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Project Groups
Stochastic processes and spatio-temporal modelling
- Space-time dynamics of ambit processes. Source: Ole Barndorff-Nielsen and Jürgen Schmiegel (2005), Thiele Report 14
Principal investigators:
Ole E. Barndorff-Nielsen, Jürgen Schmiegel
Project members:
Søren Asmussen, Andreas Basse, Eva B. Vedel Jensen, Steen Thorbjørnsen
Research partners:
- Hans Eggers, University of Stellenbosch
- Svend Eric Graversen, Aarhus University
- Alexander Lindner, TU Braunschweig
- Asger Lunde, Aarhus School of Business
- Mark Podolskij, Ruhr-University Bochum
- Neil Shepard, University of Oxford
- Albert Shiryaev, Steklov Mathematical Institute
Focus Points:
Ambit processes, multipower variation, turbulence
Recent publications
- Brownian Semistationary Processes and Volatility/Intermittency
Ole E. Barndorff-Nielsen and Jürgen Schmiegel - Integrability of seminorms
Andreas Basse - Time Change, Volatility, and Turbulence Ole E. Barndorff-Nielsen and Jürgen Schmiegel, Preprint
- Particle sizes from sectional data by Zbynek Pawlas, Jens R. Nyengaard and Eva B. Vedel Jensen, Preprint
- Time Change and Universality in Turbulence and Finance by Ole E. Barndorff-Nielsen, Jürgen Schmiegel and Neil Shephard, Preprint