Mathias Vetter

Available identifiers

zbMath Open vetter.mathiasWikidataQ102344010 ScholiaQ102344010MaRDI QIDQ366989

List of research outcomes

Publication	Date of Publication	Type
Understanding limit theorems for semimartingales: a short survey	2024-07-16	Paper
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

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