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Pakkanen, Mikko S.
11
Bennedsen, Mikkel
4
Lunde, Asger
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Bender, Christian
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Bolko, Anine E.
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Christensen, Kim
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Corcuera, José Manuel
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Hounyo, Ulrich
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Lukkarinen, Jani
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Morariu-Patrichi, Maxime
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Pakkanen, Mikko
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Podolskij, Mark
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CREATES research paper
CREATES Research Papers
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ECONIS (ZBW)
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Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, Anine E.
;
Christensen, Kim
;
Pakkanen, Mikko S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012318238
Saved in:
2
State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime
;
Pakkanen, Mikko
-
2018
Persistent link: https://www.econbiz.de/10011913773
Saved in:
3
Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
-
2017
Persistent link: https://www.econbiz.de/10011706192
Saved in:
4
Arbitrage without borrowing or short selling?
Pakkanen, Mikko S.
;
Lukkarinen, Jani
-
2016
Persistent link: https://www.econbiz.de/10011474727
Saved in:
5
The local fractional bootstrap
Bennedsen, Mikkel
;
Hounyo, Ulrich
;
Lunde, Asger
; …
-
2016
Persistent link: https://www.econbiz.de/10011474807
Saved in:
6
Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
-
2015
Persistent link: https://www.econbiz.de/10011343494
Saved in:
7
Functional limit theorems for generalized variations of the fractional Brownian sheet
Pakkanen, Mikko S.
;
Réveillac, Anthony
-
2014
Persistent link: https://www.econbiz.de/10010346664
Saved in:
8
Discretization of Lévy semistationary processes with application to estimation
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
-
2014
Persistent link: https://www.econbiz.de/10010388017
Saved in:
9
Sticky continuous processes have consistent price systems
Bender, Christian
;
Pakkanen, Mikko S.
;
Sayit, Hasanjan
-
2013
Persistent link: https://www.econbiz.de/10010206208
Saved in:
10
Limit theorems for power variations of ambit fields driven by white noise
Pakkanen, Mikko S.
-
2013
Persistent link: https://www.econbiz.de/10009687736
Saved in:
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