Markus Bibinger
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Zitiert von
Jahr
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
M Bibinger, N Hautsch, P Malec, M Reiß
The Annals of Statistics 42 (4), 1312-1346, 2014
942014
Econometrics of co-jumps in high-frequency data with noise
M Bibinger, L Winkelmann
Journal of Econometrics 184 (2), 361-378, 2015
542015
Notes on the sum and maximum of independent exponentially distributed random variables with different scale parameters
M Bibinger
arXiv preprint arXiv:1307.3945, 2013
512013
Efficient covariance estimation for asynchronous noisy high‐frequency data
M Bibinger
Scandinavian Journal of Statistics 38 (1), 23-45, 2011
502011
Estimating the spot covariation of asset prices—statistical theory and empirical evidence
M Bibinger, N Hautsch, P Malec, M Reiss
Journal of Business & Economic Statistics 37 (3), 419-435, 2019
482019
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
M Bibinger
Stochastic Processes and their Applications 122 (6), 2411-2453, 2012
432012
Spectral estimation of covolatility from noisy observations using local weights
M Bibinger, M Reiß
Scandinavian Journal of Statistics 41 (1), 23-50, 2014
412014
Spectral estimation of covolatility from noisy observations using local weights
M Bibinger, M Reiß
Scandinavian Journal of Statistics 41 (1), 23-50, 2014
412014
Volatility estimation for stochastic PDEs using high-frequency observations
M Bibinger, M Trabs
Stochastic Processes and their Applications 130 (5), 3005-3052, 2020
292020
ECB monetary policy surprises: identification through cojumps in interest rates
L Winkelmann, M Bibinger, T Linzert
Journal of Applied Econometrics 31 (4), 613-629, 2016
252016
ECB monetary policy surprises: identification through cojumps in interest rates
L Winkelmann, M Bibinger, T Linzert
Journal of Applied Econometrics 31 (4), 613-629, 2016
222016
Functional stable limit theorems for quasi-efficient spectral covolatility estimators
R Altmeyer, M Bibinger
Stochastic Processes and their applications 125 (12), 4556-4600, 2015
202015
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
M Bibinger, M Vetter
Annals of the Institute of Statistical Mathematics 67 (4), 707-743, 2015
182015
Nonparametric change-point analysis of volatility
M Bibinger, M Jirak, M Vetter
The Annals of Statistics 45 (4), 1542-1578, 2017
172017
On central limit theorems for power variations of the solution to the stochastic heat equation
M Bibinger, M Trabs
Workshop on Stochastic Models, Statistics and their Application, 69-84, 2019
152019
Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing
M Bibinger, PA Mykland
Scandinavian Journal of Statistics 43 (4), 1078-1102, 2016
142016
Common price and volatility jumps in noisy high-frequency data
M Bibinger, L Winkelmann
Electronic Journal of Statistics 12 (1), 2018
132018
Volatility estimation under one-sided errors with applications to limit order books
M Bibinger, M Jirak, M Reiß
The Annals of Applied Probability 26 (5), 2754-2790, 2016
10*2016
Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
M Bibinger, C Neely, L Winkelmann
Journal of Econometrics 209 (2), 158-184, 2019
92019
Inference for multi-dimensional high-frequency data: Equivalence of methods, central limit theorems, and an application to conditional independence testing
M Bibinger, PA Mykland
arXiv preprint arXiv:1301.2074, 2013
92013
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