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Publications in Statistics

Prequential Probability: Principles and Properties

English

Bayesian Smoothing in the Estimation of the Pair Potential Function of Gibbs Point Processes

English

Valuation of Default-Sensitive Claims Under Imperfect Information (Publisher’s Erratum)

Finance and Stochastics

English

A Model of Optimal Portfolio Selection Under Liquidity Risk and Price Impact

Finance and Stochastics

English

On the Short-Time Behavior of the Implied Volatility for Jump-Diffusion Models With Stochastic Volatility

Finance and Stochastics

English

Matched-Block Bootstrap for Dependent Data

English

Observed Information in Semi-Parametric Models

English

The Variance-Optimal Martingale Measure for Continuous Processes

English

Reversible Markov Chains and Optimality of Symmetrized Empirical Estimators

English

On the Relationship Between Α Connections and the Asymptotic Properties of Predictive Distributions

English