Wavelet-Methoden zur Modellierung multivariater Finanzzeitreihen

• Applicant: Professor Dr. Jan Beran
• Subject Area: Accounting and Finance
• Term: from 2003 to 2011
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 5470460

• Final Report Year: 2010

Final Report Abstract

No abstract available

Publications

• (2003). Hierarchical Modeling by Wavelets. In: Proc. 54th Session of the International Statistical Institute, Berlin, August 2003
  Beran, J . and Heiler, M.A.
  
• (2005). Estimating the Regression Cross Spectrum in Multivariate Time Series. In: Proc. 25th European Meeting of Statisticians, Oslo, July 2005, p. 266
  Beran, J . and Heiler, M.A.
  
• (2006). A Nonparametric Regression Spectrum: Estimation, Asymptotic Properties and Data Analysis. Dissertation
  Heiler, M.A.
  
• (2008). A nonparametric regression cross spectrum for multivariate time series. Journal of Multivariate Analysis, 2008, Volume 99, No. 4, 684-714
  Beran, J. and Heiler, M.
  (See online at https://doi.org/10.1016/j.jmva.2007.03.006)
• (2008). On asymptotically optimal wavelet estimation of trend functions under long-range dependence. In: Proc. International Conference on Price, Liquidity and credit Risks, Konstanz October 2008, p. 40
  Beran, J. and Shumeyko, Y.
  (See online at https://doi.org/10.3150/10-BEJ332)
• (2009). Estimation ofa nonparametric regression spectrum for multivariate time series. Statistical Methodology, Vol 6,No. 2, 202-222
  Beran, J. and Heiler, M
  (See online at https://doi.org/10.1016/j.stamet.2008.09.001)
• (2009). On data adaptive wavelet trend estimation under long-range dependence. In: Proc. 33rd Conference on Stochastic Processes and Their Applications, Berlin, July 2009, p. 203
  Beran, J. and Shumeyko, Y.
  
• (2010). On bootstrap based testing for jumps under long-range dependence. In: Proc Int. Conference in Celebration of the 90th Birth Anniversary of Professor C.R. Rao, Kolkata, India, January 2010
  Behan, J. and Shumeyko, Y.