, empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction, non-linear dynamic model of …

-memory stochastic volatility models, testing for independence between functional time series, statistical inference for panel dynamic … simultaneous equations models, specification tests of calibrated option pricing models, asymptotic inference in multiple … duration approach, refinements in maximum likelihood inference on spatial autocorrelation in panel data, statistical inference …

parametric analog at high frequency for it, allowing simultaneously for microstructure effects, jumps, missing observations and …