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Markus Reiss

Personal Details

First Name:Markus
Middle Name:
Last Name:Reiss
Suffix:
RePEc Short-ID:pre305
[This author has chosen not to make the email address public]

Affiliation

Center for Applied Statistics and Econometrics (CASE)
Humboldt-Universität Berlin

Berlin, Germany
http://www.case.hu-berlin.de/
RePEc:edi:cahubde (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Reiß, Markus & Todorov, Viktor & Tauchen, George, 2014. "Nonparametric test for a constant beta over a fixed time interval," SFB 649 Discussion Papers 2014-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  2. Bibinger, Markus & Jirak, Moritz & Reiss, Markus, 2014. "Improved volatility estimation based on limit order books," SFB 649 Discussion Papers 2014-053, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  3. Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," SFB 649 Discussion Papers 2014-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  4. Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2013. "Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency," SFB 649 Discussion Papers 2013-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  5. Nickl, Richard & Reiß, Markus, 2012. "A Donsker theorem for Lévy measures," SFB 649 Discussion Papers 2012-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  6. Kappus, Johanna & Reiß, Markus, 2011. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2011-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  7. Reiß, Markus, 2011. "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise," SFB 649 Discussion Papers 2011-028, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  8. Bibinger, Markus & Reiß, Markus, 2011. "Spectral estimation of covolatility from noisy observations using local weights," SFB 649 Discussion Papers 2011-086, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  9. Reiß, Markus & Rozenholc, Yves & Cuenod, Charles A., 2011. "Pointwise adaptive estimation for quantile regression," SFB 649 Discussion Papers 2011-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  10. Reiß, Markus, 2011. "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise," SFB 649 Discussion Papers 2011-028, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  11. Kappus, Johanna & Reiß, Markus, 2011. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2011-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  12. Reiß, Markus & Rozenholc, Yves & Cuenod, Charles A., 2011. "Pointwise adaptive estimation for quantile regression," SFB 649 Discussion Papers 2011-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  13. Xiaohong Chen & Markus Reiss, 2007. "On Rate Optimality for Ill-posed Inverse Problems in Econometrics," Cowles Foundation Discussion Papers 1626, Cowles Foundation for Research in Economics, Yale University.
  14. Belomestny, Denis & Reiß, Markus, 2006. "Spectral calibration of exponential Lévy Models [2]," SFB 649 Discussion Papers 2006-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  15. Belomestny, Denis & Reiß, Markus, 2006. "Spectral calibration of exponential Lévy Models [1]," SFB 649 Discussion Papers 2006-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  16. Belomestny, Denis & Reiß, Markus, 2006. "Spectral calibration of exponential Lévy Models [1]," SFB 649 Discussion Papers 2006-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  17. Belomestny, Denis & Reiß, Markus, 2006. "Spectral calibration of exponential Lévy Models [2]," SFB 649 Discussion Papers 2006-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  18. Fischer, Markus & Reiß, Markus, 2005. "Discretisation of stochastic control problems for continuous time dynamics with delay," SFB 649 Discussion Papers 2005-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  19. Gapeev, Pavel V. & Reiß, Markus, 2005. "An optimal stopping problem in a diffusion-type model with delay," SFB 649 Discussion Papers 2005-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  20. Gapeev, Pavel V. & Reiß, Markus, 2005. "An optimal stopping problem in a diffusion-type model with delay," SFB 649 Discussion Papers 2005-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  21. Fischer, Markus & Reiß, Markus, 2005. "Discretisation of stochastic control problems for continuous time dynamics with delay," SFB 649 Discussion Papers 2005-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    repec:hum:wpaper:sfb649dp2010-015 is not listed on IDEAS

