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Spot volatility estimation for high-frequency data: adaptive estimation in practice. Springer Lecture Notes in Statistics: Modeling and Stochastic Learning for Forecasting in High Dimension, 213-241. - Sabel, T. (2014).
Simultaneous Confidence Statements about the Diffusion Coefficient of an Itô -Process with Application to Spot Volatility Estimation. Dissertation, published via eDiss of SUB Göttingen. - Sabel, T., Schmidt-Hieber, J. (2014).
Matlab Toolbox Spotvol. - Sabel, T., Schmidt-Hieber, J. (2014).
Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information (with Supplement). Bernoulli, 20(2), 747-774.
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