Markus Bibinger und Statistical - Info zur Person

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Details: Stochastik Rhein-Main

www.stochastik-rhein-main.de

16:45 Prof. Markus Bibinger (Marburg): Statistical analysis of path properties of volatility. In this talk, we review recent contributions on statistical theory to infer ...

KIT - Fakultät für Mathematik - Volatility dynamics − Statistical...

www.math.kit.edu

Dr. Markus Bibinger, Universität Marburg; Ort: Kollegiengebäude MathematikSeminarraum ; Termin: , 11:30 Uhr; Gastgeber: ...

Common price and volatility jumps in noisy high-frequency data

ideas.repec.org

Downloadable! We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based...

Estimating the Spot Covariation of Asset Prices – Statistical Theory...

ideas.repec.org

Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical ...

High-Frequency Statistics with Asynchronous and Irregular Databooks.google.com › books

books.google.de

[7] Markus Bibinger, Nikolaus Hautsch, Peter Malec, and Markus Reiß. Estimating the spot covariation of asset prices - statistical theory and empirical evidence.

Estimating the Spot Covariation of Asset Prices – Statistical Theory...

papers.ssrn.com

We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise an

Archiv des Rhein-Main-Kolloquiums Stochastik | Institut ...

www.stochastik.mathematik.uni-mainz.de

16:45 Prof. Markus Bibinger (Marburg): Statistical analysis of path properties of volatility In this talk, we review recent contributions on statistical theory to infer path properties of volatility. The interest is in the latent volatility of an Itô semimartingale, the latter being discretely observed over a fixed time horizon.

Former Members: Research Training Group - Statistical Modeling of...

rtg1953.uni-heidelberg.uni-mannheim.de

Dr. Markus Bibinger. Philipps University of Marburg, Stochastics Institute. Markus was an assistant professor in the Department of Economics at the University of ...

OPUS 4 | Estimating the spot covariation of asset prices –...

publikationen.ub.uni-frankfurt.de

Estimating the spot covariation of asset prices – statistical theory and empirical evidence. Markus Bibinger, Nikolaus Hautsch, Peter Malec, ...

Estimating the Spot Covariation of Asset Prices—Statistical Theory...

figshare.com

posted on , 10:26 by Markus Bibinger, Nikolaus Hautsch, Peter Malec, Markus Reiss. We propose a new estimator for the spot covariance matrix of a ...

Editorial to: Six papers on Dynamic Statistical Models - Staff at the...

www.math.ku.dk

Spectral Estimation of Covolatility from Noisy Observations Using Local Weights Markus Bibinger and Markus Reiß One-Way Anova for Functional Data via ...

Estimating the Spot Covariation of Asset Prices—Statistical Theory...

datascience.univie.ac.at

... Covariation of Asset Prices—Statistical Theory and Empirical Evidence. Author(s): Markus Bibinger, Nikolaus Hautsch, Peter Malec, Markus Reiss; Abstract.

Workshop - Statistical methods for dynamical stochastic models -...

www.lebesgue.fr

Markus Bibinger. Philipps-Universität Marburg, Germany. Change-point analysis for rough fractional volatility models. Abstract: Summary of the ...

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Markus Bibinger und Statistical Person-Info