Privatdozentin Dr. Imma Valentina Curato
I currently hold a two-years Research Grant from the German Research Foundation (DFG) on "PAC Bayesian bounds for light cone, neighborhood, and trajectories data".
"Inheritance of strong mixing and weak dependence under renewal sampling" with Dirk Brandes and Robert Stelzer, accepted for publication in Journal of Applied Probability (2022).
"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, The Annals of Applied Probability (2022), Vol. 32, No. 3, 1814-1861.
"Stochastic leverage effect in high frequency data: a Fourier based analysis", with Simona Sanfelici, accepted for publication in Econometrics and Statistics, https://doi.org/10.1016/j.ecosta.2021.03.001. (2021)
"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. Erratum
"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.
Summer term 2019
Winter term 2018/2019
Summer term 2018
Winter term 2017/2018
Summer term 2017
Winter term 2016/2017
Summer term 2016
Winter term 2015/2016
Summer term 2015
Winter term 2014/2015
Summer term 2014
Winter term 2013/2014
Please make an appointment via e-mail.