Mining the factor zoo: Estimation of latent factor models with sufficient proxies

Statistical Learning for Individualized Asset Allocation

Stock co-jump networks

Learning the Stochastic Discount Factor

Learning the Stochastic Discount Factor

Learning the Stochastic Discount Factor

Learning the Stochastic Discount Factor

Learning the Stochastic Discount Factor

Volatility measurement with pockets of extreme return persistence

Estimating High-Dimensional Mean-Variance Portfolios of Risky Assets

How to Dominate the Historical Average?

Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps

High dimensional minimum variance portfolio estimation under statistical factor models

High-Dimensional Minimum Variance Portfolio Estimation Based on High-Frequency Data

Approaching Mean-Variance Efficiency for Large Portfolios

Estimating the integrated volatility with tick observations

How to Beat the Historical Average?

A Unified Approach to Volatility Estimation in the Presence of Bothrounding and Random Market Microstructure Noise

Dividend-Price Dynamics and Structural Estimation of Market Return

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale

Statistical Properties of Microstructure Noise

Efficient Estimation of Integrated Volatility Incorporating Trading Information

Rounding Errors and Volatility Estimation

Realized Volatility When Sampling Times are Possibly Endogenous

The leverage effect puzzle: Disentangling sources of bias at high frequency

Volatility inference in the presence of both endogenous time and microstructure noise

Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach

Are Volatility Estimators Robust with Respect to Modeling Assumptions?

On Euler's Constant - Calculating Sums by Integrals

A Unified Approach to Volatility Estimation in the Presence of Bothrounding and Random Market Microstructure Noise

Article

Dividend-Price Dynamics and Structural Estimation of Market Return

Conference paper

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale

Article

Statistical Properties of Microstructure Noise

Article

Efficient Estimation of Integrated Volatility Incorporating Trading Information

Article

Rounding Errors and Volatility Estimation

Article

Realized Volatility When Sampling Times are Possibly Endogenous

Article

The leverage effect puzzle: Disentangling sources of bias at high frequency

Article

Volatility inference in the presence of both endogenous time and microstructure noise

Article

Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

Article

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach

Article

Are Volatility Estimators Robust with Respect to Modeling Assumptions?

Article

On Euler's Constant - Calculating Sums by Integrals

Article