Articles

  1. Chen, Xiaohong & Reiss, Markus, 2011. "On Rate Optimality For Ill-Posed Inverse Problems In Econometrics," Econometric Theory, Cambridge University Press, vol. 27(3), pages 497-521, June.
  2. Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 10(4), pages 449-474, December.
  3. Reiß, M. & Riedle, M. & van Gaans, O., 2006. "Delay differential equations driven by Lévy processes: Stationarity and Feller properties," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1409-1432, October.
  4. Gapeev, Pavel V. & Reiß, Markus, 2006. "An optimal stopping problem in a diffusion-type model with delay," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 601-608, March.
  5. Markus Reiß, 2002. "Minimax Rates for Nonparametric Drift Estimation in Affine Stochastic Delay Differential Equations," Statistical Inference for Stochastic Processes, Springer, vol. 5(2), pages 131-152, May.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014. "Estimating the spot covariation of asset prices: Statistical theory and empirical evidence," SFB 649 Discussion Papers 2014-055, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Gustavo Fruet Dias & Marcelo Fernandes & Cristina Mabel Scherrer, 2019. "Price discovery in a continuous-time setting," University of East Anglia School of Economics Working Paper Series 2019-02, School of Economics, University of East Anglia, Norwich, UK..
    2. Žikica Lukić & Bojana Milošević, 2024. "A novel two-sample test within the space of symmetric positive definite matrix distributions and its application in finance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 76(5), pages 797-820, October.
    3. Bibinger, Markus & Madensoy, Mehmet, 2019. "Change-point inference on volatility in noisy Itô semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 4878-4925.
    4. Todorov, Viktor & Zhang, Yang, 2023. "Bias reduction in spot volatility estimation from options," Journal of Econometrics, Elsevier, vol. 234(1), pages 53-81.
    5. Jacod, Jean & Mykland, Per A., 2015. "Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2910-2936.
    6. Rui Da & Dacheng Xiu, 2021. "When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility," Econometrica, Econometric Society, vol. 89(6), pages 2787-2825, November.
    7. Zhang, Congshan & Li, Jia & Bollerslev, Tim, 2022. "Occupation density estimation for noisy high-frequency data," Journal of Econometrics, Elsevier, vol. 227(1), pages 189-211.
    8. Torben G. Andersen & Martin Thyrsgaard & Viktor Todorov, 2021. "Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk," Quantitative Economics, Econometric Society, vol. 12(2), pages 647-682, May.
    9. Yasin Simsek, 2025. "Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation," Papers 2510.12911, arXiv.org.
    10. Siem Jan Koopman & Rutger Lit & André Lucas & Anne Opschoor, 2018. "Dynamic discrete copula models for high‐frequency stock price changes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 966-985, November.
    11. Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo, 2018. "A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics," Papers 1803.04894, arXiv.org, revised Mar 2019.
    12. Tobias Eckernkemper & Bastian Gribisch, 2021. "Intraday conditional value at risk: A periodic mixed‐frequency generalized autoregressive score approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 883-910, August.
    13. Dalderop, Jeroen, 2020. "Nonparametric filtering of conditional state-price densities," Journal of Econometrics, Elsevier, vol. 214(2), pages 295-325.
    14. Chae-Deug, Yi, 2024. "Realized normal volatility and maximum outlying jumps in high frequency returns for Korean won–US Dollar," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    15. Kim Christensen & Ulrich Hounyo & Zhi Liu, 2024. "A nonparametric test for diurnal variation in spot correlation processes," Papers 2408.02757, arXiv.org, revised Jan 2026.
    16. Richard Y. Chen, 2019. "The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations," Papers 1911.02205, arXiv.org.
    17. Yucheng Sun, 2024. "Testing for jumps with robust spot volatility estimators," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 78(1), pages 79-104, February.
    18. Bibinger, Markus & Neely, Christopher & Winkelmann, Lars, 2019. "Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 158-184.
    19. Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024. "Jump detection in high-frequency order prices," Papers 2403.00819, arXiv.org, revised Aug 2025.
    20. Jir^o Akahori & Nien-Lin Liu & Maria Elvira Mancino & Tommaso Mariotti & Yukie Yasuda, 2023. "Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix," Papers 2304.04372, arXiv.org.
    21. Hautsch, Nikolaus & Horvath, Akos, 2019. "How effective are trading pauses?," Journal of Financial Economics, Elsevier, vol. 131(2), pages 378-403.
    22. Jakob Albers & Mihai Cucuringu & Sam Howison & Alexander Y. Shestopaloff, 2021. "Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets," Papers 2108.09750, arXiv.org.
    23. Ulrich Hounyo & Zhi Liu & Rasmus T. Varneskov, 2023. "Bootstrapping Laplace transforms of volatility," Quantitative Economics, Econometric Society, vol. 14(3), pages 1059-1103, July.

  2. Kappus, Johanna & Reiß, Markus, 2011. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2011-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Trabs, Mathias, 2011. "Calibration of self-decomposable Lévy models," SFB 649 Discussion Papers 2011-073, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Nieman, Dennis & Mandjes, Michel & Ravner, Liron, 2025. "Input estimation from discrete workload observations in a Lévy-driven storage system," Statistics & Probability Letters, Elsevier, vol. 216(C).

  3. Reiß, Markus & Rozenholc, Yves & Cuenod, Charles A., 2011. "Pointwise adaptive estimation for quantile regression," SFB 649 Discussion Papers 2011-029, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

  4. Reiß, Markus, 2011. "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise," SFB 649 Discussion Papers 2011-028, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

  5. Kappus, Johanna & Reiß, Markus, 2011. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2011-027, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Trabs, Mathias, 2011. "Calibration of self-decomposable Lévy models," SFB 649 Discussion Papers 2011-073, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Nieman, Dennis & Mandjes, Michel & Ravner, Liron, 2025. "Input estimation from discrete workload observations in a Lévy-driven storage system," Statistics & Probability Letters, Elsevier, vol. 216(C).

