistical Science & Applied Probability | 2015-05-21 | Paper |
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
Banach Center Publications | 2015-04-08 | Paper |
Assessing relative volatility/ intermittency/energy dissipation
Electronic Journal of Statistics | 2014-11-12 | Paper |
Assessing relative volatility/ intermittency/energy dissipation
Electronic Journal of Statistics | 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 |
On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2014-07-18 | Paper |
Lévy mixing
ALEA. Latin American Journal of Probability and Mathematical Statistics | 2014-01-23 | Paper |
Integer-valued Lévy processes and low latency financial econometrics
Quantitative Finance | 2014-01-17 | Paper |
Information and exponential families in statistical theory
Wiley Series in Probability and Statistics | 2013-12-02 | 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 |
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
Springer Proceedings in Mathematics & Statistics | 2013-07-08 | Paper |
The multivariate supOU stochastic volatility model
Mathematical Finance | 2013-04-29 | Paper |
Multipower variation for Brownian semistationary processes
Bernoulli | 2011-12-28 | Paper |
| Measuring downside risk -- realized semivariance | 2011-12-01 | Paper |
Volatility determination in an ambit process setting
Journal of Applied Probability | 2011-10-25 | Paper |
Stationary infinitely divisible processes
Brazilian Journal of Probability and Statistics | 2011-10-25 | Paper |
Quasi Ornstein-Uhlenbeck processes
Bernoulli | 2011-09-14 | Paper |
Ambit processes and stochastic partial differential equations
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Multivariate supOU processes
The Annals of Applied Probability | 2011-02-21 | Paper |
Change of time and change of measure
Advanced Series on Statistical Science & Applied Probability | 2010-11-17 | Paper |
Modified signed log likelihood ratio
Biometrika | 2010-08-13 | Paper |
On free and classical type \(G\) distributions
Brazilian Journal of Probability and Statistics | 2010-08-09 | Paper |
| Brownian semistationary processes and volatility/intermittency | 2010-01-13 | Paper |
Realized kernels in practise : trades and quotes
Econometrics Journal | 2009-12-22 | Paper |
Power variation for Gaussian processes with stationary increments
Stochastic Processes and their Applications | 2009-06-04 | Paper |
| General -transformations | 2009-04-27 | Paper |
Bipower Variation for Gaussian Processes with Stationary Increments
Journal of Applied Probability | 2009-04-14 | Paper |
Probability measures, Lévy measures and analyticity in time
Bernoulli | 2009-03-02 | Paper |
Semigroups of Upsilon transformations
Stochastic Processes and their Applications | 2009-01-16 | Paper |
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Econometrica | 2008-12-15 | Paper |
A Stochastic Differential Equation Framework for the Timewise Dynamics of Turbulent Velocities
Theory of Probability & Its Applications | 2008-11-03 | Paper |
Time Change, Volatility, and Turbulence
Mathematical Control Theory and Finance | 2008-10-17 | Paper |
Matrix Subordinators and Related Upsilon Transformations
Theory of Probability & Its Applications | 2008-08-21 | Paper |
| scientific article; zbMATH DE number 5299701 (Why is no real title available?) | 2008-07-11 | Paper |
| scientific article; zbMATH DE number 5280147 (Why is no real title available?) | 2008-05-28 | Paper |
| Variation, jumps and high-frequency data in financial econometrics | 2008-03-06 | Paper |
| Ambit processes; with applications to turbulence and tumour growth | 2008-01-17 | Paper |
Lévy Copulas: Dynamics and Transforms of Upsilon Type
Scandinavian Journal of Statistics | 2007-12-16 | Paper |
| Positive-definite matrix processes of finite variation | 2007-10-22 | Paper |
| Spatio-temporal modelling -- with a view to biological growth | 2007-10-11 | Paper |
| scientific article; zbMATH DE number 5198657 (Why is no real title available?) | 2007-10-09 | Paper |
| scientific article; zbMATH DE number 5196643 (Why is no real title available?) | 2007-09-28 | Paper |
MatG Random Matrices
Stochastic Models | 2007-02-15 | Paper |
Infinite divisibility for stochastic processes and time change
Journal of Theoretical Probability | 2007-02-14 | Paper |
| Classical and free infinite divisibility and Lévy processes | 2007-01-19 | Paper |
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
Econometric Theory | 2006-11-14 | Paper |
Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
Bernoulli | 2006-11-06 | Paper |
| A central limit theorem for realised power and bipower variation of continuous semimartingales | 2006-10-23 | Paper |
