Franke, Jürgen 1952
Overview
Works:  34 works in 166 publications in 2 languages and 2,704 library holdings 

Genres:  Conference papers and proceedings Handbooks and manuals 
Roles:  Author, dgs, Editor, Creator, Other 
Publication Timeline
.
Most widely held works by
Jürgen Franke
Statistics of financial markets : an introduction by
Jürgen Franke(
)
60 editions published between 2004 and 2015 in English and held by 1,594 WorldCat member libraries worldwide
"Statistics of Financial Markets presents in a vivid yet concise style the necessary statistical and mathematical background for Financial Engineers and introduces to the main ideas in mathematical finance and financial statistics. Topics covered are, among others, option valuation, financial time series analysis, valueatrisk, copulas, and statistics of the extremes."BOOK JACKET
60 editions published between 2004 and 2015 in English and held by 1,594 WorldCat member libraries worldwide
"Statistics of Financial Markets presents in a vivid yet concise style the necessary statistical and mathematical background for Financial Engineers and introduces to the main ideas in mathematical finance and financial statistics. Topics covered are, among others, option valuation, financial time series analysis, valueatrisk, copulas, and statistics of the extremes."BOOK JACKET
Robust and nonlinear time series analysis : proceedings of a workshop organized by the Sonderforschungsbereich 123 "Stochastische
Mathematische Modelle", Heidelberg 1983 by
Jürgen Franke(
Book
)
26 editions published in 1984 in English and held by 369 WorldCat member libraries worldwide
Classical time series methods are based on the assumption that a particular stochastic process model generates the observed data. The, most commonly used assumption is that the data is a realization of a stationary Gaussian process. However, since the Gaussian assumption is a fairly stringent one, this assumption is frequently replaced by the weaker assumption that the process is wide~sense stationary and that only the mean and covariance sequence is specified. This approach of specifying the probabilistic behavior only up to "second order" has of course been extremely popular from a theoretical point of view be cause it has allowed one to treat a large variety of problems, such as prediction, filtering and smoothing, using the geometry of Hilbert spaces. While the literature abounds with a variety of optimal estimation results based on either the Gaussian assumption or the specification of secondorder properties, time series workers have not always believed in the literal truth of either the Gaussian or secondorder specifica tion. They have nonetheless stressed the importance of such optimali ty results, probably for two main reasons: First, the results come from a rich and very workable theory. Second, the researchers often relied on a vague belief in a kind of continuity principle according to which the results of time series inference would change only a small amount if the actual model deviated only a small amount from the assum ed model
26 editions published in 1984 in English and held by 369 WorldCat member libraries worldwide
Classical time series methods are based on the assumption that a particular stochastic process model generates the observed data. The, most commonly used assumption is that the data is a realization of a stationary Gaussian process. However, since the Gaussian assumption is a fairly stringent one, this assumption is frequently replaced by the weaker assumption that the process is wide~sense stationary and that only the mean and covariance sequence is specified. This approach of specifying the probabilistic behavior only up to "second order" has of course been extremely popular from a theoretical point of view be cause it has allowed one to treat a large variety of problems, such as prediction, filtering and smoothing, using the geometry of Hilbert spaces. While the literature abounds with a variety of optimal estimation results based on either the Gaussian assumption or the specification of secondorder properties, time series workers have not always believed in the literal truth of either the Gaussian or secondorder specifica tion. They have nonetheless stressed the importance of such optimali ty results, probably for two main reasons: First, the results come from a rich and very workable theory. Second, the researchers often relied on a vague belief in a kind of continuity principle according to which the results of time series inference would change only a small amount if the actual model deviated only a small amount from the assum ed model
Measuring risk in complex stochastic systems by P Bickel(
Book
)
15 editions published in 2000 in English and held by 322 WorldCat member libraries worldwide
This collection of articles by leading researchers will be of interest to people working in the area of mathematical finance
15 editions published in 2000 in English and held by 322 WorldCat member libraries worldwide
This collection of articles by leading researchers will be of interest to people working in the area of mathematical finance
Einführung in die Statistik der Finanzmärkte by
Jürgen Franke(
Book
)
12 editions published between 1999 and 2004 in German and held by 225 WorldCat member libraries worldwide
Ebook Version unter www.xplorestat.de/ebooks/ebooks.html
12 editions published between 1999 and 2004 in German and held by 225 WorldCat member libraries worldwide
Ebook Version unter www.xplorestat.de/ebooks/ebooks.html
Ein Optimierungsproblem aus der stochastischen Navigation mit Phrasenbedingungen by
Jürgen Franke(
Book
)
6 editions published in 1979 in German and held by 27 WorldCat member libraries worldwide
6 editions published in 1979 in German and held by 27 WorldCat member libraries worldwide
Statistics of Financial Markets an Introduction by
Jürgen Franke(
)
7 editions published between 2008 and 2015 in English and held by 25 WorldCat member libraries worldwide
Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical application in finance. The reader will learn the basic methods of evaluating option contracts, analysing financial time series, selecting portfolios and managing risks making realistic assumptions of the market behaviour. The focus is both on the fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, thus making the book the ideal basis for lecturers, seminars and crash courses on the topic. For the third edition the book has been updated and extensively revised. Several new aspects have been included: new chapters on long memory models, copulae and CDO valuation. Practical exercises have been added, the solutions of which are provided in the book by S. Borak, W. Härdle and B. Lopez Cabrera (2010) ISBN 9783642111334. "Both R and Matlab Code, together with the data, can be downloaded by clicking on the Additional Information tab labeled "R and Matlab Code," which you will find on the righthand side of the webpage."
