The Fascination of Probability, Statistics and their Applications

Edited by Mark Podolskij (), Robert Stelzer (), Steen Thorbjørnsen () and Almut E. D. Veraart ()

in Springer Books from Springer

Date: 2016
ISBN: 978-3-319-25826-3
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Chapters in this book:

On the Size Distribution of Sand

Michael Sørensen

From Wind-Blown Sand to Turbulence and Back

Björn Birnir

Modelling Turbulent Time Series by BSS-Processes

José Ulises Márquez and Jürgen Schmiegel

Associated Natural Exponential Families and Elliptic Functions

Gérard Letac

Cumulants and Bartlett Identities in Cox Regression

Per Aslak Mykland and Jianming Ye

Exchangeability and Infinite Divisibility

Martin Drapatz and Alexander Lindner

Lévy Copulas: Review of Recent Results

Peter Tankov

Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion

Fred Espen Benth and Asma Khedher

Continuity of Local Time: An Applied Perspective

Jorge M. Ramirez, Enirque A. Thomann and Edward C. Waymire

Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise

Bohan Chen, Carsten Chong and Claudia Klüppelberg

On the Process of the Eigenvalues of a Hermitian Lévy process

Victor Pérez-Abreu and Alfonso Rocha-Arteaga

Likelihood Inference for Exponential-Trawl Processes

Neil Shephard and Justin J. Yang

The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes

Thibault Jaisson and Mathieu Rosenbaum

Generalised Partial Autocorrelations and the Mutual Information Between Past and Future

Alessandra Luati and Tommaso Proietti

Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices

Jean Jacod and Viktor Todorov

Model Selection for Volatility Prediction

Masayuki Uchida and Nakahiro Yoshida

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Peter Reinhard Hansen, Guillaume Horel, Asger Lunde and Ilya Archakov

Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds

Paul Embrechts and Edgars Jakobsons

A Beaufort Scale of Predictability

Mark H. A. Davis

A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs

Bernt Øksendal, Agnès Sulem and Tusheng Zhang

CoCos with Extension Risk. A Structural Approach

José Manuel Corcuera, José Fajardo, Wim Schoutens and Arturo Valdivia

Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises

Giulia Di Nunno and Erik Hove Karlsen

Markov Renewal Methods in Restart Problems in Complex Systems

Søren Asmussen, Lester Lipsky and Stephen Thompson

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DOI: 10.1007/978-3-319-25826-3

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