DYNSTOCH Network

Preprints:

• Bo Martin Bibby, Martin Jacobsen, and Michael Sørensen (2004): Estimating Functions for Discretely Sampled Diffusion-Type Models. Preprint 2004-4, Department of Applied Mathematics and Statistics, University of Copenhagen.
  
  
• Bent Jesper Christensen, Rolf Poulsen, and Michael Sørensen (2001): Optimal inference in diffusion models of the short rate of interest. Working Paper No. 102, Centre for Analytical Finance, University of Aarhus.
  
  
• Susanne Ditlevsen (2004): A result on the first-passage time of an Ornstein-Uhlenbeck process. Research Report 04/4, Department of Biostatistics, University of Copenhagen.
  
  
• Susanne Ditlevsen and Andrea De Gaetano (2004): Mixed effects in stochastic differential equation models. Research Report 04/5, Department of Biostatistics, University of Copenhagen.
  
  
• Niels Richard Hansen (2000): Classification of Markov Chains on R^k. Preprint 2000-7, Department of Statistics and Operations Research, University of Copenhagen.
  
  
• Niels Richard Hansen (2004): Local alignment of Markov chains. Preprint 2004-2, Department of Applied Mathematics and Statistics, University of Copenhagen.
  
  
• Niels Richard Hansen (2005): Local stacks in a Markov chain.
  
  
• Niels Richard Hansen (2005): The Maximum of a Random Walk Reflected at a General Barrier.
  
  
• J. Hein, J.L. Jensen and C.N.S. Pedersen (2002): Recursions for statistical multiple alignment. Research Report No. 425, Department of Theoretical Statistics, University of Aarhus.
  
  
• H. Hult, F. Lindskog, T. Mikosch, and G. Samorodnitsky (2004): Functional large Deviations for Multivariate Regularly Varying Random Walks. Preprint 199, Laboratory of Actuarial Mathematics, University of Copenhagen.
  
  
• Martin Jacobsen (2001): Small Delta-Optimal Martingale Estimating Functions for Discretely Observed Diffusions: A Simulation Study. Preprint 2001-2, Department of Statistics and Operations Research, University of Copenhagen.
  
  
• Martin Jacobsen (2001): Examples of multivariate diffusions: Time-reversibility; a Cox-Ingersoll-Ross type process. Preprint 2001-6, Department of Statistics and Operations Research, University of Copenhagen.
  
  
• Martin Jacobsen (2003): The Time to Ruin for a Class of Markov Additive Risk Processes. Preprint 2003-8, Department of Applied Mathematics and Statistics, University of Copenhagen.
  
  
• Robert Jarrow, David Lando, and Fan Yu (2000): Default Risk and Diversification: Theory and Applications. postscript   pdf
  
  
• D.G. Konstantinides and Thomas Mikosch (2004): Large Deviations and Ruin Probabilities for Solutions to Stochastic Recurrence Equations with Heavy-Tailed Innovations. Preprint 192, Laboratory of Actuarial Mathematics, University of Copenhagen.
  
  
• Dennis Kristensen and Anders Rahbek (2002): Asymptotics of the QMLE for a class of ARCH(q) models.
  
  
• Kristian Stegenborg Larsen and Michael Sørensen (2003): Diffusion models for exchange rates in a target zone. Preprint 2003-6, Department of Applied Mathematics and Statistics, University of Copenhagen. postscript    pdf.
  
  
• Thomas Mikosch (2004): How to Model Multivariate Extremes if One Must? Preprint 196, Laboratory of Actuarial Mathematics, University of Copenhagen.
  
  
• Asger Roer Pedersen (2001): Likelihood inference by Monte Carlo methods for incompletely discretely observed diffusion processes. Research Report No. 2001-1, Department of Biostatistics, University of Aarhus.
  
  
• Jan Pedersen and Ken-iti Sato (2001): Levy processes and convolution semigroups with parameter in a cone and their subordination. Maphysto research report, no. 43.
  
  
• Jan Pedersen and Ken-iti Sato (2003): The class of distributions of periodic Ornstein-Uhlenbeck processes driven Levy processes Maphysto research report, no. 2003-12.
  
  
• A. Rahbek and N. Shephard (2003): Inference and Ergodicity in the Autoregressive Conditional Root Model. Preprint 2003-10, Department of Applied Mathematics and Statistics, University of Copenhagen.
  
