Mathias Vetter

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We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower variation is proven. Under further assumptions we prove stable(More)
Properties of a specification test for the parametric form of the variance function in diffusion processes dXt = b (t,Xt) dt + σ (t,Xt) dWt are discussed. The test is based on the estimation of certain integrals of the volatility function. If the volatility function does not depend on the variable x it is known that the corresponding statistics have an(More)
This paper presents a Hayashi-Yoshida type estimator for the covariation matrix of continuous Itô semimartingales observed with noise. The coordinates of the multivariate process are assumed to be observed at highly frequent nonsynchronous points. The estimator of the covariation matrix is designed via a certain combination of the local averages and the(More)
Globally, the year 2003 is associated with one of the largest atmospheric CO2 rises on record. In the same year, Europe experienced an anomalously strong flux of CO2 from the land to the atmosphere associated with an exceptionally dry and hot summer in Western and Central Europe. In this study we analyze the magnitude of this carbon flux anomaly and key(More)
Assessing the ability of three land ecosystem models to simulate gross carbon uptake of forests from boreal to Mediterranean climate in Europe M. Jung, G. Le Maire, S. Zaehle, S. Luyssaert, M. Vetter, G. Churkina, P. Ciais, N. Viovy, and M. Reichstein Max Planck Institute for Biogeochemistry, Jena, Germany International Max Planck Research School on Earth(More)
Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the noise accumulates with the sampling frequency. This has lead to widespread use of constructing the realized variance, a sum of squared intraday returns, from sparsely sampled data, for example 5or 15minute returns. In this paper, we analyze(More)
In this paper we investigate the problem of measuring deviations from stationarity in locally stationary time series. Our approach is based on a direct estimate of the L2-distance between the spectral density of the locally stationary process and its best approximation by a spectral density of a stationary process. An explicit expression of the minimal(More)
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results from Jacod (2008) are generalized to the case of irregular observations. In the two-dimensional setup under non-synchronous observations, we derive a stable(More)