Publications

Research Interests:

Econometrics, High-Dimensional Statistics, Asset Pricing, Financial Economics.

Publications:

Bootstrapping Laplace Transforms of Volatility

• with Ulrich Hounyo and Zhi Liu.

• Accepted at Quantitative Economics, 2023. (PDF, Appendix)  (SSRN) 

Consistent Local Spectrum Inference for Predictive Return Regressions 

• with Torben G. Andersen.

• Econometric Theory, 2022, 38(6), pp. 1253-1307. (PDF) (SSRN)

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions 

• with Torben G. Andersen.

• Journal of Econometrics, 2022, 231(2), pp. 361-386. (PDF) (SSRN)

• Notes: This article replaces an older working paper entitled "On the informational Efficiency of Option-Implied and Time Series Forecasts of Realized Volatility", which appeared as Ch. 4 of RTV's phd thesis.

Consistent Inference for Predictive Regressions in Persistent Economic Systems

• with Torben G. Andersen. 

• Journal of Econometrics, 2021, 224(1), pp. 215-244. (PDF, Appendix) (SSRN)

Dynamic Global Currency Hedging

• with Bent Jesper Christensen. 

• Journal of Financial Econometrics, 2021, 19(1), pp. 97-127. (PDF, Appendix) (SSRN)

Frequency Dependent Risk 

• with Andreas Neuhierl.

• Journal of Financial Economics, 2021, 140(2), pp. 644-675. (PDF) (SSRN)

Spatial Dependence in Option Observation Errors

• with Torben G. Andersen, Nicola Fusari and Viktor Todorov. 

• Econometric Theory, 2021, 37(2), pp. 205-247. (PDF)

Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach

• with Ulrich Hounyo. 

• Journal of Econometrics, 2020, 215(1), pp. 1-34. Lead article. (PDF)

Inference for Option Panels in Pure-Jump Settings 

• with Torben G. Andersen, Nicola Fusari and Viktor Todorov. 

• Econometric Theory, 2019, 35(5), pp. 901-942. Lead article. (PDF)

Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span

• with Torben G. Andersen, Nicola Fusari and Viktor Todorov. 

• Journal of Econometrics, 2019, 212(1), pp. 4-25. (PDF, Appendix)

Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns

• with Pierre Perron.

• Quantitative Finance, 2018, 18(3), pp. 371-393.  (PDF, Appendix)

A Local Stable Bootstrap for Power Variations of Pure-Jump Semimartingales and Activity Index Estimation

• with Ulrich Hounyo. 

• Journal of Econometrics, 2017, 198(1), pp. 10-28. (PDF)

Estimating the Quadratic Variation Spectrum of Noisy Asset Prices using Generalized Flat-top Realized Kernels

• Econometric Theory, 2017, 33(6), p. 1457-1501. (PDF, Appendix).  

Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination

• with Bent Jesper Christensen. 

• Journal of Econometrics, 2017, 197(2), pp. 218-244. (PDF)

Flat-Top Realized Kernel Estimation of Quadratic Covariation with Nonsynchronous and Noisy Asset Prices

• Journal of Business & Economic Statistics, 2016, 34(1), pp. 1-22. Lead article. (PDF)   

The Role of Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts

• with Valeri Voev. 

• Journal of Empirical Finance, 2013, 20, pp. 83-95. (PDF).

Unit roots, nonlinearities and structural breaks

• with Niels Haldrup, Robinson Kruse, Timo Teräsvirta, 2013.

• In: N. Hazimshade and M. Thornton, Eds., Handbook of Empirical Macroeconomics. Handbook of Research Methods and Application Series, Edvard, Elgar Publishing Ltd.