  
• S. Resnick and Thomas Mikosch (2004): Activity Rates with Very Heavy Tails. Preprint 198, Laboratory of Actuarial Mathematics, University of Copenhagen.
  
  
• Daniel Straumann and Thomas Mikosch (2003): Quasi-maximum-likelihood estimation in heteroscedastic time series: a stochastic recurrence equations approach. Preprint 184, Laboratory of Actuarial Mathematics, University of Copenhagen.
  
  

Papers published in Journals, Proceedings Volumes etc.:

• Ole E. Barndorff-Nielsen and S.Z. Levendorskii (2001): Feller processes of normal inverse Gaussian type. Quantitative Finance, 1, 318 - 331.
  
  
• Ole E. Barndorff-Nielsen and E.R. Loubenets (2002): General framework for the behaviour of continuously observed quantum systems. J. Phys. A: Math. Gen., 35, 565 - 588.
  
  
• Ole E. Barndorff-Nielsen, Elisa Nicolato and Neil Shephard (2002): Feller processes of normal inverse Gaussian type. Quantitative Finance, 2, 11 - 23.
  
  
• Ole E. Barndorff-Nielsen, Jan Pedersen and Ken-iti Sato (2001): Multivariate subordination, selfdecomposability and stability. Adv. Appl. Prob., 33, 160 - 187.
  
  
• Ole E. Barndorff-Nielsen and Victor Perez-Abreu (2002): Extensions of type G and marginal infinite divisibility. To appear in Theory Prob. Its Appl.
  
  
• Ole E. Barndorff-Nielsen and Neil Shephard (2002): Integrated OU processes. To appear in Scandinavian Journal of Statistics.
  
  
• Ole E. Barndorff-Nielsen and Neil Shephard (2002): Normal modified stable processes. To appear in Theory Prob. Math. Statist..
  
  
• Ole E. Barndorff-Nielsen and Neil Shephard (2002): Econometric analysis of realised volatility and its use in estimating stochastic volatility models. To appear in J. R. Statist. Soc. B 64.
  
  
• Ole E. Barndorff-Nielsen and Steen Thorbjørnsen (2002): Selfdecomposability and Levy processes in free probability. Bernoulli 8, 323-366.
  
  
• O. E. Barndorff-Nielsen, F.E. Benth and jens Ledet Jensen (2002): Light, atoms, and singularities. Progress in Probability 52, 1-18.
  
  
• Ole E. Barndorff-Nielsen and Jürgen Schmiegel (2004): Levy-based Tempo-Spatial Modelling; with Applications to Turbulence. Proceedings of the Conference "Kolmogorov and Contemporary Mathematics", held at Moscow State University, 16.06.03-21.06.03.
  
  
• O.E. Barndorff-Nielsen, S.E. Graversen, J. Jacod, M. Podolskij, and N. Shephard (2004): A central limit theorem for realised power and bipower variations of continuous semimartingales. To appear in Festschrift in Honour of A.N. Shiryae.
  
  
• F. Bec and A. Rahbek (2004): Vector equilibrium correction models with non-linear discontinuous adjustments. Econometrics Journal 7, 628-651.
  
  
• Bo Martin Bibby and Michael Sørensen (2001): Simplified estimating functions for diffusion models with a high-dimensional parameter. Scand. J. Statist., 28, 99 - 112.
  
  
• Bo Martin Bibby and Michael Sørensen (2003): Hyperbolic processes in finance. In S. Rachev (ed.): Handbook of Heavy Tailed Distributions in Finance, Elsevier Science, 211 - 248.
  
  
• Bo Martin Bibby, Ib Michael Skovgaard, and Michael Sørensen (2005): Diffusion-type models with given marginal and autocorrelation function. To appear in Bernoulli
• Mogens Bladt and Michael Sørensen (2005): Statistical inference for discretely observed Markov jump processes. To appear in J. R. Statist. Soc. B. postscript    pdf.
  
  
• H. Dehling H.G., T. Mikosch and M. Sørensen (eds.) (2002): Empirical Process Techniques for Dependent Data. Birkhäuser, Boston.
  
  
• Peter D. Ditlevsen, Susanne Ditlevsen and Katrine K. Andersen (2002): The fast climate fluctuations during the stadial and interstadial climate states. Annals of Glaciology, 35, 457-462.
  
