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Extremal connectedness of hedge funds
Mhalla, Linda; Hambuckers, Julien; Lambert, Marie - In: Journal of applied econometrics 37 (2022) 5, pp. 988-1009
Persistent link: https://www.econbiz.de/10013464644
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Understanding the economic determinants of the severity of operational losses : A regularized generalized Pareto regression approach
Hambuckers, Julien; Groll, Andreas; Kneib, Thomas - In: Journal of Applied Econometrics 33 (2018) 6, pp. 898-935
Persistent link: https://www.econbiz.de/10012082786
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Do interest rate differentials drive the volatility of exchange rates? : evidence from an extended stochastic volatility model
Ulm, Maren; Hambuckers, Julien - In: Journal of empirical finance 65 (2022), pp. 125-148
Persistent link: https://www.econbiz.de/10013286403
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Estimating the out-of-sample predictive ability of trading rules : a robust bootstrap approach
Hambuckers, Julien; Heuchenne, Cédric - In: Journal of forecasting 35 (2016) 4, pp. 347-372
Persistent link: https://www.econbiz.de/10011580770
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Estimating Value-at-Risk for the g-and-h distribution : an indirect inference approach
Bee, Marco; Hambuckers, Julien; Trapin, Luca - In: Quantitative finance 19 (2019) 8, pp. 1255-1266
Persistent link: https://www.econbiz.de/10012194764
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Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
Bee, Marco; Hambuckers, Julien - In: The journal of operational risk 17 (2022) 1, pp. 81-111
Persistent link: https://www.econbiz.de/10014546257
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Smooth-transition regression models for non-stationary extremes
Hambuckers, Julien; Kneib, Thomas - In: Journal of financial econometrics 21 (2023) 2, pp. 445-484
Persistent link: https://www.econbiz.de/10014314754
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Detecting equity style information within institutional media
Gillain, Cédric; Ittoo, Ashwin; Lambert, Marie - In: Essays on Financial Analytics : Applications and Methods, (pp. 131-157). 2023
Persistent link: https://www.econbiz.de/10014338834
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Moral hazard in high-risk environments : optimal follow-on investing in venture capital finance
Tennert, Julius; Lambert, Marie; Burghof, Hans-Peter - In: Venture capital : an international journal of … 20 (2018) 4, pp. 323-338
Persistent link: https://www.econbiz.de/10011988233
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Understanding the stable components of seasonality in the size effect
Fays, Boris; Hübner, Georges; Lambert, Marie - In: The journal of portfolio management : JPM 48 (2022) 7, pp. 138-155
Persistent link: https://www.econbiz.de/10014231871