Generalized Pareto Processes and Fund Liquidity Risk. (mit S. Desmettre, J. de Kock, F. Seyfried): erscheint bei Quantitative Finance; DOI: 10.1080/14697688.2017.1410214
Methode zur Berechnung eines Garantieschadens als sichere untere Schranke für den Gesamtschaden. (mit J. Franke, C. Erlwein-Sayer, E. Massini). medstra. Zeitschrift für Medizinstrafrecht 2, 67-79.
Statistical models for dynamics in extreme value processes. (with B. Spangl, S. Desmettre, P. Ruckdeschel). Proceedings of 30th International Workshop on Statistical Modelling, Johannes Kepler University Linz, July 6--10, 2015, Volume 1, H. Friedl, H. Wagner (Hrsg.), pp. 360--366, 2015.
Robust Worst-Case Optimal Investment. (with S. Desmettre, R. Korn, and F.T. Seifried). OR Spectrum, 37(3), 677--701, 2015
L_2 Differentiability of Generalized Linear Models. (with D. Pupashenko and M. Kohl). Statistics and Probability Letters. 97, 155--164, 2015
General Purpose Convolution Algorithm for Distributions in S4 Classes by Means of FFT. (with M. Kohl). Journal of Statistical Software. 59(4), 1--25, 2014
Robustification of an on-line EM algorithm for modelling asset prices within an HMM. (with C. Erlwein). In R. Mamon and R.J. Elliott (eds.): HMM in Finance. Vol 2: Further Developments and Applications. Chapter 1, pp. 1-31. Springer. DOI 10.1007/978-1-4899-7442-6_1, 2014
Robust Kalman tracking and smoothing with propagating and non-propagating outliers. (with B. Spangl and D. Pupashenko). Statistical Papers. 55(1), 93--123, 2014
Optimally-Robust Estimators in Generalized Pareto Models (with N. Horbenko ). Statistics 47(4), 762--791, 2013
Pricing American options in the Heston model: a close look at incorporating correlation (with T. Sayer and A. Szimayer). Journal of Derivatives 20(3), 9--29, 2013
Yet another breakdown point notion: EFSBP --illustrated at scale-shape models. (with N. Horbenko ). Metrika 75(8), 1025-1047, 2012
Bingo und Stochastik: Wieviele Spieler wie häufig und wieviel im allgemeinen Bingo gewinnen. (German) (with G. Kroisandt). Mathematische Semesterberichte 59(2), 155-181, 2012
Robust Estimation of Operational Risk. (with N. Horbenko and T. Bae). Journal of Operational Risk 6(2), 3-30, 2011
Fisher Information of Scale. (with H. Rieder). Statistics and Probability Letters. 80, 1881--1885, 2010
Robustness Properties of Estimators in Generalized Pareto Models. (with N. Horbenko). Berichte des Fraunhofer ITWM Nr.182, Fraunhofer ITWM, 2010
R package distrMod: Object-Oriented Implementation of Probability Models (with M. Kohl). Journal of Statistical Software 35(10), 1--27, 2010
Infinitesimally Robust Estimation in General Smoothly Parametrized Models (with M. Kohl and H. Rieder). Statistical Methods and Applications, 19, 333--354, 2010
Optimal robust influence functions in semiparametric regression (with R. Hable and H. Rieder). Journal of Statistical Planning and Inference, 140(1), 226--245, 2010
The costs of not knowing the radius (with H. Rieder and M. Kohl). Statistical Methods and Applications , 17(1), 13--40. Extended version, 2008
A motivation for 1/sqrt{n}-shrinking-neighborhoods. Metrika, 63(3), 295--307, 2008
S4 Classes for Distributions (with M. Kohl, T. Stabla, and F. Camphausen). R News, 6(2), 2--6, 2008
Optimal influence curves for general loss functions (with H. Rieder). Statistics and Decisions, 22, 201--223, 2004
Ansätze zur Robustifizierung des Kalman--Filters. Bayreuther Mathematische Schriften, volume 64, Bayreuth, 2001
Short proofs on $L_r$--Differentiability (with H. Rieder). Statistics and Decisions, 19, 419--425, 2001 Note (in German) on the the difficulties in Satz 1.193, Witting, H. (1985): Mathematische Statistik I, B.G. Teubner
for calculating the numerically exact MSE: MSEexact.R
for the calculation of optimal ICs according to Fraiman R., Yohai V.J. and Zamar R.H. (2001): Optimal robust M-estimates of location. Ann. Stat., 29(1): 194--223. FYZ.R
for the asymptotic terms, cniper points etc. asMSE.R
Robust Kalman filtering. In W. Härdle, Z. Hlávka, and S. Klinke, (eds), XploRe. Application Guide. Chapter~18, pp 483--516. Springer, Berlin-Heidelberg-New York (2000)
distr (with M. Kohl, T. Stabla and F. Camphausen); Vignette: "How to generate new distributions in packages 'distr', 'distrEx'"; link to current version.
distrSim (with M. Kohl, T. Stabla and F. Camphausen)
distrTEst (with M. Kohl, T. Stabla and F. Camphausen)
distrDoc (with M. Kohl, T. Stabla and F. Camphausen); Vignette: "S4 Classes for Distributions --- a manual for packages 'distr', 'distrEx', 'distrMod', 'distrSim', 'distrTEst', 'distrTeach', version <cur.ver>" link to current version.
