Associate Editor (2007- ) of the Journal of Business and Economic Statistics.

Associate Editor (2011- ) of Econometric Theory.

Associate Editor (2012-2023) of Econometrics Journal.

Co-Editor of the special issue "Nonlinear financial econometrics", 2018, of the Journal of Econometrics.

Co-Editor of the special issue "Semiparametric methods in econometrics", 2007, of the Journal of Econometrics.

Associate Editor (2017-2022, 2024- ) of Journal of Econometrics.

Associate Editor (2012-2016) of Management Science.

Distinguished Service Award 2013.

Associate Editor (2011-2023) of the Journal of Banking and Finance.

Co-Editor of the special issue "(EC)2 Conference Econometrics of Financial and Insurance Risks", Vol 5, 1, Winter 2007, of the Journal of Financial Econometrics.

Associate Editor (2019- ) of the Journal of Financial Econometrics.

Associate Editor (2012- ) of Stat.

Associate Editor (2013- ) of Stochastic Analysis and Applications.

Associate Editor (2013- ) of Annals of Computational and Financial Econometrics (a supplement to the journal of Econometrics and Statistics ).

Co-Editor of the special issue "Volatility modeling" (2018) of Econometrics.

Associate Editor of Revue Finance.