2017

  • Aue, A. and Klepsch, J.: Estimating functional time series by moving average model fitting. Preprint, 2017 mehr… BibTeX
  • Aue, A. and Klepsch, J.: Estimating invertible functional time series. In: Aneiros, G, Bongiorno, E.G., Cao, R. and Vieu, P. (Hrsg.): Functional Statistics and Related Fields.. Springer, 2017, 51-58 mehr… BibTeX
  • Barthel, N., Geerdens, C. , Killiches, M., Janssen, P., and Czado, C.: Vine copula based likelihood estimation of dependence patterns in multivariate event time data. Computational Statistics and Data Analysis, 2017 mehr… BibTeX
  • Behme, A. and Bondesson, L.: A class of scale mixtures of gamma(k)-distributions that are generalized gamma convolutions. Bernoulli 23 (1), 2017, 773-787 mehr… BibTeX
  • Buhl, S. and Klüppelberg, C.: Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes. Preprint, 2017 mehr… BibTeX
  • Buhl, S. and Klüppelberg, C.: Limit theory for the empirical extremogram of random fields. Stochastic Processes and their Applications, 2017 mehr… BibTeX
  • Buhl, S., Davis, R.A., Klüppelberg, C., and Steinkohl, C.: Semiparametric estimation for isotropic max-stable space-time processes. Preprint, 2017 mehr… BibTeX
  • Chong, C. and Klüppelberg, C.: Partial mean field limits in heterogeneous networks. Preprint, 2017 mehr… BibTeX
  • Chong, C. and Klüppelberg, C.: Contagion in financial systems: A Bayesian network approach. SIAM J. Financial Mathematics, 2017 mehr… BibTeX
  • Chong, C. and Kévei, P.: Intermittency for the stochastic heat equation with Lévy noise. Preprint, 2017 mehr… BibTeX
  • Cotar, C., Friesecke, G., and Klüppelberg, C.: Smoothing of transport plans with fixed marginals and rigorous semiclassical limit of the Hohenberg-Kohn functional. Preprint, 2017 mehr… BibTeX
  • Fischer, M., Kraus, D., Pfeuffer, M., and Czado, C.: Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression. Risks 5 (3), 2017, 38-50 mehr… BibTeX
  • Gissibl, N. and Klüppelberg, C.: Max-linear models on directed acyclic graphs. Bernoulli, 2017 mehr… BibTeX
  • Gissibl, N., Klüppelberg, C., and Mager, J.: Big data: progress in automating extreme risk analysis. In: Pietsch, W., Wernecke, J. and Ott, M. (Hrsg.): Berechenbarkeit der Welt?. Springer VS, 2017, 171-189 mehr… BibTeX
  • Gissibl, N., Klüppelberg, C., and Otto, M.: Tail dependence of recursive max-linear models with regularly varying noise variables. Preprint, 2017 mehr… BibTeX
  • Jacod, J., Klüppelberg, C., and Müller, G.: Testing for non-correlation between price and volatility jumps. Journal of Econometrics 197 (2), 2017, 284-297 mehr… BibTeX
  • Kevei, P.: Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes. Annals of the Institute of Statistical Mathematics, 2017 mehr… BibTeX
  • Killiches, M. and Czado, C.: A D-vine copula based model for repeated measurements extending linear mixed models with homogeneous correlation structure. Preprint, 2017 mehr… BibTeX
  • Killiches, M., Kraus, D., and Czado, C.: Using model distances to investigate the simplifying assumption, model selection and truncation levels for vine copulas. Preprint, 2017 mehr… BibTeX
  • Killiches, M., Kraus, D., and Czado, C.: Examination and visualization of the simplifying assumption for vine copulas in three dimensions. Australian and New Zealand Journal of Statistics 59 (1), 2017, 95–117 mehr… BibTeX
  • Killiches, M., Kraus, D., and Czado, C.: Model distances for vine copulas in high dimensions. Statistics and Computing, 2017, 1–19 mehr… BibTeX
  • Klepsch, J. and Klüppelberg, C.: An Innovations Algorithm for the prediction of functional linear processes. Journal of Multivariate Analysis 155, 2017, 252–271 mehr… BibTeX
  • Klepsch, J., Klüppelberg, C., and Wei, T.: Prediction of functional ARMA processes with an application to traffic data. Econometrics and Statistics 1, 2017, 128–149 mehr… BibTeX
  • Kley, O., Klüppelberg, C., and Reinert, G.: Conditional risk measures in a bipartite market structure. Scandinavian Actuarial Journal, 2017 mehr… BibTeX
  • Kraus, D. and Czado, C.: Growing simplified vine copula trees: improving Dißmann's algorithm. Preprint, 2017 mehr… BibTeX
  • Kraus, D. and Czado, C.: D-vine copula based quantile regression. Computational Statistics and Data Analysis (110), 2017, 1-18 mehr… BibTeX
  • Kreuzer, A., Erhardt, T., Nagler, T., and Czado, C.: Heavy tailed spatial autocorrelation models. Preprint, 2017 mehr… BibTeX
  • Müller, D. and Czado C.: Selection of Sparse Vine Copulas in High Dimensions with the Lasso. Preprint, 2017 mehr… BibTeX
  • Müller, D. and Czado C.: Dependence Modeling in Ultra High Dimensions with Vine Copulas and the Graphical Lasso. Preprint, 2017 mehr… BibTeX
  • Schallhorn, N., Kraus, D., Nagler, T., and Czado, C.: D-vine quantile regression with discrete variables. Preprint, 2017 mehr… BibTeX

2016

  • Barthel, N., Geerdens, C., Killiches, M., Janssen, P., and Czado, C.: Vine copula based inference of multivariate event time data. Preprint, 2016 mehr… BibTeX
  • Boergens, E., Buhl, S., Dettmering, D., Klüppelberg, C., and Seitz, F.: Combination of Multi-Mission Altimetry Data Along the Mekong River with Spatio-Temporal Kriging. Journal of Geodesy, 2016 mehr… BibTeX
  • Buhl, S. and Klüppelberg, C.: Anisotropic Brown-Resnick space-time processes: estimation and model assessment. Extremes 19 (4), 2016, 627-660 mehr… BibTeX
  • Chen, B., Chong, C., and Klüppelberg, C.: Simulation of stochastic Volterra equations driven by space-time Lévy noise. In: Podolskij, M., Stolzer, R., Thorbjørnsen, S., and Veraart, A.E.D. (Hrsg.): The Fascination of Probability, Statistics and their Applications. Springer, 2016, 209-229 mehr… BibTeX
  • Chong, C.: Lévy-driven Volterra equations in space and time. Journal of Theoretical Probability, 2016 mehr… BibTeX
  • Chong, C.: Stochastic PDEs with heavy-tailed noise. Stochastic Processes and their Applications, 2016 mehr… BibTeX
  • Doney, R.A., Klüppelberg, C., and Maller, R.A.: Passage time and fluctuation calculations for subexponential Lévy processes. Bernoulli 22 (3), 2016, 1491-1519 mehr… BibTeX
  • Kevei, P.: A note on the Kesten-Grincevičius-Goldie theorem. Electronic Communications in Probability 21 (51), 2016, 1-12 mehr… BibTeX
  • Kevei, P. and Mason, D. M.: Bahadur-Kiefer Representations for Time Dependent Quantile Processes. Preprint, 2016 mehr… BibTeX
  • Kevei, P. and Mason, D. M.: Couplings and strong approximations to time dependent empirical processes based on i.i.d. fractional Brownian Motions. Journal of Theoretical Probability, 2016, 1-42 mehr… BibTeX
  • Kevei, P. and Mason, D.M.: On the Breiman conjecture. Proceedings of the American Mathematical Society 144 (9), 2016, 4043-4053 mehr… BibTeX
  • Kley, O. and Klüppelberg, C.: Bounds for randomly shared risk of heavy-tailed loss factors. Extremes 19 (4), 2016, 719–733 mehr… BibTeX
  • Kley, O., Klüppelberg, C., and Reinert G.: Risk in a large claims insurance market with bipartite graph structure. Operations Research 64 (5), 2016, 1159-1176 mehr… BibTeX
  • Klüppelberg, C. and Seifert, M.: Conditional loss probabilities for systems of economic agents sharing light-tailed claims with analysis of portfolio diversification benefits. Preprint, 2016 mehr… BibTeX
  • Klüppelberg, C. and Zhang, J.: Time-consistency of risk measures with GARCH volatilities and their estimation. Statistics & Risk Modeling 32 (2), 2016, 103-124 mehr… BibTeX
  • Müller, D. and Czado C.: Representing sparse Gaussian DAGs as sparse R-vines allowing for non-Gaussian Dependence. Preprint, 2016 mehr… BibTeX
  • Nagler, T. and Czado, C.: Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas. Journal of Multivariate Analysis 151 (C), 2016, 69-89 mehr… BibTeX
  • Pham, V.S. and Chong, C.: Volterra-type Ornstein-Uhlenbeck processes in space and time. Preprint , 2016 mehr… BibTeX
  • Thomakos, D., Klepsch, J., and Politis, D.: Multivariate NoVaS and Inference on Conditional Correlations. Technical Report, 2016 mehr… BibTeX

