| Publication | Date of Publication | Type |
|---|
Some recent developments in stochastic volatility modelling
Quantitative Finance | 2019-01-14 | Paper |
Feller processes of normal inverse Gaussian type
Quantitative Finance | 2019-01-14 | Paper |
Ambit stochastics
Probability Theory and Stochastic Modelling | 2018-10-02 | Paper |
Incremental Similarity and Turbulence
Theory of Probability & Its Applications | 2017-10-16 | Paper |
Laser cooling and stochastics
State of the art in probability and statistics | 2017-10-09 | Paper |
Gamma kernels and BSS/LSS processes
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
Selfdecomposable fields
Journal of Theoretical Probability | 2017-04-12 | Paper |
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Journal of Econometrics | 2016-08-12 | Paper |
Subsampling realised kernels
Journal of Econometrics | 2016-08-10 | Paper |
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Journal of Econometrics | 2016-06-10 | Paper |
Some recent developments in ambit stochastics
Stochastics of Environmental and Financial Economics | 2016-04-22 | Paper |
Change of time and change of measure
Advanced Series on Statistical Science & Applied Probability | 2015-05-21 | Paper |
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
Banach Center Publications | 2015-04-08 | Paper |
Assessing relative volatility/ intermittency/energy dissipation
Electronic Journal of Statistics | 2014-11-12 | Paper |
Integer-valued trawl processes: a class of stationary infinitely divisible processes
Scandinavian Journal of Statistics | 2014-10-09 | Paper |
Modelling electricity futures by ambit fields
Advances in Applied Probability | 2014-09-25 | Paper |
On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2014-07-18 | Paper |
Lévy mixing
ALEA. Latin American Journal of Probability and Mathematical Statistics | 2014-01-23 | Paper |
Integer-valued Lévy processes and low latency financial econometrics
Quantitative Finance | 2014-01-17 | Paper |
Information and exponential families in statistical theory
Wiley Series in Probability and Statistics | 2013-12-02 | Paper |
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
Bernoulli | 2013-08-16 | Paper |
Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
Springer Proceedings in Mathematics & Statistics | 2013-07-08 | Paper |
The multivariate supOU stochastic volatility model
Mathematical Finance | 2013-04-29 | Paper |
Multipower variation for Brownian semistationary processes
Bernoulli | 2011-12-28 | Paper |
Measuring downside risk -- realized semivariance
| 2011-12-01 | Paper |
Stationary infinitely divisible processes
Brazilian Journal of Probability and Statistics | 2011-10-25 | Paper |
Volatility determination in an ambit process setting
Journal of Applied Probability | 2011-10-25 | Paper |
Quasi Ornstein-Uhlenbeck processes
Bernoulli | 2011-09-14 | Paper |
Ambit processes and stochastic partial differential equations
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Multivariate supOU processes
The Annals of Applied Probability | 2011-02-21 | Paper |
Change of time and change of measure
Advanced Series on Statistical Science & Applied Probability | 2010-11-17 | Paper |
Modified signed log likelihood ratio
Biometrika | 2010-08-13 | Paper |
On free and classical type \(G\) distributions
Brazilian Journal of Probability and Statistics | 2010-08-09 | Paper |
Brownian semistationary processes and volatility/intermittency
| 2010-01-13 | Paper |
Realized kernels in practise : trades and quotes
Econometrics Journal | 2009-12-22 | Paper |
Power variation for Gaussian processes with stationary increments
Stochastic Processes and their Applications | 2009-06-04 | Paper |
General \(\Upsilon\)-transformations
| 2009-04-27 | Paper |
Bipower Variation for Gaussian Processes with Stationary Increments
Journal of Applied Probability | 2009-04-14 | Paper |
Probability measures, Lévy measures and analyticity in time
Bernoulli | 2009-03-02 | Paper |
Semigroups of Upsilon transformations
Stochastic Processes and their Applications | 2009-01-16 | Paper |
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Econometrica | 2008-12-15 | Paper |
A Stochastic Differential Equation Framework for the Timewise Dynamics of Turbulent Velocities
Theory of Probability & Its Applications | 2008-11-03 | Paper |
Time Change, Volatility, and Turbulence
Mathematical Control Theory and Finance | 2008-10-17 | Paper |
Matrix Subordinators and Related Upsilon Transformations
Theory of Probability & Its Applications | 2008-08-21 | Paper |
scientific article; zbMATH DE number 5299701 (Why is no real title available?)
