Papers
Links to papers:
- 7.1.2010 Liquidity, Activity, and Dependence on Interlinked Trading Venues (UPDATED IN JAN/2012)
- 30.9.2008 Elements of Volatility at High Frequency (Doctoral Dissertation)
- 11.9.2007 Decimalization, Realized Volatility, and Market Microstructure Noise (HECER DP)
- 27.9.2006 A q-Weibull Autoregressive Conditional Duration Model and Threshold Dependence (HECER DP)
- 2.2.2006 A Wavelet Analysis of Scaling Laws and Long-Memory in Stock Market Volatility (Bank of Finland DP)
- 2.2.2006 A Wavelet Analysis of Scaling Laws and Long-Memory in Stock Market Volatility (SPIE Proceedings)
- 17.5.2005 A Multiresolution Analysis of Stock Market Volatility Using Wavelet Methodology (Licentiate Thesis)