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    Reference Work Entry In depth

    Martingales

    Rüdiger Kiesel in International Encyclopedia of Statistical Science (2011)

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    Chapter

    Estimating Volatility for Long Holding Periods

    The problem of estimating volatility is one of the most important topics in modern finance. Accurate specification of volatility is a prerequisite for modelling financial time series, such as interest rates or...

    Rüdiger Kiesel, William Perraudin… in Measuring Risk in Complex Stochastic Syste… (2000)

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    Article

    Strong Laws and Summability for φ-Mixing Sequences of Random Variables

    In this note the almost sure convergence of stationary, φ-mixing sequences of random variables according to summability methods is linked to the fulfillment of a certain integrability condition generalizing an...

    Rüdiger Kiesel in Journal of Theoretical Probability (1998)

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    Article

    Erdős-Rényi-Shepp laws and weighted sums of independent identically distributed random variables

    LetX 0,X 1,X 2,... be i.i.d. random variables withE(X 0)=0,E(X 0 2 )=1,E(exp{tX o}<∞ (|t|<t 0) and partial sumsS n . Startin...

    Rüdiger Kiesel, Ulrich Stadtmüller in Journal of Theoretical Probability (1996)