The Fascination of Probability, Statistics and their Applications
Latest Publications

TOTAL DOCUMENTS

23

(FIVE YEARS 0)

H-INDEX

3

(FIVE YEARS 0)

Published By Springer International Publishing

9783319258249, 9783319258263

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs

The Fascination of Probability, Statistics and their Applications ◽

10.1007/978-3-319-25826-3_20 ◽

2015 ◽

pp. 435-446 ◽

Author(s):

Bernt Øksendal ◽

Agnès Sulem ◽

Tusheng Zhang

Keyword(s):

Optimal Control ◽

Hjb Equation ◽

Download Full-text

Model Selection for Volatility Prediction

The Fascination of Probability, Statistics and their Applications ◽

10.1007/978-3-319-25826-3_16 ◽

2015 ◽

pp. 343-360 ◽

Author(s):

Masayuki Uchida ◽

Nakahiro Yoshida

Keyword(s):

Model Selection ◽

Download Full-text

Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices

The Fascination of Probability, Statistics and their Applications ◽

10.1007/978-3-319-25826-3_15 ◽

2015 ◽

pp. 317-341 ◽

Author(s):

Jean Jacod ◽

Viktor Todorov

Keyword(s):

Efficient Estimation ◽

Integrated Volatility ◽

Activity Indices

Download Full-text

Modelling Turbulent Time Series by BSS-Processes

The Fascination of Probability, Statistics and their Applications ◽

10.1007/978-3-319-25826-3_3 ◽

2015 ◽

pp. 29-52 ◽

Author(s):

José Ulises Márquez ◽

Jürgen Schmiegel

Keyword(s):

Download Full-text

Generalised Partial Autocorrelations and the Mutual Information Between Past and Future

The Fascination of Probability, Statistics and their Applications ◽

10.1007/978-3-319-25826-3_14 ◽

2015 ◽

pp. 303-315 ◽

Author(s):

Alessandra Luati ◽

Tommaso Proietti

Keyword(s):

Mutual Information

Download Full-text

Continuity of Local Time: An Applied Perspective

The Fascination of Probability, Statistics and their Applications ◽

10.1007/978-3-319-25826-3_9 ◽

2015 ◽

pp. 191-207 ◽

Author(s):

Jorge M. Ramirez ◽

Enirque A. Thomann ◽

Edward C. Waymire

Keyword(s):

Download Full-text

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

The Fascination of Probability, Statistics and their Applications ◽

10.1007/978-3-319-25826-3_17 ◽

2015 ◽

pp. 361-394 ◽

Author(s):

Peter Reinhard Hansen ◽

Guillaume Horel ◽

Asger Lunde ◽

Ilya Archakov

Keyword(s):

Markov Chain ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Multivariate Volatility

Download Full-text

Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion

The Fascination of Probability, Statistics and their Applications ◽

10.1007/978-3-319-25826-3_8 ◽

2015 ◽

pp. 153-189 ◽

Author(s):

Fred Espen Benth ◽

Asma Khedher

Keyword(s):

Mean Reversion ◽

Weak Stationarity

Download Full-text

Exchangeability and Infinite Divisibility

The Fascination of Probability, Statistics and their Applications ◽

10.1007/978-3-319-25826-3_6 ◽

2015 ◽

pp. 99-126

Author(s):

Martin Drapatz ◽

Alexander Lindner

Keyword(s):

Infinite Divisibility

Download Full-text

On the Process of the Eigenvalues of a Hermitian Lévy process

The Fascination of Probability, Statistics and their Applications ◽

10.1007/978-3-319-25826-3_11 ◽

2015 ◽

pp. 231-249

Author(s):

Victor Pérez-Abreu ◽

Alfonso Rocha-Arteaga

Keyword(s):

Lévy Process ◽

Download Full-text