Publications

Forthcoming

2014
2013


2012




2011
"Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models" (with A. Mele), Journal of Financial Economics 102, 390415.

"Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," Journal of Econometrics 164, 382–403.

2010
"Likelihood-Based Inference for Cointegration with Nonlinear Error-Correction" (with A. Rahbek), Journal of Econometrics 158, 78
–94.

"Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," Journal of Econometrics 156, 239
–259.

"Nonparametric Filtering of the Realized Spot Volatility: A Kernel-based Approach," Econometric Theory 26, 60
–93.

2009
"Uniform Convergence Rates of Kernel Estimators with Heterogeneous, Dependent Data," Econometric Theory 25, 1433
–1445.

"Asymptotics of the QMLE for Non-linear ARCH Models" (with A. Rahbek), Journal of Time Series Econometrics 1(1), Article 2.

"On Stationarity and Ergodicity of the Bilinear Model with Applications to GARCH Models," Journal of Time Series Analysis 30, 125
–144.



Other Publications

"Central Limit Theorem" and "Descriptive Statistics," in International Encyclopedia of the Social Sciences, 2nd Ed (2007).