91 citations · 585 across the 27 of their papers we have counts for
4 papers · 1 filter
Volatility estimation under one-sided errors with applications to limit order books
Markus Bibinger, Moritz Jirak, Markus Reiß
For a semi-martingale , which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation is constructed based on observations i…
Efficient estimation of functionals in nonparametric boundary models
Markus Reiß, Leonie Selk
For nonparametric regression with one-sided errors and a boundary curve model for Poisson point processes we consider the problem of efficient estimation for linear functionals. Th…
Exact and Asymptotic Tests on a Factor Model in Low and Large Dimensions with Applications
Taras Bodnar, Markus Reiss
In the paper, we suggest three tests on the validity of a factor model which can be applied for both small dimensional and large dimensional data. Both the exact and asymptotic dis…
Nonparametric test for a constant beta between \Ito semi-martingales based on high-frequency data
Markus Reiß, Viktor Todorov, George Tauchen
We derive a nonparametric test for constant beta over a fixed time interval from high-frequency observations of a bivariate \Ito semimartingale. Beta is defined as the ratio of the…