Publications

• Robust estimation of integrated and spot volatility
  with O. Linton (2023). — Journal of Econometrics, 105614.

• A ReMeDI for Microstructure Noise
  with O. Linton (2022). — Econometrica, 90(1), 367–389.

• Dependent microstructure noise and integrated volatility estimation from high-frequency data
  with R. J. A. Laeven, M. H. Vellekoop (2020). — Journal of Econometrics, 215(2), 536–558.

• A barrier-based smoothing proximal point algorithm for NCPs over closed convex cones
  with C. B. Chua (2013). — SIAM Journal on Optimization, 23(2), 745-769.