Institute of Statistics

Dr. Mathias Vetter

Ruhr-Universitaet Bochum
Department of Mathematics
Institute of Statistics
44780 Bochum
Germany

Building NA 3/27
Tel.: +49 (0)234 / 32 23283
Fax: +49 (0)234 / 32 14559

E-Mail: mathias.vetter@ruhr-uni-bochum.de

Office hours

Wednesdays 10:00-12:00 noon

Research Interests

Theory of semimartingales, Analysis of high frequency data, Goodness-of-fit tests.

Statistical Consulting

Statistical Consulting

Publications

Papers:

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

H. Dette, P. Preuß and 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. (PDF)

M. Vetter (2011): Estimation of correlation for continuous semimartingales. To appear in Scandinavian Journal of Statistics. (PDF)

M. Vetter and H. Dette (2011): Model checks for the volatility under microstructure noise. To appear in: Bernoulli. (PDF)

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

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

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

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

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

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

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

H. Dette, M. Podolskij and 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. (PDF)

Submitted:

Bücher, A. and Vetter, M. (2012): Nonparametric inference on Lévy measures and copulas. (PDF)

K. Christensen, M. Podolskij and M. Vetter (2011): On covariation estimation for multivariate continuous Îto semimartingales with noise in non-synchronous observation schemes. (PDF)

P. Preuß, M. Vetter and H. Dette (2011). A test for stationarity based on empirical processes. (PDF)

P. Preuß, M. Vetter and H. Dette (2011). Testing semiparametric hypotheses in locally stationary processes. (PDF)

M. Vetter (2011): Estimation of integrated volatility of volatility with applications to goodness-of-fit testing. (PDF)

P. Behl, H. Dette and M. Vetter (2010): A note on martingale transforms for model checks. (PDF)

Theses:

M. Vetter (2008): Estimation methods in noisy diffusion models. PhD thesis, Ruhr-Universität Bochum. (PDF)

M. Vetter (2006): Integrierte Volatilität unter Marktmikrostruktur. Diploma thesis, Ruhr-Universität Bochum. (PDF)