Mathias Vetter

Available identifiers

zbMath Open vetter.mathiasWikidataQ102344010 ScholiaQ102344010MaRDI QIDQ366989

List of research outcomes

Publication	Date of Publication	Type
On the estimation of the jump activity index in the case of random observation times	2023-07-25	Paper
A universal approach to estimate the conditional variance in semimartingale limit theorems	2021-12-17	Paper
Multiscale change point detection for dependent data	2021-06-22	Paper
The null hypothesis of (common) jumps in case of irregular and asynchronous observations	2020-11-30	Paper
A universal approach to estimate the conditional variance in semimartingale limit theorems	2020-03-24	Paper
Laws of large numbers for Hayashi-Yoshida-type functionals	2019-06-27	Paper
Testing for simultaneous jumps in case of asynchronous observations	2018-05-18	Paper
On \(U\)- and \(V\)-statistics for discontinuous Itô semimartingales	2017-09-15	Paper
Nonparametric change-point analysis of volatility	2017-09-08	Paper
A note on central limit theorems for quadratic variation in case of endogenous observation times	2017-04-07	Paper
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing	2015-10-30	Paper
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps	2015-07-21	Paper
Testing non-parametric hypotheses for stationary processes by estimating minimal distances	2014-08-06	Paper
Inference on the Lévy measure in case of noisy observations	2014-06-05	Paper
A test for stationarity based on empirical processes	2014-02-04	Paper
On covariation estimation for multivariate continuous Itō semimartingales with noise in non-synchronous observation schemes	2014-01-13	Paper
Testing Semiparametric Hypotheses in Locally Stationary Processes	2013-10-09	Paper
Discriminating between long-range dependence and non-stationarity	2013-09-26	Paper
Nonparametric inference on Lévy measures and copulas	2013-09-25	Paper
Model checks for the volatility under microstructure noise	2013-01-17	Paper
Estimation of Correlation for Continuous Semimartingales	2012-12-21	Paper
A Measure of Stationarity in Locally Stationary Processes With Applications to Testing	2012-01-18	Paper
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps	2010-11-12	Paper
Limit theorems for moving averages of discretized processes plus noise	2010-05-26	Paper
Bias-correcting the realized range-based variance in the presence of market microstructure noise	2010-04-22	Paper
Limit theorems for bipower variation of semimartingales	2010-01-15	Paper
Bipower-type estimation in a noisy diffusion setting	2009-09-17	Paper
Microstructure noise in the continuous case: the pre-averaging approach	2009-07-15	Paper
Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing	2006-12-08	Paper

Research outcomes over time

Doctoral students

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