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Robert Stelzer

Identifiers

  • name variant Robert Stelzer 0.60 · backfill

Papers (17)

  1. Limit behaviour of the truncated pathwise Fourier-transformation of L\'evy-driven CARMA processes for non-equidistant discrete time observations math.PR · 2015 · author #1
  2. A BSDE arising in an exponential utility maximization problem in a pure jump market model math.PR · 2015 · author #2
  3. Derivative pricing under the possibility of long memory in the supOU stochastic volatility model q-fin.PR · 2014 · author #1
  4. Moment based estimation of supOU processes and a related stochastic volatility model math.PR · 2013 · author #1
  5. Quasi maximum likelihood estimation for strongly mixing state space models and multivariate L\'evy-driven CARMA processes math.ST · 2012 · author #2
  6. FunctionaL Regular Variation of L\'evy-driven Multivariate Mixed Moving Average Processes math.PR · 2012 · author #1
  7. Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes math.ST · 2012 · author #2
  8. A Class of Infinitely Divisible Multivariate and Matrix Gamma Distributions and Cone-valued Generalised Gamma Convolutions math.PR · 2012 · author #2
  9. CARMA Processes driven by Non-Gaussian Noise math.PR · 2011 · author #1
  10. Limit Theory for the largest eigenvalues of sample covariance matrices with heavy-tails math.PR · 2011 · author #3
  11. Stationarity and Geometric Ergodicity of BEKK Multivariate GARCH Models math.PR · 2011 · author #3
  12. Spectral Representation of Multivariate Regularly Varying L\'evy and CARMA processes math.PR · 2011 · author #2
  13. Multivariate supOU processes math.PR · 2010 · author #2
  14. Multivariate COGARCH(1,1) processes math.ST · 2010 · author #1
  15. Option Pricing in Multivariate Stochastic Volatility Models of OU Type q-fin.PR · 2010 · author #3
  16. On strong solutions for positive definite jump-diffusions math.PR · 2009 · author #3
  17. On the definition, stationary distribution and second order structure of positive semidefinite Ornstein--Uhlenbeck type processes math.ST · 2009 · author #2

Mentions

  • 1509.01384 #1 · backfill · confidence 0.70 Robert Stelzer
  • 1508.07561 #2 · backfill · confidence 0.70 Robert Stelzer
  • 1404.1773 #1 · backfill · confidence 0.70 Robert Stelzer
  • 1305.1470 #1 · backfill · confidence 0.70 Robert Stelzer
  • 1210.7447 #2 · backfill · confidence 0.70 Robert Stelzer
  • 1204.0639 #1 · backfill · confidence 0.70 Robert Stelzer
  • 1203.0131 #2 · backfill · confidence 0.70 Robert Stelzer
  • 1201.1461 #2 · backfill · confidence 0.70 Robert Stelzer
  • 1201.0155 #1 · backfill · confidence 0.70 Robert Stelzer
  • 1108.5464 #3 · backfill · confidence 0.70 Robert Stelzer
  • 1106.0165 #3 · backfill · confidence 0.70 Robert Stelzer
  • 1105.2706 #2 · backfill · confidence 0.70 Robert Stelzer
  • 1101.0068 #2 · backfill · confidence 0.70 Robert Stelzer
  • 1002.4261 #1 · backfill · confidence 0.70 Robert Stelzer
  • 1001.3223 #3 · backfill · confidence 0.70 Robert Stelzer
  • 0910.1784 #3 · backfill · confidence 0.70 Robert Stelzer
  • 0909.0851 #2 · backfill · confidence 0.70 Robert Stelzer

Frequent Coauthors