  6. Xiaohong Chen & Markus Reiss, 2007. "On Rate Optimality for Ill-posed Inverse Problems in Econometrics," Cowles Foundation Discussion Papers 1626, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Senay Sokullu, 2012. "Nonparametric Estimation of Semiparametric Transformation Models," Bristol Economics Discussion Papers 12/625, School of Economics, University of Bristol, UK.
    2. Yevgeniy Kovchegov & Nese Yildiz, 2014. "Orthogonal Polynomials for Seminonparametric Instrumental Variables Model," Papers 1409.1620, arXiv.org.
    3. Fève, Frédérique & Florens, Jean-Pierre, 2014. "Non parametric analysis of panel data models with endogenous variables," Journal of Econometrics, Elsevier, vol. 181(2), pages 151-164.
    4. Xiaohong Chen & Demian Pouzo, 2009. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP20/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Xiaohong Chen & Victor Chernozhukov & Sokbae Lee & Whitney Newey, 2011. "Local Identification of Nonparametric and Semiparametric Models," Cowles Foundation Discussion Papers 1795R, Cowles Foundation for Research in Economics, Yale University, revised Nov 2012.
    6. Joel L. Horowitz, 2013. "Ill-posed inverse problems in economics," CeMMAP working papers CWP37/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Asin, Nicolas & Johannes, Jan, 2016. "Adaptive non-parametric instrumental regression in the presence of dependence," LIDAM Discussion Papers ISBA 2016015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Xiaohong Chen & Timothy Christensen, 2013. "Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression," Papers 1311.0412, arXiv.org.
    9. Zhu, Ying, 2015. "Sparse Linear Models and l1−Regularized 2SLS with High-Dimensional Endogenous Regressors and Instruments," MPRA Paper 81217, University Library of Munich, Germany.
    10. Mammen, Enno & Park, Byeong U. & Schienle, Melanie, 2012. "Additive models: Extensions and related models," SFB 649 Discussion Papers 2012-045, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Kato, Kengo & Sasaki, Yuya, 2019. "Uniform confidence bands for nonparametric errors-in-variables regression," Journal of Econometrics, Elsevier, vol. 213(2), pages 516-555.
    12. Liao, Yuan & Jiang, Wenxin, 2011. "Posterior consistency of nonparametric conditional moment restricted models," MPRA Paper 38700, University Library of Munich, Germany.
    13. Xiaohong Chen & Zhengling Qi, 2022. "On Well-posedness and Minimax Optimal Rates of Nonparametric Q-function Estimation in Off-policy Evaluation," Papers 2201.06169, arXiv.org, revised Jun 2022.
    14. Xiaohong Chen & Demian Pouzo, 2014. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," Papers 1411.1144, arXiv.org, revised Mar 2015.
    15. Breunig, Christoph, 2015. "Goodness-of-fit tests based on series estimators in nonparametric instrumental regression," Journal of Econometrics, Elsevier, vol. 184(2), pages 328-346.
    16. Joel L. Horowitz, 2013. "Ill-posed inverse problems in economics," CeMMAP working papers 37/13, Institute for Fiscal Studies.
    17. Marteau Clement & Loubes Jean-Michel, 2012. "Adaptive estimation for an inverse regression model with unknown operator," Statistics & Risk Modeling, De Gruyter, vol. 29(3), pages 215-242, August.
    18. Liu, Chu-An & Tao, Jing, 2016. "Model selection and model averaging in nonparametric instrumental variables models," MPRA Paper 69492, University Library of Munich, Germany.
    19. Samuele Centorrino & Jean-Pierre Florens, 2014. "Nonparametric Instrumental Variable Estimation of Binary Response Models," Department of Economics Working Papers 14-07, Stony Brook University, Department of Economics.
    20. Xiaohong Chen & Demian Pouzo, 2008. "Estimation of Nonparametric Conditional Moment Models With Possibly Nonsmooth Generalized Residuals," Cowles Foundation Discussion Papers 1650R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2009.
    21. Victor Chernozhukov & Whitney K. Newey & Andres Santos, 2015. "Constrained conditional moment restriction models," CeMMAP working papers CWP59/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    22. Christophe Gaillac & Eric Gautier, 2021. "Adaptive estimation in the linear random coefficients model when regressors have limited variation," Post-Print hal-03374805, HAL.
    23. Yonghong An & Yingyao Hu, 2009. "Well-Posedness of Measurement Error Models for Self-Reported Data," Economics Working Paper Archive 556, The Johns Hopkins University,Department of Economics.
    24. Xiaohong Chen & Timothy M. Christensen, 2015. "Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation," CeMMAP working papers 32/15, Institute for Fiscal Studies.
    25. Johannes, Jan & Van Bellegem, Sébastien & Vanhems, Anne, 2009. "Convergence Rates for III-Posed Inverse Problems with an Unknown Operator," TSE Working Papers 09-030, Toulouse School of Economics (TSE).
    26. Florens, Jean-Pierre & Simoni, Anna, 2010. "Nonparametric Estimation of An Instrumental Regression: A Quasi-Bayesian Approach Based on Regularized Posterior," TSE Working Papers 10-176, Toulouse School of Economics (TSE).
    27. Breunig, Christoph & Mammen, Enno & Simoni, Anna, 2018. "Nonparametric estimation in case of endogenous selection," Journal of Econometrics, Elsevier, vol. 202(2), pages 268-285.
    28. Horowitz, Joel L., 2014. "Adaptive nonparametric instrumental variables estimation: Empirical choice of the regularization parameter," Journal of Econometrics, Elsevier, vol. 180(2), pages 158-173.
    29. AmirEmad Ghassami & James M. Robins & Andrea Rotnitzky, 2025. "Debiased Ill-Posed Regression," Papers 2505.20787, arXiv.org.
    30. Centorrino, Samuele & Florens, Jean-Pierre, 2021. "Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors," Econometrics and Statistics, Elsevier, vol. 17(C), pages 35-63.
    31. S. Centorrino & J. S. Racine, 2016. "Semiparametric Varying Coefficient Models with Endogenous Covariates," Department of Economics Working Papers 2016-02, McMaster University.
    32. Xiaohong Chen & Demian Pouzo, 2008. "Estimation of nonparametric conditional moment models with possibly nonsmooth moments," CeMMAP working papers CWP12/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    33. Xiaohong Chen & Timothy M. Christensen, 2013. "Optimal uniform convergence rates for sieve nonparametric instrumental variables regression," CeMMAP working papers 56/13, Institute for Fiscal Studies.
    34. Denis Chetverikov & Daniel Wilhelm, 2017. "Nonparametric instrumental variable estimation under monotonicity," CeMMAP working papers CWP14/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    35. Andrew Bennett & Nathan Kallus & Xiaojie Mao & Whitney Newey & Vasilis Syrgkanis & Masatoshi Uehara, 2023. "Source Condition Double Robust Inference on Functionals of Inverse Problems," Papers 2307.13793, arXiv.org.
    36. Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton, 2015. "Nonparametric Euler Equation Identification andEstimation," Cambridge Working Papers in Economics 1560, Faculty of Economics, University of Cambridge.
    37. Ziyu Wang & Yucen Luo & Yueru Li & Jun Zhu & Bernhard Scholkopf, 2022. "Spectral Representation Learning for Conditional Moment Models," Papers 2210.16525, arXiv.org, revised Dec 2022.
    38. Florens, Jean-Pierre & Simoni, Anna, 2013. "Regularizing Priors for Linear Inverse Problems," IDEI Working Papers 767, Institut d'Économie Industrielle (IDEI), Toulouse.
    39. Andrew Bennett & Nathan Kallus & Xiaojie Mao & Whitney Newey & Vasilis Syrgkanis & Masatoshi Uehara, 2023. "Minimax Instrumental Variable Regression and $L_2$ Convergence Guarantees without Identification or Closedness," Papers 2302.05404, arXiv.org.
    40. Juan Carlos Escanciano & Wei Li, 2013. "On the identification of structural linear functionals," CeMMAP working papers CWP48/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    41. Yu, Ping, 2015. "Adaptive estimation of the threshold point in threshold regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 83-100.
    42. Jia-Young Michael Fu & Joel L. Horowitz & Matthias Parey, 2015. "Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions," CeMMAP working papers CWP68/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    43. Xiaohong Chen & Timothy Christensen, 2013. "Optimal Sup-Norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression," Cowles Foundation Discussion Papers 1923R2, Cowles Foundation for Research in Economics, Yale University, revised Jan 2017.
