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Browsing by Author Maller, Ross

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A Bayesian Analysis of Market Information Linkages among NAFTA Countries using a Multivariate Stochastic Volatility Model

Author(s)Fleischer, Petra; Maller, Ross; Muller, Gernot
TypeJournal article
Date Published2009
Date Created-

A best choice among asset pricing models? The conditional capital asset pricing model in Australia

Author(s)Durack, Nick; Durand, Robert; Maller, Ross
TypeJournal article
Date Published2004
Date Created-

A characterization of small and large time limit laws for self-normalized Lévy processes

Author(s)Maller, Ross; Mason, David M
TypeBook chapter
Date Published2013
Date Created-

A continous-time GARCH process driven by a Levy process: stationarity and second-order behaviour

Author(s)Kluppelberg, Claudia; Lindner, Alexander; Maller, Ross
TypeJournal article
Date Published2004
Date Created-

A generalized skewness statistic for stationary ergodic martingale differences

Author(s)Kaehler, Benjamin; Maller, Ross
TypeJournal article
Date Published2010
Date Created-

A Multinomial Approximation for American Option Prices in Levy Process Models

Author(s)Maller, Ross; Solomon, David H; Szimayer, Alexander
TypeJournal article
Date Published2006
Date Created-
01_Doney_Almost_sure_relative_stability_2007.pdf.jpg

Almost sure relative stability of the overshoot of power law boundaries

Author(s)Doney, R A; Maller, Ross
TypeJournal article
Date Published2007
Date Created-

An almost sure functional limit theorem at zero for a class of Levy processes normed by the square root function, and applications

Author(s)Buchmann, Boris; Maller, Ross; Szimayer, Alex
TypeJournal article
Date Published2008
Date Created-
01_Muller_Analysis_of_Stock_Market_2009.pdf.jpg

Analysis of Stock Market Volatility by Continuous-time GARCH Models

Author(s)Muller, Gernot; Durand, Robert; Maller, Ross, et al
TypeBook chapter
Date Published2009
Date Created-

Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases

Author(s)Griffin, Philip S; Maller, Ross; van Schaik, Kees
TypeJournal article
Date Published2012
Date Created-

Asymptotics of regressions with stationary and nonstationary residuals

Author(s)Maller, Ross
TypeJournal article
Date Published2003
Date Created-

Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models

Author(s)Kluppelberg, Claudia; Lindner, Alexander; Maller, Ross
TypeBook chapter
Date Published2006
Date Created-

Converge in distribution of Levy processes at small times with self-normalization

Author(s)Maller, Ross; Mason, David M
TypeJournal article
Date Published2008
Date Created-

Cramers estimate for a reflected Levy process

Author(s)Doney, R A; Maller, Ross
TypeJournal article
Date Published2005
Date Created-

Curve crossing for random walks reflected at their maximum

Author(s)Doney, R A; Maller, Ross
TypeJournal article
Date Published2007
Date Created-

Distributional representations and dominance of a Lévy process over its maximal jump processes

Author(s)Buchmann, Boris; Fan, Yuguang; Maller, Ross
TypeJournal article
Date Published2016
Date Created-

Drift to Infinity and the Strong Law for Subordinated Random Walks and Levy Processes

Author(s)Erickson, K Bruce; Maller, Ross
TypeJournal article
Date Published2005
Date Created-

Finite approximation schemes for Levy processes, and their application to optimal stopping problems

Author(s)Szimayer, Alexander; Maller, Ross
TypeJournal article
Date Published2007
Date Created-

Finite time ruin probabilities for tempered stable insurance risk processes

Author(s)Griffin, Philip S; Maller, Ross; Roberts, Dale
TypeJournal article
Date Published2013
Date Created-

Finiteness of Integrals of Functions of Levy Processes

Author(s)Erickson, K Bruce; Maller, Ross
TypeJournal article
Date Published2007
Date Created-

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