7 editions published between 2008 and 2015 in English and held by 25 WorldCat member libraries worldwide
Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical application in finance. The reader will learn the basic methods of evaluating option contracts, analysing financial time series, selecting portfolios and managing risks making realistic assumptions of the market behaviour. The focus is both on the fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, thus making the book the ideal basis for lecturers, seminars and crash courses on the topic. For the third edition the book has been updated and extensively revised. Several new aspects have been included: new chapters on long memory models, copulae and CDO valuation. Practical exercises have been added, the solutions of which are provided in the book by S. Borak, W. Härdle and B. Lopez Cabrera (2010) ISBN 9783642111334. "Both R and Matlab Code, together with the data, can be downloaded by clicking on the Additional Information tab labeled "R and Matlab Code," which you will find on the righthand side of the webpage."
Benutzungsführer. Im Anhang Die Benutzungsordnung by
Universitätsbibliothek (Leipzig)(
Book
)
5 editions published in 1971 in German and held by 22 WorldCat member libraries worldwide
5 editions published in 1971 in German and held by 22 WorldCat member libraries worldwide
Nonparametric Tests for Change Points in Hazard Functions under Random Censorship in Survival Analysis by Rumana Rois(
Book
)
1 edition published in 2017 in English and held by 16 WorldCat member libraries worldwide
1 edition published in 2017 in English and held by 16 WorldCat member libraries worldwide
Local Smoothing Methods with Regularization in Nonparametric Regression Models by
Mohammad Fawaz Kourabi(
)
1 edition published in 2011 in English and held by 15 WorldCat member libraries worldwide
1 edition published in 2011 in English and held by 15 WorldCat member libraries worldwide
An Iterative Plugin Algorithm for Optimal Bandwidth Selection in Kernel Intensity Estimation for Spatial Data by Pak Hang Lo(
Book
)
1 edition published in 2018 in English and held by 15 WorldCat member libraries worldwide
1 edition published in 2018 in English and held by 15 WorldCat member libraries worldwide
Multivariate firstorder integervalued autoregressions by
Jürgen Franke(
Book
)
3 editions published in 1993 in English and Undetermined and held by 13 WorldCat member libraries worldwide
3 editions published in 1993 in English and Undetermined and held by 13 WorldCat member libraries worldwide
Local stationarity for spatial data by
Danilo Pezo(
Book
)
1 edition published in 2018 in English and held by 10 WorldCat member libraries worldwide
1 edition published in 2018 in English and held by 10 WorldCat member libraries worldwide
Nonparametric estimators of GARCH processes by
Jürgen Franke(
Book
)
3 editions published in 2002 in English and held by 5 WorldCat member libraries worldwide
3 editions published in 2002 in English and held by 5 WorldCat member libraries worldwide
Properties of the nonparametric autoregressive bootstrap(
Book
)
2 editions published in 1998 in English and held by 5 WorldCat member libraries worldwide
We prove geometric ergodicity and absolute regularity of the nonparametric autoregressive bootstrap process. To this end, we revisit this problem for nonparametric autoregressive processes and give some quantitative conditions (i.e., with explicit constants) under which the mixing coefficients of such processes can be bounded by some exponentially decaying sequence. This is achieved by using wellestablished coupling techniques. Then we apply the result to the bootstrap process and propose some particular estimators of the autoregression function and of the density of the innovations for which the bootstrap process has the desired properties. Moreover, by using some "decoupling" argument, we show that the stationary density of the bootstrap process converges to that of the original process. As an illustration, we use the proposed bootstrap method to construct simultaneous confidence bands and supremumtype tests for the autoregression function as well as to approximate the distribution of the least squares estimator in a certain parametric model.  Bootstrap ; nonparametric autoregression ; coupling ; geometric ergodicity ; consistence
2 editions published in 1998 in English and held by 5 WorldCat member libraries worldwide
