Works matching AU Klüppelberg, Claudia

Results: 44

An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations.

Published in:

Journal of Nonparametric Statistics, 2011, v. 23, n. 4, p. 967, doi. 10.1080/10485252.2011.581375

By:

Ueltzhöfer, Florian A.J.;
Klüppelberg, Claudia

Publication type:

Article

Ruin probabilities for risk processes in a bipartite network.

Published in:

Stochastic Models, 2020, v. 36, n. 4, p. 548, doi. 10.1080/15326349.2020.1760109

By:

Behme, Anita;
Klüppelberg, Claudia;
Reinert, Gesine

Publication type:

Article

Density Functional Theory and Optimal Transportation with Coulomb Cost.

Published in:

Communications on Pure & Applied Mathematics, 2013, v. 66, n. 4, p. 548, doi. 10.1002/cpa.21437

By:

Cotar, Codina;
Friesecke, Gero;
Klüppelberg, Claudia

Publication type:

Article

Tail probabilities of random linear functions of regularly varying random vectors.

Published in:

Extremes, 2022, v. 25, n. 4, p. 721, doi. 10.1007/s10687-021-00432-4

By:

Das, Bikramjit;
Fasen-Hartmann, Vicky;
Klüppelberg, Claudia

Publication type:

Article

Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes.

Published in:

Extremes, 2019, v. 22, n. 2, p. 223, doi. 10.1007/s10687-018-0340-x

By:

Buhl, Sven;
Klüppelberg, Claudia

Publication type:

Article

Anisotropic Brown-Resnick space-time processes: estimation and model assessment.

Published in:

Extremes, 2016, v. 19, n. 4, p. 627, doi. 10.1007/s10687-016-0257-1

By:

Buhl, Sven;
Klüppelberg, Claudia

Publication type:

Article

Bounds for randomly shared risk of heavy-tailed loss factors.

Published in:

Extremes, 2016, v. 19, n. 4, p. 719, doi. 10.1007/s10687-016-0248-2

By:

Kley, Oliver;
Klüppelberg, Claudia

Publication type:

Article

High-level dependence in time series models.

Published in:

Extremes, 2010, v. 13, n. 1, p. 1, doi. 10.1007/s10687-009-0084-8

By:

Vicky Fasen;
Claudia Klüppelberg;
Schlather, Martin

Publication type:

Article

Indirect inference for time series using the empirical characteristic function and control variates.

Published in:

Journal of Time Series Analysis, 2021, v. 42, n. 5/6, p. 653, doi. 10.1111/jtsa.12582

By:

Davis, Richard A.;
do Rêgo Sousa, Thiago;
Klüppelberg, Claudia

Publication type:

Article

TWO-STEP ESTIMATION OF A MULTI-VARIATE LÉVY PROCESS.

Published in:

Journal of Time Series Analysis, 2013, v. 34, n. 6, p. 668, doi. 10.1111/jtsa.12042

By:

Esmaeili, Habib;
Klüppelberg, Claudia

Publication type:

Article

High-frequency sampling and kernel estimation for continuous-time moving average processes.

Published in:

Journal of Time Series Analysis, 2013, v. 34, n. 3, p. 385, doi. 10.1111/jtsa.12022

By:

Brockwell, Peter J.;
Ferrazzano, Vincenzo;
Klüppelberg, Claudia

Publication type:

Article

High-frequency sampling of a continuous-time ARMA process.

Published in:

Journal of Time Series Analysis, 2012, v. 33, n. 1, p. 152, doi. 10.1111/j.1467-9892.2011.00748.x

By:

Brockwell, Peter J.;
Ferrazzano, Vincenzo;
Klüppelberg, Claudia

Publication type:

Article

GENERALIZED FRACTIONAL LÉVY PROCESSES WITH FRACTIONAL BROWNIAN MOTION LIMIT.

Published in:

Advances in Applied Probability, 2015, v. 47, n. 4, p. 1108

By:

KLÜPPELBERG, CLAUDIA;
MATSUI, MUNEYA

Publication type:

Article

PARETO LÉVY MEASURES AND MULTIVARIATE REGULAR VARIATION.

Published in:

Advances in Applied Probability, 2012, v. 44, n. 1, p. 117, doi. 10.1239/aap/1331216647

By:

Eder, Irmingard;
Klüppelberg, Claudia

Publication type:

Article

Fractionally Integrated COGARCH Processes.

Published in:

Journal of Financial Econometrics, 2018, v. 16, n. 4, p. 599, doi. 10.1093/jjfinec/nby020

By:

Haug, Stephan;
Klüppelberg, Claudia;
Straub, German

Publication type:

Article

Electricity spot price modelling with a view towards extreme spike risk.

