Predicting Web User's Next Access Based on Log Data with Dr. Mark H. Hansen, Journal of computational and graphical statistics 12(1):143-155. 2003.
Intervals for option prices, International Journal of Statistics and Management Systems 1(1): 59-82. 2006.
Estimation of Integrated Covolatility for Asynchronous assets in the presence of Microstructure Noise with Qiuyan Xu, Multivariate Statistical Methods ed. Ashis SenGupta WORLD SCIENTIFIC. 2008.
Jumps and Microstructure noise in Stock Price Volatility, Stock Market Volatility ed. Greg N. Gregoriou CHAPMAN HALL/TAYLOR AND FRANCIS. 2008.
Hedging Options in the Incomplete Market with Stochastic Volatility, Statistics and Its Interface 2(4) 469-480. 2009.
A note on testing regime switching assumption based on recurrence times with Hsieh Fushing, Statistics and Probability Letters 79(24) 2443-2450. 2009.
Functional data Analysis for Volatility with Hans-Georg Mueller and Uli Stadtmueller, Journal of Econometrics. 165 233-245. 2011.
Extreme Dependence in Multivariate Time Series: A Review with Zheng Tan, Nonparametric Statistical Methods and Related Topics: A Festschrift in Honor of Professor P K Bhattacharya on the Occasion of His 80th Birthday ed. Frank J. Samaniego and Jiming Jiang. In Press.
Submitted / In Revision
Volatility Estimation and Jump Detection in High Frequency Data with Applications. with Airu Cheng.
Consistent Estimator of Covolatility with Qiuyan Xu.
Covariance Between Stochastic Processes observed Sparsely with Noise: Application to Online Auctions.
Time Series of Functional Data with Claudia Klueppelberg.
Contagion in Multivariate Financial Time Series based on Conditional Recurrence Times with Zheng Tan
Nonparametric Estimation in Discretely Sampled Diffusion with Prabir Burman