160 results on '"Vetter, Mathias"'
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2. On the estimation of the jump activity index in the case of random observation times
3. PointProcessTools.jl (Software)
4. On the estimation of the jump activity index in the case of random observation times
5. A universal approach to estimate the conditional variance in semimartingale limit theorems
6. Multiscale change point detection for dependent data
7. Laws of large numbers for Hayashi-Yoshida-type functionals
8. The null hypothesis of common jumps in case of irregular and asynchronous observations
9. Point Process Tools
10. PointProcessTools.jl
11. Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
12. A universal approach to estimate the conditional variance in semimartingale limit theorems
13. Testing for simultaneous jumps in case of asynchronous observations
14. A note on central limit theorems for quadratic variation in case of endogenous observation times
15. Weak convergence of the empirical truncated distribution function of the L\'evy measure of an It\=o semimartingale
16. On U- and V-statistics for discontinuous Ito semimartingales
17. Nonparametric change-point analysis of volatility
18. Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process
19. A test for stationarity based on empirical processes
20. Testing for simultaneous jumps in case of asynchronous observations
21. Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
22. Model checks for the volatility under microstructure noise
23. Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
24. Nonparametric inference on L\'evy measures and copulas
25. Limit theorems for moving averages of discretized processes plus noise
26. Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
27. Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
28. Laws of large numbers for Hayashi–Yoshida-type functionals
29. NONPARAMETRIC CHANGE-POINT ANALYSIS OF VOLATILITY
30. Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process
31. Point Process Tools
32. Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale
33. Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
34. On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
35. Testing Semiparametric Hypotheses in Locally Stationary Processes
36. NONPARAMETRIC INFERENCE ON LÉVY MEASURES AND COPULAS
37. Estimation of Correlation for Continuous Semimartingales
38. Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
39. A Measure of Stationarity in Locally Stationary Processes With Applications to Testing
40. Limit theorems for bipower variation of semimartingales
41. Bipower-type estimation in a noisy diffusion setting
42. Microstructure noise in the continuous case: The pre-averaging approach
43. Bias-correcting the realized range-based variance in the presence of market microstructure noise
44. Multiscale change point detection for dependent data
45. The null hypothesis of (common) jumps in case of irregular and asynchronous observations
46. The null hypothesis of (common) jumps in case of irregular and asynchronous observations.
47. Projektionen
48. Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes
49. On U- and V-statistics for discontinuous Itô semimartingales
50. A note on central limit theorems for quadratic variation in case of endogenous observation times
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