2015

  • Baumgartner, C., Gruber, L., and Czado, C.: Bayesian total loss estimation using shared random effects. Insurance: Mathematics and Economics (62), 2015, 194-201 mehr… BibTeX
  • Behme, A.: Exponential functionals of Lévy processes with jumps. Latin American Journal of Probability and Mathematical Statistics 12, 2015, 375-397 mehr… BibTeX
  • Behme, A. and Lindner, A.: On exponential functionals of Lévy processes. Journal of Theoretical Probability 28 (2), 2015, 681-720 mehr… BibTeX
  • Behme, A. and Schnurr, A.: A one-sided symbol for Itô-Lévy processes. Preprint, 2015 mehr… BibTeX
  • Behme, A., Chong, C., and Klüppelberg, C.: Superposition of COGARCH processes. Stochastic Processes and their Applications 125 (4), 2015, 1426-1469 mehr… BibTeX
  • Behme, A., and Schnurr, A.: A criterion for invariant measures of Itô processes based on the symbol. Bernoulli 21 (3), 2015, 1697-1718 mehr… BibTeX
  • Berkes, I., Györfi L., and Kevei, P.: Tail probabilities of St. Petersburg sums, trimmed sums, and their limit. Preprint, 2015 mehr… BibTeX
  • Bernard, C., and Czado, C.: Conditional quantiles and tail dependence. Journal of Multivariate Analysis 138, 2015, 104-126 mehr… BibTeX
  • Brechmann, E.C., and Czado, C.: COPAR - Multivariate time series modeling using the COPula AutoRegressive model. Applied Stochastic Models in Business and Industry 31 (4), 2015, 495-514 mehr… BibTeX
  • Chong, C. and Klüppelberg, C.: Integrability conditions for space-time stochastic integrals: Theory and applications. Bernoulli 21 (4), 2015, 2190-2216 mehr… BibTeX
  • Eifert, M.: Time series models for credit default swap premiums. Journal of Credit Risk 11 (3), 2015, 21-44 mehr… BibTeX
  • Erhardt, T. M., and Czado, C.: Standardized drought indices: A novel uni- and multivariate approach. Preprint, 2015 mehr… BibTeX
  • Erhardt, T.M., Czado, C. and Schepsmeier, U.: Spatial composite likelihood inference using local C-vines. Journal of Multivariate Analysis 138, 2015, 74-88 mehr… BibTeX
  • Erhardt, T.M., Czado, C., and Schepsmeier, U.: R-vine models for spatial time series with an application to daily mean temperature. Biometrics 71 (2), 2015, 323-332 mehr… BibTeX
  • Gruber, L., and Czado C.: Sequential Bayesian model selection of regular vine copulas. Bayesian Analysis 10 (4), 2015, 937-963 mehr… BibTeX
  • Haug, S., Klüppelberg, C., and Kuhn, G.: Copula structure analysis based on extreme dependence. Statistics and Its Interface 8 (1), 2015, 93-107 mehr… BibTeX
  • Haug, S., Klüppelberg, C., and Straub, G.: Fractionally integrated COGARCH processes. Preprint, 2015 mehr… BibTeX
  • Killiches, M. and Czado, C.: Block-Maxima of Vines. Extreme Value Modeling and Risk Analysis - Methods and Applications (Dipak K. Dey and Jun Yan) (nicht anwendbar - Kapitel 6), 2015 mehr… BibTeX
  • Kley, O., Klüppelberg, C., and Reichel, L.: Systemic risk through contagion in a core-periphery structured banking network. In: A. Palczewski and L. Stettner: Advances in Mathematics of Finance. Banach Center Publications, 2015 mehr… BibTeX
  • Klüppelberg, C., and Matsui, M.: Generalized fractional Lévy processes with fractional Brownian motion limit and applications to stochastic volatility models. Advances in Applied Probability 47 (4), 2015, 1108-1131 mehr… BibTeX
  • Klüppelberg, C., and Scherer, M.: Finanz- und Versicherungsmathematik. In: Studien- und Berufsplaner Mathematik. Springer (5. Aufl.), 2015 mehr… BibTeX
  • Stöber, J., Hong, H.G., Czado, C., and Ghosh, P.: Comorbidity of chronic diseases in the elderly: Patterns identified by a copula design for mixed responses. Computational Statistics and Data Analysis 88, 2015, 28-39 mehr… BibTeX
  • Vogel, C., Heister, K., Buegger, F., Tanuwidjaja, I., Haug, S., Schloter, M., and Kögel-Knabner, I.: Clay mineral composition modifies decomposition and sequestration of organic carbon and nitrogen in fine soil fractions. Biology and Fertility of Soils 51, 2015, 427-442 mehr… BibTeX

2014

  • Bauer, A., and Haug, S.: Verwendung von Dummy-Variablen bei der statistischen Analyse von Talsperrenmessdaten. Wasserwirtschaft 4, 2014, 28-33 mehr… BibTeX
  • Behme, A., Klüppelberg, C., and Mayr, K.: Asymmetric COGARCH processes. Journal of Applied Probability 51A, 2014, 161-173 mehr… BibTeX
  • Behme, A., Lindner, A., and Maejima, M.: On the range of exponential functionals of Lévy processes. Preprint, 2014 mehr… BibTeX
  • Benth, F.E., Klüppelberg, C., Müller, G., and Vos, L.: Futures pricing in electricity markets based on stable CARMA spot models. Energy Economics 44, 2014, 392-406 mehr… BibTeX
  • Bimüller, C., Dannenmann, M., Tejedor, J., von Lützow, M., Buegger, F., Meier, R., Haug, S., Schroll, R. and Kögel-Knabner, I.: Prolonged summer droughts retard soil N processing and stabilization in organo-mineral fractions. Soil Biology & Biochemistry 68 (1), 2014, 241-251 mehr… BibTeX
  • Bimüller, C., Mueller, C.W., von Lützow, M., Kreyling, O., Kölbl, A., Haug, S., Schloter, M.,, and Kögel-Knabner, I.: Decoupled carbon and nitrogen mineralization in soil particle size fractions of a forest topsoil. Soil Biology & Biochemistry 78 (4), 2014, 263-273 mehr… BibTeX
  • Brechmann, E. C.: Hierarchical Kendall copulas: properties and inference. Canadian Journal of Statistics 42 (1), 2014, 78-108 mehr… BibTeX
  • Brechmann, E.C., Czado, C., and Paterlini, S.: Flexible dependence modeling of operational risk losses and its impact on total capital requirements. Journal of Banking and Finance 40 (C), 2014, 271-285 mehr… BibTeX
  • Czado, C., Schabenberger, H., and Erhardt, V.: Nonnested model selection for spatial count regression models with application to health insurance. Statistical Papers 55 (2), 2014, 455-476 mehr… BibTeX
  • Davis, R. A., Pfaffel, O., and Stelzer, R.: Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails. Stochastic Processes and their Applications 124 (1), 2014, 18-50 mehr… BibTeX
  • Fasen, V., Klüppelberg, C., and Menzel, A: Quantifying extreme risks. In: Klüppelberg, C., Straub, D., Welpe, I. (Hrsg.): Risk - A Multidisciplinary Introduction . Springer, 2014, 151-181 mehr… BibTeX
  • Fasen, V., and Klüppelberg, C.: Large insurance losses distributions. In: Encyclopedia of Quantitative Risk Assessment. Wiley, 2014 mehr… BibTeX
  • Föllmer, H., and Klüppelberg, C.: Spatial risk measures: local specification and boundary risk. In: Crisan, D., Hambly, B. and Zariphopoulou, T. (Hrsg.): Stochastic Analysis and Applications 2014 - In Honour of Terry Lyons. Springer International Publishing, 2014, 307-326 mehr… BibTeX
  • Gruber, L., and Czado C.: Bayesian model selection of regular vine copulas. In: Ettore Lanzarone, Francesca Ieva (Hrsg.): The Contribution of Young Researchers to Bayesian Statistics. Springer, 2014 mehr… BibTeX
  • Hepperger, P.: Low-dimensional partial integro-differential equations for high-dimensional Asian options. In: Kabanov, Y., Rutkowski, M., and Zariphopoulou, T. (Hrsg.): Inspired by Finance. Springer, 2014, 331-348 mehr… BibTeX
  • Horst, U., Hu, Y., Imkeller, P., Réveillac, A., and Zhang, J.: Forward-backward systems for expected utility maximization. Stochastic Processes and their Applications 124 (5), 2014, 1813–1848 mehr… BibTeX
  • Klüppelberg, C., and Stelzer, R.: Dealing with dependent risks. In: Klüppelberg, C., Straub, D., and Welpe, I. (Hrsg.): Risk - A Multidisciplinary Introduction. Springer, 2014, 241-277 mehr… BibTeX
  • Min, A., and Czado, C.: SCOMDY models based on pair-copula constructions with application to exchange rates. Computational Statistics and Data Analysis 76, 2014, 523-535 mehr… BibTeX
  • Schepsmeier, U., and Stöber, J.: Derivatives and Fisher information of bivariate copulas. Statistical Papers 55 (2), 2014, 525-542 mehr… BibTeX
  • Stöber, J., and Czado, C.: Regime switches in the dependence structure of multidimensional financial data. Computational Statistics and Data Analysis 76, 2014, 672-686 mehr… BibTeX
  • Wang, C., Drees, L., Gissibl, N., Hoehndorf, L., Sembiring, J., and Holzapfel, F.: Quantification of incident probabilities using physical and statistical approaches. 6th International Conference on Research in Air Transportation. Istanbul, Turkey, 2014 mehr… BibTeX

2013

  • Barndorff-Nielsen, O.E., and Stelzer, R.: The multivariate supOU stochastic volatility model. Mathematical Finance 23 (2), 2013, 275–296 mehr… BibTeX
  • Bernard, C., and Czado, C.: Multivariate option pricing using copulae. Applied Stochastic Models in Business and Industry 29 (5), 2013, 509–526 mehr… BibTeX
  • Biagini, F., Fink, H., and Klüppelberg, C.: A fractional credit model with long range dependent hazard rate. Stochastic Processes and their Applications 123 (4), 2013, 1319-1347 mehr… BibTeX
  • Brechmann, E., and Schepsmeier, U.: CDVine: Modeling Dependence with C- and D-Vine Copulas in R. Journal of Statistical Software 52 (3), 2013, 1-27 mehr… BibTeX
  • Brechmann, E.C.: Sampling from hierarchical Kendall copulas. Journal de la Société Française de Statistique 154 (1), 2013, 192-209 mehr… BibTeX
  • Brechmann, E.C., Hendrich, K., and Czado, C.: Conditional copula simulation for systemic risk stress testing. Insurance: Mathematics and Economics 53 (3), 2013, 722–732 mehr… BibTeX
  • Brechmann, E.C., and Czado, C.: Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50. Statistics and Risk Modeling 30 (4), 2013, 307–342 mehr… BibTeX
  • Brockwell, P. J., and Schlemm, E.: Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations. Journal of Multivariate Analysis 115, 2013, 217–251 mehr… BibTeX
  • Brockwell, P.J., Ferrazzano, V., and Klüppelberg, C.: High-frequency sampling and kernel estimation for continuous-time moving average processes. Journal of Time Series Analysis 34 (3), 2013, 385-404 mehr… BibTeX
  • Cotar, C., Friesecke, G., and Klüppelberg, C.: Density functional theory and and optimal transportation with Coulomb cost. Communications on Pure and Applied Mathematics 66 (4), 2013, 548-599 mehr… BibTeX
  • Czado, C., Brechmann, E.C., and Gruber, L.: Selection of Vine Copulas. In: Jaworski, Piotr, Durante, Fabrizio, Härdle, Wolfgang Karl: Copulae in Mathematical and Quantitative Finance. Springer, 2013, 17-37 mehr… BibTeX
  • Davis, R.A., Klüppelberg, C., and Steinkohl, C.: Statistical inference for max-stable processes in space and time. Journal of the Royal Statistical Society, Series B 75 (5), 2013, 791-819 mehr… BibTeX
  • Davis, R.A., Klüppelberg, C., and Steinkohl, C.: Max-stable processes for modelling extremes observed in space and time. Journal of the Korean Statistical Society 42 (3), 2013, 399-414 mehr… BibTeX
  • Dißmann, J., Brechmann, E.C., Czado, C., and Kurowicka, D.: Selecting and estimating regular vine copulae and application to financial returns. Computational Statistics and Data Analysis 59, 2013, 52–69 mehr… BibTeX
  • Esmaeili, H., and Klüppelberg, C.: Two-step estimation of a multi-variate Lévy process. Journal of Time Series Analysis 34 (6), 2013, 668-690 mehr… BibTeX
  • Fasen, V.: Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration. Journal of Econometrics 172 (2), 2013, 325-337 mehr… BibTeX
  • Fasen, V.: Time series regression on integrated continuous-time processes with heavy and light tails. Econometric Theory 29 (1), 2013, 28-67 mehr… BibTeX
  • Fasen, V., and Fuchs, F.: Spectral Estimates for High-Frequency Sampled CARMA Processes. Journal of Time Series Analysis 34 (5), 2013, 532-551 mehr… BibTeX
  • Fasen, V., and Fuchs, F.: On the Limit Behavior of the Periodogram of High-Frequency Sampled Stable CARMA Processes. Stochastic Processes and their Applications 123 (1), 2013, 229-273 mehr… BibTeX
  • Ferrazzano, V., and Fuchs, F.: Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums. Electronic Journal of Statistics 7, 2013, 533-561 mehr… BibTeX
  • Fink, H.: Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk. J. Appl. Probab. 4 (50), 2013, 983-1005 mehr… BibTeX
  • Fink, H., Klüppelberg, C., and Zähle, M.: Conditional characteristic functions of processes related to fractional Brownian motion. Journal of Applied Probability 50 (1), 2013, 166-183 mehr… BibTeX
  • Friesecke, G., Mendl, C.B., Pass, B., Cotar, C., and Klüppelberg, C.: N-density representability and the optimal transport limit of the Hohenberg-Kohn functional. The Journal of Chemical Physics 139 (164109), 2013, 12 pages mehr… BibTeX
  • Fuchs, F,. and Stelzer, R.: Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model. ESAIM: Probability and Statistics 17, 2013, 455-471 mehr… BibTeX
  • Fuchs, F., and Stelzer, R.: Spectral representation of multivariate regularly varying Lévy and CARMA processes. Journal of Theoretical Probability 26 (2), 2013, 410-436 mehr… BibTeX
  • Gerike, R., Gehlert, T., and Haug, S.: Time use of the mobile and the immobile in time-use surveys and transport surveys – II. In: Joachim Schreiner, Hans-Heinrich Blotevogel, Susanne Frank, Christian Holz-Rau, Nina Schuster: Mobilitäten und Immobilitäten: Menschen - Ideen - Dinge - Kulturen - Kapital. Klartext, 2013, 121-138 mehr… BibTeX
  • Hepperger, P.: Pricing high-dimensional Bermudan options using variance-reduced Monte-Carlo methods. Journal of Computational Finance 16 (3), 2013, 99-126 mehr… BibTeX
  • Klüppelberg, C., and Rasmussen, M.G.: Outcrossings of safe regions by generalized hyperbolic processes. Statistics & Probability Letters 83 (10), 2013, 2197 - 2204 mehr… BibTeX
  • Krämer, N., Brechmann, E.C., Silvestrini, D., and Czado, C.: Total loss estimation using copula-based regression models. Insurance: Mathematics and Economics 53 (3), 2013, 829–839 mehr… BibTeX
  • Mikosch, T., and Moser, M.: The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes. Probability Theory and Related Fields 156 (1-2), 2013, 249-272 mehr… BibTeX
  • Møller, J.S., and Rasmussen, M.G.: The translation invariant massive Nelson model: II. The continuous spectrum below the two-boson threshold. Annales Henri Poincaré 14 (4), 2013, 793-852 mehr… BibTeX
  • Steinkohl, C., Davis, R., and Klüppelberg, C.: Extreme value analysis of multivariate high frequency wind speed data. Journal of Statistical Theory and Practice 7 (1), 2013, 73-94 mehr… BibTeX
  • Ueltzhöfer, F.A.J.: On non-parametric estimation of the Lévy kernel of Markov processes. Stochastic Processes and their Applications 123 (10), 2013, 3663–3709 mehr… BibTeX

