Robert Stelzer

Available identifiers

zbMath Open stelzer.robertMaRDI QIDQ354750

List of research outcomes

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
https://portal.mardi4nfdi.de/entity/Q5420974	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

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Robert Stelzer