| 2008-07-11 | Paper |
scientific article; zbMATH DE number 5280147 (Why is no real title available?)
| 2008-05-28 | Paper |
Variation, jumps and high-frequency data in financial econometrics
| 2008-03-06 | Paper |
Ambit processes; with applications to turbulence and tumour growth
| 2008-01-17 | Paper |
Lévy Copulas: Dynamics and Transforms of Upsilon Type
Scandinavian Journal of Statistics | 2007-12-16 | Paper |
Positive-definite matrix processes of finite variation
| 2007-10-22 | Paper |
Spatio-temporal modelling -- with a view to biological growth
| 2007-10-11 | Paper |
scientific article; zbMATH DE number 5198657 (Why is no real title available?)
| 2007-10-09 | Paper |
scientific article; zbMATH DE number 5196643 (Why is no real title available?)
| 2007-09-28 | Paper |
MatG Random Matrices
Stochastic Models | 2007-02-15 | Paper |
Infinite divisibility for stochastic processes and time change
Journal of Theoretical Probability | 2007-02-14 | Paper |
Classical and free infinite divisibility and Lévy processes
| 2007-01-19 | Paper |
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
Econometric Theory | 2006-11-14 | Paper |
Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
Bernoulli | 2006-11-06 | Paper |
A central limit theorem for realised power and bipower variation of continuous semimartingales
| 2006-10-23 | Paper |
Limit theorems for multipower variation in the presence of jumps
Stochastic Processes and their Applications | 2006-06-30 | Paper |
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Econometrica | 2006-06-16 | Paper |
Power Variation and Time Change
Theory of Probability & Its Applications | 2006-06-09 | Paper |
Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
Scandinavian Journal of Statistics | 2006-05-24 | Paper |
Regularizing mappings of Lévy measures
Stochastic Processes and their Applications | 2006-04-28 | Paper |
Econometric analysis of realized volatility and its use in estimating stochastic volatility models
| 2006-03-09 | Paper |
Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
Methodology and Computing in Applied Probability | 2006-01-17 | Paper |
A class of spatio-temporal and causal stochastic processes, with application to multiscaling and multifractality
| 2005-12-13 | Paper |
Burgers' turbulence problem with linear or quadratic external potential
Journal of Applied Probability | 2005-10-18 | Paper |
Lévy processes in free probability
Proceedings of the National Academy of Sciences | 2005-07-19 | Paper |
Lévy laws in free probability
Proceedings of the National Academy of Sciences | 2005-07-19 | Paper |
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2005-04-22 | Paper |
On Quantum Statistical Inference
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2005-04-22 | Paper |
The Lévy-Itô decomposition in free probability
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2005-03-17 | Paper |
A CONNECTION BETWEEN FREE AND CLASSICAL INFINITE DIVISIBILITY
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2005-02-28 | Paper |
Lévy-based spatial-temporal modelling, with applications to turbulence
Russian Mathematical Surveys | 2004-12-01 | Paper |
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
Scandinavian Journal of Statistics | 2004-11-24 | Paper |
Power variation and stochastic volatility: a review and some new results
Journal of Applied Probability | 2004-10-25 | Paper |
Realized power variation and stochastic volatility model
Bernoulli | 2004-06-10 | Paper |
General framework for the behaviour of continuously observed open quantum systems
Journal of Physics A: Mathematical and General | 2004-06-09 | Paper |
scientific article; zbMATH DE number 1971717 (Why is no real title available?)
| 2004-02-20 | Paper |
Extensions of Type G and Marginal Infinite Divisibility
Theory of Probability and Its Applications | 2004-01-21 | Paper |
Realized power variation and stochastic volatility models
Bernoulli | 2003-12-02 | Paper |
Self-decomposability and Lévy processes in free probability
Bernoulli | 2003-11-09 | Paper |
scientific article; zbMATH DE number 1995731 (Why is no real title available?)