    44. Breunig, Christoph, 2012. "Goodness-of-fit tests based on series estimators in nonparametric instrumental regression," Working Papers 12-13, University of Mannheim, Department of Economics.
    45. Centorrino, Samuele & Fève, Frédérique & Florens, Jean-Pierre, 2025. "Iterative estimation of nonparametric regressions with continuous endogenous variables and discrete instruments," Journal of Econometrics, Elsevier, vol. 247(C).
    46. Arthur Lewbel, 2012. "An Overview of the Special Regressor Method," Boston College Working Papers in Economics 810, Boston College Department of Economics.
    47. Xiaohong Chen & Timothy M. Christensen, 2017. "Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression," CeMMAP working papers 09/17, Institute for Fiscal Studies.
    48. Joel L. Horowitz, 2013. "Adaptive nonparametric instrumental variables estimation: empirical choice of the regularization parameter," CeMMAP working papers CWP30/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    49. Horowitz, Joel L., 2012. "Specification testing in nonparametric instrumental variable estimation," Journal of Econometrics, Elsevier, vol. 167(2), pages 383-396.
    50. Fève, Frédérique & Florens, Jean-Pierre, 2009. "The Practice of Non Parametric Estimation by Solving Inverse Problems: The Example of Transformation Models," IDEI Working Papers 615, Institut d'Économie Industrielle (IDEI), Toulouse.
    51. Florens, Jean-Pierre & Van Bellegem, Sébastien, 2015. "Instrumental variable estimation in functional linear models," Journal of Econometrics, Elsevier, vol. 186(2), pages 465-476.
    52. Florens, Jean-Pierre & Johannes, Jan & Van Bellegem, Sébastien, 2009. "Identification and Estimation by Penalization in Nonparametric Instrumental Regression," TSE Working Papers 09-076, Toulouse School of Economics (TSE).
    53. Christoph Breunig & Xiaohong Chen, 2020. "Adaptive, Rate-Optimal Hypothesis Testing in Nonparametric IV Models," Cowles Foundation Discussion Papers 2238R, Cowles Foundation for Research in Economics, Yale University, revised Dec 2021.
    54. Chen, Xiaohong & Christensen, Timothy M., 2015. "Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions," Journal of Econometrics, Elsevier, vol. 188(2), pages 447-465.
    55. Ziyu Wang & Yuhao Zhou & Jun Zhu, 2022. "Fast Instrument Learning with Faster Rates," Papers 2205.10772, arXiv.org, revised Oct 2022.
    56. Joel L. Horowitz, 2013. "Adaptive nonparametric instrumental variables estimation: empirical choice of the regularization parameter," CeMMAP working papers 30/13, Institute for Fiscal Studies.
    57. Dunker, Fabian & Florens, Jean-Pierre & Hohage, Thorsten & Johannes, Jan & Mammen, Enno, 2014. "Iterative estimation of solutions to noisy nonlinear operator equations in nonparametric instrumental regression," Journal of Econometrics, Elsevier, vol. 178(P3), pages 444-455.
    58. Xiaohong Chen & Timothy M. Christensen, 2015. "Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation," CeMMAP working papers CWP32/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    59. Adusumilli, Karun & Otsu, Taisuke, 2018. "Nonparametric instrumental regression with errors in variables," LSE Research Online Documents on Economics 85871, London School of Economics and Political Science, LSE Library.
    60. Fabian Dunker, 2015. "Adaptive estimation for some nonparametric instrumental variable models," Papers 1511.03977, arXiv.org, revised Aug 2021.
    61. Daniel Wilhelm, 2015. "Identification and estimation of nonparametric panel data regressions with measurement error," CeMMAP working papers CWP34/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    62. Darolles, Serge & Fan, Yanqin & Florens, Jean-Pierre & Renault, Eric, 2003. "Non Parametric Instrumental Regression," IDEI Working Papers 228, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2010.
    63. Van Bellegem, Sébastien & Florens, Jean-Pierre, 2014. "Instrumental variable estimation in functional linear models," LIDAM Discussion Papers CORE 2014056, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  7. Belomestny, Denis & Reiß, Markus, 2006. "Spectral calibration of exponential Lévy Models [2]," SFB 649 Discussion Papers 2006-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Trabs, Mathias, 2014. "On infinitely divisible distributions with polynomially decaying characteristic functions," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 56-62.
    2. Belomestny Denis & Mathew Stanley & Schoenmakers John, 2009. "Multiple stochastic volatility extension of the Libor market model and its implementation," Monte Carlo Methods and Applications, De Gruyter, vol. 15(4), pages 285-310, January.
    3. Kappus, Johanna, 2012. "Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes," SFB 649 Discussion Papers 2012-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Todorov, Viktor, 2021. "Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 671-705.
    5. Kappus, Johanna, 2014. "Adaptive nonparametric estimation for Lévy processes observed at low frequency," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 730-758.
    6. Söhl, Jakob, 2012. "Confidence sets in nonparametric calibration of exponential Lévy models," SFB 649 Discussion Papers 2012-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. Denis Belomestny & Mathias Trabs & Alexandre Tsybakov, 2017. "Sparse covariance matrix estimation in high-dimensional deconvolution," Working Papers 2017-25, Center for Research in Economics and Statistics.
    8. Kappus, Johanna & Reiß, Markus, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2010-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Söhl, Jakob, 2009. "Polar sets of anisotropic Gaussian random fields," SFB 649 Discussion Papers 2009-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    10. Reiß, Markus, 2013. "Testing the characteristics of a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2808-2828.
    11. Belomestny, Denis, 2009. "Spectral estimation of the fractional order of a Lévy process," SFB 649 Discussion Papers 2009-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Mark Anthony Caruana, 2017. "Estimation of Lévy Processes via Stochastic Programming and Kalman Filtering," Methodology and Computing in Applied Probability, Springer, vol. 19(4), pages 1211-1225, December.
    13. Fusai, Gianluca & Meucci, Attilio, 2008. "Pricing discretely monitored Asian options under Levy processes," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2076-2088, October.
    14. Jakob Söhl, 2014. "Confidence sets in nonparametric calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 18(3), pages 617-649, July.
    15. Trabs, Mathias, 2015. "Quantile estimation for Lévy measures," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3484-3521.
    16. Trabs, Mathias, 2011. "Calibration of self-decomposable Lévy models," SFB 649 Discussion Papers 2011-073, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Jakob Sohl, 2012. "Confidence sets in nonparametric calibration of exponential L\'evy models," Papers 1202.6611, arXiv.org, revised Sep 2013.
    18. Denis Belomestny & John Schoenmakers, 2010. "A jump-diffusion Libor model and its robust calibration," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 529-546.
    19. Jakob Sohl & Mathias Trabs, 2012. "Option calibration of exponential L\'evy models: Confidence intervals and empirical results," Papers 1202.5983, arXiv.org, revised Oct 2012.
    20. Jeonggyu Huh, 2018. "Pricing Options with Exponential Levy Neural Network," Papers 1802.06520, arXiv.org, revised Sep 2018.
    21. Jan Kallsen & Paul Krühner, 2015. "On a Heath–Jarrow–Morton approach for stock options," Finance and Stochastics, Springer, vol. 19(3), pages 583-615, July.
    22. Rama Cont & Peter Tankov, 2009. "Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 379-401, July.
    23. Chen, Song X. & Delaigle, Aurore & Hall, Peter, 2010. "Nonparametric estimation for a class of Lévy processes," Journal of Econometrics, Elsevier, vol. 157(2), pages 257-271, August.
    24. Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.

