DYNSTOCH Network
Published Research from the Danish Team.
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.
Back to the main
DYNSTOCH web-page.