Homepage von Prof. Dr. Jeannette woerner

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Teaching

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Research interests

Modelling and statistical inference for continuous time financial models, especially stochastic volatility models and models with jump components. Analysis of market microstructure and model risk. Modelling of turbulence and climate data. Limit theorems for semimartingales, fractional Brownian motion and Gaussian processes.

Publications:

2002:
Expansions of transition distributions of Lévy processes in small time
2003:
Variational sums and power variation: a unifying approach to model selection and estimation in semimartingale models
Purely discontinuous Lévy Processes and Power Variation: inference for integrated volatility and the scale parameter
Local asymptotic normality for the scale parameter of stable processes
2004:
Estimating the skewness in discretely observed Lévy processes
2005:
Estimation of integrated volatility in stochastic volatility models
2006:
Power and Multipower Variation: inference for high frequency data
Power variation of some integral fractional processes
Analyzing the fine structure of continuous time stochastic processes
2007:
Inference in Lévy-type stochastic volatility models
A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes
2008:
Volatility estimates for high frequency data: market microstructure noise versus fractional Brownian motion models
2009:
Bipower Variation for Gaussian Processes with Stationary Increments
Convergence of certain functionals of integral fractional processes
2011:
Analyzing the fine structure of continuous time stochastic processes
A unifying approach to fractional Lévy processes
2014:
Statistical convergence of Markov experiments to diffusion limits
The Gumbel test for jumps instochastic volatility models