| Publication | Date of Publication | Type |
|---|
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Intraday Periodic Volatility Curves
Journal of the American Statistical Association | 2024-07-05 | Paper |
Intraday cross-sectional distributions of systematic risk
Journal of Econometrics | 2023-06-29 | Paper |
Corrigendum to ``Local mispricing and microstructural noise: a parametric perspective
Journal of Econometrics | 2023-02-01 | Paper |
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
Econometric Theory | 2022-12-23 | Paper |
Testing for parameter instability and structural change in persistent predictive regressions
Journal of Econometrics | 2022-12-14 | Paper |
Local mispricing and microstructural noise: a parametric perspective
Journal of Econometrics | 2022-09-14 | Paper |
Recalcitrant betas: intraday variation in the cross-sectional dispersion of systematic risk
Quantitative Economics | 2021-11-11 | Paper |
Consistent inference for predictive regressions in persistent economic systems
Journal of Econometrics | 2021-07-30 | Paper |
Spatial dependence in option observation errors
Econometric Theory | 2021-06-11 | Paper |
Tail risk and return predictability for the Japanese equity market
Journal of Econometrics | 2021-03-24 | Paper |
Time-varying periodicity in intraday volatility
Journal of the American Statistical Association | 2020-01-15 | Paper |
Inference for option panels in pure-jump settings
Econometric Theory | 2019-11-18 | Paper |
Unified inference for nonlinear factor models from panels with fixed and large time span
Journal of Econometrics | 2019-09-02 | Paper |
Parametric Inference and Dynamic State Recovery From Option Panels
Econometrica | 2019-01-30 | Paper |
Jump-robust volatility estimation using nearest neighbor truncation
Journal of Econometrics | 2017-05-12 | Paper |
Realized volatility forecasting and market microstructure noise
Journal of Econometrics | 2016-08-10 | Paper |
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Journal of Econometrics | 2016-08-10 | Paper |
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
Journal of Econometrics | 2016-05-04 | Paper |
The fine structure of equity-index option dynamics
Journal of Econometrics | 2015-06-08 | Paper |
A robust neighborhood truncation approach to estimation of integrated quarticity
Econometric Theory | 2014-06-20 | Paper |
scientific article; zbMATH DE number 5866253 (Why is no real title available?)
| 2011-03-15 | Paper |
Realized beta: persistence and predictability
Advances in Econometrics | 2010-06-30 | Paper |
Stochastic Volatility: Origins and Overview
Handbook of Financial Time Series | 2009-11-27 | Paper |
Realized Volatility
Handbook of Financial Time Series | 2009-11-27 | Paper |
Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
Econometrica | 2006-10-24 | Paper |
Modeling and Forecasting Realized Volatility
Econometrica | 2006-06-19 | Paper |
scientific article; zbMATH DE number 5010683 (Why is no real title available?)
| 2006-03-09 | Paper |
The distribution of realized exchange rate volatility
| 2006-03-09 | Paper |
The Distribution of Realized Exchange Rate Volatility
Journal of the American Statistical Association | 2003-08-10 | Paper |
Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
Journal of Econometrics | 1999-10-05 | Paper |
Towards a unified framework for high and low frequency return volatility modeling
Statistica Neerlandica | 1999-08-23 | Paper |
GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994)
Journal of Econometrics | 1998-11-10 | Paper |
scientific article; zbMATH DE number 1106711 (Why is no real title available?)
| 1998-01-21 | Paper |
Estimating continuous-time stochastic volatility models of the short-term interest rate
Journal of Econometrics | 1997-08-12 | Paper |
