Publications

Published/Accepted Papers

15. Warp speed price moves: Jumps after earnings announcements. 

forthcoming in  Journal of Financial Economics, (with K. Christensen, A. Timmermann).

14. Functional Sequential Treatment Allocation with Covariates. 

Econometric Theory, 2024,  40, 1211 - 1252  (with A. B. Kock, D. Preinerstorfer).

13. The incremental information in the yield curve about future interest rate risk. 

Journal of Banking & Finance, 2023, 155, Article 106973, (with B. J. Christensen, M.  M. Kjær).

12. A machine learning approach to volatility forecasting. 

Journal of Financial Econometrics, 2023, 21, 1680–1727 (with K. Christensen, M. Siggaard). 

11. A GMM approach to  estimate the roughness of stochastic volatility.  

Journal of Econometrics, 2023, 235, 745-778, (with A. E. Bolko, K. Christensen, M. S. Pakkanen).

10. Treatment recommendation with distributional targets.   

Journal of Econometrics, 2023, 234, 624-646, (with A. B. Kock, D. Preinerstorfer).

9. Functional Sequential Treatment Allocation.  

Journal of the American Statistical Association, 2022, 117, 1311-1323, (with A. B. Kock, D. Preinerstorfer).

8. Edgeworth expansion for Euler approximation of continuous diffusion processes. 

Annals of Applied Probability,  2020, 30, 1971-2003 (with M. Podolskij, N. Yoshida).

7. The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing.  

Journal of Econometrics, 2019, 212, 556-583, (with K. Christensen, M. Thyrsgaard).

6. Inference from high-frequency data: A subsampling approach. 

Journal of Econometrics, 2017, 197, 245-272, (with K. Christensen, M. Podolskij, N. Thamrongrat).

5. Edgeworth expansion for the pre-averaging estimator, 

Stochastic Processes and their Applications, 2017, 127, 3558-3595, (with M. Podolskij, N. Yoshida).

4. Validity of Edgeworth expansions for realized volatility estimators. 

Econometrics Journal, 2016, 19, 1-32 (with U. Hounyo).

3. Utility Maximization in a Binomial Model with Proportional Transaction Costs: A duality approach based on the shadow price process. 

International Journal of Theoretical and Applied Finance, 2014, 17, 27 pages (with C. Bayer).

2. A short proof of the Doob-Meyer Theorem. 

Stochastic Processes and their Applications, 2012, 122, 1204-1209,  (with M. Beiglböck, W. Schachermayer).

1. A direct proof of the Bichteler-Dellacherie Theorem and connections to arbitrage. 

Annals of Probability, 2011, 39, 2424-2440,  (with M. Beiglböck, W. Schachermayer).

Submitted/Working Papers

1. Treatment evaluation at the intensive and extensive margins. 2024, (with P. Heiler, A. Kaufmann).

2. Realized principal component analysis of noisy high-frequency data. 2024, (with F. Benvenuti, K. Christensen).

3. Limit theorems for two dimensional ambit fields observed along curves. 2024, (with N. Lengert, M. S. Pakkanen, M. Podolskij).