Statistical inference for complex dynamical models in empirical finance (C05)

• Subject Area: Mathematics
• Term: from 2010 to 2021
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 68236791

This project develops novel procedures for generalized moving average processes and gen¬eralized diffusions of McKean-Vlasov- and Dunkl type. It focuses on instationary and non-linear processes and allows for a complex dependence structure in space and time including long range dependence. Among its goals are parametric and non-parametic estimating procedures for both low and high frequency data which combine methods from stochastic and time series analysis and generalized Fourier techniques.

• DFG Programme: Collaborative Research Centres
• Subproject of: SFB 823: Statistical Modelling of Nonlinear Dynamic Processes
• Applicant Institution: Technische Universität Dortmund
• Project Heads: Professor Dr. Denis Belomestny; Professorin Dr. Jeannette H. C. Woerner