  
• Susanne Ditlevsen , Kay-Pong Yip and Niels-Henrik Holstein-Rathlou (2003): A stochastic model of the tubuloglomerular feedback mechanism in a rat nephron. To appear in Mathematical Biosciences.
  
  
• Susanne Ditlevsen and Andrea De Gaetano (2004): Stochastic vs. deterministic uptake of dodecanedioic acid by isolated rat livers. To appear in Bulletin of Mathematical Biology.
  
  
• Susanne Ditlevsen and Michael Sørensen (2004): Inference for observations of integrated diffusion processes. Scandinavian Journal of Statistics, 31, 417-429.
  
  
• Susanne Ditlevsen and Petr Lansky (2005): Estimation of the input parameters in the Ornstein-Uhlenbeck neuronal model. Physical Review E, 71.
  
  
• Ernst Hansen and Niels R. Hansen (2002):Establishing geometric drift via the Laplace transform of symmetric measures. Statistics and Probability Letters, 60, 289 - 295.
  
  
• Ernst Hansen and David Lando (2004): Confidence sets for continuous-time rating transition probabilities. Journal of Banking & Finance 28, 2575-2602.
  
  
• H. Hansen and A. Rahbek (2001): Approximate Conditional Unit Root Inference. Fortcoming in Journal of Times Series Analysis.
  
  
• Niels Richard Hansen (2003): Geometric ergodicity of discrete time approximations to multivariate diffusions. Bernoulli, 9, 725-743.
  
  
• Niels Richard Hansen and Anders Tolver Jensen (2005): The extremal behaviour over regenerative cycles for Markov additive processes with heavy tails. To appear in Stochastic process. Appl.
  
  
• Niels Væver Hartvig and Jens Ledet Jensen (2000): Spatial mixture modelling of fMRI data. Human Brain Mapping, 11, 233 - 248.
  
  
• D.G. Hobson and J. L. Pedersen (2002): The minimum maximum of a continuous martingale with given initial and terminal laws. Annals of probability, 30, 978-999.
  
  
• Marianne Huebner and Michael Sørensen (eds.) (2004): Workshop on Dynamical Stochastic Modeling in Biology. Miscellanea no. 26, MaPhySto.
  
  
• Martin Jacobsen (2001): Discretely observed diffusions; classes of estimating functions and small delta-optimality. Scand. J. Statist., 28, 123 - 149.
  
  
• Martin Jacobsen (2002): Optimality and small-delta optimality of martingale estimating functions. Bernoulli, 8, 643 - 668.
  
  
• Martin Jacobsen (2002): Martingales and the distribution of the time to ruin. Preprint 2002-6, Department of Statistics and Operations Research, University of Copenhagen. To appear in Stochastic Process. Appl.
  
  
• Martin Jacobsen and Marc Yor (2003): Multi-self-similar Markov processes on R^n(+) and their Lamperti representations. Probab. Theory Relat. Fields, 126, 1 - 28.
  
  
• Jens Ledet Jensen and Anne-Mette Krabbe Pedersen (2001): A dependent rates model and MCMC based methodology for the Maximum Likelihood analysis of sequences with overlapping reading frames. Mol Biol Evol, 18, 763-776.
  
  
• Søren Tolver Jensen and Anders Rahbek (2004): Asymptotic Inference for Nonstationary Garch. Econometric Theory, 20, 1203-1226.
  
  
• Søren Tolver Jensen and Anders Rahbek (2004): Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case. Econometrica, 72, 641-646.
  
  
• Leah Kelly, Eckhard Platen, and Michael Sørensen (2003): Estimation for discretely observed diffusions using transform functions. Journal of Applied Probability, 41A, 99-118. postscript    pdf.
  
  
• Mathieu Kessler and Anders Rahbek (2000): Asymptotic Likelihood Based Inference for Cointegrated Homogenous Gaussian Diffusions. Scandinavian Journal of Statistics, 28, 455 - 470.
  
  
• Mathieu Kessler and Anders Rahbek (2004): Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions. Statistical Inference for Stochastic Processes, 7, 137-151.
  
  
• Mathieu Kessler and Michael Sørensen (2002): On time-reversibility and estimating functions for Markov processes. Statistical Inference for Stochastic Processes, 8, 95 - 107.
  
  
• David Lando and Darrell Duffie (2001): Term Structures of Credit Spreads with Incomplete Accounting Information. Econometrica 69, 633 - 664.
  
