| Publication | Date of Publication | Type |
|---|
Continuous-time locally stationary time series models
Advances in Applied Probability | 2023-12-15 | Paper |
Inheritance of strong mixing and weak dependence under renewal sampling
Journal of Applied Probability | 2023-05-08 | Paper |
Moment-based estimation for the multivariate COGARCH(1,1) process
Scandinavian Journal of Statistics | 2022-10-06 | Paper |
Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
The Annals of Applied Probability | 2022-09-05 | Paper |
Optimal investment with time-varying stochastic endowments
SIAM Journal on Financial Mathematics | 2022-08-22 | Paper |
Geometric ergodicity of the multivariate COGARCH(1,1) process
Stochastics | 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
Stochastic Processes and their Applications | 2020-05-26 | Paper |
Weak dependence and GMM estimation of supOU and mixed moving average processes
Electronic Journal of Statistics | 2019-02-14 | Paper |
Limit behaviour of the truncated pathwise Fourier-transformation of Lévy-driven CARMA processes for non-equidistant discrete time observations
STATISTICA SINICA | 2018-07-06 | Paper |
A BSDE arising in an exponential utility maximization problem in a pure jump market model
Stochastics | 2017-04-11 | Paper |
Moment based estimation of supOU processes and a related stochastic volatility model
Statistics & Risk Modeling | 2015-04-17 | Paper |
Infinitely divisible multivariate and matrix gamma distributions
Journal of Multivariate Analysis | 2014-07-24 | Paper |
Dealing with dependent risks
Risk - A Multidisciplinary Introduction | 2014-06-30 | Paper |
Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model
ESAIM: Probability and Statistics | 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
Stochastic Processes and their Applications | 2014-02-06 | Paper |
Functional regular variation of Lévy-driven multivariate mixed moving average processes
Extremes | 2013-12-02 | Paper |
Spectral representation of multivariate regularly varying Lévy and CARMA processes
Journal of Theoretical Probability | 2013-07-19 | Paper |
Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
Electronic Journal of Statistics | 2013-05-28 | Paper |
The multivariate supOU stochastic volatility model
Mathematical Finance | 2013-04-29 | Paper |
Option pricing in multivariate stochastic volatility models of OU type
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
Bernoulli | 2012-03-29 | Paper |
Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
Advances in Applied Probability | 2012-01-17 | Paper |
CARMA Processes driven by Non-Gaussian Noise
| 2011-12-30 | Paper |
Stationarity and geometric ergodicity of BEKK multivariate GARCH models
Stochastic Processes and their Applications | 2011-10-10 | Paper |
On strong solutions for positive definite jump diffusions
Stochastic Processes and their Applications | 2011-08-04 | Paper |
MULTIVARIATE ECOGARCH PROCESSES
Econometric Theory | 2011-04-27 | Paper |
Multivariate supOU processes
The Annals of Applied Probability | 2011-02-21 | Paper |
On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
Bernoulli | 2010-11-12 | Paper |
Multivariate COGARCH(1, 1) processes
Bernoulli | 2010-11-12 | Paper |
On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
Econometric Theory | 2010-04-08 | Paper |
ON THE RELATION BETWEEN THE VEC AND BEKK MULTIVARIATE GARCH MODELS
Econometric Theory | 2009-06-11 | Paper |
First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
Stochastic Processes and their Applications | 2009-06-04 | Paper |
Multivariate Markov-switching ARMA processes with regularly varying noise
Journal of Multivariate Analysis | 2008-06-11 | Paper |
Positive-definite matrix processes of finite variation
| 2007-10-22 | Paper |
Multivariate CARMA processes
Stochastic Processes and their Applications | 2007-03-29 | Paper |
Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
Scandinavian Journal of Statistics | 2006-05-24 | Paper |