We prove geometric ergodicity and absolute regularity of the nonparametric autoregressive bootstrap process. To this end, we revisit this problem for nonparametric autoregressive processes and give some quantitative conditions (i.e., with explicit constants) under which the mixing coefficients of such processes can be bounded by some exponentially decaying sequence. This is achieved by using wellestablished coupling techniques. Then we apply the result to the bootstrap process and propose some particular estimators of the autoregression function and of the density of the innovations for which the bootstrap process has the desired properties. Moreover, by using some "decoupling" argument, we show that the stationary density of the bootstrap process converges to that of the original process. As an illustration, we use the proposed bootstrap method to construct simultaneous confidence bands and supremumtype tests for the autoregression function as well as to approximate the distribution of the least squares estimator in a certain parametric model.  Bootstrap ; nonparametric autoregression ; coupling ; geometric ergodicity ; consistence
A LevinsonDurbin recursion for ARMA processes by
Jürgen Franke(
Book
)
3 editions published in 1985 in English and German and held by 4 WorldCat member libraries worldwide
3 editions published in 1985 in English and German and held by 4 WorldCat member libraries worldwide
Bootstrap of kernel smoothing in nonlinear time series by
Jürgen Franke(
Book
)
2 editions published in 1997 in English and held by 4 WorldCat member libraries worldwide
Kernel smoothing in nonparametric autoregressive schemes offers a powerful tool in modelling time series. In this paper it is shown that the bootstrap can be used for estimating the distribution of kernel smoothers. This can be done by mimicking the stochastic nature of the whole process in the bootstrap resampling or by generating a simple regression model. Consistency of these bootstrap procedures will be shown
2 editions published in 1997 in English and held by 4 WorldCat member libraries worldwide
Kernel smoothing in nonparametric autoregressive schemes offers a powerful tool in modelling time series. In this paper it is shown that the bootstrap can be used for estimating the distribution of kernel smoothers. This can be done by mimicking the stochastic nature of the whole process in the bootstrap resampling or by generating a simple regression model. Consistency of these bootstrap procedures will be shown
Environmental policy and industrial structure in the Federal Republic of Germany by
Jürgen Franke(
Book
)
1 edition published in 1978 in English and held by 4 WorldCat member libraries worldwide
1 edition published in 1978 in English and held by 4 WorldCat member libraries worldwide
On the prediction of a discrete time series in the presence of correlated noise by
Jürgen Franke(
Book
)
1 edition published in 1982 in English and held by 3 WorldCat member libraries worldwide
1 edition published in 1982 in English and held by 3 WorldCat member libraries worldwide
A bootstrap test for comparing images in surface inspection by
Jürgen Franke(
Book
)
1 edition published in 2006 in English and held by 2 WorldCat member libraries worldwide
1 edition published in 2006 in English and held by 2 WorldCat member libraries worldwide
A Bernstein inequality for strongly mixing spatial random processes by
Eduardo Valenzuela Dominguez(
Book
)
1 edition published in 2005 in English and held by 2 WorldCat member libraries worldwide
1 edition published in 2005 in English and held by 2 WorldCat member libraries worldwide
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Related Identities
 Härdle, Wolfgang Other Editor
 Hafner, Christian Other Editor
 Martin, D. (Douglas) Other Editor
 Stahl, Gerhard Other Editor
 Sonderforschungsbereich 123"Stochastische Mathematische Modelle."
 Universitätsbibliothek
 Rois, Rumana Author
 Lo, Pak Hang Author
 Kourabi, Mohammad Fawaz Author
 Sonderforschungsbereich 123 "Stochastische Mathematische Modelle" $(1983 : Heidelberg)
Useful Links
Associated Subjects
Assetliability management Banks and banking Business mathematics Capital assets pricing model Capital marketMathematical models Derivative securities Derivative securitiesPricesMathematical models Econometrics Economics Economics, Mathematical Finance FinanceMathematical models FinanceStatistical methods InvestmentsMathematical models Martingales (Mathematics) Mathematical statistics Money market Risk managementMathematical models Robust statistics Statistics Stochastic approximation Timeseries analysis Universitätsbibliothek Leipzig
Covers
Alternative Names
Franke, J. 1952
Franke, J. (Jürgen), 1952
Franke, J., matematik
Franke, Jurgen
Jürgen Franke deutscher Mathematiker, Professor für Mathematik, Autor des Spiels Midgard
Jürgen Franke Duits wiskundige
Jürgen Franke German mathematician
Jürgen Franke mathématicien allemand
Jürgen Franke professor académico alemão
Jürgen Franke tysk matematikar
Jürgen Franke tysk matematiker
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