Componentwise Rank-based Inference for Nonstandard Econometric Problems
Ancillarity and Semiparametric Efficiency (with Marc Hallin and Bas Werker)
Real-Time Detection of Local No-Arbitrage Violations (with Torben Andersen and Viktor Todorov) Quantitative Economics, 2025, Volume 16, Issue 2 <SSRN> <arXiv>
Semiparametrically Optimal Cointegration Test (First Runner-up of Bates-White Prize at 2024 SoFiE conference), Journal of Econometrics, 2024, Volume 242, Issue 2 <SSRN> <arXiv> <code>
Hybrid Rank-Based Panel Unit Root Tests (with Ramon van den Akker and Bas Werker) Recent Advances in Econometrics and Statistics: Festschrift in Honour of Marc Hallin, 2024. <SSRN>
On Bounded Completeness and the L-1 Denseness of Likelihood Ratios (with Marc Hallin and Bas Werker) Sankhya A, 2023. <arXiv>
Semiparametric Testing with Highly Persistent Predictors (with Bas Werker) Journal of Econometrics, 2022, Volume 227, Issue 2. <SSRN> <arXiv>
Volatility Measurement with Pockets of Extreme Return Persistence (with Torben Andersen, Yingying Li, and Viktor Todorov) Journal of Econometrics, 2023, Volume 237, Issue 2, Part C. <SSRN>
Semiparametrically Point-Optimal Hybrid Rank Tests for Unit Roots (with Ramon van den Akker and Bas Werker) Annals of Statistics, 2019, 47 (5), 2601–2638. <SSRN> <arXiv> <code>
Latent Jumps (with Alexei Kolokolov, Viktor Todorov, and Torben Andersen)
Sequential Detection via Asymptotic Representations