Wavelet-Methoden zur Modellierung multivariater Finanzzeitreihen

Applicant Professor Dr. Jan Beran

Subject Area Accounting and Finance

Term from 2003 to 2011

Project identifier Deutsche Forschungsgemeinschaft (DFG) - Project number 5470460

Final Report Year 2010

Final Report Abstract

No abstract available

(2003). Hierarchical Modeling by Wavelets. In: Proc. 54th Session of the International Statistical Institute, Berlin, August 2003
Beran, J . and Heiler, M.A.
(2005). Estimating the Regression Cross Spectrum in Multivariate Time Series. In: Proc. 25th European Meeting of Statisticians, Oslo, July 2005, p. 266
Beran, J . and Heiler, M.A.
(2006). A Nonparametric Regression Spectrum: Estimation, Asymptotic Properties and Data Analysis. Dissertation
Heiler, M.A.
(2008). A nonparametric regression cross spectrum for multivariate time series. Journal of Multivariate Analysis, 2008, Volume 99, No. 4, 684-714
Beran, J. and Heiler, M.
(2008). On asymptotically optimal wavelet estimation of trend functions under long-range dependence. In: Proc. International Conference on Price, Liquidity and credit Risks, Konstanz October 2008, p. 40
Beran, J. and Shumeyko, Y.
(2009). Estimation ofa nonparametric regression spectrum for multivariate time series. Statistical Methodology, Vol 6,No. 2, 202-222
Beran, J. and Heiler, M
(2009). On data adaptive wavelet trend estimation under long-range dependence. In: Proc. 33rd Conference on Stochastic Processes and Their Applications, Berlin, July 2009, p. 203
Beran, J. and Shumeyko, Y.
(2010). On bootstrap based testing for jumps under long-range dependence. In: Proc Int. Conference in Celebration of the 90th Birth Anniversary of Professor C.R. Rao, Kolkata, India, January 2010
Behan, J. and Shumeyko, Y.