97 citations · 408 across the 20 of their papers we have counts for
4 papers · 1 filter
CARMA Processes driven by Non-Gaussian Noise
Robert Stelzer
We present an outline of the theory of certain Lévy-driven, multivariate stochastic processes, where the processes are represented by rational transfer functions (Continuous-time A…
Limit Theory for the largest eigenvalues of sample covariance matrices with heavy-tails
Richard A. Davis, Oliver Pfaffel, Robert Stelzer
We study the joint limit distribution of the largest eigenvalues of a sample covariance matrix $XX^\T$ based on a large matrix . The rows of are…
Stationarity and Geometric Ergodicity of BEKK Multivariate GARCH Models
Farid Boussama, Florian Fuchs, Robert Stelzer
Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH process…
Spectral Representation of Multivariate Regularly Varying Lévy and CARMA processes
Florian Fuchs, Robert Stelzer
A spectral representation for regularly varying Lévy processes with index between one and two is established and the properties of the resulting random noise are discussed in detai…