Published in:

Quantitative Finance, 2010, v. 10, n. 9, p. 963, doi. 10.1080/14697680903150496

By:

Klüppelberg, Claudia;
Meyer-Brandis, Thilo;
Schmidt, Andrea

Publication type:

Article

Multivariate models for operational risk.

Published in:

Quantitative Finance, 2010, v. 10, n. 8, p. 855, doi. 10.1080/14697680903358222

By:

Böcker, Klaus;
Klüppelberg, Claudia

Publication type:

Article

Time series of functional data with application to yield curves.

Published in:

Applied Stochastic Models in Business & Industry, 2019, v. 35, n. 4, p. 1028, doi. 10.1002/asmb.2443

By:

Sen, Rituparna;
Klüppelberg, Claudia

Publication type:

Article

Explicit results on conditional distributions of generalized exponential mixtures.

Published in:

Journal of Applied Probability, 2020, v. 57, n. 3, p. 760, doi. 10.1017/jpr.2020.26

By:

Klüppelberg, Claudia;
Seifert, Miriam Isabel

Publication type:

Article

ASYMMETRIC COGARCH PROCESSES.

Published in:

Journal of Applied Probability, 2014, v. 51A, p. 161, doi. 10.1017/S0021900200021252

By:

BEHME, ANITA;
KLÜPPELBERG, CLAUDIA;
MAYR, KATHRIN

Publication type:

Article

CONDITIONAL DISTRIBUTIONS OF PROCESSES RELATED TO FRACTIONAL BROWNIAN MOTION.

Published in:

Journal of Applied Probability, 2013, v. 50, n. 1, p. 166, doi. 10.1239/jap/1363784431

By:

FINK, HOLGER;
KLÜPPELBERG, CLAUDIA;
ZÄHLE, MARTINA

Publication type:

Article

FUNCTIONAL RELATIONSHIPS BETWEEN PRICE AND VOLATILITY JUMPS AND THEIR CONSEQUENCES FOR DISCRETELY OBSERVED DATA.

Published in:

Journal of Applied Probability, 2012, v. 49, n. 4, p. 901, doi. 10.1239/jap/1354716647

By:

JACOD, JEAN;
KLÜPPELBERG, CLAUDIA;
MÜLLER, GERNOT

Publication type:

Article

THE PARETO COPULA, AGGREGATION OF RISKS, AND THE EMPEROR'S SOCKS.

Published in:

Journal of Applied Probability, 2008, v. 45, n. 1, p. 67

By:

Klüppelberg, Claudia;
Resnick, Sidney I.

Publication type:

Article

Risk in a Large Claims Insurance Market with Bipartite Graph Structure.

Published in:

Operations Research, 2016, v. 64, n. 5, p. 1159, doi. 10.1287/opre.2016.1502

By:

Kley, Oliver;
Klüppelberg, Claudia;
Reinert, Gesine

Publication type:

Article

Maximize the Sharpe Ratio and Minimize a VaR.

Published in:

Journal of Wealth Management, 2010, v. 13, n. 1, p. 91, doi. 10.3905/JWM.2010.13.1.091

By:

DURAND, ROBERT B.;
JAFARPOUR, HEDIEH;
KLÜPPELBERG, CLAUDIA;
MALLER, ROSS

Publication type:

Article

Estimating a directed tree for extremes.

Published in:

Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2024, v. 86, n. 3, p. 771, doi. 10.1093/jrsssb/qkad165

By:

Tran, Ngoc Mai;
Buck, Johannes;
Klüppelberg, Claudia

Publication type:

Article

Statistical inference for max-stable processes in space and time.

Published in:

Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2013, v. 75, n. 5, p. 791, doi. 10.1111/rssb.12012

By:

Davis, Richard A.;
Klüppelberg, Claudia;
Steinkohl, Christina

Publication type:

Article

Copula structure analysis.

Published in:

Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2009, v. 71, n. 3, p. 737, doi. 10.1111/j.1467-9868.2009.00707.x

By:

Klüppelberg, Claudia;
Kuhn, Gabriel

Publication type:

Article

OPTIMAL PORTFOLIOS WITH BOUNDED CAPITAL AT RISK.

Published in:

Mathematical Finance, 2001, v. 11, n. 4, p. 365, doi. 10.1111/1467-9965.00121

By:

Emmer, Susanne;
Klüppelberg, Claudia;
Korn, Ralf

Publication type:

Article

Smoothing of Transport Plans with Fixed Marginals and Rigorous Semiclassical Limit of the Hohenberg-Kohn Functional.