| 2003-10-22 | Paper |
Stationary and self-similar processes driven by Lévy processes
Stochastic Processes and their Applications | 2002-08-29 | Paper |
scientific article; zbMATH DE number 1687001 (Why is no real title available?)
| 2002-08-11 | Paper |
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2002-04-21 | Paper |
Multivariate subordination, self-decomposability and stability
Advances in Applied Probability | 2002-04-08 | Paper |
Superposition of Ornstein-Uhlenbeck type processes
Theory of Probability and its Applications | 2001-10-22 | Paper |
Markov jump processes with a singularity
Advances in Applied Probability | 2001-10-16 | Paper |
Apparent scaling
Finance and Stochastics | 2001-09-16 | Paper |
scientific article; zbMATH DE number 1639858 (Why is no real title available?)
| 2001-09-12 | Paper |
Comment on: ``The geometry of asymptotic inference by R. E. Kass
Statistical Science | 2001-02-07 | Paper |
Fisher information in quantum statistics
Journal of Physics A: Mathematical and General | 2000-12-13 | Paper |
L-Nonformation, L-Ancillarity, and L-Sufficiency
Theory of Probability & Its Applications | 2000-10-19 | Paper |
Inifinite trees and inverse Gaussian random variables
Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI | 2000-08-14 | Paper |
Exact Distributional Results for Random Resistance Trees
Scandinavian Journal of Statistics | 2000-05-24 | Paper |
Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
Scandinavian Journal of Statistics | 2000-04-27 | Paper |
Tail Exactness of Multivariate Saddlepoint Approximations
Scandinavian Journal of Statistics | 2000-03-01 | Paper |
Some stationary processes in discrete and continuous time
Advances in Applied Probability | 2000-01-31 | Paper |
Trees with random conductivities and the (reciprocal) inverse Gaussian distribution
Advances in Applied Probability | 1999-05-18 | Paper |
Statistics, yokes and symplectic geometry
Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI | 1999-03-02 | Paper |
scientific article; zbMATH DE number 1069524 (Why is no real title available?)
| 1998-11-15 | Paper |
On large deviations and choice of ancillary for \(p^*\) and \(r^*\)
Bernoulli | 1998-09-10 | Paper |
Processes of normal inverse Gaussian type
Finance and Stochastics | 1998-03-17 | Paper |
scientific article; zbMATH DE number 1188957 (Why is no real title available?)
| 1998-01-01 | Paper |
Yokes and symplectic structures
Journal of Statistical Planning and Inference | 1997-11-13 | Paper |
Information quantities in non-classical settings
Computational Statistics and Data Analysis | 1997-09-23 | Paper |
Prediction and asymptotics
Bernoulli | 1997-04-29 | Paper |
scientific article; zbMATH DE number 992989 (Why is no real title available?)
| 1997-03-19 | Paper |
scientific article; zbMATH DE number 850382 (Why is no real title available?)
| 1996-11-12 | Paper |
Quasi profile and directed likelihoods from estimating functions
Annals of the Institute of Statistical Mathematics | 1996-07-04 | Paper |
Saddlepoint approximations for the probability of ruin in finite time
Scandinavian Actuarial Journal | 1996-05-06 | Paper |
scientific article; zbMATH DE number 846108 (Why is no real title available?)
| 1996-05-06 | Paper |
A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes
International Statistical Review / Revue Internationale de Statistique | 1996-01-02 | Paper |
Stable and invariant adjusted profile likelihood and directed likelihood for curved exponential models
Biometrika | 1995-10-10 | Paper |
scientific article; zbMATH DE number 775066 (Why is no real title available?)
| 1995-08-30 | Paper |
Orthogeodesic models
The Annals of Statistics | 1995-06-29 | Paper |
Stable and invariant adjusted directed likelihoods
Biometrika | 1995-05-14 | Paper |
scientific article; zbMATH DE number 727400 (Why is no real title available?)
| 1995-04-06 | Paper |
scientific article; zbMATH DE number 735225 (Why is no real title available?)
| 1995-03-20 | Paper |
scientific article; zbMATH DE number 482628 (Why is no real title available?)
| 1994-11-28 | Paper |
scientific article; zbMATH DE number 509158 (Why is no real title available?)
| 1994-11-08 | Paper |
scientific article; zbMATH DE number 635761 (Why is no real title available?)
