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| Assistant Professor of Economics | Stanford University |
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| Research Fellow | CREATES, University of Aarhus |
| Research Associate | Volatility Institute, NYU Stern School of Business |
| Associate Editor | Journal of Applied Econometrics |
| Member of the Editorial Board: | Oxford-Man Institute |
Upcoming Presentations
2009-05-27 University of Chicago
Research Update
2009-05 The Model Confidence Set
2008-12 Quadratic Variation by Markov Chains
2008-12 In-Sample Fit and Out-of-Sample Fit: Their Joint Distribution and Its Implications for Model Selection
2008-12 Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise (2008, Econometrica Vol. 76, pp. 1481-1536)
2008-06 Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
2008-05 Realised Kernels in Practice: Trades and Quotes, (Econometrics Journal, forthcoming)
2007-04 Subsampled Realised Kernels (Journal of Econometrics, forthcoming)