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1

Estimation of integrated volatility in stochastic volatility models

Jeannette H. C. Woerner

Journal:

Applied Stochastic Models in Business and Industry

Year:

2005

Language:

english

File:

PDF, 182 KB

english, 2005

2

Functional central limit theorems for multivariate Bessel processes in the freezing regime

Voit, Michael, Woerner, Jeannette H. C.

Journal:

Stochastic Analysis and Applications

Year:

2020

File:

PDF, 1.67 MB

2020

3

Local asymptotic normality for the scale parameter of stable processes

Jeannette H.C. Woerner

Journal:

Statistics & Probability Letters

Year:

2003

Language:

english

File:

PDF, 185 KB

english, 2003

4

Convergence of Certain Functionals of Integral Fractional Processes

José Manuel Corcuera, David Nualart, Jeannette H. C. Woerner

Journal:

Journal of Theoretical Probability

Year:

2009

Language:

english

File:

PDF, 397 KB

english, 2009

5

Statistical convergence of Markov experiments to diffusion limits

Konakov, Valentin, Mammen, Enno, Woerner, Jeannette

Journal:

Year:

2014

Language:

english

File:

PDF, 198 KB

english, 2014

6

Inference in Lévy-Type Stochastic Volatility Models

Jeannette H. C. Woerner

Journal:

Advances in Applied Probability

Year:

2007

Language:

english

File:

PDF, 1.21 MB

english, 2007

7

Power Variation of Some Integral Fractional Processes

José Manuel Corcuera, David Nualart and Jeannette H. C. Woerner

Journal:

Year:

2006

Language:

english

File:

PDF, 1.09 MB

english, 2006

8

Inference in Lévy-type stochastic volatility models

Woerner, Jeannette H. C.

Journal:

Advances in Applied Probability

Year:

2007

Language:

english

File:

PDF, 167 KB

english, 2007

9

A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes

Corcuera, José Manuel, Nualart, David, Woerner, Jeannette H. C.

Journal:

Stochastic Analysis and Applications

Year:

2007

Language:

english

File:

PDF, 213 KB

english, 2007

10

A UNIFYING APPROACH TO FRACTIONAL LÉVY PROCESSES

ENGELKE, SEBASTIAN, WOERNER, JEANNETTE H. C.

Journal:

Stochastics and Dynamics

Year:

2013

Language:

english

File:

PDF, 252 KB

english, 2013

11

BIPOWER VARIATION FOR GAUSSIAN PROCESSES WITH STATIONARY INCREMENTS

OLE E. BARNDORFF-NIELSEN, JOSÉ MANUEL CORCUERA, MARK PODOLSKIJ and JEANNETTE H. C. WOERNER

Journal:

Journal of Applied Probability

Year:

2009

Language:

english

File:

PDF, 1.14 MB

english, 2009

12

The Gumbel test and jumps in the volatility process

Palmes, Christian, Woerner, Jeannette H. C.

Journal:

Statistical Inference for Stochastic Processes

Year:

2016

Language:

english

File:

PDF, 741 KB

english, 2016

13

ESTIMATING THE SKEWNESS IN DISCRETELY OBSERVED LÉVY PROCESSES

Woerner, Jeannette H.C.

Journal:

Econometric Theory

Year:

2004

Language:

english

File:

PDF, 132 KB

english, 2004

14

Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean

Dehling, Herold, Franke, Brice, Woerner, Jeannette H. C.

Journal:

Statistical Inference for Stochastic Processes

Year:

2017

Language:

english

File:

PDF, 465 KB

english, 2017

15

A mathematical analysis of the Gumbel test for jumps in stochastic volatility models

Palmes, Christian, Woerner, Jeannette H. C.

Journal:

Stochastic Analysis and Applications

Year:

2016

Language:

english

File:

PDF, 2.07 MB

english, 2016

16

Estimating the Skewness in Discretely Observed Lévy Processes

Jeannette H. C. Woerner

Journal:

Econometric Theory

Year:

2004

Language:

english

File:

PDF, 1.52 MB

english, 2004

17

Expansion of Transition Distributions of Lévy Processes in Small Time

Ludger Rüschendorf and Jeannette H. C. Woerner

Journal:

Year:

2002

Language:

english

File:

PDF, 1.22 MB

english, 2002

18

Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models

Woerner, Jeannette H. C.

Journal:

Statistics & Decisions

Year:

2003

Language:

english

File:

PDF, 181 KB

english, 2003

19

Well-balanced Lévy driven Ornstein–Uhlenbeck processes

Schnurr, Alexander, Woerner, Jeannette H. C.

Journal:

Statistics & Risk Modeling

Year:

2011

Language:

english

File:

PDF, 318 KB

english, 2011

20

Inference in Lévy-type stochastic volatility models

Woerner, Jeannette H. C.

Journal:

Advances in Applied Probability

Year:

2007

Language:

english

File:

PDF, 181 KB

english, 2007

21

Low-frequency estimation of continuous-time moving average Lévy processes

Belomestny, Denis, Panov, Vladimir, Woerner, Jeannette H.C.

Journal:

Year:

2019

Language:

english

File:

PDF, 285 KB

english, 2019

22

Bipower Variation for Gaussian Processes with Stationary Increments

Barndorff-Nielsen, Ole E., Corcuera, José Manuel, Podolskij, Mark, Woerner, Jeannette H. C.

Journal:

Journal of Applied Probability

Year:

2009

Language:

english

File:

PDF, 194 KB

english, 2009

23

Bipower Variation for Gaussian Processes with Stationary Increments

Barndorff-Nielsen, Ole E., Corcuera, José Manuel, Podolskij, Mark, Woerner, Jeannette H. C.

Journal:

Journal of Applied Probability

Year:

2009

File:

PDF, 194 KB

2009