  8. Belomestny, Denis & Reiß, Markus, 2006. "Spectral calibration of exponential Lévy Models [1]," SFB 649 Discussion Papers 2006-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Trabs, Mathias, 2014. "On infinitely divisible distributions with polynomially decaying characteristic functions," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 56-62.
    2. Belomestny Denis & Mathew Stanley & Schoenmakers John, 2009. "Multiple stochastic volatility extension of the Libor market model and its implementation," Monte Carlo Methods and Applications, De Gruyter, vol. 15(4), pages 285-310, January.
    3. Kappus, Johanna, 2012. "Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes," SFB 649 Discussion Papers 2012-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Söhl, Jakob, 2010. "Polar sets for anisotropic Gaussian random fields," Statistics & Probability Letters, Elsevier, vol. 80(9-10), pages 840-847, May.
    5. Todorov, Viktor, 2021. "Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 671-705.
    6. Song, Seongjoo, 2010. "Lévy density estimation via information projection onto wavelet subspaces," Statistics & Probability Letters, Elsevier, vol. 80(21-22), pages 1623-1632, November.
    7. Kappus, Johanna, 2014. "Adaptive nonparametric estimation for Lévy processes observed at low frequency," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 730-758.
    8. Söhl, Jakob, 2012. "Confidence sets in nonparametric calibration of exponential Lévy models," SFB 649 Discussion Papers 2012-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Denis Belomestny & Mathias Trabs & Alexandre Tsybakov, 2017. "Sparse covariance matrix estimation in high-dimensional deconvolution," Working Papers 2017-25, Center for Research in Economics and Statistics.
    10. Kappus, Johanna & Reiß, Markus, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2010-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Söhl, Jakob, 2009. "Polar sets of anisotropic Gaussian random fields," SFB 649 Discussion Papers 2009-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Reiß, Markus, 2013. "Testing the characteristics of a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2808-2828.
    13. Belomestny, Denis, 2009. "Spectral estimation of the fractional order of a Lévy process," SFB 649 Discussion Papers 2009-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    14. Mark Anthony Caruana, 2017. "Estimation of Lévy Processes via Stochastic Programming and Kalman Filtering," Methodology and Computing in Applied Probability, Springer, vol. 19(4), pages 1211-1225, December.
    15. Fusai, Gianluca & Meucci, Attilio, 2008. "Pricing discretely monitored Asian options under Levy processes," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2076-2088, October.
    16. Jakob Söhl, 2014. "Confidence sets in nonparametric calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 18(3), pages 617-649, July.
    17. Trabs, Mathias, 2015. "Quantile estimation for Lévy measures," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3484-3521.
    18. Trabs, Mathias, 2011. "Calibration of self-decomposable Lévy models," SFB 649 Discussion Papers 2011-073, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Jan Kallsen & Paul Kruhner, 2013. "On a Heath-Jarrow-Morton approach for stock options," Papers 1305.5621, arXiv.org, revised Aug 2013.
    20. Jakob Sohl, 2012. "Confidence sets in nonparametric calibration of exponential L\'evy models," Papers 1202.6611, arXiv.org, revised Sep 2013.
    21. Denis Belomestny & John Schoenmakers, 2010. "A jump-diffusion Libor model and its robust calibration," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 529-546.
    22. Jakob Sohl & Mathias Trabs, 2012. "Option calibration of exponential L\'evy models: Confidence intervals and empirical results," Papers 1202.5983, arXiv.org, revised Oct 2012.
    23. Jeonggyu Huh, 2018. "Pricing Options with Exponential Levy Neural Network," Papers 1802.06520, arXiv.org, revised Sep 2018.
    24. Jan Kallsen & Paul Krühner, 2015. "On a Heath–Jarrow–Morton approach for stock options," Finance and Stochastics, Springer, vol. 19(3), pages 583-615, July.
    25. Rama Cont & Peter Tankov, 2009. "Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 379-401, July.
    26. Chen, Song X. & Delaigle, Aurore & Hall, Peter, 2010. "Nonparametric estimation for a class of Lévy processes," Journal of Econometrics, Elsevier, vol. 157(2), pages 257-271, August.
    27. Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.

