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Nonparametric inference on Lévy measures and copulas
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Nonparametric inference on Lévy measures and copulas (2013)Nonparametric inference on Lévy measures …Quantitative Risk Management (2011)Quantitative Risk ManagementDiscretization of Processes (2011)Discretization of ProcessesEstimating the degree of activity of jumps in high frequency data (2009)Estimating the degree of acti…Microstructure noise in the continuous case: The pre-averaging approach (2008)Microstructure noise in the c…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Everything You Always Wanted …Asymptotic properties of realized power variations and related functionals of semimartingales (2007)Asymptotic properties of real…An Introduction to Copulas (Springer Series in Statistics) (2006)An Introduction to Copulas (S…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…On covariance estimation of non-synchronously observed diffusion processes (2005)On covariance estimation of n…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesWeak convergence of empirical copula processes (2004)Weak convergence of empirical…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Selecting and estimating regular vine copulae and application to financial returns (2012)Copula Methods in Finance (2004)A review of copula models for economic time series (2012)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Realized Variance and Market Microstructure Noise (2006)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)Modelling Extremal Events (1997)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Copula Theory: An Introduction (2010)Extreme-Value Copulas (2010)A review of quantification methodologies for multi-hazard interrelationships (2019)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Goodness-of-fit tests for copulas: A review and a power study (2007)The t Copula and Related Copulas (2007)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)
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References

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  • 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask1,622 cited
  • 2005A Tale of Two Time Scales1,312 cited
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  • 2011Discretization of Processes486 cited
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  • 2004Weak convergence of empirical copula processes396 cited
  • 2007Asymptotic properties of realized power variations and related functionals of semimartingales297 cited

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  • 2009Estimating the degree of activity of jumps in high frequency data288 cited
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