2012

  • Almeida, C. and Czado, C.: Efficient Bayesian inference for stochastic time-varying copula models. Computational Statistics and Data Analysis 56 (6), 2012, 1511–1527 mehr… BibTeX
  • Bauer, A. and Czado, C.: Pair-copula Bayesian networks. Preprint , 2012 mehr… BibTeX
  • Bauer, A., Czado, C. and Klein, T.: Pair-copula constructions for non-Gaussian DAG models. The Canadian Journal of Statistics 40 (1), 2012, 86 - 109 mehr… BibTeX
  • Brechmann, E.C., Czado, C. and Aas, K.: Truncated regular vines in high dimensions with applications to financial data. Canadian Journal of Statistics 40 (1), 2012, 68-85 mehr… BibTeX
  • Brockwell, P.J., Ferrazzano, V. and Klüppelberg, C.: High-frequency sampling of a continuous-time ARMA processes. J. Time Series Analysis (33 (1)), 2012, 152-160 mehr… BibTeX
  • Buchmann, B. and Müller, G.: Limit experiments of GARCH. Bernoulli 18 (1), 2012, 64-99 mehr… BibTeX
  • Cotar, C. and Deuschel, J.-D.: Decay of covariances, uniqueness of ergodic component and scaling limit for a class of ∇ϕ systems with non-convex potential. Annales de l'Institut Henri Poincaré 48 (3), 2012, 819-853 mehr… BibTeX
  • Czado, C., Kastenmeier, R., Brechmann, E.C., and Min, A.: A mixed copula model for insurance claims and claim sizes. Scandinavian Actuarial Journal 4 (1.12), 2012, 278-305 mehr… BibTeX
  • Czado, C., Schepsmeier, U. and Min, A.: Maximum likelihood estimation of mixed C-vines with application to exchange rates. Statistical Modelling 12 (3), 2012, 229-255 mehr… BibTeX
  • Eder, I. and Klüppelberg, C.: Pareto Lévy measures and multivariate regular variation. Advances in Applied Probability 44 (1), 2012, 117-138 mehr… BibTeX
  • Fasen, V. and Svejda, A: Time-consistency of multi-period distortion measures. Statistics & Risk Modeling 29 (2), 2012, 133-153 mehr… BibTeX
  • Hepperger, P.: Numerical hedging of electricity contracts using dimension reduction. International Journal of Theoretical and Applied Finance 15 (6), 2012, 1250042, 26 pp. mehr… BibTeX
  • Hepperger, P.: Hedging electricity swaptions using partial integro-differential equations. Stochastic Processes and their Applications 122 (2), 2012, 600-622 mehr… BibTeX
  • Hermann, J.M., Haug, S., Westphalen, M., DePatta Pillar, V. and Pfadenhauer, J.: Shrubs versus 'gullivers': Woody species coping with disturbance in grasslands. Plant Ecology 213 (11), 2012, 1757-1768 mehr… BibTeX
  • Jacod, J., Klüppelberg, C. and Müller, G.: Functional relationships between price and volatility jumps and its consequences for discretely observed data. Journal of Applied Probability 49 (4), 2012, 901-914 mehr… BibTeX
  • Muhle-Karbe, J., Pfaffel, O. and Stelzer, R.: Option pricing in multivariate stochastic volatility models of OU type. SIAM Journal on Financial Mathematics 3 (1), 2012, 66–94 mehr… BibTeX
  • Rasmussen, M.G.: A Taylor-like expansion of a commutator with a function of self-adjoint, pairwise commuting operators. Mathematica Scandinavica 111 (1), 2012, 107-117 mehr… BibTeX
  • Rasmussen, M.G. , Andresen, G.B., Greiner, M.: Storage and balancing synergies in a fully or highly renewable pan-European power system. Energy Policy 51 (67), 2012, 642-651 mehr… BibTeX
  • Schepsmeier, U. and Stöber, J.: Web supplement: Derivatives and Fisher information of bivariate copulas. Preprint, 2012 mehr… BibTeX
  • Schlemm, E. and Pfaffel, O.: Limiting spectral distribution of a new random matrix model with depedence across rows and columns. Linear Algebra and its Applications 436 (9), 2012, 2966–2979 mehr… BibTeX
  • Schlemm, E. and Stelzer, R.: Quasi maximum likelihood estimation for strongly mxing state space models and multivariate Lévy-driven CARMA processes. Electronic Journal of Statistics 6, 2012, 2185-2234 mehr… BibTeX
  • Schlemm, E. and Stelzer, R.: Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes. Bernoulli 18 (1), 2012, 46-63 mehr… BibTeX
  • Schreiber, I., Müller, G., Klüppelberg, C, Wagner, N.: Equities, credits and volatilities: a multivariate analysis of the european market during the sub-prime crisis. International Review of Financial Analysis 24, 2012, 57–65 mehr… BibTeX
  • Tu, Y.-K., Krämer, N. and Lee, W.-C.: Addressing the identification problem in age-period-cohort analysis: a tutorial on the use of partial least squares and principal components analysis. Epidemiology 23 (4), 2012, 583 - 593 mehr… BibTeX
  • Wiesmeier, M., Spörlein, P., Geuß, U., Hangen, E., Haug, S., Reischl, A., Schilling, B., von Lutzow, M., Kögel-Knabner, I.: Soil organic carbon stocks in southeast Germany as affected by land use, soil type and sampling depth. Global Change Biology 18 (7), 2012, 2233-2245 mehr… BibTeX

2011

  • Bankovsky, D., Klüppelberg, C. and Maller, R.: On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case. Journal of Applied Probability 48A, 2011, 15-28 mehr… BibTeX
  • Barndorff-Nielsen, O.E. and Stelzer, R.: Multivariate supOU processes. Annals of Applied Probability 21 (1), 2011, 140-182 mehr… BibTeX
  • Biagini, F., Fuschini, F., Klüppelberg, C.: Credit contagion in a long range dependent macroeconomic factor model. In: Di Nunno, Julia, Øksendal, Bernt: Advanced Mathematical Methods in Finance. Springer, 2011, 105-132 mehr… BibTeX
  • Boussama, F., Fuchs, F., Stelzer, R.: Stationarity and geometric ergodicity of BEKK multivariate GARCH models. Stochastic Processes and their Applications 121 (10), 2011, 2331-2360 mehr… BibTeX
  • Brechmann, E.C., Czado, C. and Ng, P.: Quantifying geographical and macroeconomic effects on bank branch deposits using linear mixed models. International Journal of Statistics and Management Systems 6 (1-2), 2011, 22-46 mehr… BibTeX
  • Böcker, K. and Klüppelberg, C.: First order approximations to operational risk - dependence and consequences. In: Greg N. Gregoriou: Operational Risk Toward Basel III, Best Practices and Issues in Modeling, Management and Regulation. . Wiley, 2011, 219-245 mehr… BibTeX
  • Czado, C. and Schmidt, T.: Mathematische Statistik. Springer Verlag, 2011 mehr… BibTeX
  • Czado, C., Heyn, A., Müller, G.: Modeling individual migraine severity with autoregressive ordered probit models. Statistical Methods and Applications 20 (1), 2011, 101-121 mehr… BibTeX
  • Czado, C., Zhang, R., Min, A.: Efficient maximum likelihood estimation of copula based meta t-distributions. Computational Statistics and Data Analysis 55 (3), 2011, 1196–1214 mehr… BibTeX
  • Dakovic, R., Czado, C.: Comparing point and interval estimates in the bivariate t-copula model with application to financial data. Statistical Papers 52 (3), 2011, 709-731 mehr… BibTeX
  • Daley, D.J., Klüppelberg, C. and Yang, Y.: Corrigendum to Baltrunas, Daley and Klüppelberg: Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times. Stochastic Processes and their Applications 121 (9), 2011, 2186–2187 mehr… BibTeX
  • Esmaeili, H., Klüppelberg, C.: Parametric estimation of a bivariate stable Lévy process. Journal of Multivariate Analysis 102 (5), 2011, 918–930 mehr… BibTeX
  • Fasen, V. and Klüppelberg, C.: Modellieren und Quantifizieren von extremen Risiken. In: Wendland, Katrin, Werner, Annette: Facettenreiche Mathematik - Einblicke in die moderne mathematische Forschung.. Teubner Verlag, 2011, 67-88 mehr… BibTeX
  • Fink, H., Klüppelberg, C.: Fractional Lévy driven Ornstein-Uhlenbeck processes and stochastic differential equations. Bernoulli 17 (1), 2011, 484-506 mehr… BibTeX
  • Fleischer, P., Maller, R.A. and Müller, G.: A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model. Journal of Economics and Finance 35 (2), 2011, 123-148 mehr… BibTeX
  • García, I., Klüppelberg, C., Müller, G.: Estimation of stable CARMA models with an application to electricity spot prices. Statistical Modelling 11 (5), 2011, 447-470 mehr… BibTeX
  • Haug, S., Klüppelberg, C. and Peng, L.: Statistical models and methods for dependence in insurance data. Journal of the Korean Statistical Society 40 (2), 2011, 125-139 mehr… BibTeX
  • Haug, S., Stelzer, R.: Multivariate ECOGARCH processes. Econometric Theory 27 (2), 2011, 344-371 mehr… BibTeX
  • Klüppelberg, C, Maller, R. and Szimayer, A.: The COGARCH: a review, with news on option pricing and statistical inference. In: Surveys in Stochastic Processes. Proc. of the 33rd SPA Conference in Berlin. EMS Series of Congress Reports, EMS Publishing House, 2011, 29-58 mehr… BibTeX
  • Krämer, N. and Sugiyama, M.: The degrees of freedom of partial least squares regression. Journal of the American Statistical Association 106 (494), 2011, 697-705 mehr… BibTeX
  • Mayerhofer, E., Pfaffel, O. and Stelzer, R.: On strong solutions for positive definite jump diffusions. Stochastic Processes and their Applications 121 (9), 2011, 2072–2086 mehr… BibTeX
  • Min, A. and Czado,C.: Bayesian model selection for D-vine pair-copula constructions. Canadian Journal of Statistics 39 (2), 2011, 239–258 mehr… BibTeX
  • Moser, M. and Stelzer, R.: Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models. Advances in Applied Probability 43 (4), 2011, 1109-1135 mehr… BibTeX
  • Müller, G., Durand, R.B., and Maller, R.A.: The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis. Journal of Empirical Finance 18 (2), 2011, 306-320 mehr… BibTeX
  • Pfaffel, O. and Schlemm, E.: Eigenvalue distribution of large sample covariance matrices of linear processes. Probability and Mathematical Statistics 31 (2), 2011, 313–329 mehr… BibTeX
  • Schlemm, E.: On the Markov transition kernels for first-passage percolation on the ladder. J. Appl. Probab. 48 (2), 2011 mehr… BibTeX
  • Ueltzhöfer, F., Klüppelberg, C.: An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations. Journal of Nonparametric Statistics 23 (4), 2011, 967-989 mehr… BibTeX

