Showing 1–20 of 57 results
/ Date/ Name
Jan 13, 2026The drift burst hypothesisJun 25, 2003Sensitivity to initial conditions in self-organized critical systemsMar 19, 2024To be or not to be: Roughness or long memory in volatility?Jan 28, 2026Realized range-based estimation of integrated varianceJan 23, 2026Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessmentJan 23, 2026Inference from high-frequency data: A subsampling approachFeb 11, 2026Fact or friction: Jumps at ultra high frequencyFeb 2, 2026Do designated market makers provide liquidity during downward extreme price movements?Feb 23, 2026On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemesFeb 23, 2026Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous dataMar 4, 2021High-dimensional estimation of quadratic variation based on penalized realized varianceAug 5, 2024A nonparametric test for diurnal variation in spot correlation processesOct 29, 2018Unified Mechanism of Atrial Fibrillation in a Simple ModelOct 9, 2020A GMM approach to estimate the roughness of stochastic volatilityJan 19, 2026A machine learning approach to volatility forecastingJan 19, 2026Realised quantile-based estimation of the integrated varianceFeb 22, 2026Asymptotic theory of range-based multipower variationApr 17, 2026The realized copula of volatilityJan 13, 2026Warp speed price moves: Jumps after earnings announcementsJan 28, 2026The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing