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A universal approach to estimate the conditional variance in semimartingale limit theorems.
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- Annals of the Institute of Statistical Mathematics, 2021, v. 73, n. 6, p. 1089, doi. 10.1007/s10463-020-00781-0
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- Article
Multiscale change point detection for dependent data.
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- Scandinavian Journal of Statistics, 2020, v. 47, n. 4, p. 1243, doi. 10.1111/sjos.12465
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- Article
The null hypothesis of (common) jumps in case of irregular and asynchronous observations.
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- Scandinavian Journal of Statistics, 2020, v. 47, n. 3, p. 711, doi. 10.1111/sjos.12422
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- Article
Laws of large numbers for Hayashi–Yoshida-type functionals.
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- Finance & Stochastics, 2019, v. 23, n. 3, p. 451, doi. 10.1007/s00780-019-00390-7
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- Article
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps.
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- Annals of the Institute of Statistical Mathematics, 2015, v. 67, n. 4, p. 707, doi. 10.1007/s10463-014-0473-x
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- Article
Testing Semiparametric Hypotheses in Locally Stationary Processes.
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- Scandinavian Journal of Statistics, 2013, v. 40, n. 3, p. 417, doi. 10.1111/j.1467-9469.2012.00819.x
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- Article
Estimation of Correlation for Continuous Semimartingales.
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- Scandinavian Journal of Statistics, 2012, v. 39, n. 4, p. 757, doi. 10.1111/j.1467-9469.2012.00783.x
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- Article
Testing non-parametric hypotheses for stationary processes by estimating minimal distances.
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- Journal of Time Series Analysis, 2011, v. 32, n. 5, p. 447, doi. 10.1111/j.1467-9892.2010.00703.x
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- Article
Understanding limit theorems for semimartingales: a short survey.
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- Statistica Neerlandica, 2010, v. 64, n. 3, p. 329, doi. 10.1111/j.1467-9574.2010.00460.x
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- Article
Bias-correcting the realized range-based variance in the presence of market microstructure noise.
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- Finance & Stochastics, 2009, v. 13, n. 2, p. 239, doi. 10.1007/s00780-009-0089-9
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- Article
Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing.
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- Scandinavian Journal of Statistics, 2006, v. 33, n. 2, p. 259, doi. 10.1111/j.1467-9469.2006.00479.x
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- Article