30 Treffer für Schlagwort = "Stochastik"

• Abelian theorems for stochastic volatility models with application to the estimation of jump activity of volatility Belomestny, Denis ; Panov, Vladimir Elektronische Ressource, [Dortmund] : SFB 823, 2011

• Approximation and error analysis of forward-backward SDEs driven by general Lévy processes using shot noise series representations Massing, Till Philipp Georg Elektronische Ressource, [Dortmund] : SFB 823, 2021

• Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements Zaharieva, Martina Danielova ; Trede, Mark ; Wilfling, Bernd Elektronische Ressource, Münster : Center for Quantitative Economics, 2017

• 'Change in space-point estimation, Part I: Lower bound for rates of consistency Brauer, Marcel ; Rohde, Angelika Elektronische Ressource, Dortmund : Universitätsbibliothek Dortmund, [2016]

• Comparing spectral densities of stationary time series with unequal sample sizes Preuß, Philip ; Hildebrandt, Thimo Elektronische Ressource, [Dortmund] : SFB 823, 2011

• Detection of multiple structural breaks in multivariate time series Dette, Holger ; Preuß, Philip ; Puchstein, Ruprecht Elektronische Ressource, [Dortmund] : SFB 823, 2013

• Efficiency gains in structural vector autoregressions by selecting informative higher-order moment conditions Keweloh, Sascha Alexander ; Hetzenecker, Stephan Johannes Elektronische Ressource, [Dortmund] : SFB 823, 2021

• Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps Bibinger, Markus ; Vetter, Mathias Elektronische Ressource, [Dortmund] : SFB 823, May 14, 2013

• A feasible approach to incorporate information in higher moments in structural vector autoregressions Keweloh, Sascha Alexander Elektronische Ressource, [Dortmund] : SFB 823, 2021

• K-sign depth: from asymptotics to efficient implementation Malcherczyk, Dennis ; Leckey, Kevin ; Müller, Christine H. Elektronische Ressource, Dortmund : Universitätsbibliothek Dortmund, 2020

• Natural (non-)informative priors for skew-symmetric distributions Dette, Holger ; Ley, Christophe ; Rubio, Francisco J. Elektronische Ressource, Dortmund : Universitätsbibliothek Dortmund, [2016]

• A new approach for open-end sequential change point monitoring Gösmann, Josua ; Kley, Tobias ; Dette, Holger Elektronische Ressource, Dortmund : Universitätsbibliothek Dortmund, [June 2019]

• Nonlinear filtering of partially observed systems arising in singular stochastic optimal control Calvia, Alessandro ; Ferrari, Giorgio Elektronische Ressource, Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University, June 2021

• Nonparametric estimation and testing on discontinuity of positive supported densities: A kernel truncation approach Funke, Benedikt ; Hirukawa, Masayuki Elektronische Ressource, Dortmund : Universitätsbibliothek Dortmund, July 2016

• On an integral equation for the free boundary of stochastic, irreversible investment problems Ferrari, Giorgio Elektronische Ressource, Bielefeld : IMW - Bielefeld University, November 2012

• Optimal dividend payout under stochastic discounting Bandini, Elena ; De Angelis, Tiziano ; Ferrari, Giorgio ; Gozzi, Fausto Elektronische Ressource, Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University, May 2020

• Optimal dividends under Markov-modulated bankruptcy level Ferrari, Giorgio ; Schuhmann, Patrick ; Zhu, Shihao Elektronische Ressource, Bielefeld : Center for Mathematical Economics (IMW), Bielefeld University, November 2021

• Optimal execution with multiplicative price impact and incomplete information on the return Dammann, Felix ; Ferrari, Giorgio Elektronische Ressource, Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University, February 2022

• Pivotal tests for relevant differences in the second order dynamics of functional time series Delft, Anne van ; Dette, Holger Elektronische Ressource, Dortmund : Universitätsbibliothek Dortmund, April 9, 2020

• Powerful generalized sign tests based on sign depth Leckey, Kevin ; Malcherczyk, Dennis ; Müller, Christine H. Elektronische Ressource, Dortmund : Universitätsbibliothek Dortmund, 2020