Mathias Vetter

Dr. Mathias Vetter

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Ruhr-Universität Bochum
Fakultät für Mathematik
Lehrstuhl für Stochastik
44780 Bochum
Deutschland

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

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



Sprechzeiten:

Mittwochs von 10 - 12 Uhr

Arbeitsgebiet:

  • Semimartingaltheorie
  • Analyse von Hochfrequenzdaten
  • Modellvalidierung
  • Zeitreihenanalyse

Statistische Beratung:

Statistische Beratung

Publikationen:

Paper:

P. Preuß, M. Vetter und H. Dette (2013+): A test for stationarity based on empirical processes. Erscheint in Bernoulli. (PDF)

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

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. (PDF)

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

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

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

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

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. (PDF)

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. (PDF)

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

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

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

M. Podolskij und 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 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. (PDF)

Eingereicht:

M. Bibinger und M. Vetter (2013): Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps, (PDF).

M. Vetter (2013): Inference on the Lévy measure in case of noisy observations, (PDF).

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

P. Behl, H. Dette und 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)