Search Results - "Ristig, Alexander"

Hierarchical Archimedean Copulae: The HAC Package by Okhrin, Ostap, Ristig, Alexander

“…This paper presents the R package HAC, which provides user friendly methods for dealing with hierarchical Archimedean copulae (HAC). Computationally efficient…”
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Theoretical and empirical analysis of trading activity by Pohl, Mathias, Ristig, Alexander, Schachermayer, Walter, Tangpi, Ludovic

“…Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect,…”
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Penalized estimation of hierarchical Archimedean copula by Okhrin, Ostap, Ristig, Alexander

“…This manuscript discusses a novel estimation approach for parametric hierarchical Archimedean copula. The parameters and structure of this copula are…”
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Maximum-Likelihood Estimation Using the Zig-Zag Algorithm by Hautsch, Nikolaus, Okhrin, Ostap, Ristig, Alexander

“…Abstract We analyze the properties of the Maximum Likelihood (ML) estimator when the underlying log-likelihood function is numerically maximized with the…”
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Jump detection in high-frequency order prices by Bibinger, Markus, Hautsch, Nikolaus, Ristig, Alexander

“…We propose methods to infer jumps of a semi-martingale, which describes long-term price dynamics based on discrete, noisy, high-frequency observations…”
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Theoretical and empirical analysis of trading activity by Pohl, Mathias, Ristig, Alexander, Schachermayer, Walter, Tangpi, Ludovic

“…Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect,…”
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The amazing power of dimensional analysis: Quantifying market impact by Pohl, Mathias, Ristig, Alexander, Schachermayer, Walter, Tangpi, Ludovic

“…This note complements the inspiring work on dimensional analysis and market microstructure by Kyle and Obizhaeva [18]. Following closely these authors, our…”
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