Browsing by Author "Reiss, Markus"

Now showing items 1-5 of 5

2005-08-02Diskussionspapier

Discretisation of Stochastic Control Problems for Continuous Time Dynamics with Delay

Fischer, Markus; Reiss, Markus

As a main step in the numerical solution of control problems in continuous time, the controlled process is approximated by sequences of controlled Markov chains, thus discretizing time and space. A new feature in this ...
2013-04-25Diskussionspapier

Estimating the Quadratic Covariation Matrix from Noisy Observations

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; Reiss, Markus

An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. ...
2014-11-08Diskussionspapier

Estimating the SpotCovariation of Asset Prices

Bibinger, Markus; Reiss, Markus; Hautsch, Nikolaus; Malec, Peter

We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed ...
2014-09-26Diskussionspapier

Improved volatility estimation based on limit order books

Bibinger, Markus; Jirak, Moritz; Reiss, Markus

For a semi-martingale Xt, which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation hX;Xit is con- structed based on observations in the vicinity of Xt. The problem is embedded in a Poisson ...
2010-10-11Zeitschriftenartikel

On rate optimality for ill-posed inverse problems in econometrics

Chen, Xiaohong; Reiss, Markus

In this paper we clarify the relations between the existing sets of regularity conditions for convergence rates of nonparametric indirect regression (NPIR) and nonparametric instrumental variables (NPIV) regression models. ...