Published in:

Archive for Rational Mechanics & Analysis, 2018, v. 228, n. 3, p. 891, doi. 10.1007/s00205-017-1208-y

By:

Cotar, Codina;
Friesecke, Gero;
Klüppelberg, Claudia

Publication type:

Article

Time-consistency of risk measures with GARCH volatilities and their estimation.

Published in:

Statistics & Risk Modeling, 2016, v. 32, n. 2, p. 103, doi. 10.1515/strm-2015-0010

By:

Klüppelberg, Claudia;
Zhang, Jianing

Publication type:

Article

Conditional risk measures in a bipartite market structure.

Published in:

Scandinavian Actuarial Journal, 2018, v. 2018, n. 4, p. 328, doi. 10.1080/03461238.2017.1350203

By:

Kley, Oliver;
Klüppelberg, Claudia;
Reinert, Gesine

Publication type:

Article

Ruin estimation in multivariate models with Clayton dependence structure.

Published in:

Scandinavian Actuarial Journal, 2005, v. 2005, n. 6, p. 462, doi. 10.1080/03461230500362065

By:

Bregman, Yuliya;
Klüppelberg, Claudia

Publication type:

Article

Ruin probabilities in the presence of heavy-tails and interest rates.

Published in:

Scandinavian Actuarial Journal, 1998, v. 1998, n. 1, p. 49, doi. 10.1080/03461238.1998.10413991

By:

Klüppelberg, Claudia;
Stadtmüller, Ulrich

Publication type:

Article

Bivariate extreme value distributions based on polynomial dependence functions.

Published in:

Mathematical Methods in the Applied Sciences, 2006, v. 29, n. 12, p. 1467

By:

Claudia Klüppelberg;
Angelika May

Publication type:

Article

Combination of multi-mission altimetry data along the Mekong River with spatio-temporal kriging.

Published in:

Journal of Geodesy, 2017, v. 91, n. 5, p. 519, doi. 10.1007/s00190-016-0980-z

By:

Boergens, Eva;
Buhl, Sven;
Dettmering, Denise;
Klüppelberg, Claudia;
Seitz, Florian

Publication type:

Article

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects.

Published in:

Finance & Stochastics, 2019, v. 23, n. 4, p. 795, doi. 10.1007/s00780-019-00401-7

By:

Klüppelberg, Claudia;
Seifert, Miriam Isabel

Publication type:

Article

Optimal portfolios when stock prices follow an exponential Lévy process.

Published in:

Finance & Stochastics, 2004, v. 8, n. 1, p. 17, doi. 10.1007/s00780-003-0105-4

By:

Emmer, Susanne;
Klüppelberg, Claudia

Publication type:

Article

Estimation of stable CARMA models with an application to electricity spot prices.

Published in:

Statistical Modelling: An International Journal, 2011, v. 11, n. 5, p. 447, doi. 10.1177/1471082X1001100504

By:

García, Isabel;
Klüppelberg, Claudia;
Müller, Gernot

Publication type:

Article

Subexponential Distributions — Large Deviations with Applications to Insurance and Queueing Models.

Published in:

Australian & New Zealand Journal of Statistics, 2004, v. 46, n. 1, p. 145, doi. 10.1111/j.1467-842X.2004.00320.x

By:

Baltrunas, Aleksandras;
Klüppelberg, Claudia

Publication type:

Article

Identifiability and estimation of recursive max‐linear models.

Published in:

Scandinavian Journal of Statistics, 2021, v. 48, n. 1, p. 188, doi. 10.1111/sjos.12446

By:

Gissibl, Nadine;
Klüppelberg, Claudia;
Lauritzen, Steffen

Publication type:

Article

Estimation of causal continuous‐time autoregressive moving average random fields.

Published in:

Scandinavian Journal of Statistics, 2021, v. 48, n. 1, p. 132, doi. 10.1111/sjos.12444

By:

Klüppelberg, Claudia;
Pham, Viet Son

Publication type:

Article

Indirect Inference for Lévy‐driven continuous‐time GARCH models.

Published in:

Scandinavian Journal of Statistics, 2019, v. 46, n. 3, p. 765, doi. 10.1111/sjos.12371

By:

Rêgo Sousa, Thiago;
Haug, Stephan;
Klüppelberg, Claudia

Publication type:

Article

Semi-Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case.

Published in:

Scandinavian Journal of Statistics, 2008, v. 35, n. 4, p. 701, doi. 10.1111/j.1467-9469.2008.00602.x

By:

KLÜPPELBERG, CLAUDIA;
KUHN, GABRIEL;
LIANG PENG

Publication type:

Article