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