Robert Stelzer

Multivariate CARMA processes

Tina Marquardt, Robert Stelzer · Stochastic Processes and their Applications · 2006 · 101 citations · Full text

Stationarity and geometric ergodicity of BEKK multivariate GARCH models

Farid Boussama, Florian Fuchs, Robert Stelzer · Stochastic Processes and their Applications · 2011 · 97 citations · Full text

Business, Economics, Finance +14

Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes

Ole E. Barndorff–Nielsen, Robert Stelzer · Scandinavian Journal of Statistics · 2005 · 95 citations · Full text

Natural Sciences, Mathematics, Financial Econometrics +8

Multivariate supOU processes

Ole E. Barndorff–Nielsen, Robert Stelzer · The Annals of Applied Probability · 2010 · 85 citations · Full text

Engineering, Industrial Engineering, Memory +13

On strong solutions for positive definite jump diffusions

Eberhard Mayerhofer, Oliver Pfaffel, Robert Stelzer · Stochastic Processes and their Applications · 2011 · 73 citations

Engineering, Physics, Dynamical Systems +12