Multivariate elliptic processes

Cites Work

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Estimating the degree of activity of jumps in high frequency data
Testing for jumps in a discretely observed process
Modelling dynamic portfolio risk using risk drivers of elliptical processes
Statistical inference for ergodic diffusion processes.
Diffusion-type models with given marginal distribution and autocorrelation function
Microstructure noise in the continuous case: the pre-averaging approach
Hedging life insurance contracts in a Lévy process financial market
Estimating the tail-dependence coefficient: properties and pitfalls
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
𝜉-radial processes and random Fourier series
An extension of Goldie's result and further results in infinite divisibility
Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions
Time-reversible diffusions
Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
Some stationary processes in discrete and continuous time
Semi-parametric modelling in finance: theoretical foundations
A semi-parametric approach to risk management
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Financial Modelling with Jump Processes
Representations of continuous-time ARMA processes
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Generalized Linear Models with Random Effects
Student processes

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