310 citations · 565 across the 13 of their papers we have counts for
21 papers
Jump regression revisited
Mathias Vetter, Fan Yu
Regression analysis for stochastic processes has been an important topic over the last decades. Typically, regressing a dependent process on an explanatory results in an in…
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
Kim Christensen, Mark Podolskij, Mathias Vetter
This paper presents a Hayashi-Yoshida type estimator for the covariation matrix of continuous Itô semimartingales observed with noise. The coordinates of the multivariate process a…
On the estimation of the jump activity index in the case of random observation times
Adrian Theopold, Mathias Vetter
We propose a nonparametric estimator of the jump activity index of a pure-jump semimartingale driven by a -stable process when the underlying observations are coming fro…
A universal approach to estimate the conditional variance in semimartingale limit theorems
Mathias Vetter
The typical central limit theorems in high-frequency asymptotics for semimartingales are results on stable convergence to a mixed normal limit with an unknown conditional variance.…
Multiscale change point detection for dependent data
Holger Dette, Theresa Schüler, Mathias Vetter
In this paper we study the theoretical properties of the simultaneous multiscale change point estimator (SMUCE) proposed by Frick et al. (2014) in regression models with dependent…
Laws of large numbers for Hayashi-Yoshida-type functionals
Ole Martin, Mathias Vetter
In high-frequency statistics and econometrics sums of functionals of increments of stochastic processes are commonly used and statistical inference is based on the asymptotic behav…