Peter Buhlmann

Swiss Federal Institute of Technology Zurich (ETH)

Professor

ETH-Zentrum

LEO C17

CH-8092 Zurich

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

194

CITATIONS

0

Scholarly Papers (3)

1.

Splines for Financial Volatility

University of St. Gallen Department of Economics Discussion Paper No. 2007-11
Number of pages: 25 Posted: 02 May 2007
Francesco Audrino and Peter Buhlmann
University of St. Gallen and Swiss Federal Institute of Technology Zurich (ETH)
Downloads 187 (128,286)

Abstract:

Boosting, B-splines, Conditional variance, Financial time series, GARCH model, Volatility

2.

High-Dimensional Statistics with a View Toward Applications in Biology

Annual Review of Statistics and Its Application, Vol. 1, Issue 1, pp. 255-278, 2014
Posted: 07 Mar 2014
Peter Buhlmann, Markus Kalisch and Lukas Meier
Swiss Federal Institute of Technology Zurich (ETH), ETH Zurich - Seminar for Statistics and ETH Zurich - Seminar for Statistics

Abstract:

3.

Synchronizing Multivariate Financial Time Series

ETH Zurich, Seminar fur Statistik Research Report No. 97
Posted: 16 Oct 2002
Francesco Audrino and Peter Buhlmann
University of St. Gallen and Swiss Federal Institute of Technology Zurich (ETH)

Abstract:

CCC-GARCH model, Expected shortfall, Multivariate time series, Likelihood estimation, Value at Risk