2010

  • Ferrazzano, V.: Windspeed recording process and related issues. Preprint, 2010, mehr… BibTeX
  • Asmussen, S., Fasen, V., Klüppelberg, C.: Heavy tails in insurance. In: Encyclopedia of Quantitative Finance. Wiley, 2010, 873-875 mehr… BibTeX
  • Brodin, E., Klüppelberg, C.: Modelling, estimation and visualization of multivariate dependence for high-frequency data. In: Statistical Modelling and Regression Structures . Springer, 2010, 267-300 mehr… BibTeX
  • Böcker, K. and Klüppelberg, C.: Multivariate models for operational risk. Quantitative Finance 10 (8), 2010, 855–869 mehr… BibTeX
  • Czado, C.: Pair-copula constructions of multivariate copulas. In: Workshop on Copula Theory and its Applications. Springer, 2010, 93-109 mehr… BibTeX
  • Czado, C. and Haug, S.: An ACD-ECOGARCH(1,1) model. Journal of Financial Econometrics 8 (3), 2010, 335-344 mehr… BibTeX
  • Czado, C., Gärtner, F., and Min, A.: Analysis of australian electricity loads using joint bayesian inference of d-vines with autoregressive margins. In: Dependence Modeling - Handbook on Vine Copulae.. World Scientific, 2010 mehr… BibTeX
  • Czado, C., Haug, S.: Finite sample properties of the QMLE in the ACD-ECOGARCH(1,1) model. Supplement to "An ACD-ECOGARCH(1,1) model", 2010 mehr… BibTeX
  • Czado, C.., Nguyen, T., Müller, G: Ordinal stochastic volatility and stochastic volatility models for price changes: An empirical comparison. In: Kneib, Thomas, Tutz, Gerhard: Statistical Modelling and Regression Structures. Springer, 2010, 301-320 mehr… BibTeX
  • Dakovic, R., Czado, C., Berg, D.: Bankruptcy prediction in Norway: a comparison study. Applied Economics Letters 17 (17), 2010, 1739-1746 mehr… BibTeX
  • Durand, R., Jafarpour, H., Klüppelberg, C., Maller, R.: Maximize the sharpe ratio and minimize a VaR. Journal of Wealth Management 13 (1), 2010, 91-102 mehr… BibTeX
  • Erhardt, V., Bogdan, M. and Czado, C.: Locating multiple interacting quantitative trait loci with the zero-inflated generalized Poisson regression. Statistical Applications in Genetics and Molecular Biology 9 (1), 2010 mehr… BibTeX
  • Erhardt, V., Czado, C.: A method for approximately sampling high-dimensional count variables with prespecified Pearson correlation. INFORMS - Journal on Computing, 2010 mehr… BibTeX
  • Esmaeili, H., Klüppelberg, C.: Parameter estimation of a bivariate compound Poisson process. Insurance: Mathematics and Economics 47 (2), 2010, 224-233 mehr… BibTeX
  • Fasen, V.: Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes. Bernoulli 16 (1), 2010, 51-79 mehr… BibTeX
  • Fasen, V.: Modeling network traffic by a cluster Poisson input process with heavy and light-tailed file sizes. Queueing systems 66 (4), 2010, 313-350 mehr… BibTeX
  • Fasen, V., Klüppelberg, C., Schlather, M.: High-level dependence in time series models. Extremes 13 (1), 2010, 1-33 mehr… BibTeX
  • Gebhard, Ph., Müller, G., Böcker, K.: Bayesian estimation of Lévy copulas for multivariate operational risks. In: Böcker, K.: Rethinking Risk Measurement and Reporting: Uncertainty, Bayesian Analysis and Expert Judgement, Vol. II.. Risk Books, 2010, 439-463 mehr… BibTeX
  • Hepperger, P.: Option pricing in Hilbert space valued jump-diffusion models using partial integro-differential equations. SIAM Journal on Financial Mathematics 1 (1), 2010, 454-489 mehr… BibTeX
  • Hofmann, M. and Czado, C.: Assessing the VaR of a portfolio using D-vine copula based multivariate GARCH models. Preprint, 2010 mehr… BibTeX
  • Klüppelberg, C., Lindner, A.: Stochastic volatility models: extremal behavior. In: Cont, R.: Encyclopedia of Quantitative Finance. Wiley, 2010, 1741-1748 mehr… BibTeX
  • Klüppelberg, C., Meyer-Brandis, T., Schmidt, A.: Electricity spot price modelling with a view towards extreme spike risk. Quantitative Finance 10 (9), 2010, 963-974 mehr… BibTeX
  • Kumeth, A., Klüppelberg, C., and Steinkohl, C.: Modelling the value and measuring the risk of private equity. Preprint, 2010 mehr… BibTeX
  • Min, A. and Czado, C.: Bayesian inference for multivariate copulas using pair-copula constructions. Journal of Financial Econometrics 8 (4), 2010, 511-546 mehr… BibTeX
  • Min, A., Holzmann, H., and Czado, C.: Model selection strategies for identifying most relevant covariates in homoscedastic linear models. Computational Statistics and Data Analysis 54, 2010, 3194-3211 mehr… BibTeX
  • Min, A., and Czado, C.: Testing for zero-modification in count regression models. Statistica Sinica 20, 2010, 323-341 mehr… BibTeX
  • Müller, G.: MCMC estimation of the COGARCH(1,1) model. Journal of Finanical Econometrics 8, 2010, 481-510 mehr… BibTeX
  • Müller, G.: Market Correlations in the Euro Changeover Period With a View to Portfolio Management. In: Rethinking Risk Measurement and Reporting: Uncertainty, Bayesian Analysis and Expert Judgement, Vol. I.. Risk Books, 2010, 107-125 mehr… BibTeX
  • Sen, R. and Klüppelberg, C.: Time series of functional data. Technical report, 2010 mehr… BibTeX
  • Smith, M., Min, A., Almeida,C. and Czado,C.: Modelling longitudinal data using a pair-copula decomposition of serial dependence. Journal of the American Statistical Association 105 (492), 2010, 1467-1479 mehr… BibTeX
  • Stelzer, R.: Multivariate COGARCH(1,1) Processes. Bernoulli 16 (1), 2010, 80-115 mehr… BibTeX

