SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

(2011) Ole E. Barndorff-Nielsen et al.   JOURNAL OF ECONOMETRICS

Break detection in the covariance structure of multivariate time series models

(2009) Alexander Aue et al.   ANNALS OF STATISTICS

Delay times of sequential procedures for multiple time series regression models

(2009) Alexander Aue et al.   JOURNAL OF ECONOMETRICS

On asymptotic theory for multivariate GARCH models

(2009) Christian M. Hafner et al.   JOURNAL OF MULTIVARIATE ANALYSIS

ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES

(2009) Weidong Liu et al.   ECONOMETRIC THEORY

ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL

(2009) Christian M. Hafner et al.   ECONOMETRIC THEORY

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

(2008)   ECONOMETRICA

Mimicking Portfolios, Economic Risk Premia, and Tests of Multi-Beta Models

(2008) Pierluigi Balduzzi et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Microstructure noise in the continuous case: The pre-averaging approach

(2008) Jean Jacod et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS