Department of Mathematics

• Published

  Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment

  Publication: Research › Working paper

• Submitted

  On the minimal number of driving Lévy motions in a multivariate price model

  Publication: Research - peer-review › Journal article

• Published

  Inference from high-frequency data: A subsampling approach

  Publication: Research - peer-review › Journal article

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• Bernoulli (Journal)

  Activity: Research › Editor of Research journal

• Journal of Econometrics (Journal)

  Activity: Research › Editor of Research journal

• Latin American Journal of Probability and Mathematical Statistics (Journal)

  Activity: Research › Editor of Research journal

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• Co-investigator of the research project "Identifying the structure of volatility in financial markets using ultra high-frequency data" DFF-4182-00050 (3.622.140 DKK)

  Prize: Prizes, scholarships, distinctions

• Project leader of "Ambit fields: Probabilistic properties and statistical inference" funded by Villum Fonden (11.227.277 DKK)

  Prize: Prizes, scholarships, distinctions

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