Profile of Dr. Elisabeth Leoff

Fields of Activity / Competences

• Regime switching models, i.a., filtering and consistency between time-continous and time-discrete models   
• Stochastic filtering, especially HMM and particle filters
• Loss extrapolation
• Risk modeling based on extreme value theory

 

Publications

Major Publications

• Krishnamurthy, V.; Leoff, E.; Sass, J.:
  Filterbased stochastic volatility in continuous-time hidden Markov models.
  Econometrics and Statistics, Online First, S. 5, ISSN: 2452-3062, (2016).

A collection of publications by Elisabeth Leoff in the Fraunhofer-Publica