Limit theorems for multipower variation in the presence of jumps
Stochastic Processes and their Applications | 2006-06-30 | Paper |
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Econometrica | 2006-06-16 | Paper |
Power Variation and Time Change
Theory of Probability & Its Applications | 2006-06-09 | Paper |
Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
Scandinavian Journal of Statistics | 2006-05-24 | Paper |
Regularizing mappings of Lévy measures
Stochastic Processes and their Applications | 2006-04-28 | Paper |
| Econometric analysis of realized volatility and its use in estimating stochastic volatility models | 2006-03-09 | Paper |
Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
Methodology and Computing in Applied Probability | 2006-01-17 | Paper |
| A class of spatio-temporal and causal stochastic processes, with application to multiscaling and multifractality | 2005-12-13 | Paper |
Burgers' turbulence problem with linear or quadratic external potential
Journal of Applied Probability | 2005-10-18 | Paper |
Lévy processes in free probability
Proceedings of the National Academy of Sciences | 2005-07-19 | Paper |
Lévy laws in free probability
Proceedings of the National Academy of Sciences | 2005-07-19 | Paper |
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2005-04-22 | Paper |
On Quantum Statistical Inference
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2005-04-22 | Paper |
The Lévy-Itô decomposition in free probability
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2005-03-17 | Paper |
A CONNECTION BETWEEN FREE AND CLASSICAL INFINITE DIVISIBILITY
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2005-02-28 | Paper |
Lévy-based spatial-temporal modelling, with applications to turbulence
Russian Mathematical Surveys | 2004-12-01 | Paper |
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
Scandinavian Journal of Statistics | 2004-11-24 | Paper |
Power variation and stochastic volatility: a review and some new results
Journal of Applied Probability | 2004-10-25 | Paper |
Realized power variation and stochastic volatility model
Bernoulli | 2004-06-10 | Paper |
General framework for the behaviour of continuously observed open quantum systems
Journal of Physics A: Mathematical and General | 2004-06-09 | Paper |
| scientific article; zbMATH DE number 1971717 (Why is no real title available?) | 2004-02-20 | Paper |
Extensions of Type G and Marginal Infinite Divisibility
Theory of Probability and Its Applications | 2004-01-21 | Paper |
Realized power variation and stochastic volatility models
Bernoulli | 2003-12-02 | Paper |
Self-decomposability and Lévy processes in free probability
Bernoulli | 2003-11-09 | Paper |
| scientific article; zbMATH DE number 1995731 (Why is no real title available?) | 2003-10-22 | Paper |
Stationary and self-similar processes driven by Lévy processes
Stochastic Processes and their Applications | 2002-08-29 | Paper |
| scientific article; zbMATH DE number 1687001 (Why is no real title available?) | 2002-08-11 | Paper |
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2002-04-21 | Paper |
Multivariate subordination, self-decomposability and stability
Advances in Applied Probability | 2002-04-08 | Paper |
Superposition of Ornstein-Uhlenbeck type processes
Theory of Probability and its Applications | 2001-10-22 | Paper |
Markov jump processes with a singularity
Advances in Applied Probability | 2001-10-16 | Paper |
Apparent scaling
Finance and Stochastics | 2001-09-16 | Paper |
| scientific article; zbMATH DE number 1639858 (Why is no real title available?) | 2001-09-12 | Paper |
Comment on: ``The geometry of asymptotic inference'' by R. E. Kass
Statistical Science | 2001-02-07 | Paper |
Fisher information in quantum statistics
Journal of Physics A: Mathematical and General | 2000-12-13 | Paper |
Fisher information in quantum statistics
Journal of Physics A: Mathematical and General | 2000-12-13 | Paper |
L-Nonformation, L-Ancillarity, and L-Sufficiency
Theory of Probability & Its Applications | 2000-10-19 | Paper |
Inifinite trees and inverse Gaussian random variables
Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI | 2000-08-14 | Paper |
Inifinite trees and inverse Gaussian random variables
Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI | 2000-08-14 | Paper |
Exact Distributional Results for Random Resistance Trees
Scandinavian Journal of Statistics | 2000-05-24 | Paper |
Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
Scandinavian Journal of Statistics | 2000-04-27 | Paper |
Tail Exactness of Multivariate Saddlepoint Approximations
Scandinavian Journal of Statistics | 2000-03-01 | Paper |
