Publications

Published/Accepted Papers

16. Treatment evaluation at the intensive and extensive margins. 2026, (with P. Heiler, A. Kaufmann). conditionally accepted.

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

Journal of Financial Economics, 2025, 167, 104010 (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, 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. Realized principal component analysis of noisy high-frequency data. 2026, (with F. Benvenuti, K. Christensen).

2. From pixels to signals: Hierarchical vision transformers for return prediction. 2026, (with J. T. Bøjstrup, J. N. Wulff).

3.  Decomposing price chart signals in return prediction. 2026,   (with J. T. Bøjstrup, J. N. Wulff).

4.  GMM estimation of a two-factor fractional stochastic volatility model. 2026, (with K. Christensen, M. S. Pakkanen, A Saavedra Espinosa).

5. Limit theorems for two dimensional ambit fields observed along curves. 2026, (with N. Lengert, M. S. Pakkanen, M. Podolskij).