| 1994-09-08 | Paper |
A Note on Electrical Networks and the Inverse Gaussian Distribution
Advances in Applied Probability | 1994-07-14 | Paper |
Stochastic calculus, statistical asymptotics, Taylor strings and phyla
Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI | 1994-06-19 | Paper |
A note on the relation between modified profile likelihood and the Cox-Reid adjusted profile likelihood
Biometrika | 1994-03-10 | Paper |
scientific article; zbMATH DE number 410147 (Why is no real title available?)
| 1993-09-07 | Paper |
scientific article; zbMATH DE number 222654 (Why is no real title available?)
| 1993-06-29 | Paper |
Parametric statistical models and likelihood
Lecture Notes in Statistics | 1993-06-05 | Paper |
A note on the tail accuracy of the univariate saddlepoint approximation
Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI | 1993-05-16 | Paper |
Multivariate distributions with generalized inverse gaussian marginals, and associated poisson mixtures
The Canadian Journal of Statistics | 1993-01-17 | Paper |
scientific article; zbMATH DE number 44578 (Why is no real title available?)
| 1992-09-17 | Paper |
Decomposition and invariance of measures, and statistical transformation models
Lecture Notes in Statistics | 1992-09-17 | Paper |
Some parametric models on the simplex
Journal of Multivariate Analysis | 1992-06-28 | Paper |
scientific article; zbMATH DE number 4180539 (Why is no real title available?)
| 1990-01-01 | Paper |
scientific article; zbMATH DE number 4159854 (Why is no real title available?)
| 1990-01-01 | Paper |
scientific article; zbMATH DE number 4197145 (Why is no real title available?)
| 1990-01-01 | Paper |
scientific article; zbMATH DE number 4100386 (Why is no real title available?)
| 1989-01-01 | Paper |
Approximating exponential models
Annals of the Institute of Statistical Mathematics | 1989-01-01 | Paper |
A note on a semiparametric estimator of mortality
Biometrika | 1989-01-01 | Paper |
On the level-error after Bartlett adjustment of the likelihood ratio statistic
Biometrika | 1988-01-01 | Paper |
Differential geometry, profile likelihood, L-sufficiency and composite transformation models
The Annals of Statistics | 1988-01-01 | Paper |
Coordinate-free definition of structurally symmetric derivative strings
Advances in Applied Mathematics | 1988-01-01 | Paper |
Combination of reproductive models
The Annals of Statistics | 1988-01-01 | Paper |
scientific article; zbMATH DE number 4186847 (Why is no real title available?)
| 1987-01-01 | Paper |
scientific article; zbMATH DE number 4084717 (Why is no real title available?)
| 1987-01-01 | Paper |
Strings: mathematical theory and statistical examples
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 1987-01-01 | Paper |
Derivative strings: contravariant aspect
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 1987-01-01 | Paper |
scientific article; zbMATH DE number 3978129 (Why is no real title available?)
| 1986-01-01 | Paper |
The Role of Differential Geometry in Statistical Theory
International Statistical Review / Revue Internationale de Statistique | 1986-01-01 | Paper |
scientific article; zbMATH DE number 4011675 (Why is no real title available?)
| 1986-01-01 | Paper |
Likelihood and observed geometries
The Annals of Statistics | 1986-01-01 | Paper |
Strings, tensorial combinants, and Bartlett adjustments
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 1986-01-01 | Paper |
scientific article; zbMATH DE number 3947490 (Why is no real title available?)
| 1985-01-01 | Paper |
scientific article; zbMATH DE number 3921700 (Why is no real title available?)
| 1985-01-01 | Paper |
scientific article; zbMATH DE number 3919558 (Why is no real title available?)
| 1985-01-01 | Paper |
scientific article; zbMATH DE number 3930124 (Why is no real title available?)
| 1984-01-01 | Paper |
The Effect of Sampling Rules on Likelihood Statistics
International Statistical Review / Revue Internationale de Statistique | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3872473 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3896068 (Why is no real title available?)
