Concepedia
Statistics
Publications
28
Citations
1.9K
H-Index
19
Active since
1958
Affiliations
Ruhr University Bochum(Current)
Aarhus University
National Institute of Standards and Technology
ETH Zurich
Heidelberg University
Mathias Vetter is an author at Ruhr University Bochum specializing in stochastic processes, engineering, and financial economics.
Publications per year
1958–2017
Microstructure noise in the continuous case: The pre-averaging approach
Jean Jacod, Yingying Li, Per A. Mykland et al. · Stochastic Processes and their Applications · 2008 · 722 citations
Natural Sciences, Mathematics, Physics +16
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Mark Podolskij, Mathias Vetter · Bernoulli · 2009 · 310 citations · Full text
Business, Business Economics, Financial Economics +16
Bipower-type estimation in a noisy diffusion setting
Mark Podolskij, Mathias Vetter · Stochastic Processes and their Applications · 2009 · 112 citations
Engineering, Finance, Mathematics +17
A Measure of Stationarity in Locally Stationary Processes With Applications to Testing
Holger Dette, Philip Preuß, Mathias Vetter · Journal of the American Statistical Association · 2011 · 77 citations
Natural Sciences, Biostatistics, Mathematics +15
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
Kim Christensen, Mark Podolskij, Mathias Vetter · Journal of Multivariate Analysis · 2013 · 76 citations · Full text
Engineering, Industrial Engineering, Stochastic Modeling +15
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