2 citations · 4 across the 3 of their papers we have counts for
5 papers
Statistical Inference for Oscillation Processes
Rainer Dahlhaus, Thierry Dumont, Sylvain Le Corff +1
A new model for time series with a specific oscillation pattern is proposed. The model consists of a hidden phase process controlling the speed of polling and a nonparametric curve…
On the relationship between the theory of cointegration and the theory of phase synchronization
Rainer Dahlhaus, István Z. Kiss, Jan C. Neddermeyer
The theory of cointegration has been a leading theory in econometrics with powerful applications to macroeconomics during the last decades. On the other hand the theory of phase sy…
On-line Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models
Rainer Dahlhaus, Jan C. Neddermeyer
A technique for on-line estimation of spot volatility for high-frequency data is developed. The algorithm works directly on the transaction data and updates the volatility estimate…
Nonparametric Partial Importance Sampling for Financial Derivative Pricing
Jan C. Neddermeyer
Importance sampling is a promising variance reduction technique for Monte Carlo simulation based derivative pricing. Existing importance sampling methods are based on a parametric…
Computationally Efficient Nonparametric Importance Sampling
Jan C. Neddermeyer
The variance reduction established by importance sampling strongly depends on the choice of the importance sampling distribution. A good choice is often hard to achieve especially…