2009

  • Aas, K., Czado, C., Frigessi, A. and Bakken, H.: Pair-copula constructions of multiple dependence. Insurance Mathematics and Economics 44 (2), 2009, 182-198 mehr… BibTeX
  • Brachner, C., Fasen, V., and Lindner, A.: Extremes of autoregressive threshold processes. Adv. in Appl. Probab. 41 (2), 2009, 428-451 mehr… BibTeX
  • Brockwell, P. J.: Lévy-driven continuous-time ARMA processes. In: Andersen, T.G., Davis, R.A., Kreiß, J.-P. and Mikosch, T.: Handbook of Financial Time Series. Springer, 2009, 457-480 mehr… BibTeX
  • Böcker, K. and Klüppelberg, C.: Approximationen erster Ordnung für operationelle Risiken unter Abhängigkeiten. In: Schäfer, K.: Risikomanagement und kapitalmarktorientierte Finanzierung.. Fritz Knapp Verlag, 2009, 403-420 mehr… BibTeX
  • Clason, C., Hepperger, P.: A forward approach to numerical data assimilation. SIAM Journal on Scientific Computing 31 (4), 2009, 3090-3115 mehr… BibTeX
  • Cotar, C. and Limic, V.: On time until attraction for reinforced random walks. Annals of Applied Probability 19 (5), 2009, 1972-2007 mehr… BibTeX
  • Cotar, C., Deuschel, J-D. and Müller, S.: Strict convexity of the free energy for a class of non-convex gradient models. Communications in Mathematical Physics 286 (1), 2009, 359-376 mehr… BibTeX
  • Cotar, C., Holroyd, A. and Revelle, D.: A percolating hard sphere model. Random Structures and Algorithms 34 (2), 2009, 285-299 mehr… BibTeX
  • Czado, C., Gneiting, T., Held, L.: Predictive model assessment for count data. Biometrics 65 (4), 2009, 1254-1261 mehr… BibTeX
  • Czado, C., Gärtner, F., Min, A.: Analysis of Australian electricity loads using joint Bayesian inference of D-Vines with autoregressive margins. In: Kurowicka, D., Joe, H.: Dependence Modeling - Handbook on Vine Copulae.. World Scientific, 2009 mehr… BibTeX
  • Czado, C., Min, A.: Bayesian inference for D-vines: estimation and model selection. In: Dependence Modeling - Handbook on Vine Copulae.. World Scientific, 2009 mehr… BibTeX
  • Czado, C., Min, A., Baumann, T., Dakovic, R.: Pair-copula constructions for modeling exchange rate dependence. Preprint, 2009 mehr… BibTeX
  • Czado, C., Pfettner, J, Gschlößl, S., Schiller, F.: Nonnested model comparison of GLM and GAM count regression models for life insurance data. Preprint, 2009 mehr… BibTeX
  • Eder, I. and Klüppelberg, C.: The first passage event for sums of dependent Lévy processes with applications to insurance risk. Ann. Appl. Probab. 19 (6), 2009, 2047-2079 mehr… BibTeX
  • Erhardt, V., Czado, C.: Generalized estimating equations for longitudinal generalized Poisson count data with regression effects on the mean and dispersion level. Preprint, 2009 mehr… BibTeX
  • Erhardt, V., Czado, C.: Sampling count variables with specified Pearson correlation - a comparison between a naive and a C-vine sampling approach. In: Kurowicka, D., Joe, H.: Dependence Modeling - Handbook on Vine Copulae. World Scientific, 2009 mehr… BibTeX
  • Fasen, V.: Extremes of Lévy driven mixed MA processes with convolution equivalent distributions. Extremes 12 (3), 2009, 265-296 mehr… BibTeX
  • Fasen, V.: Extremes of continuous-time processes. In: Andersen, T.G., Davis, R.A., Kreiss, J.-P. and Mikosch, T.: Handbook of Financial Time Series. Springer, 2009, 653-667 mehr… BibTeX
  • Fasen, V., Samorodnitsky, G: A fluid cluster Poisson input process can look like a fractional Brownian motion even in the slow growth aggregation regime. Adv. in Appl. Probab. 41 (2), 2009, 393-427 mehr… BibTeX
  • Karg, M., Haug, S., Kühnlenz, K. and Buss, M. (2009): A dynamic model and system-theoretic analysis of affect based on a piecewise linear system. Proceedings of the 18th IEEE International Symposium on Robot and Human Interactive Communication (Ro-Man), 2009 mehr… BibTeX
  • Klüppelberg, C. and Pergamenshchikov, S.: Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions. In: Albrecher, H., Runggaldier, W. and Schachermayer, W.: Advanced Financial Modelling. Walter de Gruyter, 2009, 245-273 mehr… BibTeX
  • Klüppelberg, C., Kuhn, G: Copula structure analysis. J. Royal Stat. Soc., Series B 71 (3), 2009, 737 - 753. mehr… BibTeX
  • Klüppelberg, C., Pergamenchtchikov, S.: Optimal consumption and investment with bounded downside risk for power utility functions. In: Delbaen, F., Rásonyi, M. and Stricker, C.: Optimality and Risk - Modern Trends in Mathematical Finance. Springer, 2009, 133-169 mehr… BibTeX
  • Lindner, A., Sato, K.: Continuity properties and infinite divisibility of stationary distributions of some generalised Ornstein-Uhlenbeck processes. Annals of Probability 37 (1), 2009, 250-274 mehr… BibTeX
  • Lindner, A.M.: Stationarity, mixing, distributional properties and moments of GARCH(p;q)-processes. In: Mikosch, T.u.a.: Handbook of Financial Time Series. Springer, 2009, 43-69 mehr… BibTeX
  • Lindner, A.M.: Continuous time approximations to GARCH and stochastic volatility models. In: Andersen, T.G., Davis, R.A., Kreiß, J.-P. and Mikosch, T.: Handbook of Financial Time Series. Springer, 2009, 481-496 mehr… BibTeX
  • Maller, R. A., Müller, G., Szimayer, A.: Ornstein-Uhlenbeck Processes and Extensions. In: Andersen, T. G., Davis, R. A., Kreiß, J.-P., Mikosch, Th.: Handbook of Financial Time Series.. Springer, 2009, 421-437 mehr… BibTeX
  • Müller, G., Czado, C.: Stochastic volatility models for ordinal valued time series with application to finance. Statistical Modelling 9 (1), 2009, 69-95 mehr… BibTeX
  • Müller, G., Durand, R., Maller, R., Klüppelberg, C.: Analysis of stock market volatility by continuous-time GARCH models. In: Gregoriou, G.N.: Stock Market Volatility. Chapman Hall/Taylor and Francis, 2009, 31-50 mehr… BibTeX
  • Pigorsch, C. and Stelzer, R.: A multivariate Ornstein-Uhlenbeck type stochastic volatility model. Preprint, 2009 mehr… BibTeX
  • Pigorsch, C. and Stelzer, R.: On the definition, stationary distribution and second order structure of positive semi-definite Ornstein-Uhlenbeck type processes. Bernoulli 15 (3), 2009, 754-773 mehr… BibTeX
  • Stelzer, R.: First jump approximation of a multivariate Lévy driven SDE and an application to ECOGARCH processes. Stochastic Processes and Their Application 119 (6), 2009, 1932-1951 mehr… BibTeX
  • Stelzer, R.: On Markov-switching ARMA processes - stationarity, existence of moments and geometric ergodicity. Econometric Theory 25 (1), 2009, 43-62 mehr… BibTeX
  • Varin, C. and Czado, C.: A mixed autoregressive probit model for ordinal longitudinal data. Biostatistics 11 (1), 2009, 127-138 mehr… BibTeX

2008

  • Bernhardt, C.,Klüppelberg, C., Meyer-Brandis, T.: Estimating high quantiles for electricity prices by stable linear models. Journal of Energy Markets 1 (1), 2008, 3-19 mehr… BibTeX
  • Bertoin, J., Lindner, A., Maller, R.: On continuity properties of integrals of Lévy processes. In: Donati-Martin, C., Émery, M., Rouault, A. und Stricker, C.: Séminaire de Probabilités . Springer, 2008, 137-159 mehr… BibTeX
  • Brodin, E., Klüppelberg, C.: Extreme value theory in finance. In: Everitt, B. and Melnick, E.: Encyclopedia of Quantitative Risk Analysis and Assessment.. Wiley, Chichester, 2008 mehr… BibTeX
  • Brokate, M., Klüppelberg, C., Kostadinova, R., Maller, R., Seydel, R.S.: On the distribution tail of an integrated risk model: a numerical approach. Insurance: Math. and Econ. 42 (1), 2008, 101-106 mehr… BibTeX
  • Böcker, K.: Modelling and measuring business risk. In: Pillar II in the New Basel Accord. Risk Books, 2008 mehr… BibTeX
  • Böcker, K. and Hillebrand, M.: Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation. Technical report, 2008 mehr… BibTeX
  • Böcker, K., Klüppelberg, C.: Modelling and measuring multivariate operational risk with Lévy copulas. J. Operational Risk 3 (2), 2008, 3-27 mehr… BibTeX
  • Böcker, K., Klüppelberg, C.: Economic capital modelling and Basel II compliance in the banking industry. In: Jäger, W. and Krebs, H.-J.: Mathematics . Springer, 2008, 295-317 mehr… BibTeX
  • Czado, C., Pflüger, C.: Modeling dependencies between rating categories and their efects on prediction in a credit risk portfolio. Applied Stochastic Models in Business and Industry 24 (3), 2008, 237-259 mehr… BibTeX
  • Czado, C., Prokopenko, S.: Modeling transport mode decisions using hierarchical logistic regression models with spatial and cluster effects. Statistical Modelling 8 (4), 2008, 315-345 mehr… BibTeX
  • Czado, C., Song, P. X.-K.: State space mixed models for longitudinal observations with binary and binomial responses. Statistical Papers 49 (4), 2008, 691-714 mehr… BibTeX
  • Delong, L., Klüppelberg, C.: Optimal investment and consumption in a Black-Scholes market with stochastic coefficients driven by a non-Gaussian Ornstein-Uhlenbeck process. Annals of Applied Probabability 18 (3), 2008, 879-908 mehr… BibTeX
  • Endo, K., Matsui, M.: The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes. Statistics & Probability Letters 78 (14), 2008, 2265-2272 mehr… BibTeX
  • Gschlößl, S., Czado, C.: Modelling count data with overdispersion and spatial effects. Statistical Papers (49(3)), 2008, 531-552 mehr… BibTeX
  • Gschlößl, S., Czado, C.: Does a Gibbs sampler approach to spatial Poisson regression models outperform a single site MH sampler? Computational Statistics and Data Analysis 52 (9), 2008, 4184-4202 mehr… BibTeX
  • Klüppelberg, C., Kostadinova, R.: Integrated insurance risk models with exponential Lévy investment. Insurance: Math & Economics 42 (2), 2008, 560-577 mehr… BibTeX
  • Klüppelberg, C., Kuhn, G., Peng, L.: Semi-parametric models for the multivariate tail dependence function - the asymptotically dependent case. Scand. J. Stat. 35 (4), 2008, 701-718 mehr… BibTeX
  • Klüppelberg, C., Resnick, S.: The Pareto Copula, aggregation of risks and the Emperor's socks. Journal of Applied Probability 45 (1), 2008, 67-84 mehr… BibTeX
  • Maller, R., Müller, G. and Szimayer, A.: GARCH modelling in continuous time for irregularly spaced time series data. Bernoulli 14 (2), 2008, 519-542 mehr… BibTeX
  • Stelzer, R.: On the relation between the vec and BEKK multivariate GARCH models. Econometric Theory 24 (4), 2008, 1131-1136 mehr… BibTeX
  • Stelzer, R.: Multivariate Markov-switching ARMA processes with regularly varying noise. Journal of Multivariate Analysis, 99 (6), 2008, 1177-1190 mehr… BibTeX

2007

  • Barndorff-Nielsen, O. E. and Stelzer, R.: Positive-definite matrix processes of finite variation. Probability and Mathematical Statistics 27 (1), 2007, 3-43 mehr… BibTeX
  • Klüppelberg, C., Pergamenchtchikov: Extremal behavior of models with multivariate random recurrence representation. Stoch. Proc. Appl 117 (4), 2007, 432-456 mehr… BibTeX
  • Barndorff-Nielsen, O.E., Lindner, A.: Lévy copulas: dynamics and transforms of Upsilon-type. Scan. J. Statistics 34, 2007, 298-316 mehr… BibTeX
  • Bender, C., Marquardt, T.: Stochastic calculus for convoluted Lévy processes. Bernoulli 14 (2), 2007, 499-518 mehr… BibTeX
  • Brockwell, P. J., Davis, R. A., Yang, Y.: Estimation for non-negative Lévy driven Ornstein-Uhlenbeck processes. J. Appl. Probab. 44 (4), 2007, 977-989 mehr… BibTeX
  • Brockwell, P. J., Davis, R., Yang, Y.: Continuous-time Gaussian autoregression. Statistica Sinica 17, 2007, 63-80 mehr… BibTeX
  • Buchmann, B. and Weber, S.: A continuous time approximation of an evolutionary stock market model. Int. J. Theor. Appl. Finance. 10 (7), 2007, 1229-1253 mehr… BibTeX
  • Buchmann, B., Chan, N.H.: Asymptotic theory of least square estimators for nearly unstable processes under strong dependence. Ann. Appl. Probab 35 (5), 2007, 2001-2017 mehr… BibTeX
  • Böcker, K. and Klüppelberg, C.: Multivariate operational risk: dependence modelling with Lévy copulas. 2007 ERM Symposium , Society of Actuaries, Casualty of Actuaries, and Canandian Insitute of Actuaries Society of Actuaries. , 2007 mehr… BibTeX
  • Cohen, S., Rosinski, J.: Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered and operator stable processes. Bernoulli 13, 2007, 195-210 mehr… BibTeX
  • Czado, C. and Kolbe, A.: Model-based quantification of the volatility of options at transaction level with extended count regression models. Applied Stochastic Models in Business and Industry 23 (1), 2007, 1-21 mehr… BibTeX
  • Czado, C., Erhardt, V., Min, A. and Wagner, S.: Zero-inflated generalized Poisson models with regression effects on the mean, dispersion and zero-inflation level applied to patent outsourcing rates. Statistical Modelling 7 (2), 2007, 125-153 mehr… BibTeX
  • Fasen, V., Klüppelberg, C.: Extremes of supOU processes. In: Benth, F.E., Di Nunno, G., Lindstrom, T., Øksendal, B., Zhang, T. : Stochastic Analysis and Applications. Springer, 2007, 340-359 mehr… BibTeX
  • Freitag, G., Czado, C., Munk, A.: A nonparametric test for similarity of marginals - with applications to the assessment of population bioequivalence. Journal of Statistical Planning and Inference 137 (3), 2007, 697-711 mehr… BibTeX
  • Gschlößl, S. and Czado, C.: Spatial modelling of claim frequency and claim size in non-life insurance. Scandinavian Actuarial Journal 107, 2007, 202-225 mehr… BibTeX
  • Haug, S. and Czado, C.: An exponential continuous time GARCH process. Journal of Applied Probability 44 (4), 2007, 960-976 mehr… BibTeX
  • Haug, S., Klüppelberg, C., Lindner, A. and Zapp, M.: Method of moment estimation in the COGARCH(1,1) model. The Econometrics Journal 10 (2), 2007, 320-341 mehr… BibTeX
  • Klüppelberg, C., Kuhn, G. and Peng, L.: Estimating the tail dependence function of an elliptical distribution. Bernoulli 13 (1), 2007, 229–251 mehr… BibTeX
  • Kostadinova, R.: Optimal investment for insurers, when the stock price follows an exponential Lévy process. Insurance: Math. and Econ. 41 (2), 2007, 250-263 mehr… BibTeX
  • Marquardt T. and James, L.F.: Generating long memory models based on CARMA processes. Technical report, 2007 mehr… BibTeX
  • Marquardt, T.: Multivariate fractionally integrated CARMA processes. Journal of Mult. Anal. 98 (9), 2007, 1705 - 1725 mehr… BibTeX
  • Marquardt, T. and Stelzer, R.: Multivariate CARMA Processes. Stochastic Processes and their Applications 117 (1), 2007, 96-120 mehr… BibTeX
  • Resnick, S.: Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws. John-von-Neumann Lectures, 2007, mehr… BibTeX
  • Rosinski, J.: Tempering stable processes. Stochastic Processes and Their Applications, 117 (6), 2007, 677-707 mehr… BibTeX

