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| Assistant Professor of Economics | Stanford University |
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| Research Fellow | CREATES, University of Aarhus |
| Research Associate | Volatility Institute, NYU Stern School of Business |
| Associate Editor | Journal of Applied Econometrics |
| Associate Editor | Journal of Econometric Methods |
Upcoming Presentations
2011-01-21 University of Warwick
2011-02-19 HEC, Montreal
2011-03-03 NCSU/UNC/Duke
2011-04-15 St. Louis FRB
2011-05-13 Copenhagen/Humboldt
Research Update
2010-11 Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility (Journal of Applied Econometrics, forthcoming)
2010-09 The Model Confidence Set (Econometrica v79 pp456-497, 2011)
2010-07 Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading (Journal of Econometrics, forthcoming)
2010-02 Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error
2009-08 Quadratic Variation by Markov Chains
2008-12 In-Sample Fit and Out-of-Sample Fit: Their Joint Distribution and Its Implications for Model Selection
2008-12 Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise (2008, Econometrica Vol. 76, pp. 1481-1536)
2008-05 Realised Kernels in Practice: Trades and Quotes, (Econometrics Journal, forthcoming)
2007-04 Subsampled Realised Kernels (Journal of Econometrics v160 pp204-219, 2011)