  9. Belomestny, Denis & Reiß, Markus, 2006. "Spectral calibration of exponential Lévy Models [1]," SFB 649 Discussion Papers 2006-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Trabs, Mathias, 2014. "On infinitely divisible distributions with polynomially decaying characteristic functions," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 56-62.
    2. Belomestny Denis & Mathew Stanley & Schoenmakers John, 2009. "Multiple stochastic volatility extension of the Libor market model and its implementation," Monte Carlo Methods and Applications, De Gruyter, vol. 15(4), pages 285-310, January.
    3. Kappus, Johanna, 2012. "Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes," SFB 649 Discussion Papers 2012-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Todorov, Viktor, 2021. "Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 671-705.
    5. Kappus, Johanna, 2014. "Adaptive nonparametric estimation for Lévy processes observed at low frequency," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 730-758.
    6. Söhl, Jakob, 2012. "Confidence sets in nonparametric calibration of exponential Lévy models," SFB 649 Discussion Papers 2012-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. Denis Belomestny & Mathias Trabs & Alexandre Tsybakov, 2017. "Sparse covariance matrix estimation in high-dimensional deconvolution," Working Papers 2017-25, Center for Research in Economics and Statistics.
    8. Kappus, Johanna & Reiß, Markus, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2010-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Söhl, Jakob, 2009. "Polar sets of anisotropic Gaussian random fields," SFB 649 Discussion Papers 2009-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    10. Reiß, Markus, 2013. "Testing the characteristics of a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2808-2828.
    11. Belomestny, Denis, 2009. "Spectral estimation of the fractional order of a Lévy process," SFB 649 Discussion Papers 2009-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Mark Anthony Caruana, 2017. "Estimation of Lévy Processes via Stochastic Programming and Kalman Filtering," Methodology and Computing in Applied Probability, Springer, vol. 19(4), pages 1211-1225, December.
    13. Fusai, Gianluca & Meucci, Attilio, 2008. "Pricing discretely monitored Asian options under Levy processes," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2076-2088, October.
    14. Jakob Söhl, 2014. "Confidence sets in nonparametric calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 18(3), pages 617-649, July.
    15. Trabs, Mathias, 2015. "Quantile estimation for Lévy measures," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3484-3521.
    16. Trabs, Mathias, 2011. "Calibration of self-decomposable Lévy models," SFB 649 Discussion Papers 2011-073, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    17. Jakob Sohl, 2012. "Confidence sets in nonparametric calibration of exponential L\'evy models," Papers 1202.6611, arXiv.org, revised Sep 2013.
    18. Denis Belomestny & John Schoenmakers, 2010. "A jump-diffusion Libor model and its robust calibration," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 529-546.
    19. Jakob Sohl & Mathias Trabs, 2012. "Option calibration of exponential L\'evy models: Confidence intervals and empirical results," Papers 1202.5983, arXiv.org, revised Oct 2012.
    20. Jeonggyu Huh, 2018. "Pricing Options with Exponential Levy Neural Network," Papers 1802.06520, arXiv.org, revised Sep 2018.
    21. Jan Kallsen & Paul Krühner, 2015. "On a Heath–Jarrow–Morton approach for stock options," Finance and Stochastics, Springer, vol. 19(3), pages 583-615, July.
    22. Rama Cont & Peter Tankov, 2009. "Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 379-401, July.
    23. Chen, Song X. & Delaigle, Aurore & Hall, Peter, 2010. "Nonparametric estimation for a class of Lévy processes," Journal of Econometrics, Elsevier, vol. 157(2), pages 257-271, August.
    24. Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.

