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Fractionally Integrated COGARCH Processes.
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- Journal of Financial Econometrics, 2018, v. 16, n. 4, p. 599, doi. 10.1093/jjfinec/nby020
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- Article
Estimation of stable CARMA models with an application to electricity spot prices.
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- Statistical Modelling: An International Journal, 2011, v. 11, n. 5, p. 447, doi. 10.1177/1471082X1001100504
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- Article
Maximize the Sharpe Ratio and Minimize a VaR.
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- Journal of Wealth Management, 2010, v. 13, n. 1, p. 91, doi. 10.3905/JWM.2010.13.1.091
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- Article
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects.
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- Finance & Stochastics, 2019, v. 23, n. 4, p. 795, doi. 10.1007/s00780-019-00401-7
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- Article
Optimal portfolios when stock prices follow an exponential Lévy process.
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- Finance & Stochastics, 2004, v. 8, n. 1, p. 17, doi. 10.1007/s00780-003-0105-4
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- Article
Bivariate extreme value distributions based on polynomial dependence functions.
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- Mathematical Methods in the Applied Sciences, 2006, v. 29, n. 12, p. 1467
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- Article
High-level dependence in time series models.
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- Extremes, 2010, v. 13, n. 1, p. 1, doi. 10.1007/s10687-009-0084-8
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- Article
Estimating a directed tree for extremes.
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- Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2024, v. 86, n. 3, p. 771, doi. 10.1093/jrsssb/qkad165
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- Article
Statistical inference for max-stable processes in space and time.
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- Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2013, v. 75, n. 5, p. 791, doi. 10.1111/rssb.12012
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- Article
Copula structure analysis.
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- 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
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- Article
Indirect inference for time series using the empirical characteristic function and control variates.
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- Journal of Time Series Analysis, 2021, v. 42, n. 5/6, p. 653, doi. 10.1111/jtsa.12582
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- Article
TWO-STEP ESTIMATION OF A MULTI-VARIATE LÉVY PROCESS.
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- Journal of Time Series Analysis, 2013, v. 34, n. 6, p. 668, doi. 10.1111/jtsa.12042
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- Article
High-frequency sampling and kernel estimation for continuous-time moving average processes.
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- Journal of Time Series Analysis, 2013, v. 34, n. 3, p. 385, doi. 10.1111/jtsa.12022
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- Article
High-frequency sampling of a continuous-time ARMA process.
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- Journal of Time Series Analysis, 2012, v. 33, n. 1, p. 152, doi. 10.1111/j.1467-9892.2011.00748.x
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- Article
Subexponential Distributions — Large Deviations with Applications to Insurance and Queueing Models.
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- Australian & New Zealand Journal of Statistics, 2004, v. 46, n. 1, p. 145, doi. 10.1111/j.1467-842X.2004.00320.x
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- Article
Identifiability and estimation of recursive max‐linear models.
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- Scandinavian Journal of Statistics, 2021, v. 48, n. 1, p. 188, doi. 10.1111/sjos.12446
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- Article
Estimation of causal continuous‐time autoregressive moving average random fields.
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- Scandinavian Journal of Statistics, 2021, v. 48, n. 1, p. 132, doi. 10.1111/sjos.12444
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- Article
Indirect Inference for Lévy‐driven continuous‐time GARCH models.
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- Scandinavian Journal of Statistics, 2019, v. 46, n. 3, p. 765, doi. 10.1111/sjos.12371
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- Article
Semi-Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case.
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- Scandinavian Journal of Statistics, 2008, v. 35, n. 4, p. 701, doi. 10.1111/j.1467-9469.2008.00602.x
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- Article
Time series of functional data with application to yield curves.
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- Applied Stochastic Models in Business & Industry, 2019, v. 35, n. 4, p. 1028, doi. 10.1002/asmb.2443
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OPTIMAL PORTFOLIOS WITH BOUNDED CAPITAL AT RISK.
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- Mathematical Finance, 2001, v. 11, n. 4, p. 365, doi. 10.1111/1467-9965.00121
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- Article
Explicit results on conditional distributions of generalized exponential mixtures.
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- Journal of Applied Probability, 2020, v. 57, n. 3, p. 760, doi. 10.1017/jpr.2020.26
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- Article
ASYMMETRIC COGARCH PROCESSES.
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- Journal of Applied Probability, 2014, v. 51A, p. 161, doi. 10.1017/S0021900200021252
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- Article
CONDITIONAL DISTRIBUTIONS OF PROCESSES RELATED TO FRACTIONAL BROWNIAN MOTION.
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- Journal of Applied Probability, 2013, v. 50, n. 1, p. 166, doi. 10.1239/jap/1363784431
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- Article
FUNCTIONAL RELATIONSHIPS BETWEEN PRICE AND VOLATILITY JUMPS AND THEIR CONSEQUENCES FOR DISCRETELY OBSERVED DATA.
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- Journal of Applied Probability, 2012, v. 49, n. 4, p. 901, doi. 10.1239/jap/1354716647
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- Article
THE PARETO COPULA, AGGREGATION OF RISKS, AND THE EMPEROR'S SOCKS.
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- Journal of Applied Probability, 2008, v. 45, n. 1, p. 67
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- Article
Combination of multi-mission altimetry data along the Mekong River with spatio-temporal kriging.
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- Journal of Geodesy, 2017, v. 91, n. 5, p. 519, doi. 10.1007/s00190-016-0980-z
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- Article
Time-consistency of risk measures with GARCH volatilities and their estimation.
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- Statistics & Risk Modeling, 2016, v. 32, n. 2, p. 103, doi. 10.1515/strm-2015-0010
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GENERALIZED FRACTIONAL LÉVY PROCESSES WITH FRACTIONAL BROWNIAN MOTION LIMIT.
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- Advances in Applied Probability, 2015, v. 47, n. 4, p. 1108
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- Article
PARETO LÉVY MEASURES AND MULTIVARIATE REGULAR VARIATION.
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- Advances in Applied Probability, 2012, v. 44, n. 1, p. 117, doi. 10.1239/aap/1331216647
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- Article
Tail probabilities of random linear functions of regularly varying random vectors.
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- Extremes, 2022, v. 25, n. 4, p. 721, doi. 10.1007/s10687-021-00432-4
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Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes.
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- Extremes, 2019, v. 22, n. 2, p. 223, doi. 10.1007/s10687-018-0340-x
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- Article
Anisotropic Brown-Resnick space-time processes: estimation and model assessment.
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- Extremes, 2016, v. 19, n. 4, p. 627, doi. 10.1007/s10687-016-0257-1
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- Article
Bounds for randomly shared risk of heavy-tailed loss factors.
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- Extremes, 2016, v. 19, n. 4, p. 719, doi. 10.1007/s10687-016-0248-2
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- Article
Smoothing of Transport Plans with Fixed Marginals and Rigorous Semiclassical Limit of the Hohenberg-Kohn Functional.
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- Archive for Rational Mechanics & Analysis, 2018, v. 228, n. 3, p. 891, doi. 10.1007/s00205-017-1208-y
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- Article
Risk in a Large Claims Insurance Market with Bipartite Graph Structure.
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- Operations Research, 2016, v. 64, n. 5, p. 1159, doi. 10.1287/opre.2016.1502
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- Article
Density Functional Theory and Optimal Transportation with Coulomb Cost.
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- Communications on Pure & Applied Mathematics, 2013, v. 66, n. 4, p. 548, doi. 10.1002/cpa.21437
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- Article