  
• David Lando and Torben Skødeberg (2002): Analyzing Rating Transitions and Rating Drift with Continuous Observations. Journal of Banking and Finance 26, 423 - 444.
  
  
• T. Mikosch, S.I. Resnick and G. Samorodnitsky (2000): The maximum of the periodogram for a heavy - tailed sequence. Ann. Probab. 28, 885 - 908.
  
  
• T. Mikosch and G. Samorodnitsky (2000): The supremum of a negative drift random walk with dependent heavy-tailed steps. Ann. Appl. Probab. 10, 1025 - 1064.
  
  
• T. Mikosch and C. Starica (2000): Is it really long memory we see in financial data? In: P. Embrechts (Ed.) Extremes and Integrated Risk Management. Risk Books, London, 149-168.
  
  
• T. Mikosch and P. Kokoszka (2000): The periodogram at the Fourier frequencies. Stoch. Proc. Appl., 86, 49 - 80.
  
  
• T. Mikosch and C. Stuaricua (2000): Limit theory for the sample autocorrelations and extremes of a GARCH(1,1) process. Ann. Stat., 28, 1427 - 1451.
  
  
• T. Mikosch and R.A. Davis (2001): Point process convergence of stochastic volatility processes with application to sample autocorrelations. J. Appl. Probab., 38A, 93 - 104.
  
  
• T. Mikosch, S. Resnick, H. Rootzen, and A. Stegeman (2002): Is network traffic approximated by stable Levy motion or fractional Brownian motion? Ann. Appl. Probab., 12, 23 - 68.
  
  
• T. Mikosch, A. Dabrowski, H.G. Dehling and and O. Sharipov (2002): Poisson limits for U-statistics. Stoch. Proc. Appl., 99, 137 - 156.
  
  
• T. Mikosch, B. Basrak and R.A. Davis (2002): Regular variation of GARCH processes. Stoch. Proc. Appl., 99, 95 - 116.
  
  
• T. Mikosch and D. Straumann (2002): Whittle estimation in a heavy-tailed GARCH(1,1) model. Stoch. Proc. Appl., 100, 187 - 222.
  
  
• T. Mikosch, C. Klueppelberg and A. Schaerf (2003): Regular variation in the mean and stable limits for Poisson shot noise. Bernoulli, 9, 467 - 496.
  
  
• T. Mikosch, (2003): Non-Life Insurance Mathematics. An Introduction with Stochastic Processes., Springer, Berlin.
  
  
• T. Mikosch, (2003): Modelling dependence and tails of financial time series. In B. Finkenstadt and H. Rootzen (eds.): Extreme Values in Finance, Telecommunications and the Environment, Chapman and Hall.
  
  
• T. Mikosch, (2003): Long range dependence effects and ARCH modeling. In M.S. Taqqu, G. Oppenheim, P. Doukhan (eds.): Theory and Applications of Long-Range Dependence, Birkhauser, Boston.
  
  
• Jan Pedersen (2002): Periodic Ornstein-Uhlenbeck Processes driven by Levy Processes. Journal of Applied Probability 39, 748 - 763.
  
  
• Jesper Lund Pedersen (2003): Optimal prediction of the ultimate maximum of Brownian motion. Stoch. Stoch. Rep., 75, 205-219.
  
  
• Helle Sørensen (2001): Discretely observed diffusions: Approximation of the continuous-time score function. Scand. J. Statist., 28, 113 - 121.
  
  
• Helle Sørensen (2002): Estimation of diffusion parameters for discretely observed diffusion processes. Bernoulli, 8, 491 - 508.
  
  
• Helle Sørensen (2003): Simulated likelihood approximations for stochastic volatility models. Scand. J. Statist. , 30, 257 - 276.
  
  
• Helle Sørensen (2004): Parametric inference for diffusion processes observed at discrete points in time: a survey.   ps   pdf   International Statistical Review, 72, 337-354.
  
  
• Michael Sørensen (2000): Prediction-based estimating functions. Econometrics Journal, 3, 123 - 147.
  
  
• Michael Sørensen (2000): On asymptotics of estimating functions. Brazilian Journal of Probability and Statistics, 13, 111 - 136.
  
  
• Masayuki Uchida and Michael Sørensen (2002): Small diffusion asymptotics for discretely sampled stochastic differential equations. Bernoulli, 9, 1051 - 1069.