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05/02/2023
Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent
We develop and investigate a test for jumps based on high-frequency obse...
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01/05/2023
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
We consider estimation of the spot volatility in a stochastic boundary m...
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07/01/2022
Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities
We construct estimators for the parameters of a parabolic SPDE with one ...
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04/09/2019
Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
In this note, we construct cusum change-point tests for the Hurst expone...
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01/04/2019
On central limit theorems for power variations of the solution to the stochastic heat equation
We consider the stochastic heat equation whose solution is observed disc...
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11/23/2017