| 1984-01-01 | Paper |
On a formula for the distribution of the maximum likelihood estimator
Biometrika | 1983-01-01 | Paper |
Exponential models with affine dual foliations
The Annals of Statistics | 1983-01-01 | Paper |
Reproductive exponential families
The Annals of Statistics | 1983-01-01 | Paper |
Normal Variance-Mean Mixtures and z Distributions
International Statistical Review / Revue Internationale de Statistique | 1982-01-01 | Paper |
Exponential transformation models
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 1982-01-01 | Paper |
scientific article; zbMATH DE number 3757480 (Why is no real title available?)
| 1982-01-01 | Paper |
scientific article; zbMATH DE number 3761190 (Why is no real title available?)
| 1982-01-01 | Paper |
scientific article; zbMATH DE number 3770749 (Why is no real title available?)
| 1981-01-01 | Paper |
A stochastic model for sand sorting in a wind-tunnel
Advances in Applied Probability | 1981-01-01 | Paper |
Conditionality resolutions
Biometrika | 1980-01-01 | Paper |
scientific article; zbMATH DE number 3709387 (Why is no real title available?)
| 1980-01-01 | Paper |
Models for non-Gaussian variation, with applications to turbulence
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 1979-01-01 | Paper |
scientific article; zbMATH DE number 3660622 (Why is no real title available?)
| 1979-01-01 | Paper |
scientific article; zbMATH DE number 3656980 (Why is no real title available?)
| 1979-01-01 | Paper |
scientific article; zbMATH DE number 3602484 (Why is no real title available?)
| 1978-01-01 | Paper |
First hitting time models for the generalized inverse Gaussian distribution
Stochastic Processes and their Applications | 1978-01-01 | Paper |
scientific article; zbMATH DE number 3600847 (Why is no real title available?)
| 1978-01-01 | Paper |
Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1977-01-01 | Paper |
scientific article; zbMATH DE number 3626416 (Why is no real title available?)
| 1976-01-01 | Paper |
scientific article; zbMATH DE number 3504272 (Why is no real title available?)
| 1976-01-01 | Paper |
Nonformation
Biometrika | 1976-01-01 | Paper |
scientific article; zbMATH DE number 3530789 (Why is no real title available?)
| 1976-01-01 | Paper |
scientific article; zbMATH DE number 3586321 (Why is no real title available?)
| 1975-01-01 | Paper |
scientific article; zbMATH DE number 3581451 (Why is no real title available?)
| 1974-01-01 | Paper |
On the parametrization of autoregressive models by partial autocorrelations
Journal of Multivariate Analysis | 1973-01-01 | Paper |
scientific article; zbMATH DE number 3466323 (Why is no real title available?)
| 1973-01-01 | Paper |
Unimodality and exponential families
Communications in Statistics | 1973-01-01 | Paper |
On M-ancillarity
Biometrika | 1973-01-01 | Paper |
scientific article; zbMATH DE number 3395166 (Why is no real title available?)
| 1970-01-01 | Paper |
Negative binomial processes
Journal of Applied Probability | 1969-01-01 | Paper |
[https://portal.mardi4nfdi.de/wiki/Publication:5554773 L�vy homeomorphic parametrization and exponential families]
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1969-01-01 | Paper |
Sufficient Data Reduction and Exponential Families.
MATHEMATICA SCANDINAVICA | 1968-01-01 | Paper |
On the Distribution of the Number of Admissible Points in a Vector Random Sample
Theory of Probability & Its Applications | 1966-01-01 | Paper |
Identifiability of mixtures of exponential families
Journal of Mathematical Analysis and Applications | 1965-01-01 | Paper |
On the limit distribution of the maximum of a random number of independent random variables
Acta Mathematica Academiae Scientiarum Hungaricae | 1964-01-01 | Paper |
Subfields and loss of information
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1964-01-01 | Paper |
scientific article; zbMATH DE number 3196606 (Why is no real title available?)
| 1964-01-01 | Paper |
Combinatorial Lemmas in Higher Dimensions
| 1963-01-01 | Paper |
On the Limit Behaviour of Extreme Order Statistics
Annals of Mathematical Statistics | 1963-01-01 | Paper |
On the Rate of Growth of the Partial Maxima of a Sequence of Independent Identically Distributed Random Variables.
MATHEMATICA SCANDINAVICA | 1961-01-01 | Paper |
On Quantum Statistical Inference, II
| N/A | Paper |
