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Publications in Peer-Reviewed Journals
 

Volatility estimation for stochastic PDEs using high-frequency observations (with Mathias Trabs), Stochastic processes and their applications, (2019), doi: 10.1016/j.spa.2019.09.002

Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book (with Christopher Neely and Lars Winkelmann), Journal of Econometrics 209(2), pp. 158-184 (2019), doi: 10.1016/j.jeconom.2019.01.001

Change-point inference on volatility in noisy Itô semimartingales (with Mehmet Madensoy), Stochastic processes and their applications 129(12), pp. 4878-4925 (2019), doi:10.1016/j.spa.2018.12.013

Common price and volatility jumps in noisy high-frequency data (with Lars Winkelmann), Electronic Journal of Statistics 12(1), pp. 2018-2073 (2018), doi: 10.1214/18-EJS1444

Estimating the spot covariation of asset prices - Statistical Theory and Empirical Evidence (with N. Hautsch, P. Malec and M. Reiß), Journal of Business and Economic Statistics 37(3), pp. 419-435 (2019), doi:10.1080/07350015.2017.1356728

Nonparametric change-point analysis of volatility  (with Moritz Jirak and Mathias Vetter), Annals of Statistics 45(4), pp. 1542-1578 (2017), doi: 10.1214/16-AOS1499

Inference for Multi-Dimensional High-Frequency Data with an Application to Conditional Independence Testing (with Per A. Mykland), Scandinavian Journal of Statistics 43(4), pp. 1078-1102 (2016), doi: 10.1111/sjos.12230

Volatility estimation under one-sided errors with applications to limit order books  (with Moritz Jirak and Markus Reiß), Annals of Applied Probability 26(5), pp. 2754-2790 (2016), doi: 10.1214/15-AAP1161

Functional stable limit theorems for quasi-efficient spectral covolatility estimators (with Randolf Altmeyer), Stochastic Processes and their Applications 125(12), pp. 4556-4600 (2015), doi: 10.1016/j.spa.2015.07.009

ECB monetary policy surprises: identification through cojumps in interest rates (with Lars Winkelmann and Tobias Linzert), Journal of Applied Econometrics 31(4), pp. 613-629 (2016),doi: 10.1002/jae.2453 & European Central Bank Working Paper No 1674, May 2014.

Econometrics of co-jumps in high-frequency data with noise (with Lars Winkelmann), Journal of Econometrics 184(2), pp. 361-378 (2015). doi: 10.1016/j.jeconom.2014.10.004

Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps (with Mathias Vetter),
Annals of the Institute of Statistical Mathematics 67(4), pp. 707-743 (2015). doi:10.1007/s10463-014-0473-x

Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency (with N. Hautsch, P. Malec and M. Reiß), Annals of Statistics 42 (4), pp. 80–114 (2014), doi:10.1214/14-AOS1224

Spectral covolatility estimation from noisy observations using local weights (with Markus Reiß), Scandinavian Journal of Statistics 41(1), pp. 23–50 (2014), doi: 10.1111/sjos.12019 

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory,
Stochastic Processes and their Applications 122(6), pp. 2411–2453 (2012), doi: 10.1016/j.spa.2012.04.002

Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data, Scandinavian Journal of Statistics 38(1), pp. 23–45 (2011), doi: 10.1111/j.1467-9469.2010.00712.x

 
 
Articles in books and proceedings with peer-review

On central limit theorems for power variations of the solution to the stochastic heat equation (with Mathias Trabs), in Stochastic Models, Statistics and Their Applications (Springer Proceedings in Mathematics & Statistics, PROMS, volume 294), pp. 69-84, Springer, Cham, (2019).

 
Preprint versions of all papers can be found on arXiv also.
 
Working Papers and Work in Progress
 
 

 

Technical Reports

Applying volatility estimators based on limit order books (2014) (with Moritz Jirak and Markus Reiß)

Notes on the sum and maximum of independent exponentially distributed random variables with different scale parameters (2013)

Asymptotics of Asynchronicity (2011)

 

Implementations, R Codes, Quantlets

R Code for statistics for SPDEs (project with Mathias Trabs) at github

Matlab Code by Peter Malec for spectral spot covariance matrix estimation from non-synchronous noisy high-frequency data, description in web appendix

Quantlet for identification of cojumps in noisy high-frequency data concerning Papers Econometrics of co-jumps in high-frequency data with noise &  ECB monetary policy surprises

Yuima function for spectral estimator by Yuta Koike

 

Dissertation

Estimating the Quadratic Covariation from Asynchronous Noisy High-Frequency Observations, Dissertation, Humboldt-Universität zu Berlin (2011)


Upcoming Presentations

December 14-16, 2019. Conference on Computational and Methodological Statistics (CMStatistics), London 

 

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Zuletzt aktualisiert: 20.11.2019 · bibinger

 
 
 
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