Collecting together twenty-three self-contained articles, this volume presents the current research of a number of renowned scientists in both probability theory and statistics as well as their various applications in economics, finance, the physics of wind-blown sand, queueing systems, risk assessment, turbulence and other areas.
The contributions are dedicated to and inspired by the research of Ole E. Barndorff-Nielsen who, since the early 1960s, has been and continues to be a very active and influential researcher working on a wide range of important problems.
The topics covered include, but are not limited to, econometrics, exponential families, Lévy processes and infinitely divisible distributions, limit theory, mathematical finance, random matrices, risk assessment, statistical inference for stochastic processes, stochastic analysis and optimal control, time series, and turbulence. The book will be of interest to researchers and graduate students in probability, statistics and their applications.
Author(s): Mark Podolskij, Robert Stelzer, Steen Thorbjørnsen, Almut E. D. Veraart
Publisher: Springer
Year: 2016
Language: English
Pages: 529
Tags: Probability Theory and Stochastic Processes; Quantitative Finance; Statistical Theory and Methods
Front Matter....Pages i-xviii
On the Size Distribution of Sand....Pages 1-13
From Wind-Blown Sand to Turbulence and Back....Pages 15-27
Modelling Turbulent Time Series by BSS-Processes....Pages 29-52
Associated Natural Exponential Families and Elliptic Functions....Pages 53-83
Cumulants and Bartlett Identities in Cox Regression....Pages 85-97
Exchangeability and Infinite Divisibility....Pages 99-126
Lévy Copulas: Review of Recent Results....Pages 127-151
Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion....Pages 153-189
Continuity of Local Time: An Applied Perspective....Pages 191-207
Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise....Pages 209-229
On the Process of the Eigenvalues of a Hermitian Lévy process....Pages 231-249
Likelihood Inference for Exponential-Trawl Processes....Pages 251-281
The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes....Pages 283-301
Generalised Partial Autocorrelations and the Mutual Information Between Past and Future....Pages 303-315
Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices....Pages 317-341
Model Selection for Volatility Prediction....Pages 343-360
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data....Pages 361-394
Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds....Pages 395-417
A Beaufort Scale of Predictability....Pages 419-434
A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs....Pages 435-446
CoCos with Extension Risk. A Structural Approach....Pages 447-464
Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises....Pages 465-499
Markov Renewal Methods in Restart Problems in Complex Systems....Pages 501-527
