Robert Stelzer

Finance · with Barndorff-Nielsen · 2007–2013

A researcher in the Science corpus: 8 papers; trusts 42 researchers and is trusted by 6 researchers here, as inferred from the citation graph.

Subfields

• Finance — 64 citations into it; #3,673 of 10,518 by trust here, #4,732 by citations
• Statistics and Probability — 28 citations into it; #5,749 of 12,932 by trust here, #8,740 by citations
• Economics and Econometrics — 22 citations into it; #19,003 of 23,481 by trust here, #21,405 by citations
• Mathematical Physics — 11 citations into it
• Artificial Intelligence — 8 citations into it
• Management Science and Operations Research — 8 citations into it; #9,981 of 11,946 by trust here, #10,392 by citations
• Applied Mathematics — 7 citations into it
• Time-Series & Forecasting — 6 citations into it

Whom Robert Stelzer trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Ole E. Barndorff-Nielsen
2. Peter J. Brockwell
3. N. Shephard
4. T. Marquardt
5. Sean P. Meyn
6. Christian Gouriéroux
7. Christian Pigorsch
8. Michael SØrensen
9. Richard A. Davis
10. Richard L. Tweedie

Who trusts Robert Stelzer overall

1. Ole E. Barndorff-Nielsen
2. Christian Pigorsch
3. Eckhard Schlemm
4. Peter J. Brockwell
5. Almut E. D. Veraart
6. Fred Espen Benth

Papers from Robert Stelzer's perspective

Ordered by how strongly the researchers Robert Stelzer trusts endorse each paper. Same corpus, a different order for every researcher.

1. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
2. Financial Modelling with Jump Processes
3. Econometric analysis of realised volatility and its use in estimating stochastic volatility models
4. The Distribution of Realized Exchange Rate Volatility
5. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics
6. Continuous-time ARMA processes
7. Financial Modelling with Jump Processes
8. Generalized autoregressive conditional heteroskedasticity
9. Multivariate CARMA processes
10. Lévy processes and infinitely divisible distributions

Their papers

• THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL (2013) — 69 citations
• Multivariate CARMA processes (2007) — 112 citations
• Multivariate supOU processes (2010) — 92 citations
• Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes (2012) — 48 citations
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models (2011) — 100 citations
• ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY (2009) — 49 citations
• A multivariate Ornstein-Uhlenbeck type stochastic volatility model (2009) — 51 citations
• On strong solutions for positive definite jump diffusions (2009) — 73 citations