Department of Mathematics

• Published

  Edgeworth expansion for Euler approximation of continuous diffusion processes

  Research output: Working paper › Research

• Published

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

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

• Published

  A limit theorem for a class of stationary increments Levy moving average process with multiple singularities

  Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

View all (68) »

• Bernoulli (Journal)

  Activity: Publication peer-review and editorial work types › Editor of Research journal › Research

• Scandinavian Journal of Statistics (Journal)

  Activity: Publication peer-review and editorial work types › Editor of Research journal › Research

• Bernoulli (Journal)

  Activity: Publication peer-review and editorial work types › Editor of Research journal › Research

View all (11) »

• ERC Consolidator Grant "STAMFORD: Statistical Methods for High Dimensional Diffusions" (1.65 Mio Euro)

  Prize: Prizes, scholarships, distinctions

• 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

View all (3) »