Preprints

see also arxiv

  • Stelzer, R. and Vestweber, J. (2017):
    Geometric Ergodicity of the MUCOGARCH(1,1) process
    submitted for publication, pdf-file
  • Chen, A., Mereu, C. and Stelzer, R. (2015):
    Target Date Funds: Marketing or Finance?
    submitted for publication, pdf-file
  • Chen, A., Mereu, C. and Stelzer, R. (2014):
    Optimal Investment with Time-varying Stochastic Endowments
    submitted for publication, pdf-file
  • Pigorsch, C. and Stelzer, R. (2009):
    A Multivariate Ornstein-Uhlenbeck Type Stochastic Volatility Model
    submitted for publication
    , pdf-file

Publications

see also Google Scholar or Researcher ID .

  • Fechner, Z. and Stelzer, R. (2017):
    Limit Behaviour of the Truncated Pathwise Fourier-transformation of Lévy-driven CARMA Processes for Non-equidistant Discrete Time Observations
    Statistica Sinica, accepted for publication, pdf-file (Preprint Version)
  • Mereu, C. and Stelzer, R. (2017):
    A BSDE Arising in an Exponential Utility Maximization Problem in a Pure Jump Market Model
    Stochastics, 89 no. 1, 240-258, pdf-file (Preprint Version)
  • Stelzer, R., Tosstorff, Th. and Wittlinger, M. (2015):
    Moment Based Estimation of SupOU Processes and a Related Stochastic Volatility Model
    Statistics & Risk Modeling, 32, 1-24, pdf-file (Preprint Version); Published Version
  • Stelzer, R. and Zavisin, J. (2015):
    Derivative Pricing under the Possibility of Long Memory in the SupOU Stochastic Volatility Model
    in "Innovations in Quantitative Risk Management", Glau, K., Scherer, M., and Zagst, R. (eds.); Springer, Cham; 75-92, pdf-file (Preprint Version); Open Access available here.
  • Pérez-Abreu, V. and Stelzer, R. (2014):
    Infinitely Divisible Multivariate and Matrix Gamma Distributions
    Journal of Multivariate Analysis, 130, 155-175,  pdf-file (Preprint Version)
  • Klüppelberg, C. and Stelzer, R. (2014):
    Dealing with Dependent Risks
    in "Risk - A multidisciplinary introduction", Klüppelberg, C., Straub, D., and Welpe, I. (eds.); Springer, Heidelberg, pdf-file (Preprint version)
  • Davis, R. A., Pfaffel, O., and Stelzer, R. (2014):
    Limit Theory for the Largest Eigenvalues of Sample Covariance Matrices with Heavy Tails
    Stochastic Processes and Their Applications, 124 no. 1, 18-50,  pdf-file (Preprint version)
  • Moser, M. and Stelzer, R. (2013):
    Functional Regular Variation of Lévy-driven Multivariate Mixed Moving Average Processes
    Extremes, 16 no. 3, 351-382, 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 Probability21 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 Application
    s, 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.

Edited Books

  • Podolskij, M., Stelzer, R., Thorbjørnsen, St., Veraart, A. E. D., (2016):
    The Fascination of Probability, Statistics and their Applications
    In Honour of Ole E. Barndorff-Nielsen
    Springer, Cham, ebook available at SpringerLink

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
    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

Reviewing Activities


Since March 2006 I write regularly reviews for Mathematical Reviews.