Robert Stelzer
Robert Stelzer
Institute of Mathematical Finance, Ulm University
Verified email at uni-ulm.de - Homepage
TitleCited byYear
Multivariate CARMA processes
T Marquardt, R Stelzer
Stochastic processes and their applications 117 (1), 96-120, 2007
1022007
Multivariate supOU processes
OE Barndorff-Nielsen, R Stelzer
The Annals of Applied Probability 21 (1), 140-182, 2011
732011
A multivariate Ornstein-Uhlenbeck type stochastic volatility model
C Pigorsch, R Stelzer
Submitted for publication, 1-34, 2009
71*2009
Positive-definite matrix processes of finite variation
OE Barndorff-Nielsen, R Stelzer, A Universitet
PROBABILITY AND MATHEMATICAL STATISTICS-WROCLAW UNIVERSITY 27 (1), 3, 2007
702007
On strong solutions for positive definite jump diffusions
E Mayerhofer, O Pfaffel, R Stelzer
Stochastic processes and their applications 121 (9), 2072-2086, 2011
692011
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
592012
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
592011
Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian LÚvy processes
OLEE BARNDORFF‐NIELSEN, R Stelzer
Scandinavian journal of statistics 32 (4), 617-637, 2005
582005
The multivariate supOU stochastic volatility model
OE Barndorff‐Nielsen, R Stelzer
Mathematical Finance 23 (2), 275-296, 2013
522013
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
332009
Quasi maximum likelihood estimation for strongly mixing state space models and multivariate LÚvy-driven CARMA processes
E Schlemm, R Stelzer
Electronic Journal of Statistics 6, 2185-2234, 2012
322012
Multivariate COGARCH (1, 1) processes
R Stelzer
Bernoulli 16 (1), 80-115, 2010
312010
On Markov-Switching Arma Processes—Stationarity, Existence Of Moments, And Geometric Ergodicity
R Stelzer
Econometric Theory 25 (01), 43-62, 2009
302009
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
282012
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
252013
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
242014
On the relation between the vec and BEKK multivariate GARCH models
R Stelzer
Econometric Theory 24 (4), 1131-1136, 2008
232008
Multivariate continuous time stochastic volatility models driven by a LÚvy process
RJ Stelzer
Universitńtsbibliothek der TU MŘnchen, 2007
192007
Tail behavior of multivariate LÚvy-driven mixed moving average processes and supOU stochastic volatility models
M Moser, R Stelzer
Advances in Applied Probability 43 (4), 1109-1135, 2011
182011
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
132015
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