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



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