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Renewal theory for functionals of a Markov chain with compact state space

Klüppelberg, Claudia; Pergamenchtchikov, Serguei - 2001

Persistent link: https://www.econbiz.de/10001744691

The tail of the stationary distribution of a random coefficient AR(q) model

Klüppelberg, Claudia; Pergamenchtchikov, Serguei - 2002

Persistent link: https://www.econbiz.de/10001744382

Optimal investment and consumption for financial markets with jumps under transaction costs

Egorov, Sergei; Pergamenchtchikov, Serguei - In: Finance and stochastics 28 (2024) 1, pp. 123-159

Persistent link: https://www.econbiz.de/10014447608

Risk management with extreme value theory

Klüppelberg, Claudia - 2002

Persistent link: https://www.econbiz.de/10001745767

Optimal portfolios with bounded capital at risk

Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 365-384

Persistent link: https://www.econbiz.de/10001620446

Extremal behaviour of diffusion models in finance

Borkovec, Milan; Klüppelberg, Claudia - 1996

Persistent link: https://www.econbiz.de/10000960264

Prediction of outstanding insurance claims

Klüppelberg, Claudia; Severin, Martin - 2001

Persistent link: https://www.econbiz.de/10001744662

Testing for reduction to random walk in autoregressive conditional heteroskedasticity model

Klüppelberg, Claudia; Maller, Ross A.; Vyver, Mark van de - 2001

Persistent link: https://www.econbiz.de/10001744688

Testing for reducing to random walk in autogressive conditional heteroskedasticity models

Klüppelberg, Claudia; Maller, Ross A.; Vyver, Mark van de - In: The econometrics journal 5 (2002) 2, pp. 387-416

Persistent link: https://www.econbiz.de/10001713307

Dependence estimation and visualization in multivariate extremes with applications to financial data

Hsing, Tailen (contributor); … - 2003

We investigate extreme dependence in a multivariate setting with special emphasis on financial applications. We introduce a new dependence function which allows us to capture the complete extreme dependence structure and present a nonparametric estimation procedure. The new dependence function...

Persistent link: https://www.econbiz.de/10002638718