Capturing the Zero: a New Class of Zero-augmented Distributions and Multiplicative Error Processes
Modelling Irregularly Spaced Financial Data
Limit Order Flow, Market Impact and Optimal OrderSizes
Capturing the Zero: a New Class of Zero-augmented Distributions and Multiplicative Error Processes
On the Dark Side of the Market
Modelling Irregularly Spaced Financial Data
Volatility Estimation on the Basis of Price Intensities
On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements
Modelling Financial High Frequency Data Using Point Processes
The Merit of High-frequency Data in Portfolio Allocation
Analyzing the Time Between Trades with a Gammma Compounded Hazard Model
Econometric Analysis of Financial Transaction Data
Multivariate Dynamic Intensity Peaks-over-threshold Models
Financial Network Systemic Risk Contributions
Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics
The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
Bayesian Learning in Financial Markets
How Effective are Trading Pauses?
Revisiting the Stealth Trading Hypothesis: Does Time-varying Liquidity Explain the Size-effect?