Publications and Preprints

see also arxiv

• Stelzer, R., Ströh, B. (2022):
  Asymptotics of Time-varying Processes in Continuous-Time using Locally Stationary Approximations
  submitted for publication, pdf-file

see also Google Scholar, Researcher ID (Web of Science), Scopus, MathSciNet or Zentralblatt Math.

• Bitter, A., Stelzer, R., Ströh, B. (2023):
  Continuous-time Locally Stationary Time Series Models
  Advances in Applied Probability, 55 no. 3, 965 - 998, pdf-file (Preprint Version)
• Brandes, D.-P., Curato, I. and Stelzer, R. (2023):
  Inheritance of Strong Mixing and Weak Dependence under Renewal Sampling
  Journal of Applied Probability, 60 no. 2, 435 - 451, pdf-file (Preprint Version)
• Belak, Ch., Chen, A., Mereu, C. and Stelzer, R. (2022):
  Optimal Investment with Time-varying Stochastic Endowments
  SIAM Journal on Financial Mathematics,  13 no. 3, 969 - 1003, pdf-file (Preprint Version)
• Curato, I., Stelzer, R. and Ströh, B. (2022):
  Central Limit Theorems for Stationary Random Fields under Weak Dependence with Application to Ambit and Mixed Moving Average Fields
  Annals of Applied Probability, 32 no. 3, 1814 - 1861, pdf-file (Preprint Version)
• do Rêgo Sousa, Th. and Stelzer, R. (2022):
  Moment based Estimation for the Multivariate COGARCH(1,1) Process
  Scandinavian Journal of Statistics, 49 no. 2, 681 - 717, pdf-file (Preprint Version)
• Stelzer, R. and Vestweber, J. (2021):
  Geometric Ergodicity of the Multivariate COGARCH(1,1) process
  Stochastics, 93 no. 7, 959-992, pdf-file (Preprint Version)
• Mayerhofer, E., Stelzer, R. and Vestweber, J. (2020):
  Geometric Ergodicity of Affine Processes on Cones,
  Stochastic Processes and Their Applications, 130 no.  7, 4141 - 4173, pdf-file (Preprint Version)
• Curato, I. and Stelzer, R. (2019):
  Weak Dependence and GMM Estimation of supOU and Mixed Moving Average Processes
  Electronic Journal of Statistics, 13 no. 1, 310 - 360, pdf-file (Preprint version)
• Fechner, Z. and Stelzer, R. (2018):
  Limit Behaviour of the Truncated Pathwise Fourier-transformation of Lévy-driven CARMA Processes for Non-equidistant Discrete Time Observations
  Statistica Sinica, 28 no. 3, 1633-1650 (+ online supplement), 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 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.

• 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

• Chen, A., Mereu, C. and Stelzer, R. (2015):
  Target Date Funds: Marketing or Finance?
  Working paper, pdf-file
• Pigorsch, C. and Stelzer, R. (2009):
  A Multivariate Ornstein-Uhlenbeck Type Stochastic Volatility Model
  Working Paper, pdf-file

• 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

Since March 2006 I write regularly reviews for Mathematical Reviews.