2006

  • Brockwell, P., Chadraa, E. and Lindner, A.: Continuous-time GARCH processes. The Annals of Applied Probability 16 (2), 2006, 790–826 mehr… BibTeX
  • Buchmann, B. and Klüppelberg, C.: Fractional integral equations and state space transforms. Bernoulli 12 (3), 2006, 431-456 mehr… BibTeX
  • Böcker, K., Sprittulla, J.: Operational VAR: meaningful means. RISK, 2006, 96-98 mehr… BibTeX
  • Casazza, P. G., Christensen, O., Li, S. and Lindner, A.: Density results for frames of exponentials. In: Heil, C.: Harmonic Analysis and Applications. Birkhäuser, 2006, 359-369 mehr… BibTeX
  • Czado, C. and Raftery, A.E.: Choosing the link function and accounting for link uncertainty in generalized linear models using Bayes factors. Statistical Papers 47 (3), 2006, 419-442 mehr… BibTeX
  • Fasen, V.: Extremes of subexponential Lévy driven moving average processes. Stochastic Process. Appl. 116 (7), 2006, 1066-1087 mehr… BibTeX
  • Fasen, V.,Klüppelberg, C. and Lindner, A.: Extremal behavior of stochastic volatility models. In: Stochastic Finance. Springer, 2006, 107-155 mehr… BibTeX
  • Haug, S. and Czado, C.: Mixed effect models for absolute log returns of ultra high frequency data. Applied Stochastic Models in Business and Industry 22 (3), 2006, 243-267 mehr… BibTeX
  • Haug, S., Czado, C.: A fractionally integrated ECOGARCH process. Discussion Paper 484 beim SFB 386 "Diskrete Strukturen"., 2006 mehr… BibTeX
  • Haug, S., Czado, C.: Mixed effect models for absolute log-returns of ultra high frequency data. Appl. Stochastic Models Bus. Ind. 22 (3), 2006, 243-267 mehr… BibTeX
  • Hillebrand, M.: Modeling and estimating dependent loss given default. Risk (September 2006), 2006 mehr… BibTeX
  • Holzmann, H., Min, A., Czado, C.: Validating linear restrictions in linear regression models with general error structure. Discussion Paper 478 beim SFB 386 "Diskrete Strukturen", 2006 mehr… BibTeX
  • Klüppelberg, C. and Kyprianou, A.E.: On extreme ruinous behaviour of Lévy Insurance risk processes. J. Appl. Probab. 43 (2), 2006, 594-598 mehr… BibTeX
  • Klüppelberg, C. and May, A.: Bivariate extreme value distributions based on polynomial dependence functions. Mathematical Methods in the Applied Sciences 29 (12), 2006, 1467–1480 mehr… BibTeX
  • Klüppelberg, C. and Peng, L.: Empirical likelihood methods for an AR(1) process with ARCH(1) errors. Discussion Paper 386 beim SFB 386 "Diskrete Strukturen"., 2006 mehr… BibTeX
  • Klüppelberg, C. and Rootzén, H.: Introduction to the copula discussion: some background. Extremes 7 (1), 2006, 1-2 mehr… BibTeX
  • Klüppelberg, C., Lindner, A. and Maller, R.: Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. In: Kabanov, Yu., Liptser, R., Stoyanov, J.: The Shiryaev Festschrift: From Stochastic Calculus to Mathematical Finance. Springer, 2006, 393-419 mehr… BibTeX
  • Kwapien, S. and Rosinski, J.: Asymptotic bounds for infinitely divisible sequences. Stochastic Processes and Their Applications 116 (11), 2006, 1622-1635 mehr… BibTeX
  • Marquardt, T.: Fractional Lévy processes with an application to long memory moving average processes. Bernoulli 12 (6), 2006, 1009-1126 mehr… BibTeX
  • Pergamenshchikov, S. and Zeitouny, O.: Ruin probability in the presence of risky investments. Stoch. Proc. Appl. 116 (2), 2006, 267-278 mehr… BibTeX

2005

  • Barndorff-Nielsen, O. E., Stelzer, R.: Absolute moments of generalized hyperbolic distributions and approximate scaling of normal inverse Gaussian Lévy-processes. Scandinavian Journal of Statistics 32 (4), 2005, 617-637 mehr… BibTeX
  • Bregman, Y., Klüppelberg, C.: Ruin estimation in multivariate models with Clayton dependence structure. Scand. Act. J. 2005 (6), 2005, 462-480 mehr… BibTeX
  • Brockwell, P. J., Dahlhaus, R., Trindade, A. A.: Modified burg algorithms for multivariate subset autoregression. Statistica Sinica 01/2005 (15), 2005, 197-213 mehr… BibTeX
  • Brockwell, P., Marquardt, T.: Lévy-driven and fractionally integrated ARMA processes with continuous time parameter. Statistica Sinica 15 (2), 2005, 477-494 mehr… BibTeX
  • Buchmann, B., Klüppelberg, C.: Maxima of stochastic processes driven by fractional Brownian motion. Adv. Appl. Probab. 37 (3), 2005, 743-764 mehr… BibTeX
  • Böcker, K., Klüppelberg, C.: Operational VaR: a closed-form approximation. Risk, 2005, 90-93 mehr… BibTeX
  • Casazza, P., Christensen, O., Lindner, A., Vershynin, R.: Frames and the Feichtinger conjecture. Proc. Amer. Math. Soc. 133 (4), 2005, 1025-1033. mehr… BibTeX
  • Czado, C., Delwarde, A., Denuit, M.: Bayesian poisson log-bilinear mortality projections. Insurance: Mathematics and Economics 36 (3), 2005, 260-284 mehr… BibTeX
  • Czado, C., Heyn, A., Müller, G.: Modeling individual migraine severity with autoregressive ordered probit models. Discussion Paper 413 beim SFB 386 "Diskrete Strukturen". , 2005 mehr… BibTeX
  • Czado, C., Min, A.: Zero-inflated generalized Poisson regression: Asymptotic theory and applications. Discussion Paper 474 beim SFB 386 "Diskrete Strukturen". , 2005 mehr… BibTeX
  • Czado, C., Prokopenko, S., Zängler, T.W.: Räumliche Logit-Modelle der individuellen Verkehrsmittelwahl mit Berücksichtigung von Clustereffekten. In: Deutsche Verkehrswissenschaftliche Gesellschaft (Hrsg.): 12. Seminar für Statistik und Verkehr - Mikroökonometrische Methoden in der Verkehrsforschung. . Schriftenreihe der Deutschen Verkehrswissenschaftlichen Gesellschaft e.V. DVWG, B 280 , 2005 mehr… BibTeX
  • Fasen, V.: Extremes of regularly varying Lévy driven mixed moving average processes. Adv. in Appl. Probab 37 (4), 2005, 993-1014 mehr… BibTeX
  • Helms, F., Czado, C., Gschlößl, S.: Calculation of LTC premiums based on direct estimates of transition probabilities. ASTIN Bulletin 35, 2005, 455-469 mehr… BibTeX
  • Högn, R., Czado, C.: Multiresolution Analysis of Long Time Series With Applications to Finance. Discussion Paper 497 beim SFB 386 "Diskrete Strukturen", 2005 mehr… BibTeX
  • Klüppelberg, C., Lindner, A.: Extreme value theory for moving avarage processes with light-tailed innovations. Bernoulli 11 (3), 2005, 381-410 mehr… BibTeX
  • Kostadinov, K.: Non-parametric estimation of elliptical copulae with application to credit risk. Preprint, 2005 mehr… BibTeX
  • Kostadinov, K.: Tail approximation for credit risk portfolios with heavy-tailed risk factors. Journal of Risk 8 (2), 2005, 81-107 mehr… BibTeX
  • Lindner, A., Maller, R.: Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes. Stoch. Proc. Appl. 115 (10), 2005, 1701-1722 mehr… BibTeX
  • Müller, G., Czado, C.: An autoregressive ordered probit model with application to high frequency financial data. Journal of Computational and Graphical Statistics 14 (2), 2005, 320-338 mehr… BibTeX

2004

  • Baltrunas, A., Daley, D.J., Klüppelberg, C.: Tail behaviour of the busy period of GI/G/1 queue with subexponential service times. Stoch. Proc. Appl. 111 (2), 2004, 237-258 mehr… BibTeX
  • Baltrunas, A., Klüppelberg, C.: Subexponential distributions - large deviations with applications to insurance and queueing models. Austr.N.Z.J.Stat 46 (1), 2004, 141-150 mehr… BibTeX
  • Barndorff-Nielsen, O.E., Lindner, A.M.: Some aspects of Lévy copulas. Thiele Centre, Aarhus University, Denmark, 2004, mehr… BibTeX
  • Brockwell, P.: Representations of continuous-time ARMA processes. J. Appl. Probab. 41, 2004, 375-382 mehr… BibTeX
  • Buchmann, B., Grübel, R.: Decompounding Poisson random sums: recursively truncated estimates in the discrete case. Ann. Inst. Statist. Math. 56 (4), 2004, 743-756 mehr… BibTeX
  • Czado, C.: Einführung zu Markov Chain Monte Carlo Verfahren mit Anwendung auf Gesamtschadenmodelle. Blätter der Deutschen Gesellschaft für Versicherungs- und Finanzmathematik 26 (3), 2004, 331-350 mehr… BibTeX
  • Denker M., Min A.: On estimators for information dimension. Preprint, 2004 mehr… BibTeX
  • Emmer, S., Klüppelberg, C.: Optimal portfolios when stock prices follow an exponential Lévy process. Finance & Stochastics 8 (1), 2004, 17-44 mehr… BibTeX
  • Holzmann H., Koch S., Min A.: Almost sure limit theorems for U-statistics. Statistics and Probability Letters 69 (3), 2004, 261-269 mehr… BibTeX
  • Hsing, T., Klüppelberg, C., Kuhn, G.: Modelling, estimation and visualization of multivariate dependence for risk management. Lehrstuhl für Mathematische Statistik, Technische Universität München, 2004, mehr… BibTeX
  • Hsing, T., Klüppelberg, C., Kuhn, G.: Dependence estimation and visualization in multivariate extremes with applications to financial data. Extremes 7 (2), 2004, 99-121. mehr… BibTeX
  • Jaschke, S., Klüppelberg, C., Lindner, A.: Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. J. Multiv. Anal. 88 (2), 2004, 252-273 mehr… BibTeX
  • Kabanov, Y., Klüppelberg, C.: A geometric approach to portfolio optimization in models with transaction costs. Finance & Stochastics 8 (2), 2004, 207-227 mehr… BibTeX
  • Kallsen, J., Kühn, C.: Pricing derivatives of American and game type in incomplete markets. Finance & Stochastics 8 (2), 2004, 261-284 mehr… BibTeX
  • Klüppelberg, C.: Risk management with extreme value theory. In: Finkenstädt, B. and Rootzén, H.: Extreme Values in Finance, Telecommunication and the Environment.. Chapman and Hall/CRC, Boca Raton, 2004, 101-168 mehr… BibTeX
  • Klüppelberg, C.: Subexponential distributions. In: Sundt, B. and Teugels, J.: Encyclopedia of Actuarial Science. Wiley, Chichester, 2004, 1626-1633 mehr… BibTeX
  • Klüppelberg, C., Kyprianou, A., Maller, R.: Ruin probabilities and overshoots for general Lévy insurance risk processes. Ann. Appl. Probab. 14 (4), 2004, 1766-1801 mehr… BibTeX
  • Klüppelberg, C., Kühn, C.: Fractional Brownian motion as a weak limit of Poisson shot noise processes - with applications to finance. Stoch. Proc. Appl. 113 (2), 2004, 333-351 mehr… BibTeX
  • Klüppelberg, C., Lindner, A., Maller, R.: A continuous time GARCH process driven by a Lévy process: stationarity and second order behaviour. J. Appl. Prob. 41 (3), 2004, 601-622 mehr… BibTeX
  • Klüppelberg, C., Pergamenchtchikov, S.: The tail of the stationary distribution of a random coefficient AR(q) model. Ann. Appl. Probab. 14 (2), 2004, 971-1005 mehr… BibTeX
  • Kuhn, G.: Tails of credit default portfolios. – Discussion Paper 410 beim SFB 386 "Diskrete Strukturen". Lehrstuhl für Mathematische Statistik, Technische Universität München, 2004, mehr… BibTeX
  • Kühn, C.: Game contingent claims in complete and incomplete markets. Journal of Mathematical Economics 40 (8), 2004, 889-902 mehr… BibTeX
  • Lindner, A., Szimayer, A.: A limit theorem for copulas. Lehrstuhl für Mathematische Statistik, Technische Universität München, 2004, mehr… BibTeX

2003

  • Balkema, A. A., Klüppelberg, C. und Resnick S. I.: Domains of attraction for exponential families. Stoch. Proc. Appl. 107 (1), 2003, 83-103 mehr… BibTeX
  • Buchmann, B., Grübel, G.: Decompounding: an estimation problem for Poisson random sums. Ann. Statist. 31 (4), 2003, 1054-1074 mehr… BibTeX
  • Czado, C., Gschlößl, S.: The inception selection effect of diagnosis in a German long term care portfolio. Discussion Paper 357 beim SFB 386 "Diskrete Strukturen", 2003 mehr… BibTeX
  • Högn, R., Czado, C.: Theoretical foundations of autoregressive models for time series on acyclic directed graphs. Discussion Paper 326 beim SFB 386 "Diskrete Strukturen". , 2003 mehr… BibTeX
  • Klüppelberg, C., Mikosch, T., Schärf, A.: Regular variation in the mean and stable limits for Poisson shot noise. Bernoulli 9 (3), 2003, 467-496 mehr… BibTeX
  • Klüppelberg, C., Pergamenchtchikov, S.: Renewal theory for functionals of a Markov chain with compact state space. Ann. Probab. 31 (4), 2003, 2270-2300 mehr… BibTeX
  • Müller, G., Czado, C., Antes, S., Rottenwallner, M.: Regression models for ordinal valued time series: applications in high frequency finance and medicine. Discussion Paper 335 beim SFB 386 "Diskrete Strukturen". , 2003 mehr… BibTeX
  • Tasche, D.: Unbiasedness in least quantile regression. In: Dutter, R., Filzmoser, P.,Gather,U., Rousseeuw, P.J.: Developments in Robust Statistics. Physica-Verlag, Heidelberg, New York, 2003, 377-386 mehr… BibTeX
  • Urban, M., Dittrich, J., Klüppelberg, C., Stölting, R.: Allocation of risk capital to insurance portfolios. Blätter der DGVFM 26 (2), 2003, 389-406 mehr… BibTeX

2002

  • Asmussen, S., Kalashnikov, V., Klüppelberg, C., Konstantinides, D., Tsitiashvili, G.: A local limit theorem for random walk maxima with heavy tails. Statistics & Probability Letters 56 (4), 2002, 399-404 mehr… BibTeX
  • Borkovec, M., Dasgupta, A., Resnick, S., and Samorodnitsky, G.: A single channel on/off model with top-like control. Stochastic Models 18 (3), 2002 mehr… BibTeX
  • Brockwell, P. J.: Autoregressions generated by the tent map. Preprint, 2002 mehr… BibTeX
  • Casazza, P., Christensen, O., Li, S., Lindner, A: On Riesz Fischer sequences and lower frame bounds. Z. Anal. Anwend. 21 (2), 2002, 305-314 mehr… BibTeX
  • Christensen, O., Lindner, A.: Decomposition of Riesz frames and wavelets into a finite union of linearly independent sets. Lin. Alg. Appl. 355 (1-3), 2002, 147-159 mehr… BibTeX
  • Czado, C., Rudolph,F.: Application of survival analysis methods to long term care insurance. Insurance: Mathematics and Economics 31 (3), 2002, 395-413 mehr… BibTeX
  • Klüppelberg, C., Maller R.A., Van De Vyver M., Wee D.: Testing for reduction to random walk in autoregressive conditional heteroscedasticity models. The Econometrics Journal 5 (2), 2002, 387-416 mehr… BibTeX
  • Klüppelberg, C., Severin, M.: Prediction of outstanding insurance claims. Lehrstuhl für Mathematische Statistik, Technische Universität München, 2002, mehr… BibTeX
  • Kunz, A.: On extremes of multivariate stationary diffusion processes in Euclidean norm. Lehrstuhl für Mathematische Statistik, Technische Universität München, 2002, mehr… BibTeX
  • Kunz, A.: Maxima of diffusion processes of gradient field type with respect to the level sets of the potential. Lehrstuhl für Mathematische Statistik, Technische Universität München, (Technical Reports: Mathematical Statistics), 2002, mehr… BibTeX
  • Kühn, C.: Pricing contingent claims in incomplete markets when the holder can choose among different payoffs. Insurance: Mathematics & Economics 31 (2), 2002, 215-233. mehr… BibTeX
  • Lindner, A.: Growth estimates for sine-type-functions and applications to Riesz bases of exponentials. Aprox. Theory Appl. (N.S.) 18 (3), 2002, 26-41 mehr… BibTeX
  • Severin, M.: Randbereiche von Verteilungen. fat Tails. Investmentmodelle für das Asset Liability Modelling von Versicherungsunternehmen, Schriftenreihe Angewandte Versicherungsmathematik 31, 2002 mehr… BibTeX

2001

  • Balkema, A. A., Klüppelberg, C. und Resnick S. I.: Stability for multivariate exponential families. J. Math. Sci. 106 (2), 2001, 2777-2791 mehr… BibTeX
  • Barndorff-Nielsen, O.E., Cox, D., Klüppelberg, C.: Complex stochastic systems. Chapman and Hall / CRC, Boca Raton, 2001 mehr… BibTeX
  • Borkovec, M.: Asymptotic behavior of the sample autocovariance and autocorrelation function of the AR(1) process with ARCH(1) errors. Bernoulli 7 (6), 2001, 847-872 mehr… BibTeX
  • Borkovec, M., Klüppelberg, C.: The tail of the stationary distribution of an autoregressive process with ARCH(1) errors. Ann. Applied Probab 11 (4), 2001, 1220-1241 mehr… BibTeX
  • C.Czado, A.Munk: Bootstrap methods for the nonparametric assessment of population bioequivalence and similarity of distributions. Journal of Statistical Computation and Simulation 68 (3), 2001, 243 -280 mehr… BibTeX
  • Christensen, O., Lindner, A.: Frames containing a Riesz basis and approximation of the inverse frame operator. In: Hausmann, W., Jetter, K. und Reimer, M.: Recent Progress in Multivariate Approximations. Birkhäuser, 2001, 89-100 mehr… BibTeX
  • Christensen, O., Lindner, A.: Frames of exponentials: lower frame bounds for finite subfamilies and approximation of the inverse frame operator. Lin. Alg. Appl. 323 (1-3), 2001, 117-130 mehr… BibTeX
  • Christensen, O., Lindner, A.: Lower bounds for finite Gabor and wavelet systems. Approx. Theory Appl. (N.S.) 17 (1), 2001, 18-29 mehr… BibTeX
  • Czado, C.: Individual migraine risk management using binary state space mixed models. Preprint, 2001 mehr… BibTeX
  • Emmer, S., Klüppelberg, C. , Korn, R.: Optimal portfolios with bounded Capital-at-Risk. Mathematical Finance 11 (4), 2001, 365-384 mehr… BibTeX
  • Gogl, H., Greiner, M., Jobmann, M., Klüppelberg, C.: Fluid queue models for observed long range dependence in telecommunication data. In: Greiner, M.,Jobmann, M.: Stochastic Modeling of High-Speed Networks: Workshop Proceedings. CS Press, 2001 mehr… BibTeX
  • Kafetzaki-Boulamatsis, M., Tasche, D.: Combined market and credit risk stress testing based on the Merton model. RiskLab report, 2001, mehr… BibTeX
  • Klüppelberg, C.: Developments in insurance mathematics. In: Engquist, B., Schmid, W.: Mathematics Unlimited - 2001 and Beyond. Springer, 2001, 703-722 mehr… BibTeX
  • Kühn, C.: An estimator of the number of change points based on a weak invariance principle. Statistics and Probability Letters 51 (2), 2001, 189-196 mehr… BibTeX

2000

  • Borkovec, M.: Extremal behavior of the autoregressive processwith ARCH(1) errors. Stochastic Processes and their Applications 85, 2000, 189-207 mehr… BibTeX
  • Borkovec, M., and Szimayer, A.: How to explain a corporate credit spread. Lehrstuhl für Mathematische Statistik, 2000, mehr… BibTeX
  • Borkovec, M., und Klüppelberg, C.: Extremwerttheorie für Finanzzeitreihen - ein unverzichtbares Werkzeug im Risikomanagement219-241. In: Rudolph, B., und Johanning, L. (Hrsg.): Handbuch Risikomanagement. Uhlenbruch , 2000, 219-241 mehr… BibTeX
  • Czado, C.: Multivariate regression analysis of panel data with binaryoutcomes applied to unemployment data. Statistical Papers 41 (3), 2000, 281-304 mehr… BibTeX
  • Czado, C., and Munk, A.: Noncanonical links in generalized linear models - when is the effort justified. Journal of Statistical Planning and Inference 87 (2), 2000, 317-345 mehr… BibTeX
  • Emmer, S., Klüppelberg, C. , and Korn, R.: Optimal portfolios with bounded downside risks. Lehrstuhl für Mathematische Statistik, 2000, mehr… BibTeX
  • Lindner, A.: A universal constant for exponential Riesz sequences. Zeitschrift für Analysis und ihre Anwendungen 19 (2), 2000, 553-559 mehr… BibTeX

1999

  • Balkema, A.A., Klüppelberg, C., and Resnick, S.I.: Limit laws for exponential families. Bernoulli 5 (6), 1999, 951-968 mehr… BibTeX
  • Barndorff-Nielsen, O.E., and Klüppelberg, C.: Tail exactness of multivariate saddlepoint approximations. Scandinavian Journal of Statistics 26 (2), 1999 mehr… BibTeX
  • Greiner, M., Jobmann, M., and Klüppelberg, C.: Telecommunication traffic, queueing models and subexponential distributions. Queueing Systems 33 (1-3), 1999 mehr… BibTeX
  • Klüppelberg, C. and Korn, R.: Optimale Portfolios mit beschränktem Value-at-Risk. Solutions 3 (2), 1999, 23-32 mehr… BibTeX
  • Lindner, A.: On lower bounds of exponential frames. Journal of Fourier Analysis and Applications 5 (2-3), 1999, 185-192 mehr… BibTeX
  • Rootzen, H. and Klüppelberg, C.: A single number can't hedge against economic catastrophes. AMBIO: A Journal of the Human Environment 28 (6), 1999 mehr… BibTeX

1998

  • Asmussen, S., Klüppelberg, C. , and Sigman, K.: Sampling at subexponential times, with queueing applications. Stochastic Processes and their Applications 79 (2), 1998, 265-286 mehr… BibTeX
  • Borkovec, M., and Klüppelberg, C.: Extremal behaviour of diffusion models in finance. Extremes 1 (1), 1998, 47-80 mehr… BibTeX
  • Czado, C., and Munk, A.: Assessing the similarity of distributions - finite sample performance of the empirical Mallow distance. Journal of Statistical Computation and Simulation 60 (4), 1998 mehr… BibTeX
  • Czado, C., and Munk, A.: Nonparametric validation of similar distributions and assessment of goodness of fit. Journal of the Royal Statistical Society: Series B 60 (1), 1998, 223-241 mehr… BibTeX
  • Emmer, S., Klüppelberg, C., and Trüstedt, M.: VaR - ein Maß für das extreme Risiko. Solutions 2, 1998, 53-63 mehr… BibTeX
  • Goldie, C.M., and Klüppelberg, C.: Subexponential distributions. In: Adler, R., Feldman, R., and Taqqu, M.S. (Hrsg.): A Practical Guide to Heavy Tails: Statistical Techniques for Analysing Heavy Tailed Distributions. Birkhäuser, 1998, 435-459 mehr… BibTeX
  • Klüppelberg, C.: Risikomanagement in der Finanzmathematik. DMV-Mitteilungen 6 (3), 1998, 62-67 mehr… BibTeX
  • Klüppelberg, C., and Stadtmüller, U.: Ruin probabilities in the presence of heavy tails and interest rates. Scandinavian Actuarial Journal 1998 (1), 1998, 49-58 mehr… BibTeX

1997

  • Asmussen, S., and Klüppelberg, C.: Stationary M/G/1 excursions in the presence of heavy tails. Journal of Applied Probability 34 (1), 1997, 208-212 mehr… BibTeX
  • Czado, C.: On selecting parametric link transformation families in generalized linear models. Journal of Statistical Planning and Inference 61 (1), 1997, 125-139 mehr… BibTeX
  • Klüppelberg, C., and Mikosch, T.: Large deviations of heavy-tailed random sums with applications in insurance and finance. Journal of Applied Probability 34 (2), 1997, 293-308 mehr… BibTeX

1996

  • Asmussen, S., and Klüppelberg, C.: Large deviations results in the presence of heavy tails, with applications to insurance risk. Stochastic Processes and their Applications 64 (1), 1996, 103-125 mehr… BibTeX
  • Czado, C. Chappell, R., and Newton, M.: Bayesian Inference for semiparametric binary regression. Journal of the American Statistical Association 91 (433), 1996, 142-153 mehr… BibTeX
  • Klüppelberg, C., and Mikosch, T.: Self-normalised and randomly centred spectral estimates. In: Heyde, C.C., Prokhorov, Yu.V., Pyke, R. and Rachev, S.T. (Hrsg.): Proceedings of the Athens International Conference on Applied Probability and Time Series. Springer, 1996, 259-271 mehr… BibTeX
  • Klüppelberg, C., and Mikosch, T.: Gaussian limit fields for the integrated periodogram. Annals of Applied Probability 6 (3), 1996, 969-991 mehr… BibTeX
  • Klüppelberg, C., and Mikosch, T.: Parameter estimation for a misspecified ARMA model with infinite variance innovations. Journal of Mathematical Sciences 78 (1), 1996, 60-65 mehr… BibTeX
  • Klüppelberg, C., and Mikosch, T.: The integrated periodogram for stable processes. Annals of Statistics 24 (5), 1996, 1855-1879 mehr… BibTeX

1995

  • Balkema, A.A., Klüppelberg, C., and Stadtmüller, U.: Tauberian results for densities with Gaussian tails. Journal of the London Mathematical Society 51 (2), 1995, 383-400 mehr… BibTeX
  • Klüppelberg, C., and Mikosch, T.: Explosive Poisson shot noise processes with applications to risk reserves. Bernoulli 1 (1-2), 1995, 125-147 mehr… BibTeX
  • Klüppelberg, C., and Mikosch, T.: Delay in claim settlement and ruin probability approximations. Scandinavian Actuarial Journal 1995 (2), 1995, 154-168 mehr… BibTeX
  • Klüppelberg, C., and Mikosch, T.: On strong consistency of estimators for infinite variance time series. Theory of Probability and Mathematical Statístics 53, 1995, 127-136 mehr… BibTeX
  • Mikosch, T., Gadrich, T., Klüppelberg, C., and Adler, R.J.: Parameter estimation for ARMA models with infinite variance innovations. Annals of Statistics 23 (1), 1995, 305-326 mehr… BibTeX

1994

  • Asmussen, S., Henriksen, L. Fløe, Klüppelberg, C.: Large claims approximations for risk processes in a Markovian environment. Stoch. Proc. Appl. 54 (1), 1994, 29-43 mehr… BibTeX
  • Czado, C.: Modeling overdispersion in binomial regression. Preprint, 1994 mehr… BibTeX
  • Czado, C.: Parametric link modification of both tails in binary regression. Statistical Papers 35 (1), 1994, 189-201 mehr… BibTeX
  • Czado, C.: Bayesian inference of binary regression models with parametric link. Journal of Statistical Planning and Inference 41 (2), 1994, 121-140 mehr… BibTeX
  • Klüppelberg, C.: Katastrophen - Modellierung und Vorhersage. Antrittsvorlesung, 1. Dezember 1993, ETH-Zürich. Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker (1), 1994, 29-49 mehr… BibTeX
  • Klüppelberg, C., Mikosch, T.: Some limit theory for the self-normalised periodogram of stable processes. Scand. J. Stat. 21 (4), 1994, 485-491 mehr… BibTeX

1993

  • Balkema, A.A., Klüppelberg, C., Resnick, S.I.: Densities with Gaussian tails. Journal of the London Mathematical Society 51 (2), 1993, 383-400 mehr… BibTeX
  • Buchwalder, M., Chevallier, E., Klüppelberg, C.: Approximation methods for the total claimsize distribution - an algorithmic and graphical presentation. Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker 2, 1993, 187-227 mehr… BibTeX
  • Czado, C.: Norm restricted maximum likelihood estimators for binary regression models with parametric link. Communications in Statistics, Theory and Methods 22 (8), 1993, 2259-2274 mehr… BibTeX
  • Embrechts, P., Klüppelberg, C.: Some aspects of insurance mathematics. Theory of Probability and its Applications 38 (2), 1993, 262-295 mehr… BibTeX
  • Klüppelberg, C.: Asymptotic ordering of risks and ruin probabilities. Insurance: Mathematics and Economics 12 (3), 1993, 259-264 mehr… BibTeX
  • Klüppelberg, C., Mikosch, T.: Spectral estimates and stable processes. Stochastic Processes and their Applications 47 (2), 1993, 323-344 mehr… BibTeX
  • Klüppelberg, C., Villasenor, J.: Estimation of distribution tails - a semiparametric approach. Blätter der Deutschen Gesellschaft für Versicherungsmathematik 21 (2), 1993, 213-235 mehr… BibTeX

1992

  • Barndorff-Nielsen, O.E., Klüppelberg, C. (1992): A note on the tail accuracy of the univariate saddlepoint approximation. Annales de Toulouse Série 6 1 (1), 1992, 5-14 mehr… BibTeX

1991

  • Keller, B., Klüppelberg, C.: Statistical estimation of large claims distributions. Mitteilungen der Schweizerischen Vereinigung der Versicherungsmathematiker, 1991, 203-216 mehr… BibTeX
  • Klüppelberg, C., Villasenor, J.: The full solution of the convolution closure problem for convolution- equivalent distributions. J. Math. Anal. Appl. 160 (1), 1991, 79-92 mehr… BibTeX

1990

  • Klüppelberg, C.: Asymptotic ordering of distribution functions and convolution semigroups. Semigroup Forum 40 (1), 1990, 77-92 mehr… BibTeX
  • Klüppelberg, C.: Asymptotic ruin probabilities and hazard rates. Math. Oper. Res. 60, 1990, 567-576 mehr… BibTeX

1989

  • Klüppelberg, C.: Subexponential distributions and characterizations of related classes. Probability Theory and Related Fields 82 (2), 1989, 259-269 mehr… BibTeX
  • Klüppelberg, C.: Estimation of ruin probabilities by means of hazard rates. Insurance: Mathematics and Economics 8 (4), 1989, 279-285 mehr… BibTeX

1988

  • Klüppelberg, C.: Subexponential distributions and integrated tails. Journal of Applied Probability 25 (1), 1988, 132-141 mehr… BibTeX

1985

  • Czado, C., Taqqu, M.S.: Reproducing kernel Hilbert space for some non-Gaussian processes. Probability in Banach Spaces/ Lecture Notes in Mathematics 1153, 1985, 128-140 mehr… BibTeX
  • Czado, C., Taqqu, M.S.: A survey of functional laws of the iterated logarithm for self-similar processes. Stochastic Models 1 (1), 1985, 77-115 mehr… BibTeX

 

Einige Preprints des Lehrstuhl findet man auch auf dem Dokumentenserver arXiv der Cornell University Library.