Publications

You can find the publication lists of members of this research group on their personal websites:

Markus Bibinger (2024): Probabilistic models and statistics for electronic financial markets in the digital age arxive: 2406.07388
Patrick Bossert (2024): Statistical structure and inference methods for discrete high-frequency observations of SPDEs in one and multiple space dimensions, PhD thesis.
Markus Bibinger, Nikolaus Hautsch & Alexander Ristig (2024): Jump detection in high-frequency order prices arxive: 2403.00819
Patrick Bossert (2023): Parameter estimation for second-order SPDEs in multiple space dimensions arxive: 2310.17828
Markus Bibinger & Michael Sonntag (2023): Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent arxiv:2305.01751
Markus Bibinger & Patrick Bossert (2023): Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities link, forthcoming in Japanese Journal of Statistics and Data Science
Markus Bibinger (2023): Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise arxiv:2301.01965, forthcoming in the Journal of Applied Probability

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