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Robert Stelzer
Robert Stelzer
Institute of Mathematical Finance, Ulm University
Verified email at uni-ulm.de - Homepage
Title
Cited by
Cited by
Year
Multivariate CARMA processes
T Marquardt, R Stelzer
Stochastic processes and their applications 117 (1), 96-120, 2007
1262007
Stationarity and geometric ergodicity of BEKK multivariate GARCH models
F Boussama, F Fuchs, R Stelzer
Stochastic Processes and their Applications 121 (10), 2331-2360, 2011
992011
Multivariate supOU processes
OE Barndorff-Nielsen, R Stelzer
The Annals of Applied Probability 21 (1), 140-182, 2011
862011
On strong solutions for positive definite jump diffusions
E Mayerhofer, O Pfaffel, R Stelzer
Stochastic processes and their applications 121 (9), 2072-2086, 2011
792011
Positive-definite matrix processes of finite variation
OE Barndorff-Nielsen, R Stelzer, A Universitet
PROBABILITY AND MATHEMATICAL STATISTICS-WROCLAW UNIVERSITY 27 (1), 3, 2007
782007
A multivariate Ornstein-Uhlenbeck type stochastic volatility model
C Pigorsch, R Stelzer
Submitted for publication, 1-34, 2009
74*2009
Option pricing in multivariate stochastic volatility models of OU type
J Muhle-Karbe, O Pfaffel, R Stelzer
SIAM Journal on Financial Mathematics 3 (1), 66-94, 2012
722012
The multivariate supOU stochastic volatility model
OE Barndorff‐Nielsen, R Stelzer
Mathematical Finance 23 (2), 275-296, 2013
672013
Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Lévy processes
OLEE BARNDORFF‐NIELSEN, R Stelzer
Scandinavian journal of statistics 32 (4), 617-637, 2005
672005
Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
E Schlemm, R Stelzer
Bernoulli 18 (1), 46-63, 2012
462012
On Markov-Switching Arma Processes—Stationarity, Existence Of Moments, And Geometric Ergodicity
R Stelzer
Econometric Theory 25 (01), 43-62, 2009
412009
Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
E Schlemm, R Stelzer
Electronic Journal of Statistics 6, 2185-2234, 2012
402012
On the definition, stationary distribution and second order structure of positive semidefinite Ornstein–Uhlenbeck type processes
C Pigorsch, R Stelzer
Bernoulli 15 (3), 754-773, 2009
382009
Multivariate COGARCH (1, 1) processes
R Stelzer
Bernoulli 16 (1), 80-115, 2010
362010
Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model
F Fuchs, R Stelzer
ESAIM: Probability and Statistics 17, 455-471, 2013
342013
On the relation between the vec and BEKK multivariate GARCH models
R Stelzer
Econometric Theory 24 (4), 1131-1136, 2008
342008
Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
RA Davis, O Pfaffel, R Stelzer
Stochastic Processes and their Applications 124 (1), 18-50, 2014
312014
Infinitely divisible multivariate and matrix Gamma distributions
V Pérez-Abreu, R Stelzer
Journal of Multivariate Analysis 130, 155-175, 2014
24*2014
Moment based estimation of supOU processes and a related stochastic volatility model
R Stelzer, T Tosstorff, M Wittlinger
Statistics & Risk Modeling 32 (1), 1-24, 2015
202015
Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
M Moser, R Stelzer
Advances in Applied Probability 43 (4), 1109-1135, 2011
202011
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