Statistics Group
Institute of Applied Mathematics
Faculty of mathematics
Universität Heidelberg

uni-logo.gif Ruprecht Karls Universität Heidelberg
Institute of Applied Mathematics 
Rainer Dahlhaus 

Publications and Preprints PDF

Selected Recent Papers:

Locally Stationary Processes:

Dahlhaus, R. (2012). Locally stationary processes. Handbook of Statistics, 30. PDF arXiv

Empirical Finance:

Dahlhaus, R. and Neddermeyer, J.C. (2010). Particle filter-based on-line estimation of spot volatility with nonlinear market microstructure noise models. PDF arXiv

Phase Synchronization:

Dahlhaus, R. and Neddermeyer, J.C. (2012). On the relationship between the theory of cointegration and the theory of phase synchronization. PDF arXiv