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Statistik: mehr als Erbsen zählen

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Project C5: Statistical inference for complex dynamical models in Empirical finance

Project leaders

Denis Belomestny

Jeannette Woerner





This project develops novel procedures for generalized moving average processes and generalized diffusions of McKean-Vlasov- and Dunkl type. It focuses on instationary and non-linear processes and allows for a complex dependence structure in space and time including long range dependence. Among its goals are parametric and non-parametic estimating procedures for both low and high frequency data which combine methods from stochastic and time series analysis and generalized Fourier techniques.