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Publications in Peer-Reviewed Journals

Estimating the spot covariation of asset prices - Statistical Theory and Empirical Evidence (with N. Hautsch, P. Malec and M. Reiß), Journal of Business and Economic Statistics, to appear

Nonparametric change-point analysis of volatility  (with Moritz Jirak and Mathias Vetter), Annals of Statistics, 45(4), pp. 1542-1578 (2017), doi: 10.1214/16-AOS1499

Inference for Multi-Dimensional High-Frequency Data with an Application to Conditional Independence Testing (with Per A. Mykland), Scandinavian Journal of Statistics, 43(4), pp. 1078-1102 (2016), doi: 10.1111/sjos.12230

Volatility estimation under one-sided errors with applications to limit order books  (with Moritz Jirak and Markus Reiß), Annals of Applied Probability, 26(5), pp. 2754-2790 (2016), doi: 10.1214/15-AAP1161

Functional stable limit theorems for quasi-efficient spectral covolatility estimators (with Randolf Altmeyer), Stochastic Processes and their Applications, 125(12), pp. 4556-4600 (2015), doi: 10.1016/j.spa.2015.07.009

ECB monetary policy surprises: identification through cojumps in interest rates (with Lars Winkelmann and Tobias Linzert), Journal of Applied Econometrics, 31(4), pp. 613-629 (2016),doi: 10.1002/jae.2453 & European Central Bank Working Paper No 1674, May 2014.

Econometrics of co-jumps in high-frequency data with noise (with Lars Winkelmann), Journal of Econometrics, 184(2), pp. 361-378 (2015). doi: 10.1016/j.jeconom.2014.10.004

Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (with Mathias Vetter),
Annals of the Institute of Statistical Mathematics, 67(4), pp. 707-743 (2015). doi:10.1007/s10463-014-0473-x

Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (with N. Hautsch, P. Malec and M. Reiß), Annals of Statistics, Volume 42, Number 4 (2014), 80–114. doi:10.1214/14-AOS1224

Spectral covolatility estimation from noisy observations using local weights (with Markus Reiß), Scandinavian Journal of Statistics, 41(1), 23–50 (2014). doi: 10.1111/sjos.12019 

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory,
Stochastic Processes and their Applications, 122(6): 2411–2453 (2012). doi: 10.1016/j.spa.2012.04.002

Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data, Scandinavian Journal of Statistics, 38: 23–45 (2011). doi: 10.1111/j.1467-9469.2010.00712.x


Preprint versions of all papers can be found on arXiv also.
Working Papers and Work in Progress


Technical Reports

Applying volatility estimators based on limit order books (2014) (with Moritz Jirak and Markus Reiß)

Notes on the sum and maximum of independent exponentially distributed random variables with different scale parameters (2013)

Asymptotics of Asynchronicity (2011)


Implementations, R Codes, Quantlets

Matlab Code by Peter Malec for spectral spot covariance matrix estimation from non-synchronous noisy high-frequency data, description in web appendix

Quantlet for identification of cojumps in noisy high-frequency data concerning Papers Econometrics of co-jumps in high-frequency data with noise &  ECB monetary policy surprises

Yuima function for spectral estimator by Yuta Koike



Estimating the Quadratic Covariation from Asynchronous Noisy High-Frequency Observations, Dissertation, Humboldt-Universität zu Berlin (2011)

Upcoming Presentations

14.10.2017 Sino-German Conference, Xiamen, China


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Zuletzt aktualisiert: 14.08.2017 · bibinger

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