Browsing All of EconStor by Author Klüppelberg, Claudia
Showing results 1 to 13 of 13
Year of Publication | Title | Author(s) |
2003 | Stationarity and second order behaviour of discrete and continuous time GARCH(1,1) processes | Klüppelberg, Claudia; Lindner, Alexander M.; Maller, Ross |
2003 | Dependence estimation and visualization in multivariate extremes with applications to financial data | Hsing, Tailen; Klüppelberg, Claudia; Kuhn, Gabriel |
2004 | Modelling, estimation and visualization of multivariate dependence for risk management | Hsing, Tailen; Klüppelberg, Claudia; Kuhn, Gabriel |
2005 | Extreme value theory for moving average processes with light-tailed innovations | Klüppelberg, Claudia; Lindner, Alexander M. |
2005 | Estimating the COGARCH(1,1) model: a first go | Haug, Stephan; Klüppelberg, Claudia; Lindner, A.; Zapp, M. |
2005 | Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models | Klüppelberg, Claudia; Lindner, Alexander M.; Maller, Ross |
2005 | Extremal behavior of stochastic volatility models | Fasen, Vicky; Klüppelberg, Claudia; Lindner, Alexander M. |
2005 | A continuous time GARCH process driven by a Levy process: stationarity and second order behaviour | Klüppelberg, Claudia; Lindner, Alexander M.; Maller, Ross |
2006 | Copula structure analysis based on robust and extreme dependence measures | Klüppelberg, Claudia; Kuhn, Gabriel |
2006 | Empirical likelihood methods for an AR(1) process with ARCH(1) errors | Klüppelberg, Claudia; Peng, Liang |
2006 | Estimating tail dependence of elliptical distributions | Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang |
2006 | Multivariate tail copula: modeling and estimation | Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang |
2021 | Indirect inference for time series using the empirical characteristic function and control variates | Davis, Richard A.; do Rêgo Sousa, Thiago; Klüppelberg, Claudia |