2 papers
math.ST2025
Nonparametric Inference for Noise Covariance Kernels in Parabolic SPDEs using Space-Time Infill-Asymptotics
Andreas Petersson, Dennis Schroers
We develop an asymptotic limit theory for nonparametric estimation of the noise covariance kernel in linear parabolic stochastic partial differential equations (SPDEs) with additiv…
q-fin.ST2024
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
Dennis Schroers
In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular…