Works matching AU Klüppelberg, Claudia
Results: 44
An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations.
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- Journal of Nonparametric Statistics, 2011, v. 23, n. 4, p. 967, doi. 10.1080/10485252.2011.581375
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Ruin probabilities for risk processes in a bipartite network.
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- Stochastic Models, 2020, v. 36, n. 4, p. 548, doi. 10.1080/15326349.2020.1760109
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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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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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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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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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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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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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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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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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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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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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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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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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Electricity spot price modelling with a view towards extreme spike risk.
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- Quantitative Finance, 2010, v. 10, n. 9, p. 963, doi. 10.1080/14697680903150496
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Multivariate models for operational risk.
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- Quantitative Finance, 2010, v. 10, n. 8, p. 855, doi. 10.1080/14697680903358222
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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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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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ASYMMETRIC COGARCH PROCESSES.
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- Journal of Applied Probability, 2014, v. 51A, p. 161, doi. 10.1017/S0021900200021252
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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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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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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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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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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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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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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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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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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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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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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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Conditional risk measures in a bipartite market structure.
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- Scandinavian Actuarial Journal, 2018, v. 2018, n. 4, p. 328, doi. 10.1080/03461238.2017.1350203
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Ruin estimation in multivariate models with Clayton dependence structure.
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- Scandinavian Actuarial Journal, 2005, v. 2005, n. 6, p. 462, doi. 10.1080/03461230500362065
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Ruin probabilities in the presence of heavy-tails and interest rates.
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- Scandinavian Actuarial Journal, 1998, v. 1998, n. 1, p. 49, doi. 10.1080/03461238.1998.10413991
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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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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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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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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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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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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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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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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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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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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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