Recent research papers


  1. Müller, G., Uhl, S. (2018)
    Time-Varying Autoregressive Models with Stochastically Scaled Stable Innovations.
    Preprint, Augsburg University.
  2. Seibert, A., Sirchenko, A., Müller, G. (2017)
    Modelling Policy Interest Rates using Cross-Nested AOP Models.
    Preprint, Augsburg University and Higher School of Economics Moscow.
  3. Buchmann, B., Müller, G. (2017)
    Time-Varying Nearly Alpha-Stable Additive Processes and their Application in Electricity Spot Price Modelling.
    Preprint, Australian National University and Augsburg University.
  4. Müller, G., Seibert, A. (2017)
    Bayesian Estimation of Stable CARMA Spot Models for Electricity Prices.
    Preprint, Augsburg University.

Publikationen

  1. Jacod, J., Klüppelberg, C., Müller, G. (2017)
    Testing for Non-Correlation Between Price and Volatility Jumps.
    Journal of Econometrics 197 (2) 284-297.
  2. James, L., Müller, G., Zhang, Z. (2015)
    Stochastic Volatility Models based on OU-Gamma Time Change: Theory and Estimation.
    Journal of Business and Economic Statistics, to appear
  3. Benth, F.E., Klüppelberg, C., Müller, G., Vos, L. (2014)
    Futures Pricing in Electricity Markets Based on Stable CARMA Spot Models.
    Energy Economics 44 392–406
  4. Buchmann, B., Müller, G. (2012)
    Limit Experiments of GARCH.
    Bernoulli 18 (1) 64-99.
  5. Jacod, J., Klüppelberg, C., Müller, G. (2012)
    Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data.
    Journal of Applied Probability 49 (4) 901-914.
  6. Schreiber, I., Müller, G., Klüppelberg, C., Wagner, N. (2012)
    Equities, Credits and Volatilities: A Multivariate Analysis of the European Market During the Sub-prime Crisis.
    International Review of Financial Analysis 24 (C) 57-65.
  7. Müller, G., Durand, R. B., Maller, R. A. (2011)
    The Risk Return Tradeoff: A COGARCH Analysis of Merton's Hypothesis.
    Journal of Empirical Finance 18 (2) 306-320.
  8. Fleischer, P., Maller, R. A., Müller, G. (2011)
    A Bayesian Analysis of Market Information Linkages among NAFTA Countries using a Multivariate SV Model.
    Journal of Economics and Finance 35 (2) 123-148.
  9. García, I., Klüppelberg, C., Müller, G. (2011)
    Estimation of Stable CARMA Models with an Application to Electricity Spot Prices.
    Statistical Modelling 11 (5) 447-470.
  10. Müller, G. (2010)
    MCMC Estimation of the COGARCH(1,1) Model.
    Journal of Financial Econometrics 8 (4) 481-510.
  11. Müller, G. (2010)
    Market Correlations in the Euro Changeover Period With a View to Portfolio Management.
    In: Böcker, K. (Ed.) Rethinking Risk Measurement and Reporting: Uncertainty, Bayesian Analysis and Expert Judgement, Vol. I. Risk Books, London, pp. 107-125.
  12. Gebhard, Ph., Müller, G., Böcker, K. (2010)
    Bayesian Estimation of Lévy Copulas for Multivariate Operational Risks.
    In: Böcker, K. (Ed.) Rethinking Risk Measurement and Reporting: Uncertainty, Bayesian Analysis and Expert Judgement, Vol. II. Risk Books, London, pp. 439-463.
  13. Czado, C., Müller, G., Nguyen, T. (2010)
    Ordinal- and Continuous-response SV Models for Price Changes: An Empirical Comparison.
    In: Kneib, T., Tutz, G. (Eds.) Statistical Modelling and Regression Structures - Festschrift in Honour of Ludwig Fahrmeir. Springer, Berlin, pp. 301-320.
  14. Czado, C., Heyn, A., Müller, G. (2010)
    Modeling Individual Migraine Severity with Autoregressive Ordered Probit Models.
    Statistical Methods and Applications 20 (1) 101-121.
  15. Müller, G., Durand, R. B., Maller, R. A., Klüppelberg, C. (2009)
    Analysis of Stock Market Volatility by Continuous-time GARCH models.
    In: Gregoriou, G.N. (Ed.) Stock Market Volatility. Chapman and Hall-CRC/Taylor and Francis, London, pp. 31-50.
  16. Müller, G., Czado, C. (2009)
    Stochastic Volatility Models for Ordinal Valued Time Series with Application to Finance.
    Statistical Modelling 9 (1) 69-95.
  17. Maller, R. A., Müller, G., Szimayer, A. (2009)
    Ornstein-Uhlenbeck Processes and Extensions.
    In: Andersen, T. G., Davis, R. A., Kreiß, J.-P., Mikosch, Th. (Eds.) Handbook of Financial Time Series. Springer, Berlin, pp. 421-437.
  18. Maller, R. A., Müller, G., Szimayer, A. (2008)
    GARCH Modelling in Continuous Time for Irregularly Spaced Time Series Data.
    Bernoulli 14 (2) 519-542.
  19. Müller, G., Czado, C. (2005)
    An Autoregressive Ordered Probit Model with Application to High-Frequency Finance.
    Journal of Computational and Graphical Statistics 14 (2) 320-338.

Technical Reports and Discussion Papers

  • Maller, R. A., Müller, G. (2010)
    On the Residuals of GARCH(1,1) and Extensions when Estimated by Maximum Likelihood.
    Technical Report, Australian National University and Technische Universität München.
  • Müller, G., Czado, C. (2006)
    Stochastic Volatility Models for Ordinal Valued Time Series with Application to Finance.
    SFB 386 „Statistische Analyse diskreter Strukturen”, Discussion Paper 504, Technische Universität München.
  • Czado, C., Heyn, A., Müller, G. (2005)
    Modeling Migraine Severity with Autoregressive Ordered Probit Models.
    SFB 386 „Statistische Analyse diskreter Strukturen”, Discussion Paper 463, Technische Universität München.
  • Müller, G., Czado, C., Antes, S., Rottenwallner, M. (2003)
    Regression Models for Ordinal Valued Time Series: Applications in High Frequency Finance and Medicine.
    SFB 386 „Statistische Analyse diskreter Strukturen”, Discussion Paper 335, Technische Universität München.
  • Müller, G., Czado, C. (2002)
    Regression Models for Ordinal Valued Time Series with Application to High Frequency Financial Data.
    SFB 386 „Statistische Analyse diskreter Strukturen”, Discussion Paper 301, Technische Universität München.

Theses

  • Müller, G. (2010)
    Statistical Methods for Time Series Analysis in Finance, Insurance and Electricity.
    Habilitation Thesis, Technische Universität München
  • Müller, G. (2004)
    Regression Models for Ordinal Valued Time Series: Estimation and Applications in Finance.
    PhD Thesis, Technische Universität München
  • Müller, G. (2000)
    Vorhersage bei Zeitreihen.
    Diploma Thesis, Julius-Maximilians-Universität Würzburg