72 citations · 178 across the 21 of their papers we have counts for
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Notes on the sum and maximum of independent exponentially distributed random variables with different scale parameters
Markus Bibinger
We consider the distribution of the sum and the maximum of a collection of independent exponentially distributed random variables. The focus is laid on the explicit form of the den…
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Markus Bibinger, Mathias Vetter
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariat…
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Markus Bibinger, Nikolaus Hautsch, Peter Malec +1
An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous obs…
Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing
Markus Bibinger, Per A. Mykland
We find the asymptotic distribution of the multi-dimensional multi-scale and kernel estimators for high-frequency financial data with microstructure. Sampling times are allowed to…