Imma Valentina Curato

89081 Ulm
"On the sample autocovariance of a Lèvy driven moving average process when sampled at a renewal sequence" with Dirk Brandes, Journal of Statistical Planning and Inference, Vol. 203 (2019), 20-38.
"Weak dependence and GMM estimation for supOU and mixed moving average processes" with Robert Stelzer, Electronic Journal of Statistics, Vol. 13, 1 (2019), 310-360.
"Estimation of the Stochastic Leverage Effect Using the Fourier Transform Method", Stochastic Processes and their Applications, Vol. 129 (2019) 3207-3238.
"Spot volatility estimation using the Laplace transform" , with Maria Elvira Mancino and Maria Cristina Recchioni, Econometrics and Statistics, Vol. 6 (2018), 22--43.
"High frequency volatility of volatility estimation free from spot volatility estimates", with Maria Elvira Mancino and Simona Sanfelici, Quantitative Finance, Vol. 15, 8 (2015), 1331–1345.
"Measuring the leverage effect in a high frequency trading framework", with Simona Sanfelici, In "Handbook of High Frequency Trading", (2015), G.N. Gregoriou Ed., Elsevier, 425-446.
"Inheritance of strong mixing and weak dependence under renewal sampling" with Dirk Brandes and Robert Stelzer.
"Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields", with Robert Stelzer and Bennet Ströh.
"Stochastic leverage effect in high frequency data: a Fourier based analysis", with Simona Sanfelici.
" Freeze and bid-ask spread in the sovereign bond market ", with Philippe Moutot.
Winter 2020/2021
Summer 2020
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