Econometrics: submitted, forthcoming or recent papers
Multivariate high-frequency-based volatility (HEAVY) models, Journal of
Applied Econometrics, forthcoming.
Integer-valued Levy processes and low latency financial econometrics, Quantitative Finance, forthcoming.
Learning and filtering via simulation: smoothly jittered particle filters.
Fitting vast dimensional time-varying covariance models
Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models, Econometric Theory, 2011, 27, 933-956
Multivariate realised kernels: consistent positive semi-definite estimators of the
covariation of equity prices with noise and non-synchronous trading, 2011, 162, 149-169, Journal of Econometrics
Subsampled realised kernels, Journal of Econometrics, 2011, 160, 204-219
Nuisance parameters, composite likelihoods and a panel of GARCH models, Statistica Sinica, 2011, 307--329.
Measuring downside risk: realised semivariance, in Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, edited by T. Bollerslev, J. Russell and M. Watson (eds), Oxford University Press, 2010, 117-136
Realised kernels in practice: trades and quotes, Econometrics Journal, 2009, 12, C1-C32,
Realising the future: forecasting with high frequency based volatility (HEAVY) models, Journal of Applied Econometrics, 2010, 25, 197-231.
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