Arbeitsgruppe Stochastik

Publikationen

H. Dette, T. Schüler und M. Vetter (2019+): Multiscale change point detection for dependent data. Preprint

O. Martin und M. Vetter (2019+): The null hypothesis of common jumps in case of irregular and asynchronous observations. Scandinavian Journal of Statistics, to appear.

O. Martin und M. Vetter (2019): Laws of large numbers for Hayashi-Yoshida-type functionals. Finance and Stochastics 23, 451-500. 

M. Hoffmann, M. Vetter und H. Dette (2018): Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes. Stochastic Processes and their Applications 128, 3679-3723.

O. Martin und M. Vetter (2018): Testing for simultaneous jumps in case of asynchronous observations. Bernoulli 24, 3522-3567.

M. Hoffmann und M. Vetter (2017): Weak convergence of the empirical truncated distribution function of the Levy measure of an Ito semimartingale. Stochastic Processes and their Applications 127, 1517-1543.

M. Podolskij, C. Schmidt und M. Vetter (2017): On U- and V-statistics for discontinuous Ito semimartingales. Annales de l'Institut Henri Poincaré 53, 1007-1050.

M. Bibinger, M. Jirak und M. Vetter (2017): Nonparametric change-point analysis of volatility. Annals of Statistics 45, 1542-1578.

M. Vetter und T. Zwingmann (2017): A note on central limit theorems for quadratic variation in case of endogenous observation times. Electronic Journal of Statistics 11, 963-980.

A. Bücher, M. Hoffmann, M. Vetter und H. Dette (2017): Nonparametric tests for detecting breaks in the jump behaviour of a time-continuous process. Bernoulli 23, 1335-1364.

M. Vetter (2015): Estimation of integrated volatility of volatility with applications to goodness-of-fit testing. Bernoulli 21, 2393-2418.

M. Bibinger und M. Vetter (2015): Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps. Annals of the Institute of Statistical Mathematics 67, 707-743.

M. Vetter (2014): Inference on the Lévy measure in case of noisy observations. Statistics & Probability Letters 87, 125-133.

P. Preuß, M. Vetter and H. Dette (2013): A test for stationarity based on empirical processes. Bernoulli 19, 2715-2749.

A. Bücher und M. Vetter (2013): Nonparametric inference on Lévy measures and copulas. Annals of Statistics 41, 1485-1515.

K. Christensen, M. Podolskij und M. Vetter (2013): On covariation estimation for multivariate continuous Îto semimartingales with noise in non-synchronous observation schemes. Journal of Multivariate Analysis 120, 59-84.

P. Preuß und M. Vetter (2013): Discriminating between long-range dependence and non-stationarity. Electronic Journal of Statistics 7, 2241-2297.

P. Preuß, M. Vetter und H. Dette (2013): Testing semiparametric hypotheses in locally stationary processes. Scandinavian Journal of Statistics 40(3), 417-437.

M. Vetter (2012): Estimation of correlation for continuous semimartingales. Scandinavian Journal of Statistics 39, 757-771.

M. Vetter und H. Dette (2012): Model checks for the volatility under microstructure noise. Bernoulli 18, 1421-1447.

H. Dette, T. Kinsvater und M. Vetter (2011): Testing nonparametric hypotheses for stationary processes by estimating minimal distances. Journal of Time Series Analysis 32, 447-461.

H. Dette, P. Preuß und M. Vetter (2011): A measure of stationarity in locally stationary processes with applications to testing. Journal of the American Statistical Association 106(495), 1113-1124.

J. Jacod, M. Podolskij und M. Vetter (2010): Limit theorems for moving averages of discretized processes plus noise. Annals of Statistics 38, 1478-1545.

M. Podolskij und M. Vetter (2010): Understanding limit theorems for semimartingales: a short survey. Statistica Neerlandica 64, 329–351.

M. Vetter (2010): Limit theorems for bipower variation of semimartingales. Stochastic Processes and their Applications 120, 22-38.

K. Christensen, M. Podolskij und M. Vetter (2009): Bias-correcting the realized range-based variance in the presence of market microstructure noise. Finance and Stochastics 13, 239-268.

J. Jacod, Y. Li, P. Mykland, M. Podolskij und M. Vetter (2009): Microstructure noise in the continuous case: the pre-averaging approach. Stochastic Processes and their Applications 119, 2249-2276.

M. Podolskij und M. Vetter (2009): Bipower-type estimation in a noisy diffusion setting. Stochastic Processes and their Applications 119, 2803-2831.

M. Podolskij und M. Vetter (2009): Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps. Bernoulli 15, 634-658.

H. Dette, M. Podolskij und M. Vetter (2006): Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing. Scandinavian Journal of Statistics 33, 259-278.