  10. Belomestny, Denis & Reiß, Markus, 2006. "Spectral calibration of exponential Lévy Models [2]," SFB 649 Discussion Papers 2006-035, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Trabs, Mathias, 2014. "On infinitely divisible distributions with polynomially decaying characteristic functions," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 56-62.
    2. Belomestny Denis & Mathew Stanley & Schoenmakers John, 2009. "Multiple stochastic volatility extension of the Libor market model and its implementation," Monte Carlo Methods and Applications, De Gruyter, vol. 15(4), pages 285-310, January.
    3. Kappus, Johanna, 2012. "Nonparametric adaptive estimation of linear functionals for low frequency observed Lévy processes," SFB 649 Discussion Papers 2012-016, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Söhl, Jakob, 2010. "Polar sets for anisotropic Gaussian random fields," Statistics & Probability Letters, Elsevier, vol. 80(9-10), pages 840-847, May.
    5. Todorov, Viktor, 2021. "Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 671-705.
    6. Song, Seongjoo, 2010. "Lévy density estimation via information projection onto wavelet subspaces," Statistics & Probability Letters, Elsevier, vol. 80(21-22), pages 1623-1632, November.
    7. Kappus, Johanna, 2014. "Adaptive nonparametric estimation for Lévy processes observed at low frequency," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 730-758.
    8. Söhl, Jakob, 2012. "Confidence sets in nonparametric calibration of exponential Lévy models," SFB 649 Discussion Papers 2012-012, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Denis Belomestny & Mathias Trabs & Alexandre Tsybakov, 2017. "Sparse covariance matrix estimation in high-dimensional deconvolution," Working Papers 2017-25, Center for Research in Economics and Statistics.
    10. Kappus, Johanna & Reiß, Markus, 2010. "Estimation of the characteristics of a Lévy process observed at arbitrary frequency," SFB 649 Discussion Papers 2010-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    11. Söhl, Jakob, 2009. "Polar sets of anisotropic Gaussian random fields," SFB 649 Discussion Papers 2009-058, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    12. Reiß, Markus, 2013. "Testing the characteristics of a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2808-2828.
    13. Belomestny, Denis, 2009. "Spectral estimation of the fractional order of a Lévy process," SFB 649 Discussion Papers 2009-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    14. Mark Anthony Caruana, 2017. "Estimation of Lévy Processes via Stochastic Programming and Kalman Filtering," Methodology and Computing in Applied Probability, Springer, vol. 19(4), pages 1211-1225, December.
    15. Fusai, Gianluca & Meucci, Attilio, 2008. "Pricing discretely monitored Asian options under Levy processes," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2076-2088, October.
    16. Jakob Söhl, 2014. "Confidence sets in nonparametric calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 18(3), pages 617-649, July.
    17. Trabs, Mathias, 2015. "Quantile estimation for Lévy measures," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3484-3521.
    18. Trabs, Mathias, 2011. "Calibration of self-decomposable Lévy models," SFB 649 Discussion Papers 2011-073, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Jan Kallsen & Paul Kruhner, 2013. "On a Heath-Jarrow-Morton approach for stock options," Papers 1305.5621, arXiv.org, revised Aug 2013.
    20. Jakob Sohl, 2012. "Confidence sets in nonparametric calibration of exponential L\'evy models," Papers 1202.6611, arXiv.org, revised Sep 2013.
    21. S. Kindermann & P. Mayer, 2011. "On the calibration of local jump-diffusion asset price models," Finance and Stochastics, Springer, vol. 15(4), pages 685-724, December.
    22. Denis Belomestny & John Schoenmakers, 2010. "A jump-diffusion Libor model and its robust calibration," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 529-546.
    23. Jakob Sohl & Mathias Trabs, 2012. "Option calibration of exponential L\'evy models: Confidence intervals and empirical results," Papers 1202.5983, arXiv.org, revised Oct 2012.
    24. Jeonggyu Huh, 2018. "Pricing Options with Exponential Levy Neural Network," Papers 1802.06520, arXiv.org, revised Sep 2018.
    25. Jan Kallsen & Paul Krühner, 2015. "On a Heath–Jarrow–Morton approach for stock options," Finance and Stochastics, Springer, vol. 19(3), pages 583-615, July.
    26. Rama Cont & Peter Tankov, 2009. "Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 379-401, July.
    27. Chen, Song X. & Delaigle, Aurore & Hall, Peter, 2010. "Nonparametric estimation for a class of Lévy processes," Journal of Econometrics, Elsevier, vol. 157(2), pages 257-271, August.
    28. Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.

