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Fakultät für Mathematik » Lehrstuhl Stochastik » Team

Sprechzeiten:

Mittwochs von 10 - 12 Uhr

Arbeitsgebiet:

• Semimartingaltheorie
• Analyse von Hochfrequenzdaten
• Modellvalidierung

Statistische Beratung:

Statistische Beratung

Publikationen:

Paper:

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. Erscheint in Scandinavian Journal of Statistics. (PDF)

M. Vetter and H. Dette (2011): Model checks for the volatility under microstructure noise. Erscheint 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)

Eingereicht:

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)

Letzte Änderung: 05.12.2011  | Impressum | Ansprechpartner/in: Inhalt & Technik | Layout: Normal | Druck