| Publication | Date of Publication | Type |
|---|
| Continuous-time locally stationary time series models | 2023-12-15 | Paper |
| Inheritance of strong mixing and weak dependence under renewal sampling | 2023-05-08 | Paper |
| Moment‐based estimation for the multivariate COGARCH(1,1) process | 2022-10-06 | Paper |
| Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields | 2022-09-05 | Paper |
| Optimal Investment with Time-Varying Stochastic Endowments | 2022-08-22 | Paper |
| Geometric ergodicity of the multivariate COGARCH(1,1) process | 2022-07-07 | Paper |
| Asymptotics of time-varying processes in continuous-time using locally stationary approximations | 2021-05-01 | Paper |
| Geometric ergodicity of affine processes on cones | 2020-05-26 | Paper |
| Weak dependence and GMM estimation of supOU and mixed moving average processes | 2019-02-14 | Paper |
| Limit behaviour of the truncated pathwise Fourier-transformation of L\'evy-driven CARMA processes for non-equidistant discrete time observations | 2018-07-06 | Paper |
| A BSDE arising in an exponential utility maximization problem in a pure jump market model | 2017-04-11 | Paper |
| Moment based estimation of supOU processes and a related stochastic volatility model | 2015-04-17 | Paper |
| Infinitely divisible multivariate and matrix gamma distributions | 2014-07-24 | Paper |
| Dealing with dependent risks | 2014-06-30 | Paper |
| Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model | 2014-04-10 | Paper |
| Derivative pricing under the possibility of long memory in the supOU stochastic volatility model | 2014-04-07 | Paper |
| Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails | 2014-02-06 | Paper |
| Functional regular variation of Lévy-driven multivariate mixed moving average processes | 2013-12-02 | Paper |
| Spectral representation of multivariate regularly varying Lévy and CARMA processes | 2013-07-19 | Paper |
| Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes | 2013-05-28 | Paper |
| The multivariate supOU stochastic volatility model | 2013-04-29 | Paper |
| Option pricing in multivariate stochastic volatility models of OU type | 2013-01-25 | Paper |
| Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes | 2012-03-29 | Paper |
| Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models | 2012-01-17 | Paper |
| CARMA Processes driven by Non-Gaussian Noise | 2011-12-30 | Paper |
| Stationarity and geometric ergodicity of BEKK multivariate GARCH models | 2011-10-10 | Paper |
| On strong solutions for positive definite jump diffusions | 2011-08-04 | Paper |
| MULTIVARIATE ECOGARCH PROCESSES | 2011-04-27 | Paper |
| Multivariate supOU processes | 2011-02-21 | Paper |
| On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes | 2010-11-12 | Paper |
| Multivariate COGARCH(1, 1) processes | 2010-11-12 | Paper |
| On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity | 2010-04-08 | Paper |
| ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS | 2009-06-11 | Paper |
| First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes | 2009-06-04 | Paper |
| Multivariate Markov-switching ARMA processes with regularly varying noise | 2008-06-11 | Paper |
| Positive-definite matrix processes of finite variation | 2007-10-22 | Paper |
| Multivariate CARMA processes | 2007-03-29 | Paper |
| Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes | 2006-05-24 | Paper |
