Следене
Mathias Vetter
Mathias Vetter
Professor für Mathematik, Christian-Albrechts-Universität zu Kiel
Потвърден имейл адрес: math.uni-kiel.de - Начална страница
Заглавие
Позовавания
Позовавания
Година
Microstructure noise in the continuous case: the pre-averaging approach
J Jacod, Y Li, PA Mykland, M Podolskij, M Vetter
Stochastic processes and their applications 119 (7), 2249-2276, 2009
8252009
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
M Podolskij, M Vetter
3532009
Bipower-type estimation in a noisy diffusion setting
M Podolskij, M Vetter
Stochastic processes and their applications 119 (9), 2803-2831, 2009
1322009
Limit theorems for moving averages of discretized processes plus noise
J Jacod, M Podolskij, M Vetter
1232010
Understanding limit theorems for semimartingales: a short survey
M Podolskij, M Vetter
Statistica Neerlandica 64 (3), 329-351, 2010
882010
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
K Christensen, M Podolskij, M Vetter
Journal of Multivariate Analysis 120, 59-84, 2013
822013
A measure of stationarity in locally stationary processes with applications to testing
H Dette, P Preuß, M Vetter
Journal of the American Statistical Association 106 (495), 1113-1124, 2011
762011
Bias-correcting the realized range-based variance in the presence of market microstructure noise
K Christensen, M Podolskij, M Vetter
Finance and Stochastics 13, 239-268, 2009
592009
Estimation of Integrated Volatility in Continuous‐Time Financial Models with Applications to Goodness‐of‐Fit Testing
H Dette, M Podolskij, M Vetter
Scandinavian Journal of Statistics 33 (2), 259-278, 2006
542006
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
M Vetter
522015
Multiscale change point detection for dependent data
H Dette, T Eckle, M Vetter
Scandinavian Journal of Statistics 47 (4), 1243-1274, 2020
462020
Limit theorems for bipower variation of semimartingales
M Vetter
Stochastic Processes and their Applications 120 (1), 22-38, 2010
442010
A test for stationarity based on empirical processes
P Preuß, M Vetter, H Dette
352013
Nonparametric change-point analysis of volatility
M Bibinger, M Jirak, M Vetter
272017
Nonparametric inference on Lévy measures and copulas
A Bücher, M Vetter
The Annals of Statistics, 1485-1515, 2013
272013
Testing non‐parametric hypotheses for stationary processes by estimating minimal distances
H Dette, T Kinsvater, M Vetter
Journal of Time Series Analysis 32 (5), 447-461, 2011
232011
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
M Bibinger, M Vetter
Annals of the Institute of Statistical Mathematics 67, 707-743, 2015
212015
Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process
A Bücher, M Hoffmann, M Vetter, H Dette
192017
Estimation of correlation for continuous semimartingales
M Vetter
Scandinavian Journal of Statistics 39 (4), 757-771, 2012
182012
Model checks for the volatility under microstructure noise
M Vetter, H Dette
172012
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Статии 1–20