The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. BarndorffNielsenMark Podolskij, Robert Stelzer, Steen Thorbjørnsen, Almut E. D. Veraart Collecting together twentythree selfcontained articles, this volume presents the current research of a number of renowned scientists in both probability theory and statistics as well as their various applications in economics, finance, the physics of windblown sand, queueing systems, risk assessment, turbulence and other areas. The contributions are dedicated to and inspired by the research of Ole E. BarndorffNielsen who, since the early 1960s, has been and continues to be a very active and influential researcher working on a wide range of important problems. The topics covered include, but are not limited to, econometrics, exponential families, Lévy processes and infinitely divisible distributions, limit theory, mathematical finance, random matrices, risk assessment, statistical inference for stochastic processes, stochastic analysis and optimal control, time series, and turbulence. The book will be of interest to researchers and graduate students in probability, statistics and their applications.

What people are saying  Write a review
Contents
1  
15  
28  
Associated Natural Exponential Families and Elliptic Functions  53 
Cumulants and Bartlett Identities in Cox Regression  85 
Exchangeability and Infinite Divisibility  98 
Review of Recent Results  127 
Weak Stationarity of OrnsteinUhlenbeck Processes with Stochastic Speed of Mean Reversion  153 
The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes  282 
Generalised Partial Autocorrelations and the Mutual Information Between Past and Future  303 
Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices  316 
Model Selection for Volatility Prediction  343 
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data  361 
Examples and Simple Bounds  395 
A Beaufort Scale of Predictability  418 
A Stochastic HJB Equation for Optimal Control of ForwardBackward SDEs  435 
An Applied Perspective  190 
Simulation of Stochastic Volterra Equations Driven by SpaceTime Lévy Noise  209 
On the Process of the Eigenvalues of a Hermitian Lévy process  230 
Likelihood Inference for ExponentialTrawl Processes  251 
CoCos with Extension Risk A Structural Approach  447 
Hedging Under WorstCaseScenario in a Market Driven by TimeChanged Lévy Noises  465 
Markov Renewal Methods in Restart Problems in Complex Systems  501 