  11. Fischer, Markus & Reiß, Markus, 2005. "Discretisation of stochastic control problems for continuous time dynamics with delay," SFB 649 Discussion Papers 2005-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Salvatore Federico, 2011. "A stochastic control problem with delay arising in a pension fund model," Finance and Stochastics, Springer, vol. 15(3), pages 421-459, September.

  12. Gapeev, Pavel V. & Reiß, Markus, 2005. "An optimal stopping problem in a diffusion-type model with delay," SFB 649 Discussion Papers 2005-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Gapeev, Pavel V., 2020. "Optimal stopping problems for running minima with positive discounting rates," LSE Research Online Documents on Economics 105849, London School of Economics and Political Science, LSE Library.
    2. Marie Bernhart & Peter Tankov & Xavier Warin, 2010. "A finite dimensional approximation for pricing moving average options," Papers 1011.3599, arXiv.org.
    3. Gapeev, Pavel V., 2008. "The integral option in a model with jumps," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2623-2631, November.
    4. Gapeev, Pavel V., 2020. "Optimal stopping problems for running minima with positive discounting rates," Statistics & Probability Letters, Elsevier, vol. 167(C).

  13. Gapeev, Pavel V. & Reiß, Markus, 2005. "An optimal stopping problem in a diffusion-type model with delay," SFB 649 Discussion Papers 2005-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Gapeev, Pavel V., 2020. "Optimal stopping problems for running minima with positive discounting rates," LSE Research Online Documents on Economics 105849, London School of Economics and Political Science, LSE Library.
    2. Marie Bernhart & Peter Tankov & Xavier Warin, 2010. "A finite dimensional approximation for pricing moving average options," Papers 1011.3599, arXiv.org.
    3. Gapeev, Pavel V., 2008. "The integral option in a model with jumps," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2623-2631, November.
    4. Gapeev, Pavel V., 2020. "Optimal stopping problems for running minima with positive discounting rates," Statistics & Probability Letters, Elsevier, vol. 167(C).

Articles

  1. Chen, Xiaohong & Reiss, Markus, 2011. "On Rate Optimality For Ill-Posed Inverse Problems In Econometrics," Econometric Theory, Cambridge University Press, vol. 27(3), pages 497-521, June.
    See citations under working paper version above.
  2. Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 10(4), pages 449-474, December.
    See citations under working paper version above.
  3. Reiß, M. & Riedle, M. & van Gaans, O., 2006. "Delay differential equations driven by Lévy processes: Stationarity and Feller properties," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1409-1432, October.

    Cited by:

    1. Li, Zhi & Long, Qinyi & Xu, Liping & Wen, Xueqi, 2022. "h-stability for stochastic Volterra–Levin equations," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).
    2. Li, Zhi & Zhang, Wei, 2017. "Stability in distribution of stochastic Volterra–Levin equations," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 20-27.
    3. Nguyen, Dang H. & Nguyen, Nhu N. & Yin, George, 2021. "Stochastic functional Kolmogorov equations, I: Persistence," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 319-364.
    4. Carsten Chong, 2017. "Lévy-driven Volterra Equations in Space and Time," Journal of Theoretical Probability, Springer, vol. 30(3), pages 1014-1058, September.
    5. Xi, Fubao & Yin, George, 2013. "The strong Feller property of switching jump-diffusion processes," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 761-767.
    6. Bao, Jianhai & Wang, Feng-Yu & Yuan, Chenggui, 2015. "Hypercontractivity for functional stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3636-3656.

  4. Gapeev, Pavel V. & Reiß, Markus, 2006. "An optimal stopping problem in a diffusion-type model with delay," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 601-608, March.
    See citations under working paper version above.
  5. Markus Reiß, 2002. "Minimax Rates for Nonparametric Drift Estimation in Affine Stochastic Delay Differential Equations," Statistical Inference for Stochastic Processes, Springer, vol. 5(2), pages 131-152, May.

    Cited by:

    1. Enrico Biffis & Beniamin Goldys & Cecilia Prosdocimi & Margherita Zanella, 2015. "A pricing formula for delayed claims: Appreciating the past to value the future," Papers 1505.04914, arXiv.org, revised Jul 2022.
    2. Enrico Biffis & Beniamin Goldys & Cecilia Prosdocimi & Margherita Zanella, 2023. "A pricing formula for delayed claims: appreciating the past to value the future," Mathematics and Financial Economics, Springer, volume 17, number 2, June.
    3. Enrico Biffis & Fausto Gozzi & Cecilia Prosdocimi, 2020. "Optimal portfolio choice with path dependent labor income: the infinite horizon case," Papers 2002.00201, arXiv.org.

More information

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (5) 2006-05-13 2007-09-16 2007-11-24 2010-04-17 2011-06-11. Author is listed
  2. NEP-ETS: Econometric Time Series (3) 2010-04-17 2011-06-11 2011-06-11
  3. NEP-FMK: Financial Markets (2) 2006-05-13 2006-05-13
  4. NEP-MST: Market Microstructure (1) 2011-06-11

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