97 citations · 408 across the 20 of their papers we have counts for
15 papers · 1 filter
Asymptotics of time-varying processes in continuous-time using locally stationary approximations
Robert Stelzer, Bennet Ströh
We introduce a general theory on stationary approximations for locally stationary continuous-time processes. Based on the stationary approximation, we use -weak dependence to es…
Continuous-time locally stationary time series models
Annemarie Bitter, Robert Stelzer, Bennet Ströh
We adapt the classical definition of locally stationary processes in discrete-time to the continuous-time setting and obtain equivalent representations in the time and frequency do…
Geometric Ergodicity of Affine Processes on Cones
Eberhard Mayerhofer, Robert Stelzer, Johanna Vestweber
For affine processes on finite-dimensional cones, we give criteria for geometric ergodicity - that is exponentially fast convergence to a unique stationary distribution. Ergodic re…
Geometric Ergodicity of the multivariate COGARCH(1,1) Process
Robert Stelzer, Johanna Vestweber
For the multivariate COGARCH(1,1) volatility process we show sufficient conditions for the existence of a unique stationary distribution, for the geometric ergodicity and for the f…
Limit behaviour of the truncated pathwise Fourier-transformation of Lévy-driven CARMA processes for non-equidistant discrete time observations
Robert Stelzer, Żywilla fechner
This paper considers a continuous time analogue of the classical autoregressive moving average processes, Lévy-driven CARMA processes. First we describe limiting properties of the…
A BSDE arising in an exponential utility maximization problem in a pure jump market model
Carla Mereu, Robert Stelzer
We consider the problem of utility maximization with exponential preferences in a market where the traded stock/risky asset price is modelled as a Lévy-driven pure jump process (i.…