From Statistics to Mathematical Finance: Festschrift in Honour of Winfried Stute

Front Matter ....Pages i-xiii
Front Matter ....Pages 1-1
 An Odyssey to Incomplete Data: Winfried Stute’s Contribution to Survival Analysis  (Jane-Ling Wang)....Pages 3-23
 The Kaplan-Meier Integral in the Presence of Covariates: A Review  (Thomas A. Gerds, Jan Beyersmann, Liis Starkopf, Sandra Frank, Mark J. van der Laan, Martin Schumacher)....Pages 25-41
 Semi-parametric Random Censorship Models  (Gerhard Dikta)....Pages 43-56
 Nonparametric Estimation of an Event-Free Survival Distribution Under Cross-Sectional Sampling  (Jacobo de Uña-Álvarez)....Pages 57-67
Front Matter ....Pages 69-69
 On the Asymptotic Efficiency of Directional Models Checks for Regression   (Miguel A. Delgado, Juan Carlos Escanciano)....Pages 71-87
 Goodness–of–Fit Test for Stochastic Volatility Models  (Wenceslao González-Manteiga, Jorge Passamani Zubelli, Abelardo Monsalve-Cobis, Manuel Febrero-Bande)....Pages 89-104
 A Review on Dimension-Reduction Based Tests For Regressions  (Xu Guo, Lixing Zhu)....Pages 105-125
Front Matter ....Pages 127-127
 Asymptotic Tail Bounds for the Dempfle-Stute Estimator in General Regression Models  (Dietmar Ferger)....Pages 129-156
 On Empirical Distribution Functions Under Auxiliary Information  (Erich Haeusler)....Pages 157-172
 A Review and Some New Proposals for Bandwidth Selection in Nonparametric Density Estimation for Dependent Data  (Inés Barbeito, Ricardo Cao)....Pages 173-208
 Estimating the Error Distribution in a Single-Index Model  (Hira L. Koul, Ursula U. Müller, Anton Schick)....Pages 209-233
 Bounds and Approximations for Distributions of Weighted Kolmogorov-Smirnov Tests  (Nino Kordzakhia, Alexander Novikov)....Pages 235-250
 Nonparametric Stopping Rules for Detecting Small Changes in Location and Scale Families  (P. K. Bhattacharya, Hong Zhou)....Pages 251-271
 Change Point Detection with Multivariate Observations Based on Characteristic Functions  (Zdeněk Hlávka, Marie Hušková, Simos G. Meintanis)....Pages 273-290
 Kader—An R Package for Nonparametric Kernel Adjusted Density Estimation and Regression  (Gerrit Eichner)....Pages 291-315
 Limiting Experiments and Asymptotic Bounds on the Performance of Sequence of Estimators  (Debasis Bhattacharya, George G. Roussas)....Pages 317-342
Front Matter ....Pages 343-343
 Risk Bounds and Partial Dependence Information  (Ludger Rüschendorf)....Pages 345-366
 Shot-Noise Processes in Finance  (Thorsten Schmidt)....Pages 367-385
 A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk  (Patrick Bäurer, Ernst Eberlein)....Pages 387-416
 Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model  (L. Overbeck, J. Weckend)....Pages 417-425
Front Matter ....Pages 427-427
 Hierarchical Organizations and Glass Ceiling Effects  (María Paz Espinosa, Eva Ferreira)....Pages 429-440