Preprints

Publications

see also Google Scholar or Researcher ID .

Moser, M. and Stelzer, R. (201?):
Functional Regular Variation of Lévy-driven Multivariate Mixed Moving Average Processes
Extremes, accepted for publication, pdf-file (Preprint version)
Fuchs, F. and Stelzer, R.(2013)
Mixing Conditions for Multivariate Infinitely Divisible Processes with an Application to Mixed Moving Averages and the supOU Stochastic Volatility Model
ESAIM: Probability and Statistics, 17, 455-471, pdf-file (Preprint version)
Fuchs, F. and Stelzer, R. (2013)
Spectral Representation of Multivariate Regularly Varying Lévy and CARMA Processes
Journal of Theoretical Probability, 26 no. 2, 410-436, pdf-file (Preprint version)
Barndorff-Nielsen, O.E. and Stelzer, R. (2013):
The Multivariate SupOU Stochastic Volatility Model
Mathematical Finance, 23 no. 2, 275-296, pdf-file (Preprint version)
Schlemm, E. and Stelzer, R. (2012):
Quasi Maximum Likelihood Estimation for Strongly Mixing State Space Models and Multivariate CARMA Processes
Electronic Journal of Statistics, 6, 2185-2234, pdf-file (Preprint version)
Muhle-Karbe, J., Pfaffel, O. and Stelzer, R. (2012):
Option Pricing in Multivariate Stochastic Volatility Models of OU type
SIAM Journal on Financial Mathematics, 3, 66-94, pdf-file (Preprint version)
Schlemm, E. and Stelzer, R. (2012):
Multivariate CARMA Processes, Continuous-Time State Space Models and Complete Regularity of the Innovations of the Sampled Processes
Bernoulli, 18 no.1, 46-63, pdf-file (as published in Bernoulli, see http://projecteuclid.org/euclid.bj/1327068617 for full publication details)
Moser, M. and Stelzer, R. (2011):
Tail Behavior of Multivariate Lévy-Driven Mixed Moving Average Processes and supOU Stochastic Volatility Models
Advances in Applied Probability, 43 no. 4, 1109-1135, pdf-file (Preprint version)
Stelzer, R. (2011):
CARMA Processes driven by Non-Gaussian Noise
TUM-IAS Primary Sources - Essays in Technology and Science, 1 no.1, pdf-file
Boussama, F., Fuchs, F., and Stelzer, R. (2011):
Stationarity and Geometric Ergodicity of BEKK Multivariate GARCH Models
Stochastic Processes and Their Applications, 121 no. 10, 2331-2360, pdf-file (Preprint version)
Mayerhofer, E., Pfaffel, O. and Stelzer, R. (2011):
On Strong Solutions for Positive Definite Jump Diffusions
Stochastic Processes and Their Applications, 121 no. 9, 2072-2086, pdf-file (Preprint version)
Haug, St. and Stelzer, R. (2011):
Multivariate ECOGARCH Processes
Econometric Theory, 27 no 2, 344-371, pdf-file (Preprint version)
Barndorff-Nielsen, O.E. and Stelzer, R. (2011):
Multivariate supOU Processes
Annals of Applied Probability, 21 no. 1, 140-182, pdf-file (as published in Annals of Applied Probability, see http://projecteuclid.org/euclid.aoap/1292598030 for full publication details)
Stelzer, R. (2010):
Multivariate COGARCH(1,1) Processes
Bernoulli, 16 no. 1, 80-115, pdf-file (as published in Bernoulli, see http://projecteuclid.org/euclid.bj/1265984705 for full publication details)
Pigorsch, C. and Stelzer, R. (2009):
On the Definition, Stationary Distribution and Second Order Structure of Positive Semi-definite Ornstein-Uhlenbeck type Processes
Bernoulli, 15 no. 3, 754-773, pdf-file (as published in Bernoulli, see http://projecteuclid.org/euclid.bj/1251463280 for full publication details)
Stelzer, R. (2009):
First Jump Approximation of a Multivariate Lévy Driven SDE and an Application to ECOGARCH Processes
Stochastic Processes and Their Applications, 119 no. 6, 1932-1951 pdf-file, ps-file (Preprint version)
Stelzer, R. (2009):
On Markov-Switching ARMA Processes - Stationarity, Existence of Moments and Geometric Ergodicity
Econometric Theory, 25 no. 1, 43-62, pdf-file, ps-file (Preprint version)
Stelzer, R. (2008):
Multivariate Markov-Switching ARMA Processes with Regularly Varying Noise
Journal of Multivariate Analysis, 99 no. 6, 1177-1190, pdf-file, ps-file (Preprint version)
Stelzer, R. (2008):
On the Relation Between the vec and BEKK Multivariate GARCH Models
Econometric Theory, 24 no. 4, 1131-1136, pdf-file, ps-file (Preprint version)
Barndorff-Nielsen, O. E. and Stelzer, R. (2007):
Positive-Definite Matrix Processes of Finite Variation
Probability and Mathematical Statistics, 27 no. 1, 3-43, pdf-file, ps-file (Preprint version, also Thiele Research Report No. 2006-11)
Marquardt, T. and Stelzer, R. (2007):
Multivariate CARMA Processes
Stochastic Processes and Their Applications, 117 no. 1, 96-120, pdf-file, ps-file (Preprint version)
Barndorff-Nielsen, O. E. and Stelzer, R. (2005):
Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
Scandinavian Journal of Statistics, 32 no. 4, 617-637, pdf-file
(This is an electronic version of an article published in Scandinavian Journal of Statistics complete citation information for the final version of the paper, as published in the print edition of Scandinavian Journal of Statistics is available on the Blackwell Synergy online delivery service, accessible via the journal's website at http://www.blackwellpublishing.com or http://www.blackwell-synergy.com)

Matlab code to calculate normal µ-centered moments and absolute µ-centered moments of NIG distributions/ Lévy-processes and analyse their scaling behaviour.

Theses

Stelzer, R. J. (2010):
Multivariate Stochastic Modelling with an Emphasis on Lévy Processes and Applications to Finance
Habilitation Thesis, TU München
Stelzer, R. J. (2007):
Multivariate Continuous Time Stochastic Volatility Models Driven by a Lévy Process
Dissertation, TU München, pdf-file and abstract, ps-file
Förderpreis der Fachgruppe Stochastik der DMV 2008,
Promotionspreis des Bundes der Freunde der TU München 2008
Stelzer, R. J. (2005):
On Markov-Switching Models - Stationarity and Tail Behaviour
Diploma thesis, TU München, pdf-file, ps-file

Reviewing Activities

Since March 2006 I write regularly reviews for Mathematical Reviews.