Details about Markus Reiss

Access statistics for papers by Markus Reiss.

Last updated 2023-02-24. Update your information in the RePEc Author Service.

Short-id: pre305

Working Papers

2014

1. Estimating the spot covariation of asset prices: Statistical theory and empirical evidence
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (1)
2. Improved volatility estimation based on limit order books
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
3. Nonparametric test for a constant beta over a fixed time interval
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2013

4. Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2012

5. A Donsker theorem for Lévy measures
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2011

6. Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
7. Estimation of the characteristics of a Lévy process observed at arbitrary frequency
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
   Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010) View citations (2)
8. Pointwise adaptive estimation for quantile regression
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
9. Spectral estimation of covolatility from noisy observations using local weights
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2007

10. On Rate Optimality for Ill-posed Inverse Problems in Econometrics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (22)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2007) View citations (32)
    See also Journal Article ON RATE OPTIMALITY FOR ILL-POSED INVERSE PROBLEMS IN ECONOMETRICS, Econometric Theory, Cambridge University Press (2011) View citations (63) (2011)

2006

11. Spectral calibration of exponential Lévy Models [1]
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (7)
    See also Journal Article Spectral calibration of exponential Lévy models, Finance and Stochastics, Springer (2006) View citations (32) (2006)
12. Spectral calibration of exponential Lévy Models [2]
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (7)
    See also Journal Article Spectral calibration of exponential Lévy models, Finance and Stochastics, Springer (2006) View citations (32) (2006)

2005

13. An optimal stopping problem in a diffusion-type model with delay
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
    See also Journal Article An optimal stopping problem in a diffusion-type model with delay, Statistics & Probability Letters, Elsevier (2006) View citations (5) (2006)
14. Discretisation of stochastic control problems for continuous time dynamics with delay
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Journal Articles

2011

1. ON RATE OPTIMALITY FOR ILL-POSED INVERSE PROBLEMS IN ECONOMETRICS
   Econometric Theory, 2011, 27, (3), 497-521 View citations (63)
   See also Working Paper On Rate Optimality for Ill-posed Inverse Problems in Econometrics, Cowles Foundation Discussion Papers (2007) View citations (22) (2007)

2006

2. An optimal stopping problem in a diffusion-type model with delay
   Statistics & Probability Letters, 2006, 76, (6), 601-608 View citations (5)
   See also Working Paper An optimal stopping problem in a diffusion-type model with delay, SFB 649 Discussion Papers (2005) (2005)
3. Delay differential equations driven by Lévy processes: Stationarity and Feller properties
   Stochastic Processes and their Applications, 2006, 116, (10), 1409-1432 View citations (6)
4. Spectral calibration of exponential Lévy models
   Finance and Stochastics, 2006, 10, (4), 449-474 View citations (32)
   See also Working Paper Spectral calibration of exponential Lévy Models [2], SFB 649 Discussion Papers (2006) View citations (7) (2006)
   Working Paper Spectral calibration of exponential Lévy Models [1], SFB 649 Discussion Papers (2006) View citations (7) (2006)

2002

5. Minimax Rates for Nonparametric Drift Estimation in Affine Stochastic Delay Differential Equations
   Statistical Inference for Stochastic Processes, 2002, 5, (2), 131-152 View citations (3)